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: April 30, 2014



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/14 (Unaudited)
MORTGAGE-BACKED SECURITIES (48.2%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.3%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.991s, 2032 $551,651 $830,341
     IFB Ser. 3408, Class EK, 25.181s, 2037 193,222 280,770
     IFB Ser. 2979, Class AS, 23.715s, 2034 63,724 81,567
     IFB Ser. 3072, Class SM, 23.239s, 2035 351,709 502,632
     IFB Ser. 3072, Class SB, 23.092s, 2035 315,031 447,126
     IFB Ser. 3998, Class KS, IO, 6.548s, 2027 4,011,337 651,842
     IFB Ser. 4105, Class LS, IO, 5.998s, 2041 4,972,435 900,955
     IFB Ser. 319, Class S2, IO, 5.848s, 2043 3,335,543 772,545
     IFB Ser. 4240, Class SA, IO, 5.848s, 2043 7,613,252 1,748,307
     IFB Ser. 317, Class S3, IO, 5.828s, 2043 8,650,405 1,972,468
     IFB Ser. 14-325, Class S1, IO, 5.798s, 2044 6,932,067 1,515,696
     IFB Ser. 14-326, Class S2, IO, 5.798s, 2044 22,087,969 5,206,784
     IFB Ser. 311, Class S1, IO, 5.798s, 2043 9,359,440 1,996,584
     IFB Ser. 308, Class S1, IO, 5.798s, 2043 5,622,481 1,373,853
     IFB Ser. 314, Class AS, IO, 5.738s, 2043 4,223,763 927,425
     Ser. 3632, Class CI, IO, 5s, 2038 900,218 84,413
     Ser. 3626, Class DI, IO, 5s, 2037 211,018 3,429
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 6,880,348 1,517,805
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 4,047,806 815,633
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 6,765,570 1,454,577
     Ser. 4193, Class PI, IO, 4s, 2043 9,074,233 1,599,324
     Ser. 304, Class C53, IO, 4s, 2032 4,383,281 639,521
     Ser. 13-303, Class C19, IO, 3 1/2s, 2043 8,230,002 1,944,268
     Ser. 304, Class C22, IO, 3 1/2s, 2042 4,640,425 1,084,699
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 10,438,104 1,657,018
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 9,458,068 1,501,440
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 4,640,733 720,613
     Ser. 304, IO, 3 1/2s, 2027 8,984,551 1,062,693
     Ser. 304, Class C37, IO, 3 1/2s, 2027 6,599,075 791,031
     Ser. 4165, Class TI, IO, 3s, 2042 19,821,037 2,711,518
     Ser. 4183, Class MI, IO, 3s, 2042 8,802,739 1,202,454
     Ser. 4210, Class PI, IO, 3s, 2041 6,153,296 676,863
     Ser. 304, Class C45, IO, 3s, 2027 8,139,723 998,266
     Ser. T-57, Class 1AX, IO, 0.395s, 2043 4,364,653 47,571
     FRB Ser. 3326, Class WF, zero %, 2035 3,416 2,920
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.986s, 2036 322,911 605,336
     IFB Ser. 07-53, Class SP, 23.642s, 2037 302,898 446,428
     IFB Ser. 08-24, Class SP, 22.725s, 2038 310,003 465,011
     IFB Ser. 05-75, Class GS, 19.793s, 2035 280,404 373,634
     IFB Ser. 05-83, Class QP, 16.998s, 2034 380,136 489,979
     IFB Ser. 13-101, Class HS, IO, 6.348s, 2043 3,557,609 936,719
     IFB Ser. 13-81, Class US, IO, 6.098s, 2043 4,895,437 890,921
     IFB Ser. 13-10, Class KS, IO, 6.048s, 2043 4,570,253 938,090
     IFB Ser. 13-19, Class DS, IO, 6.048s, 2041 9,659,080 1,752,595
     IFB Ser. 13-41, Class SP, IO, 6.048s, 2040 3,371,802 535,543
     Ser. 12-134, Class SA, IO, 5.998s, 2042 6,386,854 1,489,317
     IFB Ser. 13-19, Class SK, IO, 5.998s, 2043 5,896,330 1,297,892
     IFB Ser. 12-128, Class ST, IO, 5.998s, 2042 4,328,679 981,571
     IFB Ser. 13-18, Class SB, IO, 5.998s, 2041 4,319,030 719,119
     IFB Ser. 13-124, Class SB, IO, 5.798s, 2043 4,434,246 970,684
     IFB Ser. 411, Class S1, IO, 5.798s, 2042 5,946,335 1,267,104
     IFB Ser. 13-128, Class CS, IO, 5.748s, 2043 8,229,386 1,853,752
     IFB Ser. 13-101, Class CS, IO, 5.748s, 2043 5,062,528 1,141,347
     IFB Ser. 13-102, Class SH, IO, 5.748s, 2043 6,532,297 1,423,387
     Ser. 374, Class 6, IO, 5 1/2s, 2036 729,934 138,104
     Ser. 12-132, Class PI, IO, 5s, 2042 9,238,423 1,983,951
     Ser. 398, Class C5, IO, 5s, 2039 466,634 69,482
     Ser. 10-13, Class EI, IO, 5s, 2038 191,781 4,978
     Ser. 378, Class 19, IO, 5s, 2035 2,079,528 415,908
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 19,806,500 3,960,706
     Ser. 409, Class 81, IO, 4 1/2s, 2040 9,305,420 1,756,825
     Ser. 409, Class 82, IO, 4 1/2s, 2040 11,288,527 2,155,800
     Ser. 366, Class 22, IO, 4 1/2s, 2035 833,332 64,100
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 3,640,519 423,720
     Ser. 418, Class C24, IO, 4s, 2043 7,227,153 1,699,510
     Ser. 13-41, Class IP, IO, 4s, 2043 6,652,186 1,273,561
     Ser. 13-44, Class PI, IO, 4s, 2043 6,280,245 1,042,128
     Ser. 13-60, Class IP, IO, 4s, 2042 4,494,507 810,059
     Ser. 12-96, Class PI, IO, 4s, 2041 4,238,272 754,455
     Ser. 406, Class 2, IO, 4s, 2041 3,906,089 796,061
     Ser. 406, Class 1, IO, 4s, 2041 2,691,606 556,355
     Ser. 409, Class C16, IO, 4s, 2040 6,792,598 1,331,491
     Ser. 418, Class C15, IO, 3 1/2s, 2043 14,993,856 3,433,359
     Ser. 12-145, Class TI, IO, 3s, 2042 9,684,566 1,125,347
     Ser. 13-35, Class IP, IO, 3s, 2042 8,168,021 929,750
     Ser. 13-53, Class JI, IO, 3s, 2041 6,599,536 874,438
     Ser. 13-23, Class PI, IO, 3s, 2041 8,492,399 873,698
     Ser. 03-W10, Class 1, IO, 1.092s, 2043 701,423 20,413
     Ser. 00-T6, IO, 0.741s, 2030 3,396,647 72,179
     Ser. 99-51, Class N, PO, zero %, 2029 38,888 34,999
Government National Mortgage Association
     IFB Ser. 10-163, Class SI, IO, 6.478s, 2037 6,612,959 1,025,015
     IFB Ser. 11-56, Class MI, IO, 6.298s, 2041 6,061,048 1,381,858
     IFB Ser. 10-67, Class SE, IO, 6.298s, 2040 2,371,431 447,726
     Ser. 13-116, Class SA, IO, 5.998s, 2043 5,408,704 983,140
     IFB Ser. 13-129, Class SN, IO, 5.998s, 2043 4,220,341 720,581
     IFB Ser. 13-152, Class SG, IO, 5.998s, 2043 9,830,065 1,695,551
     IFB Ser. 13-165, Class LS, IO, 5.998s, 2043 4,058,899 764,453
     IFB Ser. 10-20, Class SC, IO, 5.998s, 2040 9,114,916 1,653,901
     Ser. 13-182, Class LS, IO, 5.988s, 2043 4,252,791 940,112
     Ser. 13-149, Class MS, IO, 5.948s, 2039 7,519,850 1,198,439
     IFB Ser. 12-77, Class MS, IO, 5.948s, 2042 3,836,986 918,498
     Ser. 14-58, Class SA, IO, 5.94s, 2044 12,052,286 1,914,988
     IFB Ser. 13-99, Class AS, IO, 5.898s, 2043 3,088,116 703,998
     IFB Ser. 11-128, Class TS, IO, 5.898s, 2041 3,285,721 659,116
     IFB Ser. 10-151, Class SA, IO, 5.898s, 2040 2,320,453 418,958
     IFB Ser. 11-70, Class SM, IO, 5.738s, 2041 5,451,000 1,311,511
     IFB Ser. 11-70, Class SH, IO, 5.738s, 2041 5,599,000 1,353,110
     Ser. 14-25, Class MI, IO, 5s, 2043 4,084,138 938,331
     Ser. 13-22, Class IE, IO, 5s, 2043 6,803,309 1,442,432
     Ser. 13-22, Class OI, IO, 5s, 2043 6,333,546 1,349,027
     Ser. 13-3, Class IT, IO, 5s, 2043 5,649,580 1,205,613
     Ser. 13-6, Class IC, IO, 5s, 2043 5,318,047 1,148,539
     Ser. 12-146, Class IO, IO, 5s, 2042 5,187,089 1,174,616
     Ser. 13-6, Class CI, IO, 5s, 2042 3,977,023 818,034
     Ser. 13-130, Class IB, IO, 5s, 2040 4,676,359 609,768
     Ser. 13-16, Class IB, IO, 5s, 2040 7,374,861 756,488
     Ser. 11-41, Class BI, IO, 5s, 2040 4,355,301 519,537
     Ser. 10-35, Class UI, IO, 5s, 2040 3,001,068 700,270
     Ser. 10-20, Class UI, IO, 5s, 2040 5,398,620 1,083,395
     Ser. 10-9, Class UI, IO, 5s, 2040 36,393,362 8,370,679
     Ser. 09-121, Class UI, IO, 5s, 2039 11,555,191 2,729,452
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 10,170,382 2,223,317
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 2,037,784 451,125
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 2,601,978 304,796
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 720,894 129,184
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 10,737,886 2,175,710
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 23,915,303 4,819,050
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 10,801,925 2,484,486
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 6,401,069 1,468,983
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 2,538,319 442,023
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 8,050,850 1,300,615
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 3,325,364 423,718
     Ser. 14-4, Class IC, IO, 4s, 2044 4,594,848 1,002,274
     Ser. 13-165, Class IL, IO, 4s, 2043 3,745,738 648,874
     Ser. 12-56, Class IB, IO, 4s, 2042 4,102,553 949,768
     Ser. 12-47, Class CI, IO, 4s, 2042 10,609,592 2,452,954
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 18,422,411 3,292,453
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 6,253,500 965,384
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 7,971,739 1,357,189
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 11,752,836 1,894,440
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 16,259,708 2,437,655
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 8,536,459 1,488,246
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 8,608,007 2,012,147
     Ser. 06-36, Class OD, PO, zero %, 2036 11,461 10,047
160,576,331
Commercial mortgage-backed securities (18.1%)
Banc of America Commercial Mortgage Trust FRB Ser. 05-5, Class D, 5.393s, 2045 1,456,000 1,480,315
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 627,005 310,368
     Ser. 07-5, Class XW, IO, 0.531s, 2051 152,543,875 1,527,574
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW17, Class AJ, 6.082s, 2050 922,000 933,525
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 974,700
     Ser. 05-PWR7, Class B, 5.214s, 2041 1,641,000 1,656,149
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class C, 5.607s, 2039 1,554,000 1,544,210
     Ser. 06-PW14, Class XW, IO, 0.832s, 2038 41,572,028 681,781
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.744s, 2047 950,000 960,270
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.975s, 2049 3,592,000 3,738,967
     Ser. 06-C5, Class AJ, 5.482s, 2049 2,069,000 2,074,224
     Ser. 13-GC11, Class D, 4.459s, 2046 1,128,000 1,021,799
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class D, 5.04s, 2045 917,000 902,603
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.321s, 2044 2,160,000 2,138,400
     Ser. 07-CD5, Class XS, IO, 0.071s, 2044 57,218,136 253,753
