N-Q 1 a_putfundstrust.htm PUTNAM FUNDS TRUST a_putfundstrust.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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: October 31, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Absolute Return 100 Fund

The fund's portfolio
1/31/12 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (31.5%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.9%)
Government National Mortgage Association Pass-Through Certificates
     4s, with due dates from January 20, 2041 to February 20, 2041 $1,878,422 $2,026,196
     3 1/2s, TBA, February 1, 2042 1,000,000 1,050,703
3,076,899
U.S. Government Agency Mortgage Obligations (30.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, January 1, 2041 923,680 958,642
Federal National Mortgage Association Pass-Through Certificates
     4s, TBA, February 1, 2042 3,000,000 3,171,094
     3 1/2s, TBA, February 1, 2042 99,000,000 102,859,456
106,989,192
Total U.S. government and agency mortgage obligations (cost $109,151,956) $110,066,091

U.S. GOVERNMENT AGENCY OBLIGATIONS (0.1%)(a)
Principal amount Value
Wells Fargo & Co. 2 1/8s, FDIC guaranteed notes, June 15, 2012 $392,000 $394,866
Total U.S. Government Agency Obligations (cost $392,434) $394,866

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 2 5/8s, November 15, 2020 $56,000 $60,769
Total U.S. treasury Obligations (cost $52,739) $60,769

MORTGAGE-BACKED SECURITIES (25.8%)(a)
Principal amount Value
Banc of America Commercial Mortgage, Inc.
     FRB Ser. 07-3, Class A2, 5.843s, 2049 $428,846 $433,107
     Ser. 04-3, Class D, 5.786s, 2039 626,000 564,258
     Ser. 07-2, Class A2, 5.634s, 2049 821,016 848,073
     Ser. 06-5, Class A2, 5.317s, 2047 1,435,510 1,455,123
     Ser. 06-6, Class A2, 5.309s, 2045 1,218,556 1,219,067
     Ser. 04-4, Class D, 5.073s, 2042 479,000 453,853
     Ser. 07-1, Class XW, IO, 0.456s, 2049 1,511,317 17,568
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 03-1, Class F, 5.507s, 2036 553,000 550,069
     Ser. 04-4, Class XC, IO, 1.042s, 2042 1,452,401 26,816
     Ser. 02-PB2, Class XC, IO, 0.806s, 2035 2,645,343 3,333
Barclays Capital LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.87s, 2046 3,604,687 147,285
     Ser. 09-RR7, Class 2A7, IO, 1.584s, 2047 10,627,655 442,110
     Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047 9,059,818 223,778
     Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046 9,402,570 232,243
Barclays Capital, LLC Trust FRB Ser. 07-AA2, Class 12A1, 0.486s, 2047 1,729,968 813,085
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 1,550,270 38,912
     Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047 932,783 19,029
     Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046 2,068,954 36,827
     Ser. 07-AR3, Class 1X, IO, 0 1/2s, 2037 1,063,730 17,020
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 1,107,447 15,061
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class AJ, 4.96s, 2043 700,000 672,476
Commercial Mortgage Asset Trust FRB Ser. 99-C2, Class E, 7.64s, 2032 586,000 613,835
Commercial Mortgage Pass-Through Certificates
     Ser. 06-C8, Class A2B, 5.248s, 2046 143,270 143,725
     Ser. 05-LP5, Class B, 5.105s, 2043(F) 1,114,000 1,047,954
Countrywide Alternative Loan Trust
     FRB Ser. 05-84, Class 4A1, 5.666s, 2036 2,151,139 1,236,905
     FRB Ser. 07-OA4, Class A1, 0.446s, 2047 1,308,146 761,995
Countrywide Home Loans 144A
     Ser. 04-R2, Class 1AS, IO, 5.637s, 2034 870,266 137,067
     Ser. 05-R3, Class AS, IO, 5.581s, 2035 341,209 58,819
     FRB Ser. 04-R2, Class 1AF1, 0.696s, 2034 859,131 657,235
     FRB Ser. 05-R3, Class AF, 0.676s, 2035 335,352 269,958
Credit Suisse Mortgage Capital Certificates FRB Ser. 07-C4, Class A2, 5.987s, 2039 1,178,465 1,183,491
CS First Boston Mortgage Securities Corp.
     Ser. 02-CKN2, Class C1, 6.376s, 2037(F) 1,147,000 1,149,893
     FRB Ser. 04-C2, Class D, 5.575s, 2036 529,000 518,420
     Ser. 02-CP5, Class E, 5.339s, 2035(F) 753,000 757,243
     Ser. 05-C6, Class AJ, 5.23s, 2040(F) 1,438,000 1,340,134
     Ser. 05-C5, Class AJ, 5.1s, 2038(F) 1,578,000 1,579,470
     Ser. 05-C1, Class AJ, 5.075s, 2038 439,000 446,871
     Ser. 03-CPN1, Class E, 4.891s, 2035 462,000 447,313
CS First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 640,000 675,200
     FRB Ser. 03-CK2, Class G, 5.744s, 2036 857,000 854,001
     Ser. 03-C3, Class AX, IO, 1.922s, 2038 18,685,219 272,879
     Ser. 04-C4, Class AX, IO, 1.19s, 2039 1,528,280 32,247
DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2, Class B3, 6.04s, 2031 520,630 543,570
Federal Home Loan Mortgage Corp.
     IFB Ser. 2976, Class LC, 23.358s, 2035 51,434 82,193
     IFB Ser. 3835, Class SN, 15.401s, 2041 3,893,998 5,466,589
     IFB Ser. 3859, Class SG, IO, 6.41s, 2039 656,422 98,654
     IFB Ser. 3727, Class PS, IO, 6.41s, 2038 3,465,811 387,070
     IFB Ser. 3287, Class SE, IO, 6.41s, 2037(F) 131,625 16,692
     IFB Ser. 3835, Class SC, IO, 6.36s, 2038 3,965,530 727,476
     IFB Ser. 3856, Class PS, IO, 6.31s, 2040 723,787 111,676
     IFB Ser. 3852, Class KS, IO, 6.26s, 2041 1,931,501 317,867
     IFB Ser. 3677, Class SA, IO, 6.26s, 2040 6,677,059 702,627
     IFB Ser. 3708, Class SA, IO, 6.16s, 2040 7,107,094 900,042
     IFB Ser. 3934, Class SA, IO, 6.11s, 2041 353,887 59,598
     IFB Ser. 3852, Class TB, 5.71s, 2041 903,386 951,807
     IFB Ser. 3752, Class PS, IO, 5.71s, 2040 5,708,272 975,715
     Ser. 3645, Class ID, IO, 5s, 2040 101,565 8,982
     Ser. 3680, Class KI, IO, 5s, 2038 2,786,066 373,500
     Ser. 3632, Class CI, IO, 5s, 2038 113,553 9,492
     Ser. 3626, Class DI, IO, 5s, 2037 76,997 3,409
     Ser. 3653, Class CI, IO, 5s, 2036 2,149,856 93,411
     Ser. 3623, Class CI, IO, 5s, 2036 70,202 5,265
     Ser. 3736, Class QI, IO, 4s, 2034 324,808 11,977
     Ser. 3751, Class MI, IO, 4s, 2034 264,630 12,739
     Ser. 3707, Class HI, IO, 4s, 2023 241,738 8,234
     Ser. T-8, Class A9, IO, 0.441s, 2028 219,519 1,646
     Ser. T-59, Class 1AX, IO, 0.275s, 2043 492,697 3,695
     Ser. T-48, Class A2, IO, 0.212s, 2033 704,436 5,051
     FRB Ser. T-54, Class 2A, IO, zero %, 2043 286,256 45
Federal National Mortgage Association
     IFB Ser. 04-10, Class QC, 27.62112s, 2031 432,832 599,591
     IFB Ser. 06-86, Class SY, 23.004s, 2036 326,839 444,905
     IFB Ser. 05-75, Class GS, 19.421s, 2035 601,216 866,793
     IFB Ser. 11-4, Class CS, 12.347s, 2040 965,530 1,106,543
     IFB Ser. 11-67, Class BS, IO, 6.224s, 2041 3,518,038 542,200
     IFB Ser. 404, Class S13, IO, 6.124s, 2040 145,517 21,188
     Ser. 398, Class C5, IO, 5s, 2039 266,305 30,625
Ser. 397, Class 2, IO, 5s, 2039 98,220 12,845
     Ser. 10-100, Class AI, IO, 4 1/2s, 2025 1,886,456 116,588
     Ser. 406, Class 2, IO, 4s, 2041 311,701 36,438
     Ser. 406, Class 1, IO, 4s, 2041 190,608 22,282
     Ser. 03-W10, Class 1, IO, 1.442s, 2043 116,339 5,235
     Ser. 98-W2, Class X, IO, 0.919s, 2028 388,058 17,340
     Ser. 98-W5, Class X, IO, 0.85s, 2028 159,751 6,630
     Ser. 03-W1, Class 2A, IO, zero %, 2042 611,102 48
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 468,000 456,300
GE Capital Commercial Mortgage Corp.
     FRB Ser. 04-C3, Class B, 5.527s, 2039(F) 1,839,000 1,743,033
     Ser. 07-C1, Class A3, 5.481s, 2049 973,000 1,058,030
GE Capital Commercial Mortgage Corp. 144A
     Ser. 03-C2, Class D, 5.326s, 2037 400,000 405,032
     FRB Ser. 04-C1, Class F, 5.088s, 2038 894,000 867,180
     Ser. 05-C2, Class XC, IO, 0.183s, 2043 9,405,175 70,699
     Ser. 05-C3, Class XC, IO, 0.12s, 2045 72,077,927 338,775
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class AJ, 4.915s, 2041 710,000 679,908
Government National Mortgage Association
     IFB Ser. 11-56, Class SA, 23.353s, 2041 2,175,938 3,267,693
     IFB Ser. 10-158, Class SD, 14.157s, 2040 377,000 531,449
     IFB Ser. 11-70, Class WS, 9.138s, 2040 1,272,000 1,436,597
     IFB Ser. 11-56, Class MS, 6.786s, 2041 1,880,359 2,057,094
     IFB Ser. 11-56, Class SG, 6.776s, 2041 1,053,693 1,167,482
     IFB Ser. 11-61, Class CS, IO, 6.399s, 2035 2,411,740 331,614
     IFB Ser. 10-167, Class SM, IO, 6.39s, 2040 1,720,260 279,714
     IFB Ser. 10-85, Class SD, IO, 6.369s, 2038 3,190,452 506,165
     IFB Ser. 11-11, Class PS, IO, 6.319s, 2040 138,828 21,138
     IFB Ser. 10-58, Class LS, IO, 6.269s, 2039 3,287,665 501,402
     IFB Ser. 10-120, Class SB, IO, 5.919s, 2035 350,976 35,213
     IFB Ser. 10-20, Class SC, IO, 5.869s, 2040 89,050 13,817
     IFB Ser. 11-40, Class AS, IO, 5.837s, 2036 714,042 91,533
     IFB Ser. 11-70, Class SN, IO, 5.61s, 2041 2,891,000 806,502
     IFB Ser. 11-70, Class SH, IO, 5.6s, 2041 3,615,000 1,013,104
     Ser. 10-68, Class MI, IO, 5s, 2039 357,206 48,441
     Ser. 10-150, Class WI, IO, 5s, 2038 2,888,719 324,576
     IFB Ser. 11-12, Class IB, IO, 4.505s, 2040 1,443,734 141,630
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 146,793 25,223
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 3,804,282 442,248
     Ser. 11-70, PO, zero %, 2041 4,968,854 4,042,659
     Ser. 10-151, Class KO, PO, zero %, 2037 742,245 669,483
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 1,073,098 38,632
Greenwich Capital Commercial Funding Corp. 144A Ser. 03-C1, Class G, 4.773s, 2035 626,000 607,752
GS Mortgage Securities Corp. II Ser. 06-GG6, Class A2, 5.506s, 2038 261,863 263,991
GSMPS Mortgage Loan Trust 144A
     Ser. 05-RP1, Class 1AS, IO, 5.913s, 2035 705,722 119,559
     IFB Ser. 04-4, Class 1AS, IO, 5.204s, 2034 349,092 59,727
     FRB Ser. 04-4, Class 1AF, 0.676s, 2034 349,092 268,801
     FRB Ser. 05-RP1, Class 1AF, 0.626s, 2035 705,722 543,406
     Ser. 98-2, IO, 0.467s, 2027 60,560 5
     Ser. 98-3, IO, 0.315s, 2027 72,880 183
     Ser. 99-2, IO, zero %, 2027 106,255 268
     Ser. 98-4, IO, zero %, 2026 82,134 214
Harborview Mortgage Loan Trust FRB Ser. 06-8, Class 2A1A, 0.469s, 2036 2,467,173 1,492,640
IndyMac Index Mortgage Loan Trust
     FRB Ser. 06-AR5, Class 1A2, 5.168s, 2036 43,473 2,391
     FRB Ser. 06-AR11, Class 3A1, 2.82648s, 2036 105,853 45,765
     FRB Ser. 06-AR29, Class A2, 0.356s, 2036 1,492,666 641,846
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, 0.476s, 2037 1,523,885 655,270
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 04-CB9, Class B, 5.843s, 2041(F) 803,000 745,395
     FRB Ser. 02-C2, Class E, 5.517s, 2034 576,000 568,045
     Ser. 02-C3, Class D, 5.314s, 2035 866,000 840,020
     Ser. 03-C1, Class D, 5.192s, 2037 425,000 425,877
     Ser. 04-CB8, Class B, 4 1/2s, 2039 943,000 894,685
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 02-C1, Class E, 6.135s, 2037 496,000 494,234
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class A2, 5.532s, 2032 3,106 3,105
     Ser. 06-C6, Class AM, 5.413s, 2039(F) 1,840,000 1,903,996
     Ser. 05-C7, Class A2, 5.103s, 2030 37,830 37,830
     Ser. 03-C5, Class F, 4.843s, 2037 380,000 349,600
     Ser. 07-C2, Class XW, IO, 0.702s, 2040 1,362,036 27,678
LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class J, 6.235s, 2035 913,000 913,274
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, zero %, 2047 1,322,704 41,004
Merrill Lynch Mortgage Trust
     FRB Ser. 07-C1, Class A3, 6.027s, 2050 1,229,000 1,284,761
     FRB Ser. 07-C1, Class A2, 5.923s, 2050 832,251 837,744
     Ser. 03-KEY1, Class C, 5.373s, 2035 463,000 466,328
     Ser. 05-MCP1, Class XC, IO, 0.269s, 2043 55,636,219 582,734
Merrill Lynch/Countrywide Commercial Mortgage Trust
     Ser. 06-1, Class A2, 5.439s, 2039 61,479 61,463
     FRB Ser. 06-4, Class A2FL, 0.416s, 2049 587,069 573,860
Morgan Stanley Capital I
     FRB Ser. 07-HQ12, Class A2, 5.783s, 2049 226,048 230,566
     Ser. 06-HQ9, Class A2, 5.618s, 2044 172,163 172,092
     Ser. 07-IQ14, Class A2, 5.61s, 2049 767,722 807,292
     FRB Ser. 07-HQ12, Class A2FL, 0.545s, 2049 193,497 181,887
Morgan Stanley Capital I 144A Ser. 03-IQ6, Class C, 5.238s, 2041(F) 704,000 706,240
Morgan Stanley Dean Witter Capital I Ser. 03-HQ2, Class C, 5.15s, 2035 783,000 756,926
Morgan Stanley Dean Witter Capital I 144A FRB Ser. 03-HQ2, Class F, 5.72855s, 2035 513,000 487,350
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 10.236s, 2043 574,000 586,915
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030 258,000 264,450
Residential Accredit Loans, Inc.
     Ser. 06-QS13, Class 1A5, 6s, 2036 42,833 26,985
     Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046 1,334,878 68,346
     Ser. 06-Q07, Class X1, IO, 0.9s, 2046 1,028,337 32,393
Salomon Brothers Mortgage Securities VII 144A FRB Ser. 99-C1, Class J, 7s, 2032 627,000 648,648
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 2,127,519 79,144
     Ser. 06-AR3, Class 12X, IO, 1s, 2036 727,298 26,619
     Ser. 06-AR7, Class X, IO, 0.9s, 2036 5,229,224 149,556
     Ser. 06-AR4, Class 5X, IO, 0.8s, 2036 546,228 14,257
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 738,648 15,364
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 3,316,145 43,110
Structured Asset Securities Corp.
     IFB Ser. 07-4, Class 1A3, IO, 5.913s, 2045 298,706 53,767
     Ser. 07-4, Class 1A4, IO, 1s, 2045 660,242 27,235
Structured Asset Securities Corp. 144A FRB Ser. 05-RF2, Class A, 0.644s, 2035 1,501,067 1,125,800
TIAA Seasoned Commercial Mortgage Trust FRB Ser. 07-C4, Class AJ, 5.739s, 2039(F) 1,968,000 1,891,105
Wachovia Bank Commercial Mortgage Trust
     Ser. 06-C25, Class A2, 5.684s, 2043 63,224 63,224
     Ser. 06-C28, Class A3, 5.679s, 2048 455,000 499,186
     Ser. 07-C30, Class A3, 5.246s, 2043 402,000 410,841
     Ser. 05-C17, Class AJ, 5.224s, 2042 430,000 442,801
     Ser. 06-C29, IO, 0.552s, 2048 40,789,606 616,739
Wachovia Bank Commercial Mortgage Trust 144A Ser. 07-C31, IO, 0.416s, 2047 94,280,881 854,420
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.444s, 2036 3,879,106 1,532,247
WAMU Commercial Mortgage Securities Trust 144A Ser. 05-C1A, Class C, 4.9s, 2036 151,000 151,922
Total mortgage-backed securities (cost $88,813,251) $90,255,265