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.986s, 2049 1,138,000 1,120,930
     Ser. 07-C9, Class AJ, 5.65s, 2049 670,000 707,118
     FRB Ser. 04-LB3A, Class E, 5.618s, 2037 1,522,000 1,534,176
COMM Mortgage Trust 144A
     FRB Ser. 13-CR11, Class D, 5.34s, 2046 3,645,000 3,504,197
     FRB Ser. 12-CR3, Class E, 4.927s, 2045 1,839,000 1,754,627
     FRB Ser. 13-LC6, Class D, 4.432s, 2046 1,125,000 994,269
     FRB Ser. 13-CR8, Class D, 4.103s, 2046 1,648,000 1,404,582
     FRB Ser. 07-C9, Class AJFL, 0.84s, 2049 2,242,000 2,024,974
Credit Suisse Commercial Mortgage Trust Ser. 06-C5, Class AX, IO, 0.923s, 2039 46,918,422 737,553
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C5, Class C, 5.1s, 2038 950,000 974,535
Credit Suisse First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 329,597 13,253
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 1,127,838 46,241
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.577s, 2044 3,357,000 3,437,824
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.02s, 2020 4,377,471 72,228
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 602,315
GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, Class AJ, 5.457s, 2044 1,093,000 1,090,082
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 1,054,000 1,055,581
Greenwich Capital Commercial Funding Corp.
     FRB Ser. 05-GG3, Class E, 5.087s, 2042 1,127,000 1,091,274
     FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,937,000 1,951,039
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 2,015,000 2,046,428
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.826s, 2045 2,168,000 2,223,934
     FRB Ser. 11-GC3, Class D, 5.728s, 2044(F) 3,027,000 3,119,007
     FRB Ser. 11-GC3, Class E, 5s, 2044 1,347,000 1,244,923
     FRB Ser. GC10, Class D, 4.562s, 2046 1,784,000 1,623,262
     Ser. 05-GG4, Class XC, IO, 0.883s, 2039 112,818,678 597,939
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.152s, 2030 (Cayman Islands) 729,000 497,178
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.282s, 2051 2,589,000 2,749,259
     FRB Ser. 06-LDP7, Class B, 6.025s, 2045 1,231,000 1,101,343
     FRB Ser. 06-LDP6, Class B, 5.688s, 2043 1,841,000 1,841,000
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 2,039,000 2,100,170
     Ser. 06-LDP8, Class B, 5.52s, 2045 838,000 853,503
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 573,000 578,376
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 1,965,000 1,856,577
     FRB Ser. 13-C10, Class D, 4.299s, 2047 1,054,000 956,644
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.382s, 2051 1,675,000 1,683,988
     FRB Ser. 07-CB20, Class C, 6.382s, 2051 1,904,000 1,786,580
     FRB Ser. 11-C3, Class F, 5.728s, 2046 953,000 952,855
     FRB Ser. 12-C8, Class E, 4.823s, 2045 2,961,000 2,866,636
     FRB Ser. 12-LC9, Class E, 4.574s, 2047 628,000 592,873
     FRB Ser. 13-C13, Class D, 4.191s, 2046 1,625,000 1,449,896
     FRB Ser. 13-C13, Class E, 3.986s, 2046 1,489,000 1,153,794
     FRB Ser. 13-C10, Class E, 3 1/2s, 2047 1,865,000 1,380,660
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 1,249,000 895,783
     Ser. 07-CB20, Class X1, IO, 0.206s, 2051 102,683,255 960,088
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 1,951,082 2,019,064
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,059,860
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 1,619,000 1,639,076
     Ser. 06-C6, Class E, 5.541s, 2039 1,750,000 1,680,700
     Ser. 06-C6, Class D, 5.502s, 2039 1,500,000 1,473,150
     Ser. 07-C1, Class AJ, 5.484s, 2040 632,000 659,113
     FRB Ser. 06-C6, Class C, 5.482s, 2039 2,113,000 2,065,458
     Ser. 04-C8, Class E, 4.986s, 2039 1,467,000 1,474,335
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.37s, 2028 83,914 8
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.47s, 2051 917,000 1,001,731
     FRB Ser. 05-CIP1, Class B, 5.366s, 2038 1,046,000 1,004,160
     Ser. 04-KEY2, Class D, 5.046s, 2039 2,993,000 3,014,849
     Ser. 05-MCP1, Class D, 5.023s, 2043 1,017,000 1,001,847
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.914s, 2037 87,481 3,149
     Ser. 07-C5, Class X, IO, 5.925s, 2049 2,261,515 128,680
ML-CFC Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049 585,000 591,581
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 893,000 866,835
Morgan Stanley Bank of America Merrill Lynch Trust 144A Ser. 13-C10, Class D, 4.218s, 2046 734,000 633,655
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,546,194
     FRB Ser. 06-HQ8, Class D, 5.678s, 2044 1,715,000 1,571,969
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,369,000 1,364,893
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 1,290,000 1,320,057
     Ser. 04-IQ8, Class C, 5.3s, 2040 3,200,000 3,219,520
Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039 2,264,419 2,165,351
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 1,051,805 262,951
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 5.123s, 2049 1,439,000 1,386,836
     Ser. 13-C6, Class D, 4.498s, 2046 757,000 682,436
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.206s, 2045 2,291,000 2,354,232
     FRB Ser. 06-C25, Class AJ, 5.908s, 2043 1,491,000 1,550,193
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,973,000 1,975,960
     Ser. 03-C9, Class E, 5.289s, 2035 2,500,000 2,512,500
     Ser. 07-C34, IO, 0.494s, 2046 29,834,787 361,001
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 03-C8, Class H, 5.717s, 2035(F) 3,208,000 3,074,564
     FRB Ser. 05-C17, Class E, 5.592s, 2042 897,000 917,183
     FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,462,500
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.439s, 2046 1,373,000 1,223,982
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 13-C17, Class D, 5.298s, 2046 2,169,000 2,040,216
     FRB Ser. 12-C7, Class E, 5.002s, 2045 900,000 876,094
     FRB Ser. 12-C6, Class E, 5s, 2045 1,243,000 1,127,152
     FRB Ser. 13-UBS1, Class D, 4.788s, 2046 3,396,000 3,151,692
     FRB Ser. 13-C15, Class D, 4.635s, 2046 1,786,000 1,612,702
     FRB Ser. 12-C10, Class D, 4.608s, 2045 1,317,000 1,221,220
     Ser. 14-C19, Class D, 4.234s, 2047 1,112,000 974,506
142,983,287
Residential mortgage-backed securities (non-agency) (9.8%)
Banc of America Funding Corp. FRB Ser. 06-G, Class 2A5, 0.432s, 2036 935,399 841,859
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 9A4, 9.004s, 2036 650,000 658,125
     FRB Ser. 12-RR10, Class 9A2, 2.654s, 2035 2,320,000 2,046,240
     Ser. 13-RR1, Class 1A2, 2.425s, 2035 1,510,000 1,231,405
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR12, Class 2A3, 11.906s, 2035 918,168 849,306
     FRB Ser. 12-RR11, Class 5A3, 10.435s, 2037 455,817 280,783
     FRB Ser. 13-RR2, Class 3A2, 7.41s, 2036 800,000 744,000
     Ser. 12-RR12, Class 2A2, 4s, 2035 632,107 628,188
     FRB Ser. 09-RR11, Class 2A2, 2.43s, 2035 1,970,000 1,739,412
     Ser. 12-RR11, Class 3A3, zero %, 2036 1,951,236 1,377,573
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-12, Class 12A1, 2.486s, 2036 1,655,978 1,451,630
Bear Stearns Alt-A Trust FRB Ser. 05-9, Class 11A1, 0.672s, 2035 1,013,858 810,781
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.029s, 2034 79,080 10,812
Citigroup Mortgage Loan Trust, Inc. 144A FRB Ser. 11-12, Class 2A2, 0.522s, 2035 2,080,000 1,768,208
Countrywide Alternative Loan Trust
     Ser. 06-26CB, Class A8, 6 1/4s, 2036 938,944 799,793
     Ser. 06-11CB, Class 1A3, 6s, 2036 1,379,689 1,150,247
     Ser. 05-46CB, Class A2, 5 1/2s, 2035 1,570,152 1,454,746
     FRB Ser. 05-76, Class 2A1, 1.126s, 2036 951,647 846,966
     FRB Ser. 05-38, Class A3, 0.502s, 2035 3,092,077 2,677,739
     FRB Ser. 05-81, Class A1, 0.432s, 2037 1,638,755 1,261,841
     FRB Ser. 07-OA10, Class 2A1, 0.402s, 2047 893,009 740,536
Countrywide Home Loans
     FRB Ser. 06-3, Class 1A1, 0.392s, 2036 933,063 790,865
     FRB Ser. 06-OA5, Class 1A1, 0.352s, 2046 974,981 811,672
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, Class 1A4, 0.552s, 2037 1,200,000 918,600
Credit Suisse First Boston Mortgage Securities Corp. FRB Ser. 03-AR30, Class CB1, 2.462s, 2034 970,685 874,878
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 746,898 1,317,809
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 2,002,000 2,908,014
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 $5,986 5,973
JPMorgan Resecuritization Trust 144A FRB Ser. 09-11, Class 5A2, 2.621s, 2036 1,619,805 1,364,685
Morgan Stanley Resecuritization Trust 144A Ser. 13-R7, Class 9B, 5 1/2s, 2046 2,000,000 1,874,000
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.682s, 2035 921,367 804,814
     FRB Ser. 05-3, Class A2, 0.502s, 2035 1,083,826 970,024
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.542s, 2035 887,994 814,734
Residential Accredit Loans, Inc.
     FRB Ser. 06-QO7, Class 2A1, 0.976s, 2046 3,845,687 2,706,402
     FRB Ser. 07-QH1, Class A1, 0.312s, 2037 3,169,800 2,682,602
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.196s, 2046 5,005,933 4,455,280
     FRB Ser. 06-AR3, Class A1B, 1.126s, 2046 2,328,099 1,898,565
     FRB Ser. 05-AR19, Class A1C3, 0.652s, 2045 4,328,149 3,722,208
     FRB Ser. 05-AR13, Class A1C3, 0.642s, 2045 8,716,782 7,509,508
     FRB Ser. 05-AR8, Class 2AC2, 0.612s, 2045 2,579,036 2,278,579
     FRB Ser. 05-AR11, Class A1B2, 0.602s, 2045 1,541,614 1,348,912
     FRB Ser. 05-AR13, Class A1B2, 0.582s, 2045 1,853,877 1,673,124
     FRB Ser. 05-AR17, Class A1B2, 0.562s, 2045 1,648,869 1,451,005
     FRB Ser. 05-AR15, Class A1B2, 0.562s, 2045 2,898,869 2,551,005
     FRB Ser. 05-AR19, Class A1C4, 0.552s, 2045 1,612,335 1,402,731
     FRB Ser. 05-AR11, Class A1B3, 0.552s, 2045 3,638,975 3,184,103
     FRB Ser. 05-AR8, Class 2AC3, 0.542s, 2045 897,075 789,426
     FRB Ser. 05-AR6, Class 2A1C, 0.492s, 2045 1,170,108 1,047,247
     FRB Ser. 05-AR6, Class 2AB3, 0.422s, 2045 874,331 793,455
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.324s, 2047 1,250,000 894,000
77,214,410
Total mortgage-backed securities (cost $350,100,559) $380,774,028

CORPORATE BONDS AND NOTES (32.5%)(a)
Principal amount Value
Basic materials (2.2%)
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) $681,000 $859,763
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) 365,000 382,338
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 732,000 724,680
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 386,000 415,915
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 250,000 250,625
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 470,850
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 1,120,000 1,121,400
Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico) 210,000 239,925
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 420,000 441,000
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 35,000 37,275
Exopack Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 450,000 477,000
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 650,000 685,750
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 118,000 119,623
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 320,000 353,600
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 340,000 357,850
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 187,000 201,960
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 198,000 197,010
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 601,000 650,583
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 298,000 353,875
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 318,000 330,323
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 480,000 499,800
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 661,000 737,015
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 500,000 506,250
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 13,000 11,570
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 100,000 109,375
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 615,000 636,525
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 615,000 705,713
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 526,000 581,230
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 185,000 200,494
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 278,000 284,255
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 360,000 401,400
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 390,000 417,300
PQ Corp. 144A sr. notes 8 3/4s, 2018 315,000 343,350
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 298,000 328,545
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 320,000 343,600
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 76,000 83,980
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 320,000 323,200
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 200,000 212,434
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 75,000 81,938
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 95,000 103,788
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 45,000 45,731
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 480,000 540,600
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 335,000 369,338
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 350,000 357,000
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 285,000 302,813
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 125,000 125,000
17,323,589
Capital goods (2.0%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,065,000 1,154,194
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 974,000 1,120,100
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 435,000 475,781
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 325,000 336,375
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 56,000 64,960
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 330,000 353,100
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 495,000 520,369
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 244,000 249,490
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 275,000 285,313
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 553,000 613,830
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 438,000 418,290
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 138,000 91,080
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg) 260,000 268,125
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020 134,000 137,015
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 221,041
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $296,000 311,540
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 660,000 891,030
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 457,000 493,560
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 455,000 439,075
Oshkosh Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 744,000 760,740
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 565,000 615,850
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 265,000 280,079
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 135,000 199,751
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) $200,000 212,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 330,000 361,350
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 695,000 722,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 210,000 233,100
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 185,000 197,488
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 845,000 913,656
Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 (Netherlands)(PIK) EUR 220,000 323,441
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 100,000 108,500
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 662,000 708,340
Titan International, Inc. 144A company guaranty sr. bonds 6 7/8s, 2020 280,000 296,800
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 105,000 115,500
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 519,000 552,735
Triumph Group, Inc. company guaranty sr. unsec. notes 4 7/8s, 2021 345,000 339,825
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 185,000 195,175
15,943,248
Communication services (4.3%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg)(FWC) 450,000 469,125
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 555,780
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 462,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 51,019
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 296,000 315,240
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 1,331,000 1,331,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 767,000 752,619
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 139,000 146,993
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 393,000 421,493
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 99,869
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 124,000 132,370
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 617,000 633,968
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 205,000 207,563
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 170,000 189,125
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 260,000 276,900
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 887,000 920,307
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 251,000 283,630
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 801,000 837,045
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 384,000 446,400
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 119,456
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 488,000 536,800
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 594,000 669,735
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) 190,000 195,225
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 354,089
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 278,000 291,900
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 1,317,000 1,372,973
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 605,000 639,788
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 245,000 353,442
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 $332,000 371,840
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 85,000 92,969
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 44,000 47,520
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 150,000 157,500
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 131,000 139,679
Nil International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 235,000 165,675
Numericable Group SA 144A sr. bonds 6 1/4s, 2024 (France) 250,000 256,066
Numericable Group SA 144A sr. bonds 5 5/8s, 2024 (France)(FWC) EUR 110,000 158,484
Numericable Group SA 144A sr. notes 6s, 2022 (France)(FWC) $675,000 691,707
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 371,000 404,390
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 410,000 724,502
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $413,000 415,065
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 437,575
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 153,000 161,568
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 125,000 131,250
Sprint Capital Corp. company guaranty 6 7/8s, 2028 350,000 345,625
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 1,295,000 1,521,625
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 238,000 258,528
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 959,000 1,168,781
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 510,000 562,275
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 465,000 506,850
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 193,709
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 146,651
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 $855,000 914,850
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 175,000 185,500
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 480,000 510,600
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 455,000 478,319
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 680,000 1,038,964
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 200,000 302,242
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 305,000 456,062
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 535,000 783,530
Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 1,020,726
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 677,000 1,028,425
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $375,000 377,813
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 79,000 142,604
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 535,000 948,458
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 $835,000 943,550
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 760,000 1,112,798
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) $225,000 231,188
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 274,955
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 205,000 199,363
34,093,795
Consumer cyclicals (5.4%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 60,000 65,400
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 361,000 415,150
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2022 255,000 260,738
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 383,000 416,513
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 97,000 106,943
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023 158,000 162,740
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 430,000 430,538
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 132,000 125,730
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 480,000 505,200
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 225,000 230,344
Building Materials Corp. of America 144A company guaranty sr. notes 7 1/2s, 2020 235,000 251,450
Building Materials Corp. of America 144A company guaranty sr. notes 7s, 2020 140,000 148,750
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 360,000 389,700
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 320,000 353,600
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 137,000 119,361
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 459,000 471,049
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 70,000 74,375
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 238,525
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 52,000 52,520
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 643,000 651,038
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 92,000 104,190
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 886,000 1,023,330
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 505,000 567,494
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 165,000 165,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 140,000 135,800
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 83,000 92,130
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 313,000 332,563
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019 603,000 642,195
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 298,000 321,095
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 783,000 837,810
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 407,000 433,455
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 189,000 198,923
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 465,000 495,806
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 414,000 442,980
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 115,000 116,438
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020 240,000 247,800
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 340,000 359,975
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020 400,000 413,000
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018 145,000 150,075
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 616,000 662,200
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 580,643
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 $388,000 347,260
Grupo Televisa, S.A.B sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 6,600,000 410,718
Grupo Televisa, S.A.B. sr. unsec. bonds 6 5/8s, 2040 (Mexico) $195,000 230,996
Grupo Televisa, S.A.B. sr. unsec. notes 6s, 2018 (Mexico) 69,000 77,829
GTECH SpA jr. sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 515,000 773,001
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $352,000 378,400
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 175,000 178,938
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 335,000 359,288
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 245,000 244,388
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 295,000 310,488
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 821,000 878,470
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 301,197 418,911
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) $175,000 182,438
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 665,000 690,769
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 260,000 280,800
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 695,000 777,531
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 190,000 199,975
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 138,775
Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 187,000 193,779
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 530,000 516,750
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 200,000 202,250
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 256,000 275,840
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 319,000 350,900
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 640,000 646,400
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 305,000 346,938
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 145,000 158,231
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 410,000 453,091
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 259,000 266,226
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 255,000 295,163
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 225,000 246,938
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 1,206,979 1,357,851
Navistar International Corp. sr. notes 8 1/4s, 2021 637,000 650,536
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 301,000 332,605
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021 220,000 240,900
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 260,000 262,600
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 200,000 214,000
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 550,000 572,688
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 173,000 174,298
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 666,000 725,940
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 338,000 372,645
Owens Corning company guaranty sr. unsec. notes 9s, 2019 211,000 264,861
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 440,000 424,600
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 365,000 381,881
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 235,000 252,331
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 165,000 168,300
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 265,000 293,488
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 388,000 396,633
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 80,000 82,800
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 115,000 125,494
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 555,000 591,075
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 354,000 394,710
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 445,000 493,950
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands) EUR 595,000 926,593
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Netherlands) $200,000 225,000
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) 255,000 261,694
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 227,000 236,080
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 57,000 56,715
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 115,000 117,444
Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 505,000 525,200
Sirius XM Holdings, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 54,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 696,000 702,960
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 25,000 27,313
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 32,550
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 255,000 275,081
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 320,000 342,400
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 85,000 83,300
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 165,000 161,700
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 747,000 754,470
Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom) GBP 449,000 838,449
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 $569,000 580,380
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 363,272 377,803
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 800,000 920,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 115,000 119,600
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 204,000 224,400
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 455,000 486,281
42,417,646
Consumer staples (1.7%)
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 700,000 654,500
Affinion Investments, LLC 144A company guaranty sr. unsec. sub. notes 13 1/2s, 2018 215,220 225,981
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 828,000 898,380
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 400,000 404,000
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 235,000 233,825
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 432,000 468,720
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 195,000 199,875
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 112,700
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 585,000 571,838
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 142,000 159,750
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 222,000
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 115,000 112,125