CORPORATE BONDS AND NOTES (12.3%)(a)
Principal amount Value
Basic materials (0.8%)
Airgas, Inc. sr. unsec. unsub. notes 2.85s, 2013 $255,000 $259,716
Dow Chemical Co. (The) sr. unsec. notes 7.6s, 2014 355,000 403,254
Dow Chemical Co. (The) sr. unsec. notes 4.85s, 2012 300,000 306,300
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes 8 3/8s, 2017 (Indonesia) 400,000 421,500
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) 245,000 340,950
Sealed Air Corp. sr. notes 7 7/8s, 2017 265,000 282,067
Weyerhaeuser Co. sr. unsec. unsub. notes 7 1/4s, 2013 825,000 871,307
2,885,094
Capital goods (0.2%)
Staples, Inc. sr. unsec. notes 9 3/4s, 2014 505,000 578,749
578,749
Communication services (0.7%)
CenturyLink, Inc. sr. unsec. unsub. notes Ser. L, 7 7/8s, 2012 610,000 627,357
Comcast Cable Holdings, LLC debs. 9.8s, 2012 58,000 58,000
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2015 447,000 512,400
Frontier Communications Corp. sr. unsec. notes 7 7/8s, 2015 605,000 624,663
SBA Tower Trust 144A company guaranty mtge. notes 4.254s, 2015 625,000 646,711
2,469,131
Consumer cyclicals (1.0%)
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 465,000 497,550
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.35s, 2012 1,100,000 1,104,500
Omnicom Group, Inc. sr. unsec. unsub. notes 4.45s, 2020 315,000 334,227
QVC, Inc. 144A sr. notes 7 1/8s, 2017 215,000 230,319
Toyota Motor Credit Corp. sr. unsec. unsub. notes FRN Ser. MTN, 0.777s, 2013 700,000 700,827
Turner Broadcasting System, Inc. company guaranty sr. unsec. unsub. notes 8 3/8s, 2013 360,000 396,356
Viacom, Inc. sr. unsec. notes 4 3/8s, 2014 310,000 333,046
3,596,825
Consumer staples (0.9%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2014 565,000 631,864
Coca-Cola Co. (The) sr. unsec. unsub. notes FRN 0.507s, 2012 200,000 200,130
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 400,000 449,000
Kraft Foods, Inc. sr. unsec. notes 2 5/8s, 2013 730,000 745,365
Kraft Foods, Inc. sr. unsec. unsub. notes 6.25s, 2012 200,000 203,451
Kroger Co. company guaranty 6 3/4s, 2012 350,000 354,254
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 400,000 464,000
3,048,064
Energy (0.1%)
Motiva Enterprises, LLC 144A sr. unsec. unsub. notes 5.2s, 2012 250,000 255,268
Ras Laffan Liquefied Natural Gas Co., Ltd. 144A company guaranty sr. notes 4 1/2s, 2012 (Qatar) 250,000 253,750
509,018
Financials (6.4%)
American Express Credit Corp. sr. unsec. notes FRN 0.395s, 2012 376,000 376,000
American Honda Finance Corp. 144A sr. unsec. notes FRN Ser. MTN, 0.805s, 2012 200,000 200,321
Australia & New Zealand Banking Group, Ltd. 144A sr. unsec. notes FRN 0.783s, 2012 (Australia) 300,000 299,927
Bank One Corp. unsec. sub. notes 5.25s, 2013 377,000 393,605
Barclays Bank PLC unsec. sub. notes FRN Ser. EMTN, 0.74s, 2017 (United Kingdom) 552,000 488,625
BB&T Corp. sr. unsec. unsub. notes 3.85s, 2012 311,000 316,017
Berkshire Hathaway Finance Corp. company guaranty sr. notes 4s, 2012 85,000 85,531
Citigroup, Inc. sr. unsec. notes FRN 0.68s, 2012 1,700,000 1,699,536
Citigroup, Inc. unsec. sub. notes 5 5/8s, 2012 650,000 662,413
Countrywide Financial Corp. company guaranty sr. unsec. unsub. notes FRN Ser. MTN, 0.875s, 2012 800,000 796,959
Erac USA Finance Co. 144A company guaranty notes 2 1/4s, 2014 390,000 392,098
Erac USA Finance Co. 144A company guaranty sr. notes 2 3/4s, 2013 445,000 452,014
GATX Corp. notes 4 3/4s, 2012 180,000 183,024
General Electric Capital Corp. sr. unsec. unsub. notes FRN Ser. MTNA, 1.388s, 2013 275,000 277,399
General Electric Capital Corp. sr. unsec. unsub. notes FRN 0.702s, 2012 1,900,000 1,901,176
Goldman Sachs Group, Inc. (The) sr. notes 3 5/8s, 2012 194,000 196,394
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. debs. FRB 8 1/8s, 2038 235,000 244,400
ING Bank NV 144A sr. unsec. notes FRN 1.596s, 2013 (Netherlands) 585,000 577,273
Jackson National Life Global Funding Co. 144A sr. notes Ser. GMTN, 6.125s, 2012 550,000 558,566
JPMorgan Chase Capital XX company guaranty jr. unsec. sub. notes Ser. T, 6.55s, 2036 845,000 849,825
Lloyds TSB Bank PLC bank guaranty sr. unsec. unsub. notes 4 7/8s, 2016 (United Kingdom) 510,000 521,496
MetLife Global Funding I 144A sr. unsec. notes 2 7/8s, 2012 270,000 273,453
MetLife Global Funding I 144A sr. unsub. notes 5 1/8s, 2014 100,000 107,948
MetLife Global Funding I 144A sr. unsub. notes 5 1/8s, 2013 100,000 104,815
MetLife Global Funding I 144A sr. unsub. notes FRN 0.796s, 2012 800,000 799,766
MetLife Institutional Funding II 144A FRN 0.98s, 2012 200,000 200,083
National Australia Bank, Ltd. 144A sr. unsec. notes 2 1/2s, 2013 (Australia) 690,000 695,363
New York Life Global Funding 144A notes 3s, 2015 930,000 981,769
New York Life Global Funding 144A sr. notes 0.631s, 2012 1,200,000 1,199,479
Prudential Financial, Inc. sr. notes 6.2s, 2015 425,000 470,750
Royal Bank of Scotland PLC (The) company guaranty sr. unsec. unsub. notes Ser. 2, 3.4s, 2013 (United Kingdom) 325,000 330,484
Royal Bank of Scotland PLC (The) 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2014 (United Kingdom) 430,000 436,809
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea) 200,000 203,471
Simon Property Group LP sr. unsec. unsub. notes 5.1s, 2015(R) 700,000 773,956
Simon Property Group LP sr. unsec. unsub. notes 4.2s, 2015(R) 70,000 74,986
Sumitomo Mitsui Banking Corp. 144A sr. unsec. notes 2.15s, 2013 (Japan) 685,000 693,302
TD Ameritrade Holding Corp. company guaranty sr. unsec. unsub. notes 2.95s, 2012 1,420,000 1,446,344
UBS AG/Stamford CT sr. unsec. FRN 1.595s, 2012 (Switzerland) 1,055,000 1,055,761
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 200,000 203,500
Westpac Banking Corp. sr. unsec. unsub. bonds 2.25s, 2012 (Australia) 720,000 729,053
22,253,691
Technology (0.6%)
Hewlett-Packard Co. sr. unsec. notes FRN 0.637s, 2012 1,700,000 1,700,063
Seagate Technology International 144A company guaranty sr. sec. notes 10s, 2014 (Cayman Islands) 466,000 532,405
2,232,468
Transportation (0.3%)
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018 128,762 137,131
Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017 146,353 152,207
Federal Express Corp. 2012 Pass Through Trust 144A notes 2 5/8s, 2018(FWC) 600,000 601,538
890,876
Utilities and power (1.3%)
Allegheny Energy Supply 144A sr. unsec. bonds 8 1/4s, 2012 820,000 830,604
CMS Energy Corp. sr. unsec. unsub. notes FRN 1.353s, 2013 130,000 129,188
KCP&L Greater Missouri Operations Co. sr. unsec. unsub. notes 11.875s, 2012 631,000 657,890
Kinder Morgan Energy Partners LP sr. unsec. notes 7 1/8s, 2012 350,000 352,419
Kinder Morgan, Inc./Kansas sr. notes 6 1/2s, 2012 490,000 497,350
NGPL PipeCo, LLC 144A sr. unsec. notes 6.514s, 2012 600,000 577,913
Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s, 2019 654,000 859,165
Total Capital SA company guaranty sr. unsec. unsub. notes 3s, 2015 (France) 500,000 533,465
4,437,994
Total corporate bonds and notes (cost $42,319,700) $42,901,910

ASSET-BACKED SECURITIES (3.1%)(a)
Principal amount Value
Green Tree Financial Corp.
     Ser. 97-6, Class M1, 7.21s, 2029 $747,000 $649,997
     Ser. 99-3, Class A8, 7.06s, 2031 700,000 610,750
     Ser. 97-8, Class M1, 7.02s, 2027 1,989,000 1,382,355
GSAA Home Equity Trust
     FRB Ser. 07-3, Class A4A, 0.496s, 2047 229,672 90,721
     FRB Ser. 07-3, Class 2A1A, 0.198s, 2047 1,051,189 473,035
HSI Asset Securitization Corp. Trust FRB Ser. 06-HE1, Class 2A1, 0.326s, 2036 9,214 3,997
Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 3.526s, 2032 1,797,000 1,437,600
Oakwood Mortgage Investors, Inc.
     Ser. 01-C, Class A4, 7.405s, 2030 1,011,779 546,361
     Ser. 98-A, Class M, 6.825s, 2028 1,324,000 1,307,335
     Ser. 01-C, Class A3, 6.61s, 2021 2,611,350 1,312,203
     Ser. 01-E, Class A3, 5.69s, 2031 805,962 642,352
     Ser. 01-D, Class A2, 5.26s, 2019(F) 941,392 584,586
Structured Asset Securities Corp. FRB Ser. 06-BC2, Class A3, 0.426s, 2036 3,416,259 1,930,186
Total asset-backed securities (cost $11,600,348) $10,971,478