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 285,000 283,219
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 279,000 306,203
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 265,000 286,531
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 925,000 1,015,188
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 454,000 814,764
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $310,000 294,603
H.J. Heinz Co. 144A sr. notes 4 1/4s, 2020 804,000 792,342
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 155,000 164,300
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 263,000 281,410
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 170,000 180,200
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 150,000 164,175
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 868,725
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 135,000 144,450
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 225,000 248,063
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 42,000 43,260
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 320,000 328,000
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 540,000 544,050
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 535,000 609,900
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 138,125
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 340,000 370,600
Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021 100,000 105,250
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 305,000 317,963
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 356,000 400,945
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 223,000 231,363
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 330,000 354,750
13,552,073
Energy (6.2%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 309,000 329,085
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 367,625
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 638,000 641,988
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 355,000 261,813
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 300,000 302,625
Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 324,000 331,290
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 484,000 521,510
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 205,000 207,563
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 115,000 122,475
Aurora USA Oil & Gas Inc. 144A company guaranty sr. unsec. notes 9 7/8s, 2017 360,000 398,646
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 694,000 742,580
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 368,063
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 5,463
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 145,000 220,663
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 $115,000 122,188
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 216,000 216,270
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 560,063
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 448,000 467,040
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 213,945
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 515,000 397,039
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $101,000 85,345
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 293,000 319,004
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 661,000 688,828
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 205,000 211,150
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 186,000 204,972
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 78,995
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 405,000 408,544
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 302,000 306,530
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 355,000 353,225
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 245,000 248,063
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 780,000 764,400
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 562,925
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,135,791
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 316,000 349,066
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 451,000 472,423
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 719,000 780,115
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 390,000 417,300
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 1,002,000 1,038,323
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 175,000 188,125
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 340,000 370,600
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 275,000 290,125
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 125,000 138,750
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 493,000 505,325
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 728,000 743,470
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 407,000 422,263
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2019 605,000 625,419
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 184,000 10
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,108,350
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 528,000 555,720
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 242,000 251,075
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 384,800
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 845,000 764,725
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 192,600
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 250,000 270,000
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 270,000 292,950
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 460,000 478,400
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 345,000 339,825
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 543,000 609,518
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 380,800
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 259,538
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,111,603
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 140,000 144,024
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 983,154
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 3,705,000 2,961,369
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 2,067,000 1,204,028
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 610,000 590,151
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 2,205,000 1,987,874
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 6,158,000 5,542,200
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 320,000 310,400
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 1,245,000 732,994
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,758,600
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 211,000 233,419
Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 278,000 311,360
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 350,000 377,125
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 175,000 179,813
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 290,000 303,775
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 255,000 259,463
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 220,000 230,725
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 175,000 185,063
Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020 950,000 1,002,250
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 53,000 56,313
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 365,000 398,306
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 190,000 203,063
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 245,000 263,375
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 125,000 115,255
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $125,000 126,250
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 105,000 100,800
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 385,000 411,950
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 450,000 482,625
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 750,000 803,438
49,180,924
Financials (4.6%)
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 335,000 373,944
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 162,000 199,260
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,564,200
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 163,000 218,013
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 900,000 1,364,798
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) $375,000 381,563
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,080,000 1,106,626
Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, 2018 (Costa Rica) 250,000 249,246
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 135,000 201,774
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) GBP 215,000 389,324
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 $135,000 143,438
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 192,433
CIT Group, Inc. sr. unsec. notes 5s, 2023 255,000 256,913
CIT Group, Inc. sr. unsec. notes 5s, 2022 315,000 322,088
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 330,925
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 155,000 156,744
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 524,638
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 409,450
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 262,000 212,875
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 190,000 197,600
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 580,000
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 671,640
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 706,000 766,893
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 244,000 228,140
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 475,000 507,063
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Jersey) EUR 486,000 712,489
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2020 $823,000 868,265
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 440,000 446,600
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 20,000 21,150
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 265,000 296,800
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 736,384
Lloyds Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 175,000 492,900
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, perpetual maturity (United Kingdom) $320,000 340,800
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 192,488
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 505,000 541,613
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 185,000 189,163
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2018 180,000 181,350
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 475,921
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 438,000 479,610
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 535,000 591,175
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 120,000 124,500
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 520,000 529,750
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 600,000 626,250
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, perpetual maturity (United Kingdom) EUR 700,000 980,856
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) $235,000 245,497
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 550,000 558,250
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sub. FRN notes 6s, 2021 (Russia) 400,000 379,000
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 500,000 485,833
Societe Generale SA 144A jr. unsec. sub. FRB bonds 7 7/8s, perpetual maturity (France) 405,000 421,706
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 1,385,000 1,402,313
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 371,444
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 55,000 58,575
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 182,000 256,043
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 631,244
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 344,152
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 607,000 625,210
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes 5.942s, 2023 (Russia) 200,000 178,000
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 468,000 432,572
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, perpetual maturity (Russia) 1,650,000 1,592,250
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 1,065,000 1,072,988
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 3,196,000 3,196,000
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,406,000 2,424,045
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 800,000 766,000
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 315,000 312,638
36,131,412
Health care (2.5%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 455,000 466,375
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 308,000 318,010
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 325,000 348,563
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 524,291
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 $184,000 201,250
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 330,000 500,202
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) $110,000 113,300
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 406,000 409,045
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 200,000 201,000
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 145,000 152,431
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 182,000 199,063
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021 70,000 71,400
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022 85,000 88,081
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 515,000 526,588
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 234,373
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $360,000 396,000
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 754,000 1,342,702
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 $175,000 180,688
Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 185,000 196,563
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 370,000 402,375
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 136,250
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 233,000 234,456
HCA, Inc. sr. notes 6 1/2s, 2020 1,898,000 2,116,270
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 145,920
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 740,000 804,750
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 386,000 410,125
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 202,000 213,110
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 415,000 433,675
Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 335,000 370,175
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 562,000 576,050
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 911,000 1,040,818
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 291,000 339,015
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 301,238
Omega Healthcare Investors, Inc. 144A sr. unsec. notes 4.95s, 2024(R) 310,000 308,346
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 540,000 585,900
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 135,000 144,788
Service Corp. International sr. unsec. unsub. notes 5 3/8s, 2022 375,000 382,500
Service Corp. International 144A sr. unsec. unsub. notes 5 3/8s, 2024 540,000 544,050
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 394,975
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 115,000 111,608
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 360,000 345,150
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 833,000 914,218
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 80,000 80,400
Tenet Healthcare Corp. 144A sr. notes 6s, 2020 393,000 412,650
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 70,000 74,900
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 179,350
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 75,250
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 70,000 73,500
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018 505,000 546,663
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 435,000 464,363
19,632,763
Technology (1.4%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 180,000 189,450
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 260,000 272,350
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 252,000 229,320
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 1,085,000 1,079,575
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 103,000 112,270
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 956,000 1,147,200
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 315,000 359,888
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 610,000 649,650
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 1,651,000 1,778,953
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 221,000 237,023
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 85,000 97,750
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 250,000 261,250
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 125,000 140,313
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 430,000 456,875
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 404,000 426,220
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 670,000 671,675
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 265,000 277,588
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 344,000 375,820
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 431,000 467,635
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 380,000 592,080
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 515,000 776,109
10,598,994
Transportation (0.5%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 1,111,000 1,333,465
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $360,000 381,150
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 372,000 401,760
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 634,500 682,088
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 798,000 870,818
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 345,000 349,313
4,018,594
Utilities and power (1.7%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,353,750
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 354,950
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 160,000 152,800
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 1,049,000 1,148,655
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 110,000 116,600
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 85,000 87,019
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 615,000 709,470
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019 940,000 1,175
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 577,000 750,068
El Paso, LLC company guaranty sr. notes 7s, 2017 160,000 180,374
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 1,390,000 1,471,663
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 346,000 398,765
EP Energy, LLC/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 644,000 743,820
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 208,000 223,080
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 120,000 133,650
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 150,000 147,409
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 441,000 461,948
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 111,038
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 100,000 99,750
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,525,000 1,748,901
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,524,531
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 396,000 414,810
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 283,500
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 230,000 216,775
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 205,000 164,000
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 364,000 523,852
13,522,353
Total corporate bonds and notes (cost $245,587,388) $256,415,391