PURCHASED OPTIONS OUTSTANDING (2.7%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. Sep-16/3.49 $51,678 $4,624
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. Sep-16/3.49 51,678 2,937
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023. Jan-13/1.8625 1,116,000 20,144
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855 versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.855 1,116,000 19,675
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 712,000 28,380
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 712,000 17,757
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.3675 3,236,000 136,850
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.27 3,236,000 118,664
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.13375 2,022,000 59,629
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 1,139,000 108,011
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 1,139,000 69,969
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845 versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.845 1,116,000 18,950
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835 versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.835 1,116,000 18,213
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 712,000 27,433
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 712,000 16,575
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.34375 3,236,000 132,288
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.2475 3,236,000 114,198
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.1125 2,022,000 56,717
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.82 1,116,000 17,432
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.3175 3,236,000 126,689
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.225 3,236,000 109,215
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 712,000 26,287
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 712,000 15,308
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.193 2,903,000 92,635
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.085 2,022,000 53,077
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 712,000 25,290
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 712,000 14,147
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.064 2,022,000 49,903
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 1,139,000 95,027
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 1,139,000 56,802
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.169 2,903,000 87,351
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/1.9475 7,803,000 145,760
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 712,000 23,980
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 712,000 12,773
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 10,135,800 693,796
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 10,135,800 70,140
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.042 2,022,000 46,223
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.144 2,903,000 81,807
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 4,905,963 604,022
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 4,905,963 8,733
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 4,088,302 558,380
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 4,088,302 500,081
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 4,088,302 7,155
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 4,088,302 5,151
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 1,635,321 221,962
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 1,635,321 2,028
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 4,088,302 566,189
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1825 1,020,000 30,763
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 4,088,302 4,620
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 7,658,044 1,063,166
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 7,658,044 8,271
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 4,069,003 546,874
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 4,069,003 4,761
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 1,116,000 8,917
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 1,116,000 8,917
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 1,116,000 8,917
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 1,116,000 8,917
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 1,116,000 8,917
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 712,000 22,649
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 712,000 11,193
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 4,943,000 126,145
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 4,943,000 126,145
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.11875 4,943,000 128,815
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.055 3,009,000 67,883
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.122 2,903,000 75,768
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 1,116,000 8,024
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 1,116,000 8,024
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 1,116,000 8,024
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 1,116,000 8,024
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022. Jun-12/1.683 1,116,000 8,024
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 712,000 21,282
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 712,000 9,640
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.03 3,009,000 60,902
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 1,139,000 78,432
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 1,139,000 39,432
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.096 2,903,000 68,975
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 712,000 19,552
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 712,000 7,839
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.074% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.074 2,903,000 62,066
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.005 3,009,000 53,019
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.35% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.35 1,020,000 40,361
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 1,116,000 11,071
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 1,116,000 11,071
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 1,116,000 11,071
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 1,116,000 11,071
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA April 2022. Apr-12/1.861 1,116,000 11,071
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 1,388,000 54,285
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 712,000 17,715
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 712,000 5,810
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 1,388,000 5,663
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 4,912,000 76,922
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 4,912,000 76,922
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 4,912,000 59,386
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 4,912,000 59,386
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 4,912,000 59,386
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 4,912,000 59,386
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 4,912,000 59,386
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 4,912,000 59,386
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.985% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.985 3,009,000 44,744
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 2.015% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.015 989,000 15,844
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.765% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.765 2,472,000 14,115
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 6,900,000 127,857
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 6,900,000 49,818
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 9,536,000 9,822
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 9,536,000 9,441
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 1,116,000 8,493
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 1,116,000 8,493
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 1,116,000 8,493
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 1,116,000 8,493
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA March 2022. Mar-12/1.869 1,116,000 8,493
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 1,388,000 50,884
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 1,388,000 2,165
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.96% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.96 3,009,000 32,407
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 1,139,000 52,895
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 1,139,000 13,645
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 6,900,000 100,947
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 6,900,000 22,494
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 1,388,000 48,649
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 1,388,000 138
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 1,701,000 50,367
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 1,701,000 119
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 10,762,000 22,170
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 10,762,000 107
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 1,641,653 65,190
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 1,641,653 2
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 12,102,578 9,077
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 12,102,578 121
Total purchased options outstanding (cost $7,964,199) $9,486,086

FOREIGN GOVERNMENT BONDS AND NOTES (0.6%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 $1,340,000 $1,309,810
Korea Development Bank sr. unsec. unsub. notes 4s, 2016 300,000 305,799
Ontario (Province of) sr. unsec. unsub. bonds 1 7/8s, 2012 600,000 606,608
Total foreign government bonds and notes (cost $2,204,828) $2,222,217

SHORT-TERM INVESTMENTS (64.2%)(a)
Principal amount Value
ABN AMRO Group NV commercial paper with an effective yield of 0.388%, February 27, 2012 (Netherlands) $250,000 $249,928
Alpine Securitization Corp. commercial paper with an effective yield of 0.441%, February 24, 2012 (Switzerland) 1,700,000 1,699,511
Australia & New Zealand Banking Group, Ltd. commercial paper with an effective yield of 0.457%, April 26, 2012 (Australia) 1,700,000 1,699,449
Bank of Montreal/Chicago, IL certificates of deposit FRN 0.706%, October 25, 2012 (Canada) 2,000,000 2,000,500
Bank of Nova Scotia/Houston certificates of deposit 0.56%, June 21, 2012 2,000,000 2,000,000
Bank of Tokyo - Mitsubishi, LLC certificates of deposit FRN 0.877%, September 4, 2012 (Japan) 860,000 858,520
BMW U.S. Capital, LLC commercial paper 144A with an effective yield of 0.020%, July 25, 2012 1,700,000 1,698,856
BP Capital Markets PLC commercial paper with an effective yield of 0.247%, February 8, 2012 (United Kingdom) 2,672,000 2,671,870
Bryant Park Funding, LLC commercial paper with an effective yield of 0.165%, February 6, 2012 2,000,000 1,999,953
CAFCO, LLC commercial paper with an effective yield of 0.395%, February 15, 2012 2,000,000 1,999,689
Canadian Imperial Holdings, Inc. commercial paper with an effective yield of 0.398%, May 15, 2012 2,000,000 1,998,892
Capital One Bank USA NA certificates of deposit FRN 0.704%, February 21, 2012 2,000,000 1,999,972
Chariot Funding, LLC commercial paper with an effective yield of 0.167%, February 21, 2012 500,000 499,953
CHARTA, LLC commercial paper with an effective yield of 0.517%, April 16, 2012 1,700,000 1,698,389
CIESCO-LP commercial paper with an effective yield of 0.428%, June 15, 2012 1,700,000 1,698,838
COFCO Capital Corp. commercial paper with an effective yield of 0.309%, February 23, 2012 2,000,000 1,999,609
Commonwealth Bank of Australia commercial paper with an effective yield of 0.497%, April 17, 2012 (Australia) 1,700,000 1,698,458
Daimler Finance North America, LLC commercial paper with an effective yield of 0.413%, February 6, 2012 1,000,000 999,940
Daimler Finance North America, LLC commercial paper with an effective yield of 0.539%, February 9, 2012 399,000 398,951
Danske Corp. commercial paper with an effective yield of 0.203%, February 7, 2012 (Denmark) 2,190,000 2,189,839
Devon Energy Corp. commercial paper with an effective yield of 0.366%, February 6, 2012 1,700,000 1,699,910
Diageo Capital PLC commercial paper with an effective yield of 0.640%, February 17, 2012 (United Kingdom) 1,700,000 1,699,509
DnB NOR Bank ASA commercial paper 144A with an effective yield of zero %, April 25, 2012 (Norway) 1,500,000 1,499,700
FCAR Owner Trust I commercial paper with an effective yield of 0.427%, April 2, 2012 1,500,000 1,499,445
Govco, LLC commercial paper with an effective yield of 0.466%, April 24, 2012 2,000,000 1,998,619
ING America Insurance Holding, Inc. commercial paper with an effective yield of 0.859%, February 7, 2012 1,975,000 1,974,704
Interest in $53,000,000 joint tri-party term repurchase agreement dated 1/23/12 with JPMorgan Securities, LLC due 2/23/12, 0.30% (collateralized by various corporate bonds and notes with coupon rates ranging from 5.75% to 6.75% and due dates ranging from 7/30/19 to 10/15/39, valued at $55,650,255) (TR) 2,000,000 2,000,000
Liberty Mutual Group, Inc. commercial paper with an effective yield of 0.544%, February 7, 2012 2,000,000 1,999,813
Louis Dreyfus Commodities, LLC commercial paper with an effective yield of 0.560%, February 8, 2012 1,000,000 999,883
Marriot International, Inc./DE commercial paper with an effective yield of 0.534%, February 1, 2012 700,000 700,000
National Australia Bank/NY certificates of deposit 0.49%, May 2, 2012 700,000 699,940
NBCUniversal Media, LLC commercial paper with an effective yield of 0.444%, March 20, 2012 288,000 287,827
NBCUniversal Media, LLC commercial paper with an effective yield of 0.415%, February 10, 2012 1,000,000 999,892
NBCUniversal Media, LLC commercial paper with an effective yield of 0.437%, February 1, 2012 700,000 700,000
Nisource Finance Corp. commercial paper with an effective yield of 0.955%, February 17, 2012 1,700,000 1,699,244
Nordea Bank Finland PLC/NY certificates of deposit FRN 0.915%, February 6, 2013 1,000,000 997,373
Nordea Bank Finland PLC/NY certificates of deposit FRN 1.023%, April 5, 2013 1,825,000 1,816,152
Old Line Funding, LLC commercial paper with an effective yield of 0.198%, April 16, 2012 1,000,000 999,797
Prudential PLC commercial paper with an effective yield of 0.745%, March 23, 2012 (United Kingdom) 1,750,000 1,748,141
Prudential PLC commercial paper with an effective yield of 0.567%, February 6, 2012 (United Kingdom) 650,000 649,947
Royal Bank of Scotland PLC (The) commercial paper with an effective yield of 0.564%, April 11, 2012 (United Kingdom) 1,700,000 1,698,497
Sheffield Receivables Corp. commercial paper with an effective yield of 0.373%, February 6, 2012 (United Kingdom) 1,950,000 1,949,897
Standard Chartered Bank/New York commercial paper with an effective yield of 0.597%, May 31, 2012 2,000,000 1,996,276
Straight-A Funding, LLC commercial paper with an effective yield of 0.188%, April 16, 2012 3,400,000 3,399,388
Straight-A Funding, LLC commercial paper with an effective yield of 0.188%, March 1, 2012 7,500,000 7,498,852
Suncorp Group, Ltd. commercial paper with an effective yield of 0.532%, April 4, 2012 (Australia) 1,700,000 1,698,800
Svenska Handelsbanken, Inc. commercial paper with an effective yield of 0.316%, February 6, 2012 (Sweden) 2,000,000 1,999,912
Swedbank AB commercial bank with an effective yield of 0.495%, February 2, 2012 (Sweden) 1,000,000 999,986
TransCanada PipeLines, Ltd. commercial paper with an effective yield of 0.417%, February 6, 2012 (Canada) 2,000,000 1,999,881
U.S. Treasury Bills with an effective yield of 0.221%, March 8, 2012(SEGSF) 160,000 159,962
U.S. Treasury Bills with an effective yield of 0.110%, October 18, 2012(SEG)(SEGSF) 30,000,000 29,979,960
U.S. Treasury Bills with an effective yield of 0.099%, August 23, 2012(SEGSF) 8,000,000 7,996,152
U.S. Treasury Bills with an effective yield of 0.093%, September 20, 2012(SEGSF) 24,000,000 23,987,256
U.S. Treasury Bills with an effective yield of 0.071%, July 26, 2012(SEGSF) 20,000,000 19,992,180
U.S. Treasury Bills with effective yields ranging from 0.119% to 0.150%, May 3, 2012(SEG)(SEGSF) 19,000,000 18,997,321
U.S. Treasury Bills with effective yields ranging from 0.072% to 0.129%, April 5, 2012(SEGSF) 27,135,000 27,132,829
UBS Finance Delaware, LLC commercial paper with an effective yield of 0.569%, April 10, 2012 (Switzerland) 1,700,000 1,698,701
Variable Funding Capital Co. commercial paper with an effective yield of 0.178%, April 26, 2012 2,000,000 1,998,705
Viacom, Inc. commercial paper with an effective yield of 0.416%, February 24, 2012 1,975,000 1,974,457
Victory Receivables Corp. commercial paper with an effective yield of 0.266%, March 19, 2012 (Japan) 1,000,000 999,647
Vodafone Group PLC commercial paper with an effective yield of 1.044%, July 9, 2012 (United Kingdom) 1,700,000 1,694,054
Windmill Funding I Corp. commercial paper with an effective yield of 0.404%, March 27, 2012 (United Kingdom) 1,675,000 1,673,951
Working Capital Management Co. commercial paper with an effective yield of 0.331%, February 24, 2012 (Japan) 2,000,000 1,999,566
Xerox Corp. commercial paper with an effective yield of 0.523%, February 6, 2012 2,000,000 1,999,850
Total short-term investments (cost $224,234,414) $224,257,093