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (17.7%)(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 $825,974 $937,599
937,599
U.S. Government Agency Mortgage Obligations (17.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3s, March 1, 2043 $979,737 948,355
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, April 1, 2016 1,866 1,929
     5 1/2s, TBA, May 1, 2044 5,000,000 5,530,469
     4 1/2s, with due dates from May 1, 2041 to January 1, 2044(FWC) 12,893,253 13,884,755
     4 1/2s, TBA, May 1, 2044 60,000,000 64,415,628
     4s, TBA, May 1, 2044 41,000,000 42,953,904
     3s, with due dates from January 1, 2043 to April 1, 2043 3,803,003 3,693,301
     3s, TBA, May 1, 2044 8,000,000 7,799,375
139,227,716
Total U.S. government and agency mortgage obligations (cost $138,877,448) $140,165,315

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 1/8s, December 31, 2014(i) $70,000 $70,047
Total U.S. treasury obligations (cost $70,047) $70,047

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.6%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) $658,958 $523,542
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 1,665,000 1,515,150
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 9,081,000 8,826,732
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) 8,117,800 6,555,124
Bahamas (Commonwealth of) 144A sr. unsec. notes 5 3/4s, 2024 (Bahamas) 200,000 206,552
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) BRL 3,500 1,543,444
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) $525,000 511,875
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 100,000 91,080
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 347,500,000 628,703
Costa Rica (Republic of) 144A unsec. notes 7s, 2044 (Costa Rica) $250,000 248,750
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) 375,000 391,875
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 565,000 605,821
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 620,000 666,500
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 425,000 350,625
Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) 1,000,000 1,072,500
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 468,000 476,340
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 1,677,959 1,556,307
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2042 (Greece)(STP) EUR 783,858 693,239
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2041 (Greece)(STP) EUR 663,858 589,506
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2040 (Greece)(STP) EUR 825,858 735,643
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2039 (Greece)(STP) EUR 971,858 871,060
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 2,581,858 2,323,353
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 935,858 847,025
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 1,575,858 1,439,350
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 1,771,858 1,636,636
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 1,369,858 1,280,044
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 741,858 701,534
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 1,261,859 1,208,046
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 585,859 569,287
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 2,943,859 2,906,901
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 621,859 624,612
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 1,831,859 1,870,898
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 711,859 739,118
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 1,673,859 1,770,048
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 4,471,859 4,806,945
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 540,348 592,255
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 1,854,300 2,068,674
Hellenic (Republic of) unsec. bonds 4 3/4s, 2019 (Greece) EUR 2,844,000 3,914,757
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) $900,000 927,434
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) 1,755,000 1,582,448
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 1,682,634
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 22,650,000 621,624
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $1,275,000 1,137,938
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 45,895 50,697
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 200,000 184,100
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 465,000 442,448
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 4,156,375 4,625,629
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 400,000 403,220
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 300,000 298,051
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 179,371 181,100
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) 440,000 454,806
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 3,785,000 4,478,526
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 930,000 909,075
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 3,240,000 2,953,260
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,120,000 1,122,800
Venezuela (Bolivarian Republic of) sr. unsec. bonds 9 1/4s, 2028 (Venezuela) 100,000 80,927
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 443,229
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9 1/4s, 2027 (Venezuela) 605,000 501,557
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 2,331,708
Total foreign government and agency bonds and notes (cost $74,497,907) $83,373,062

SENIOR LOANS (2.0%)(a)(c)
Principal amount Value
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) $480,000 $475,200
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 316,000 309,680
Asurion, LLC bank term loan FRN 8 1/2s, 2021 329,000 335,923
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 341,537 341,489
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 240,000 239,100
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 488,570 485,822
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 53,347 53,427
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.402s, 2018 2,069,191 1,926,934
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 600,000 596,375
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 488,142 486,718
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 342,000 338,865
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 324,188 325,053
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.903s, 2019 973,000 964,486
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 423,935 422,051
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 335,856 335,017
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 681,575 682,853
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 492,572 470,406
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.154s, 2021 530,000 526,688
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 342,413 342,712
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R) 217,981 218,389
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 175,000 174,650
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 200,000 198,917
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 116,972 118,337
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 815,525 813,259
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 198,850 198,104
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 245,000 248,675
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 200,000 198,958
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada) 285,000 281,616
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 399,263 398,389
ROC Finance, LLC bank term loan FRN 5s, 2019 299,248 289,149
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.737s, 2017 1,053,286 795,231
Travelport, LLC bank term loan FRN 9 1/2s, 2016 599,922 618,669
Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK) 125,128 125,910
Univision Communications, Inc. bank term loan FRN 4s, 2020 389,000 386,638
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 285,067 284,710
Visteon Corp. bank term loan FRN Ser. DD, 3 1/2s, 2021 225,000 222,961
WR Grace & Co. bank term loan FRN 3s, 2021 250,526 248,522
WR Grace & Co. bank term loan FRN Ser. DD, 3s, 2021(U) 89,474 88,758
Total senior loans (cost $15,764,132) $15,568,641

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
Bank of America N.A.
     2.785/3 month USD-LIBOR-BBA/May-24 May-14/2.785 $39,838,300 $197,598
     (2.785)/3 month USD-LIBOR-BBA/May-24 May-14/2.785 39,838,300 107,563
Barclays Bank PLC
     1.80/6 month EUR-EURIBOR-Reuters/Jun-24 Jun-14/1.80 EUR 25,929,000 362,604
Credit Suisse International
     2.79/3 month USD-LIBOR-BBA/May-24 May-14/2.79 $26,558,900 139,169
     (2.79)/3 month USD-LIBOR-BBA/May-24 May-14/2.79 26,558,900 67,194
Deutsche Bank AG
     2.78/3 month USD-LIBOR-BBA/May-24 May-14/2.78 15,935,300 74,737
     (2.78)/3 month USD-LIBOR-BBA/May-24 May-14/2.78 15,935,300 46,053
Goldman Sachs International
     1.80/6 month EUR-EURIBOR-Reuters/Jun-24 Jun-14/1.80 EUR 25,929,000 362,604
     2.78375/3 month USD-LIBOR-BBA/May-24 May-14/2.78375 $26,558,900 129,873
     (2.78375)/3 month USD-LIBOR-BBA/May-24 May-14/2.78375 26,558,900 73,037
Total purchased swap options outstanding (cost $1,805,254) $1,560,432

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/$101.19 $29,000,000 $288,550
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/100.75 29,000,000 229,680
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/101.00 21,000,000 189,630
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/100.56 21,000,000 150,360
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/100.38 21,000,000 135,660
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/100.19 21,000,000 122,220
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/100.00 21,000,000 110,040
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jun-14/100.59 28,000,000 103,880
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jun-14/100.34 28,000,000 84,560
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) May-14/100.00 23,000,000 1,840
Total purchased options outstanding (cost $2,340,667) $1,416,420

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 815 $807,156
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 16,450 452,211
M/I Homes, Inc. $2.438 pfd. 8,790 227,749
Total preferred stocks (cost $1,108,497) $1,487,116

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $230,000 $324,013
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 130,000 229,288
Total convertible bonds and notes (cost $488,688) $553,301

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
United Technologies Corp. $3.75 cv. pfd. 4,800 $317,472
Total convertible preferred stocks (cost $240,000) $317,472

COMMON STOCKS (—%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 22,950 $2,295
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 22,950 2,295
Tribune Co. Class 1C(F) 92,963 23,241
Total common stocks (cost $149,872) $27,831

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 117 $10,605
Total warrants (cost $351) $10,605

SHORT-TERM INVESTMENTS (5.9%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.06%(AFF) 18,600,449 $18,600,449
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 24, 2014(SEG)(SEGSF)(SEGCCS) $9,494,000 9,493,668
U.S. Treasury Bills with effective yields ranging from 0.08% to 0.09%, May 29, 2014(SEG)(SEGSF)(SEGCCS) 18,440,000 18,438,731
Total short-term investments (cost $46,530,739) $46,532,848