TOTAL INVESTMENTS
Total investments (cost $486,733,869)(b) $490,615,775













FORWARD CURRENCY CONTRACTS at 1/31/12 (aggregate face value $4,947,246) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Sell 2/15/12 $5,194 $5,051 $(143)
British Pound Buy 2/15/12 264,550 261,674 2,876
Canadian Dollar Buy 2/15/12 2,293 2,273 20
Canadian Dollar Sell 2/15/12 2,293 2,293 —
Euro Buy 2/15/12 13,212 13,164 48
Japanese Yen Buy 2/15/12 997 997 —
Japanese Yen Sell 2/15/12 997 990 (7)
Swedish Krona Buy 2/15/12 17,350 17,322 28
Swiss Franc Sell 2/15/12 63,998 62,913 (1,085)
Barclays Bank PLC
Australian Dollar Sell 2/15/12 410,683 399,386 (11,297)
British Pound Sell 2/15/12 303,468 300,163 (3,305)
Canadian Dollar Buy 2/15/12 12,961 12,853 108
Canadian Dollar Sell 2/15/12 12,961 12,956 (5)
Swiss Franc Buy 2/15/12 103,875 102,572 1,303
Citibank, N.A.
Australian Dollar Sell 2/15/12 229,618 226,678 (2,940)
British Pound Buy 2/15/12 19,223 19,250 (27)
British Pound Sell 2/15/12 19,223 19,014 (209)
Canadian Dollar Buy 2/15/12 2,991 2,797 194
Euro Buy 2/15/12 6,540 6,515 25
Japanese Yen Buy 2/15/12 2,399 2,383 16
Japanese Yen Sell 2/15/12 2,399 2,398 (1)
Swiss Franc Buy 2/15/12 326 322 4
Swiss Franc Sell 2/15/12 326 326 —
Credit Suisse AG
Australian Dollar Sell 2/15/12 3,498 3,400 (98)
British Pound Sell 2/15/12 355,307 351,363 (3,944)
Euro Buy 2/15/12 183,131 182,515 616
Swedish Krona Buy 2/15/12 9,402 9,393 9
Swedish Krona Sell 2/15/12 9,402 9,384 (18)
Swiss Franc Sell 2/15/12 61,173 60,381 (792)
Deutsche Bank AG
Australian Dollar Sell 2/15/12 3,604 3,500 (104)
British Pound Sell 2/15/12 163,236 161,512 (1,724)
Canadian Dollar Buy 2/15/12 11,465 11,464 1
Canadian Dollar Sell 2/15/12 11,465 11,364 (101)
Euro Sell 2/15/12 72,991 72,408 (583)
Swedish Krona Buy 2/15/12 8,815 8,782 33
Swedish Krona Sell 2/15/12 8,815 8,806 (9)
Swiss Franc Sell 2/15/12 29,880 29,522 (358)
Goldman Sachs International
Australian Dollar Sell 2/15/12 7,951 7,732 (219)
British Pound Buy 2/15/12 4,727 4,327 400
Canadian Dollar Buy 2/15/12 5,384 5,383 1
Canadian Dollar Sell 2/15/12 5,384 5,340 (44)
Euro Buy 2/15/12 189,410 188,674 736
South African Rand Sell 2/15/12 40,758 39,076 (1,682)
Swedish Krona Buy 2/15/12 18,482 18,426 56
Swiss Franc Sell 2/15/12 22,926 22,633 (293)
HSBC Bank USA, National Association
British Pound Buy 2/15/12 208,930 206,749 2,181
Euro Buy 2/15/12 9,549 9,514 35
Japanese Yen Buy 2/15/12 697 680 17
Swiss Franc Buy 2/15/12 53,241 52,588 653
JPMorgan Chase Bank, N.A.
Australian Dollar Sell 2/15/12 2,862 2,785 (77)
British Pound Buy 2/15/12 8,981 8,884 97
British Pound Sell 2/15/12 8,981 8,994 13
Canadian Dollar Sell 2/15/12 168,092 166,701 (1,391)
Euro Sell 2/15/12 58,340 58,127 (213)
Japanese Yen Buy 2/15/12 9,370 9,366 4
Japanese Yen Sell 2/15/12 9,370 9,311 (59)
Mexican Peso Buy 2/15/12 50,434 50,319 115
Swiss Franc Sell 2/15/12 45,744 45,175 (569)
Royal Bank of Scotland PLC (The)
British Pound Buy 2/15/12 17,962 17,988 (26)
British Pound Sell 2/15/12 17,962 17,763 (199)
Euro Buy 2/15/12 105,693 105,236 457
Japanese Yen Sell 2/15/12 80,683 80,125 (558)
Swedish Krona Buy 2/15/12 31,983 31,945 38
Swiss Franc Sell 2/15/12 217,311 214,684 (2,627)
State Street Bank and Trust Co.
Australian Dollar Buy 2/15/12 159,227 154,831 4,396
Euro Buy 2/15/12 4,447 4,431 16
Japanese Yen Buy 2/15/12 3,645 3,621 24
Japanese Yen Sell 2/15/12 3,645 3,644 (1)
South African Rand Buy 2/15/12 72,099 69,122 2,977
Swedish Krona Sell 2/15/12 192,852 192,202 (650)
Swiss Franc Buy 2/15/12 49,656 49,026 630
UBS AG
British Pound Buy 2/15/12 126,366 124,988 1,378
Canadian Dollar Buy 2/15/12 19,940 19,937 3
Canadian Dollar Sell 2/15/12 19,940 19,777 (163)
Euro Buy 2/15/12 262,924 261,923 1,001
Westpac Banking Corp.
Australian Dollar Sell 2/15/12 1,696 1,649 (47)
British Pound Buy 2/15/12 134,244 132,770 1,474
Euro Buy 2/15/12 79,924 79,637 287
Japanese Yen Buy 2/15/12 1,951 1,940 11
Japanese Yen Sell 2/15/12 1,951 1,950 (1)
Swedish Krona Sell 2/15/12 39,284 39,189 (95)
Total $(13,383)












FUTURES CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Canadian Government Bond 10 yr (Long) 6 $805,246             Mar-12 $13,018
Euro-Bund 10 yr (Short) 11 2,010,368             Mar-12 (31,220)
Euro-Swiss Franc 3 Month (Short) 15 4,077,539             Dec-12 (63,096)
Euro-Swiss Franc 3 Month (Short) 15 4,074,688             Jun-12 (45,408)
Euro-Swiss Franc 3 Month (Short) 15 4,072,243             Mar-12 (33,377)
U.S. Treasury Bond 30 yr (Long) 89 14,237,219             Mar-12 145,847
U.S. Treasury Bond 30 yr (Short) 53 7,708,188             Mar-12 (167,390)
U.S. Treasury Note 10 yr (Short) 263 34,781,750             Mar-12 (607,187)
Total $(788,813)












WRITTEN OPTIONS OUTSTANDING at 1/31/12 (premiums received $17,865,843) (Unaudited)