TOTAL INVESTMENTS
Total investments (cost $877,561,549)(b) $928,272,509













FORWARD CURRENCY CONTRACTS at 4/30/14 (aggregate face value $209,148,943) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/17/14 $637,309 $632,742 $4,567
Canadian Dollar Sell 7/17/14 1,950,375 1,931,553 (18,822)
Chilean Peso Sell 7/17/14 785,446 803,216 17,770
Colombian Peso Buy 7/17/14 99,411 68,962 30,449
Singapore Dollar Sell 5/21/14 666,823 655,570 (11,253)
Swiss Franc Sell 6/18/14 2,177,450 2,158,754 (18,696)
Barclays Bank PLC
British Pound Sell 6/18/14 1,237,987 1,197,056 (40,931)
Canadian Dollar Sell 7/17/14 549,977 545,068 (4,909)
Euro Sell 6/18/14 9,374,840 9,319,486 (55,354)
Japanese Yen Sell 5/21/14 3,835,280 3,906,193 70,913
Mexican Peso Buy 7/17/14 1,226,601 1,223,426 3,175
New Zealand Dollar Buy 7/17/14 5,963,765 5,923,913 39,852
Norwegian Krone Sell 6/18/14 1,972,599 2,012,068 39,469
Singapore Dollar Sell 5/21/14 663,473 652,295 (11,178)
South African Rand Sell 7/17/14 1,198,414 1,180,646 (17,768)
South Korean Won Buy 5/21/14 1,232,644 1,210,387 22,257
Swedish Krona Sell 6/18/14 2,024,833 1,951,405 (73,428)
Swiss Franc Buy 6/18/14 1,594,129 1,602,440 (8,311)
Citibank, N.A.
Australian Dollar Sell 7/17/14 1,949,170 1,944,544 (4,626)
Brazilian Real Sell 7/2/14 1,499,130 1,435,582 (63,548)
Canadian Dollar Sell 7/17/14 355,996 352,902 (3,094)
Chilean Peso Sell 7/17/14 1,144,674 1,169,730 25,056
Euro Sell 6/18/14 5,383,864 5,357,201 (26,663)
Japanese Yen Sell 5/21/14 2,003,920 1,983,115 (20,805)
New Zealand Dollar Buy 7/17/14 3,982,583 3,949,218 33,365
Norwegian Krone Sell 6/18/14 1,998,931 1,988,190 (10,741)
Swiss Franc Buy 6/18/14 3,981,629 3,964,437 17,192
Swiss Franc Sell 6/18/14 3,984,584 3,950,996 (33,588)
Credit Suisse International
British Pound Sell 6/18/14 2,371,670 2,343,506 (28,164)
Canadian Dollar Sell 7/17/14 1,926,970 1,892,238 (34,732)
Euro Sell 6/18/14 5,881,730 5,834,578 (47,152)
Indian Rupee Buy 5/21/14 1,221,743 1,122,257 99,486
Mexican Peso Buy 7/17/14 1,473,473 1,470,352 3,121
New Zealand Dollar Buy 7/17/14 4,003,145 3,986,874 16,271
Norwegian Krone Buy 6/18/14 2,022,155 1,998,703 23,452
Norwegian Krone Sell 6/18/14 2,022,155 1,983,783 (38,372)
Singapore Dollar Sell 5/21/14 1,027,435 1,010,150 (17,285)
South Korean Won Buy 5/21/14 1,242,245 1,217,721 24,524
Swedish Krona Sell 6/18/14 1,894,963 1,824,194 (70,769)
Swiss Franc Buy 6/18/14 457,609 472,457 (14,848)
Deutsche Bank AG
Australian Dollar Buy 7/17/14 2,030,590 2,013,932 16,658
British Pound Buy 6/18/14 23,797 34,547 (10,750)
Canadian Dollar Sell 7/17/14 1,909,485 1,892,465 (17,020)
Euro Sell 6/18/14 6,428,010 6,366,138 (61,872)
Japanese Yen Sell 5/21/14 820,297 824,777 4,480
New Zealand Dollar Buy 7/17/14 3,978,728 3,961,941 16,787
Norwegian Krone Sell 6/18/14 2,015,505 1,995,308 (20,197)
Swedish Krona Sell 6/18/14 30,305 3,671 (26,634)
Swiss Franc Sell 6/18/14 1,874,195 1,846,187 (28,008)
Goldman Sachs International
Australian Dollar Buy 7/17/14 28,187 27,968 219
British Pound Sell 6/18/14 1,899,935 1,880,759 (19,176)
Canadian Dollar Buy 7/17/14 32,877 37,627 (4,750)
Euro Sell 6/18/14 5,207,274 5,159,967 (47,307)
Japanese Yen Sell 5/21/14 1,980,671 1,972,743 (7,928)
HSBC Bank USA, National Association
Australian Dollar Sell 7/17/14 2,010,258 2,007,579 (2,679)
British Pound Sell 6/18/14 3,908,564 3,858,307 (50,257)
Euro Sell 6/18/14 2,841,680 2,816,475 (25,205)
Japanese Yen Sell 5/21/14 83,487 75,483 (8,004)
Swedish Krona Sell 6/18/14 67,771 48,694 (19,077)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/17/14 1,201 2,334 (1,133)
British Pound Buy 6/18/14 371,649 390,053 (18,404)
Canadian Dollar Sell 7/17/14 1,183,194 1,147,784 (35,410)
Euro Sell 6/18/14 5,065,086 5,009,152 (55,934)
Hungarian Forint Sell 6/18/14 1,223,198 1,192,964 (30,234)
Indian Rupee Buy 5/21/14 1,218,135 1,168,567 49,568
Mexican Peso Buy 7/17/14 1,029,265 1,026,921 2,344
New Taiwan Dollar Sell 5/21/14 1,191,915 1,186,564 (5,351)
New Zealand Dollar Buy 7/17/14 2,027,959 2,010,662 17,297
Norwegian Krone Sell 6/18/14 1,998,964 1,983,033 (15,931)
Russian Ruble Sell 6/18/14 611,133 597,369 (13,764)
Swedish Krona Buy 6/18/14 1,997,034 2,018,676 (21,642)
Swedish Krona Sell 6/18/14 1,997,034 2,001,972 4,938
Swiss Franc Buy 6/18/14 1,908,408 1,910,343 (1,935)
Thai Baht Buy 5/21/14 1,987,668 1,993,280 (5,612)
Thai Baht Sell 5/21/14 1,992,031 1,979,874 (12,157)
Royal Bank of Scotland PLC (The)
Euro Buy 6/18/14 3,510,172 3,493,764 16,408
Euro Sell 6/18/14 3,510,172 3,483,387 (26,785)
Japanese Yen Sell 5/21/14 2,242,293 2,260,301 18,008
State Street Bank and Trust Co.
Australian Dollar Buy 7/17/14 1,663 31,066 (29,403)
British Pound Buy 6/18/14 3,370,668 3,309,066 61,602
British Pound Sell 6/18/14 3,370,668 3,332,657 (38,011)
Canadian Dollar Sell 7/17/14 22,404 6,811 (15,593)
Chilean Peso Buy 7/17/14 1,944,805 2,009,768 (64,963)
Euro Sell 6/18/14 2,023,093 1,975,702 (47,391)
Japanese Yen Sell 5/21/14 2,649,876 2,647,925 (1,951)
Mexican Peso Buy 7/17/14 1,097,166 1,094,651 2,515
New Taiwan Dollar Sell 5/21/14 1,191,919 1,186,059 (5,860)
New Zealand Dollar Buy 7/17/14 4,026,619 3,992,556 34,063
Norwegian Krone Sell 6/18/14 1,992,330 1,994,113 1,783
Singapore Dollar Sell 5/21/14 1,472,037 1,447,474 (24,563)
Swedish Krona Sell 6/18/14 1,993,683 1,963,780 (29,903)
Swiss Franc Buy 6/18/14 1,682,673 1,677,449 5,224
UBS AG
British Pound Sell 6/18/14 1,834,112 1,828,019 (6,093)
Canadian Dollar Sell 7/17/14 2,591,606 2,572,580 (19,026)
Euro Sell 6/18/14 3,488,393 3,461,859 (26,534)
Japanese Yen Sell 5/21/14 1,950,855 1,954,225 3,370
Mexican Peso Buy 7/17/14 427,674 425,955 1,719
Norwegian Krone Sell 6/18/14 1,963,866 1,944,105 (19,761)
Singapore Dollar Sell 5/21/14 290,738 285,884 (4,854)
Swedish Krona Buy 6/18/14 1,958,108 1,972,882 (14,774)
Swiss Franc Sell 6/18/14 3,413,653 3,383,474 (30,179)
WestPac Banking Corp.
Australian Dollar Buy 7/17/14 69,405 44,214 25,191
British Pound Sell 6/18/14 2,678,171 2,643,331 (34,840)
Canadian Dollar Sell 7/17/14 1,350,218 1,323,579 (26,639)
Euro Sell 6/18/14 751,724 730,283 (21,441)
Total $(976,879)












FUTURES CONTRACTS OUTSTANDING at 4/30/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 5 $542,958             Jun-14 $10,530
Euro-Bobl 5 yr (Long) 156 27,219,960             Jun-14 23,240
Euro-Bund 10 yr (Short) 203 40,707,076             Jun-14 (184,874)
Euro-Buxl 30 yr (Short) 35 6,378,477             Jun-14 (125,389)
Euro-Dollar 90 day (Short) 886 219,794,450             Sep-15 44,235
Japanese Government Bond 10 yr (Short) 2 2,835,037             Jun-14 (2,943)
Japanese Government Bond 10 yr Mini (Long) 13 1,842,647             Jun-14 2,238
U.S. Treasury Bond 30 yr (Long) 32 4,318,000             Jun-14 114,939
U.S. Treasury Note 10 yr (Short) 843 104,887,641             Jun-14 (621,305)
U.S. Treasury Note 5 yr (Short) 152 18,156,875             Jun-14 11,188
Total $(728,141)












WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/14 (premiums $5,391,078) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Bank of America N.A.
(2.60)/3 month USD-LIBOR-BBA/Jan-25
 Jan-15/2.60        $60,497,200 $408,961

JPMorgan Chase Bank N.A.
(2.60)/3 month USD-LIBOR-BBA/Feb-25
 Feb-15/2.60        30,248,600 207,808
1.575 Floor/3 month USD-LIBOR-BBA/Mar-18
 Mar-18/00        26,070,000 4,564,205
Total $5,180,974












WRITTEN OPTIONS OUTSTANDING at 4/30/14 (premiums $2,029,844) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/$100.19        $29,000,000 $168,780
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/99.75        29,000,000 131,660
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/99.00        42,000,000 122,220
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/100.00        21,000,000 110,040
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/99.19        29,000,000 94,540
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/99.56        21,000,000 85,470
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/99.38        21,000,000 76,440
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/98.75        29,000,000 72,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/99.19        21,000,000 68,460
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/98.56        21,000,000 46,830
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/98.38        21,000,000 41,580
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/98.19        21,000,000 37,170
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jul-14/98.00        21,000,000 32,970
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jun-14/99.59        28,000,000 43,960
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jun-14/99.34        28,000,000 35,000
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jun-14/98.59        28,000,000 17,360
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jun-14/98.34        28,000,000 13,720
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) May-14/98.00        23,000,000 23
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) May-14/99.00        23,000,000 23
Total $1,198,746













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/14 (Unaudited)
Counterparty        Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract appreciation/
Floating rate index/Maturity date date/strike       amount (depreciation)

Goldman Sachs International
     2.60/3 month USD-LIBOR-BBA/May-24 (Purchased) May-14/2.60 $55,060,900 $(19,271)
     1.575/3 month USD-LIBOR-BBA/Jun-19 (Purchased) Jun-14/1.575 75,095,669 (111,142)
     (1.56)/3 month USD-LIBOR-BBA/Oct-17 (Purchased) Oct-14/1.56 191,990,000 (435,817)
     1.03/6 month EUR-EURIBOR-Reuters/Oct-17 (Written) Oct-14/1.03 EUR 153,592,000 483,705

JPMorgan Chase Bank N.A.
     (1.115)/3 month USD-LIBOR-BBA/Oct-16 (Purchased) Oct-14/1.115 $76,796,000 (115,194)
     0.862/6 month EUR-EURIBOR-Reuters/Oct-16 (Written) Oct-14/0.862 EUR 57,597,000 100,683
Total $(97,036)












TBA SALE COMMITMENTS OUTSTANDING at 4/30/14 (proceeds receivable $18,814,453) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, May 1, 2044 $4,000,000       5/12/14 $4,294,375
Federal National Mortgage Association, 4s, May 1, 2044 14,000,000       5/12/14 14,667,187
Total $18,961,562















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/14 (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.
MYR 22,750,000 $—      3/19/19 4.0275% 3 month MYR-KLIBOR-BNM $(1,159)
Deutsche Bank AG
MYR 22,750,000 —      3/19/19 4.035% 3 month MYR-KLIBOR-BNM (3,533)
PLN 23,326,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (143,838)
PLN 11,630,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (78,488)
PLN 9,735,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (41,936)
Goldman Sachs International
CAD 6,316,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR 32,822
EUR 100,389,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (76,406)
EUR 100,389,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (219,256)
EUR 100,389,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (76,069)
EUR 100,389,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (226,680)
EUR 100,389,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (111,010)
EUR 100,389,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (184,984)
JPMorgan Chase Bank N.A.
CAD 5,464,000 —      2/6/24 3 month CAD-BA-CDOR 2.855% 65,388
HUF 350,000,000 —      2/4/19 4.79% 6 month HUF-BUBOR-REUTERS (77,416)
HUF 700,000,000 —      2/5/19 4.7275% 6 month HUF-BUBOR-REUTERS (145,389)
HUF 972,000,000 —      2/11/19 4.41% 6 month HUF-BUBOR-REUTERS (135,948)
PLN 4,670,000 —      2/4/19 6 month PLN-WIBOR-WIBO 4.04% 44,381
PLN 9,340,000 —      2/5/19 6 month PLN-WIBOR-WIBO 3.9775% 79,696
PLN 12,810,000 —      2/11/19 6 month PLN-WIBOR-WIBO 3.805% 74,452
Total $—     $(1,225,373)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/14 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$26,499,400 (E) $(18,384)     6/18/16 3 month USD-LIBOR-BBA 0.75% $57,245
331,052,500 (E) 1,658,778      6/18/19 3 month USD-LIBOR-BBA 2.00% (885,691)
54,449,700 (E) 387,746      6/18/24 3 month USD-LIBOR-BBA 3.00% (575,197)
8,961,000 (E) (234,429)     6/18/44 3 month USD-LIBOR-BBA 3.75% 259,949
12,953,800 (E) (122)     5/23/19 3 month USD-LIBOR-BBA 1.875% (48,945)
149,433,000 (E) (60,019)     6/18/16 3 month USD-LIBOR-BBA 0.65% 67,895
135,711,500 (E) 578,164      6/18/19 3 month USD-LIBOR-BBA 1.90% 193,829
32,690,000 (E) 125,990      6/18/24 3 month USD-LIBOR-BBA 2.90% 408,659
28,964,400 (382)     3/27/24 3 month USD-LIBOR-BBA 2.87% (407,121)
22,669,100 (E) (320)     5/23/24 3 month USD-LIBOR-BBA 2.845% 139,367
11,399,300 (E) (107)     5/27/19 3 month USD-LIBOR-BBA 1.885% (43,994)
17,487,600 (E) (247)     5/27/24 3 month USD-LIBOR-BBA 2.86% 123,636
135,000,000 (E) 131,089      6/17/17 3 month USD-LIBOR-BBA 1.617% (245,965)
46,440,000 (E) (437)     6/15/19 3 month USD-LIBOR-BBA 2.61% 117,753
46,440,000 (E) (437)     6/15/19 3 month USD-LIBOR-BBA 2.64% 77,768
EUR 2,991,000 (E) 18,980      6/18/16 6 month EUR-EURIBOR-REUTERS 0.75% (4,847)
EUR 133,618,000 (E) (6,556,426)     6/18/19 6 month EUR-EURIBOR-REUTERS 1.75% 795,916
EUR 52,154,000 (E) 3,683,893      6/18/24 6 month EUR-EURIBOR-REUTERS 2.50% (1,550,907)
EUR 20,860,000 (E) (113)     2/18/24 6 month EUR-EURIBOR-REUTERS 2.85% (448,454)
GBP 162,313,000 (E) 400,434      6/18/16 6 month GBP-LIBOR-BBA 1.25% 30,467
GBP 50,464,000 (E) (510,483)     6/18/19 6 month GBP-LIBOR-BBA 2.25% 126,327
JPY 75,973,000 (25)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 497
JPY 148,765,000 (50)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% (848)
JPY 4,165,600,000 (163)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% (14,946)
JPY 911,400,000 (159)     3/14/44 6 month JPY-LIBOR-BBA 1.795% 2,930
JPY 73,652,000 (13)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 717
Total$(397,242)     $(1,823,960)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/14 (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.
$13,653,091 $—      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools $(17,228)
3,710,929 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 4,682
Barclays Bank PLC
763,519 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,856
1,290,099 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,496
1,380,860 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,974
1,237,946 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,445
18,196,657 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 40,906
4,094,057 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (20,068)
507,717 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,346
1,390,951 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,242
6,491,104 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 33,795
1,447,294 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,845
3,574,467 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (17,521)
4,075,022 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 21,216
1,228,701 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,258
174,736 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 405
567,972 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,957
707,572 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 3,573
4,172,853 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 21,725
2,598,246 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,736)
2,994,396 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 7,941
591,112 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,985
4,558,421 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 13,992
17,520,417 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 91,216
3,845,979 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 20,023
669,159 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,379
2,169,968 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,959
1,573,099 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,945
2,836,029 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (3,579)
9,342,508 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (45,795)
1,715,397 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (7,154)
8,434,967 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (10,643)
1,424,266 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,343)
712,133 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,671)
712,133 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,671)
1,429,138 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,361)
3,711,901 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (13,925)
1,429,138 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,361)
1,621,277 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,645
2,131,517 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,253
1,283,134 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,356
1,249,074 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 6,503
1,627,240 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,720
2,967,361 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,545)
2,586,656 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 5,999
371,178 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 861
2,853,404 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (10,704)
285,922 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,402)
5,573,077 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (665)
9,720,000 —      3/20/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) (45,062)
46,817,000 —      3/20/16 1.795% USA Non Revised Consumer Price Index- Urban (CPI-U) (129,402)
8,011,000 —      3/21/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) (37,011)
393,494 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 497
904,486 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,141
Citibank, N.A.
2,445,292 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,731
5,563,804 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 28,967
5,151,618 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 26,821
4,050,745 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (5,111)
30,804,000 —      2/3/16 1.795% USA Non Revised Consumer Price Index- Urban (CPI-U) (114,683)
5,249,823 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,624)
7,701,000 —      1/31/16 1.795% USA Non Revised Consumer Price Index- Urban (CPI-U) (29,664)
47,080,000 —      3/27/16 1.7475% USA Non Revised Consumer Price Index- Urban (CPI-U) (154,658)
9,775,000 —      3/27/24 (2.4825%) USA Non Revised Consumer Price Index- Urban (CPI-U) (22,952)
EUR 19,330,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (96,060)
EUR 10,070,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 105,338
Credit Suisse International
$1,854,601 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,656
1,964,425 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,629)
4,619,642 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (5,829)
213,191 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (479)
4,431,137 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (5,591)
7,757,025 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (9,788)
3,647,531 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (4,602)
3,401,890 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,596
3,412,003 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (407)
3,744,903 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (447)
3,632,907 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 3,840
EUR 5,570,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (14,234)
EUR 19,330,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (78,924)
EUR 10,070,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 91,088
EUR 5,570,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (14,729)
GBP 4,710,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index (40,080)
GBP 4,710,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index (43,658)
Deutsche Bank AG
$1,964,425 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,629)
Goldman Sachs International
2,112,179 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,693
813,763 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,887
3,200,949 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,193
3,200,949 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,193
9,167,009 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 11,567
8,507,664 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 10,735
1,244,266 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,099)
467,435 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,291)
15,839,496 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 19,986
3,972,131 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 5,012
1,014,008 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,293
152,507 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 194
2,252,784 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,362
1,020,194 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,301
2,040,286 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,602
58,540 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 136
877,116 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,299)
1,704,629 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,356)
1,052,440 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,159)
80,640 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (395)
215,104 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,054)
7,285,875 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,096
5,691,923 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 7,182
6,305,285 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 12,199
325,446 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 411
54,033,000 —      3/3/19 2.13% USA Non Revised Consumer Price Index- Urban (CPI-U) (71,324)
JPMorgan Chase Bank N.A.
9,624,790 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 21,637
6,167,412 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 7,782
5,584,398 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 12,554
Total$—     $(398,414)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/14 (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 $9,731
  CMBX NA BBB- Index BBB-/P 19,586 325,000 5/11/63 300 bp 19,033
  CMBX NA BBB- Index BBB-/P 40,127 650,000 5/11/63 300 bp 39,022
  CMBX NA BBB- Index BBB-/P 38,247 671,000 5/11/63 300 bp 37,106
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 77,713 701,000 5/11/63 300 bp 76,521
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 6,563 343,000 5/11/63 300 bp 5,980
  CMBX NA BBB- Index BBB-/P 48,395 608,000 5/11/63 300 bp 47,361
  CMBX NA BBB- Index BBB-/P 7,303 629,000 5/11/63 300 bp 6,233
  CMBX NA BBB- Index BBB-/P 48,442 665,000 5/11/63 300 bp 47,312
  CMBX NA BBB- Index BBB-/P 11,523 750,000 5/11/63 300 bp 10,248
  CMBX NA BBB- Index BBB-/P 85,870 760,000 5/11/63 300 bp 84,578
  CMBX NA BBB- Index BBB-/P 62,716 786,000 5/11/63 300 bp 61,380
  CMBX NA BBB- Index BBB-/P 61,012 788,000 5/11/63 300 bp 59,673
  CMBX NA BBB- Index BBB-/P 51,903 789,000 5/11/63 300 bp 50,562
  CMBX NA BBB- Index BBB-/P 24,251 797,000 5/11/63 300 bp 22,896
  CMBX NA BBB- Index BBB-/P 14,042 797,000 5/11/63 300 bp 12,687
  CMBX NA BBB- Index BBB-/P 73,649 961,000 5/11/63 300 bp 72,015
  CMBX NA BBB- Index BBB-/P 66,890 1,630,000 5/11/63 300 bp 64,119
  CMBX NA BB Index — (4,352) 833,000 5/11/63 (500 bp) 2,784
  CMBX NA BB Index — (10,758) 616,000 5/11/63 (500 bp) (5,481)
  CMBX NA BB Index — (2,536) 278,000 5/11/63 (500 bp) (154)
  CMBX NA BB Index — (2,644) 276,000 5/11/63 (500 bp) (126)
  CMBX NA BB Index — (11,870) 612,000 5/11/63 (500 bp) (6,627)
  CMBX NA BBB- Index BBB-/P 24,887 520,000 5/11/63 300 bp 24,003
  CMBX NA BBB- Index BBB-/P 14,943 628,000 5/11/63 300 bp 13,876
  CMBX NA BBB- Index BBB-/P 28,168 652,000 5/11/63 300 bp 27,059
  CMBX NA BBB- Index — (39,321) 696,000 1/17/47 (300 bp) (22,338)
  CMBX NA BBB- Index — (42,354) 696,000 1/17/47 (300 bp) (25,371)
  CMBX NA BBB- Index — (32,149) 685,000 1/17/47 (300 bp) (15,435)
  CMBX NA BBB- Index — (40,127) 685,000 1/17/47 (300 bp) (23,413)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 Caa1 161,961 1,385,000 3/20/17 500 bp (254,198)
Goldman Sachs International
  CMBX NA BB Index — (2,650) 276,000 5/11/63 (500 bp) (287)
Total$789,410$440,749
*   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 April 30, 2014. Securities rated by Putnam are indicated by “/P.”   










Key to holding's currency abbreviations
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
HUF Hungarian Forint
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
PLN Polish Zloty
RUB Russian Ruble
Key to holding's abbreviations
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
JSC Joint Stock Company
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
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 April 30, 2014 (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 $789,988,984.
(b) The aggregate identified cost on a tax basis is $891,442,771, resulting in gross unrealized appreciation and depreciation of $46,066,648 and $9,236,910, respectively, or net unrealized appreciation of $36,829,738.
(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 Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund * $19,883,474 $267,465,037 $268,748,062 $10,358 $18,600,449
* 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) Security 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.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(R) Real Estate Investment Trust.
(U) This security, in part or in entirety, represents an unfunded loan commitment. As of the close of the reporting period, the fund had unfunded loan commitments of $89,474, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrower:
Borrower Unfunded commitments
WR Grace & Co. $89,474
Totals $89,474
At the close of the reporting period, the fund maintained liquid assets totaling $321,969,479 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 80.2%
Greece 3.5
Russia 2.3
Argentina 1.9
Venezuela 1.8
United Kingdom 1.5
Luxembourg 1.3
Canada 0.8
Brazil 0.7
Mexico 0.6
Germany 0.6
Indonesia 0.6
Ukraine 0.5
Turkey 0.5
Other 3.2
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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
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 fair 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.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that do not settle until the expiration date of the contract have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
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 fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
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. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
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 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 a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. 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 $205,982 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 $6,801,949 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $6,394,000 and may include amounts related to unsettled agreements.
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 their fair value, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss.
Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities to dispose of the TBA commitments prior to settlement.
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 their fair value, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. 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. Based on market circumstances, Putnam Management will determine whether to deliver the underlying securities to dispose of the TBA commitments prior to settlement.












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 $— $— $23,241
    Energy — — 4,590
Total common stocks — — 27,831
Convertible bonds and notes — 553,301 —
Convertible preferred stocks 317,472 — —
Corporate bonds and notes — 256,415,381 10
Foreign government and agency bonds and notes — 83,373,062 —
Mortgage-backed securities — 380,774,028 —
Preferred stocks 452,211 1,034,905 —
Purchased options outstanding — 1,416,420 —
Purchased swap options outstanding — 1,560,432 —
Senior loans — 15,568,641 —
U.S. government and agency mortgage obligations — 140,165,315 —
U.S. treasury obligations — 70,047 —
Warrants — 10,605 —
Short-term investments 18,600,449 27,932,399 —
Totals by level $19,370,132 $908,874,536 $27,841



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(976,879) $—
Futures contracts (728,141) — —
Written options outstanding — (1,198,746) —
Written swap options outstanding — (5,180,974) —
Forward premium swap option contracts — (97,036) —
TBA sale commitments — (18,961,562) —
Interest rate swap contracts — (2,652,091) —
Total return swap contracts — (398,414) —
Credit default contracts — (348,661) —
Totals by level $(728,141) $(29,814,363) $—


* 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.

Fair Value 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 Fair value Fair value
Credit contracts $92,313 $440,974
Foreign exchange contracts 753,093 1,729,972
Equity contracts 10,605 —
Interest rate contracts 14,275,585 21,554,135
Total $15,131,596 $23,725,081


The 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 based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$107,100,000
Purchased swap option contracts (contract amount)$463,200,000
Written TBA commitment option contracts (contract amount)$196,200,000
Written swap option contracts (contract amount)$387,100,000
Futures contracts (number of contracts)1,000
Forward currency contracts (contract amount)$599,000,000
OTC interest rate swap contracts (notional)$1,882,900,000
Centrally cleared interest rate swap contracts (notional)$2,761,700,000
OTC total return swap contracts (notional)$696,000,000
OTC credit default swap contracts (notional)$22,300,000
Warrants (number of warrants)100
 
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#    $—  $—   $—  $—  $—  $—  $32,822  $—  $263,917  $—  $—  $—  $—  $—    296,739
  Centrally cleared interest rate swap contracts§     —   —  1,545,387   —   —   —    —    —    —    —    —    —    —    —    1,545,387
  OTC Total return swap contracts*#    4,682  340,454  —  173,857  108,180   —  108,042    —  41,973    —    —    —    —    —    777,188
  OTC Credit default contracts*#     —   —  —   —  89,950   —  2,363    —    —    —    —    —    —    —    92,313
  Futures contracts§     —   —  —   —   —   —    —    —    —  594    —    —    —    —    594
  Forward currency contracts#    52,786  175,666  —  75,613  166,854  37,925  219    —  74,147    —  34,416  105,187  5,089  25,191    753,093
  Forward premium swap option contracts#     —   —  —   —   —   —  483,705    —  100,683    —    —    —    —    —    584,388
  Purchased swap options#    305,161  362,604  —   —  206,363  120,790  565,514    —  —    —    —    —    —    —    1,560,432
  Purchased options#     —   —  —   —   —   —    —    —  1,416,420    —    —    —    —    —    1,416,420
                                     
  Total Assets    $362,629  $878,724  $1,545,387  $249,470  $571,347  $158,715  $1,192,665  $—  $1,897,140  $594  $34,416  $105,187  $5,089  $25,191    $7,026,554
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    1,159   —  —   —   —  267,795  894,405    —  358,753    —    —    —    —    —    1,522,112
  Centrally cleared interest rate swap contracts§     —   —  2,818,400   —   —   —      —    —    —    —    —    —    —    2,818,400
  OTC Total return swap contracts*#    17,228  391,619  —  429,752  228,397  9,629  98,977  — — — —    —    —    —    1,175,602
  OTC Credit default contracts*#    3,048  1,192  —   —  20,575  416,159    —    —    —    —    —    —    —    —    440,974
  Futures contracts§     —   —  —   —   —   —    —    —    —  567,772    —    —    —    —    567,772
  Forward currency contracts#    48,771  211,879  —  163,065  251,322  164,481  79,161  105,222  217,507    —  26,785  257,638  121,221  82,920    1,729,972
  Forward premium swap option contracts#     —   —  —   —   —   —  566,230    —  115,194    —    —    —    —    —    681,424
  Written swap options#    408,961   —  —   —   —   —    —    —  4,772,013    —    —    —    —    —    5,180,974
  Written options#     —   —  —   —   —   —    —    —  1,198,746    —    —    —    —    —    1,198,746
                                     
  Total Liabilities    $479,167  $604,690  $2,818,400  $592,817  $500,294  $858,064  $1,638,773  $105,222  $6,662,213  $567,772  $26,785  $257,638  $121,221  $82,920    $15,315,976
                                     
  Total Financial and Derivative Net Assets    $(116,538)  $274,034  $(1,273,013)  $(343,347)  $71,053  $(699,349)  $(446,108)  $(105,222)  $(4,765,073)  $(567,178)  $7,631  $(152,451)  $(116,132)  $(57,729)    $(8,289,422)
  Total collateral received (pledged)##†    $—  $70,047   $—  $(343,347)  $71,053  $(600,000)  $(446,108)  $(105,222)  $(4,680,000)  $—  $7,631  $—  $(110,000)  $—    $(6,135,946)
  Net amount    $(116,538)  $203,987  $(1,273,013)  $—  $—  $(99,349)  $—  $—  $(85,073)  $(567,178)  $—  $(152,451)  $(6,132)  $(57,729)    $(2,153,476)
                                     
* Excludes premiums, if any.
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.
                                     
# Covered by master netting agreement.
                                     
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                     
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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: June 26, 2014

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: June 26, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 26, 2014