Contract       Expiration date/
amount       strike price Value
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. $4,204,800       Aug-15/4.375 $219,150
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 4,204,800       Aug-15/4.375 1,385,839
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 4,204,800       Aug-15/4.46 206,006
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 4,204,800       Aug-15/4.46 1,445,101
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.7975% versus the three month USD-LIBOR-BBA maturing October 2021. 989,000       Oct-16/2.7975 34,130
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.5625% versus the three month USD-LIBOR-BBA maturing October 2021. 2,472,000       Oct-16/2.5625 71,317
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 12,330,841       Aug-16/3.625 644,903
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 12,330,841       Aug-16/3.625 1,198,558
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 5.35% versus the three month USD-LIBOR-BBA maturing August 2026. 1,481,037       Aug-16/5.35 31,995
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. 1,481,037       Aug-16/4.35 208,788
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 1,979,672       Aug-16/4.17 35,832
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 1,979,672       Aug-16/4.17 156,550
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 6,747,076       Aug-16/4.28 242,524
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 6,747,076       Aug-16/4.28 919,977
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 2,609,555       Aug-16/4.68 78,548
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 2,609,555       Aug-16/4.68 426,140
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 2,174,629       Jul-16/4.67 65,674
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 2,174,629       Jul-16/4.67 353,595
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 2,174,629       Jul-16/4.80 61,759
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 2,174,629       Jul-16/4.80 373,166
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 869,852       Jul-16/4.80 24,617
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 869,852       Jul-16/4.80 149,354
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 2,174,629       Jul-16/4.815 61,107
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 2,174,629       Jul-16/4.815 375,558
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 4,073,428       Jul-16/4.79 110,276
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 4,073,428       Jul-16/4.79 710,671
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 2,164,363       Jul-16/4.74 60,031
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 2,164,363       Jul-16/4.74 370,435
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.86% versus the three month USD-LIBOR-BBA maturing June 2026. 1,738,940       Jun-16/5.86 26,971
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing June 2026. 1,738,940       Jun-16/4.86 306,617
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 1,348,204       Jun-16/4.815 34,741
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 1,348,204       Jun-16/4.815 239,588
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 2021. 3,006,194       Jun-16/5.12 31,700
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 2021. 2,958,171       Jun-16/4.89 35,794
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 2,939,389       Jun-16/4.575 39,782
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 2021. 3,006,194       Jun-16/4.12 236,759
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 2021. 2,958,171       Jun-16/4.39 262,715
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 2,939,389       Jun-16/4.575 285,767
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 4,829,800       Sep-15/4.04 150,728
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 4,829,800       Sep-15/4.04 633,525
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 91,380       Feb-15/5.27 1,006
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 91,380       Feb-15/5.27 21,345
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 1,612,471       Aug-14/4.20 27,896
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 1,612,471       Aug-14/4.20 250,173
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 1,343,726       Jul-14/4.19 23,246
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 1,343,726       Jul-14/4.19 207,814
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 537,490       Jul-14/4.34 8,331
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 1,343,726       Jul-14/4.35 20,693
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 537,490       Jul-14/4.34 89,253
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 1,343,726       Jul-14/4.35 224,178
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 1,343,729       Jul-14/4.3725 20,290
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 1,343,729       Jul-14/4.3725 226,983
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 2,517,014       Jul-14/4.36 35,412
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 2,517,014       Jul-14/4.36 429,732
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 1,337,383       Jul-14/4.29 19,753
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 1,337,383       Jul-14/4.29 221,135
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.3625% versus the three month USD-LIBOR-BBA maturing January 2023. 625,000       Jan-13/2.3625 26,263
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2022. 625,000       Dec-12/2.355 26,038
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.345% versus the three month USD-LIBOR-BBA maturing December 2022. 625,000       Dec-12/2.345 25,631
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.335% versus the three month USD-LIBOR-BBA maturing November 2022. 625,000       Nov-12/2.335 25,214
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.32% versus the three month USD-LIBOR-BBA maturing November 2022. 625,000       Nov-12/2.32 24,700
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.443% versus the three month USD-LIBOR-BBA maturing October 2022. 2,233,000       Oct-12/2.443 105,130
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.419% versus the three month USD-LIBOR-BBA maturing September 2022. 2,233,000       Sep-12/2.419 101,423
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing August 2022. 5,381,000       Aug-12/2.4475 255,436
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 11,940,600       Aug-12/2.855 65,673
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 11,940,600       Aug-12/2.855 937,098
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA August 2022. 10,135,800       Aug-12/2.73 70,140
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. 10,135,800       Aug-12/2.73 693,796
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.394% versus the three month USD-LIBOR-BBA maturing August 2022. 2,233,000       Aug-12/2.394 97,604
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.6825% versus the three month USD-LIBOR-BBA maturing July 2022. 579,000       Jul-12/2.6825 37,681
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 536,000       Jul-12/2.1714 15,689
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 536,000       Jul-12/2.1714 15,689
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 536,000       Jul-12/2.1714 15,689
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 536,000       Jul-12/2.1714 15,689
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 536,000       Jul-12/2.1714 15,689
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 4,083,000       Jul-12/2.6075 241,918
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 4,083,000       Jul-12/2.6075 241,918
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.61875% versus the three month USD-LIBOR-BBA maturing July 2022. 4,083,000       Jul-12/2.61875 245,388
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.372% versus the three month USD-LIBOR-BBA maturing July 2022. 2,233,000       Jul-12/2.372 93,496
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 525,000       Jun-12/2.183 15,346
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 525,000       Jun-12/2.183 15,346
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 525,000       Jun-12/2.183 15,346
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 525,000       Jun-12/2.183 15,346
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 525,000       Jun-12/2.183 15,346
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.346% versus the three month USD-LIBOR-BBA maturing June 2022. 2,233,000       Jun-12/2.346 88,940
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.324% versus the three month USD-LIBOR-BBA maturing May 2022. 2,233,000       May-12/2.324 84,474
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.60% versus the three month USD-LIBOR-BBA maturing April 2022. 797,000       Apr-12/2.60 47,756
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 793,000       Apr-12/2.111 17,890
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 793,000       Apr-12/2.111 17,890
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 793,000       Apr-12/2.111 17,890
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 793,000       Apr-12/2.111 17,890
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 793,000       Apr-12/2.111 17,890
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.498 202,002
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.498 202,002
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 189,400       Apr-12/4.8675 —
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 189,400       Apr-12/4.8675 50,985
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.4275 178,736
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.4275 178,736
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.4275 178,736
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.4275 178,736
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.4275 178,736
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 3,930,000       Apr-12/2.4275 178,736
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 770,000       Mar-12/2.119 16,216
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 770,000       Mar-12/2.119 16,216
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 770,000       Mar-12/2.119 16,216
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 770,000       Mar-12/2.119 16,216
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 770,000       Mar-12/2.119 16,216
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. 3,625,739       May-16/5.11 38,186
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing May 2021. 3,569,888       May-16/4.86 42,839
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 3,552,121       May-16/4.60 47,250
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing May 2021. 3,625,739       May-16/4.11 284,407
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing May 2021. 3,569,888       May-16/4.36 313,186
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 3,552,121       May-16/4.60 348,108
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 6,400,199       May-16/4.765 77,993
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 6,400,199       May-16/4.765 672,021
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 4,448,392       May-16/4.7575 56,495
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 6,793,157       May-16/4.745 85,594
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 16,982,891       May-16/4.77 213,984
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 4,448,392       May-16/4.7575 460,960
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 6,793,157       May-16/4.745 700,449
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 16,982,891       May-16/4.77 1,767,902
Total $24,631,729












TBA SALE COMMITMENTS OUTSTANDING at 1/31/12 (proceeds receivable $11,399,297) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, February 1, 2042 $3,000,000       2/13/12 $3,171,094
Federal National Mortgage Association, 3 1/2s, February 1, 2042 8,000,000       2/13/12 8,311,875
Total $11,482,969















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/12 (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.
$11,994,000 $—      1/12/22 3 month USD-LIBOR-BBA 2.13057% $257,901
11,247,000 —      1/13/14 3 month USD-LIBOR-BBA 0.6075% 19,676
1,435,000 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 22,853
1,264,600 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 17,617
12,131,300 —      1/13/17 1.1642% 3 month USD-LIBOR-BBA (110,126)
2,576,000 —      1/24/22 3 month USD-LIBOR-BBA 2.16% 60,344
3,072,000 —      1/25/22 3 month USD-LIBOR-BBA 2.1825% 78,197
323,000 (E) —      2/13/22 3 month USD-LIBOR-BBA 2.24% 9,541
5,404,500 320,757      1/19/22 4.72% 3 month USD-LIBOR-BBA (1,096,791)
563,000 —      1/9/17 1.253% 3 month USD-LIBOR-BBA (7,659)
17,509,000 —      1/9/22 3 month USD-LIBOR-BBA 2.11% 346,106
581,000 —      1/9/42 3 month USD-LIBOR-BBA 2.723% 12,243
CAD 2,280,000 —      1/23/17 1.6325% 3 month CAD-BA-CDOR (19,001)
Barclays Bank PLC
$21,459,000 —      1/5/17 1.2685% 3 month USD-LIBOR-BBA (311,783)
16,462,000 —      1/11/14 3 month USD-LIBOR-BBA 0.6575% 45,215
475,000 —      1/11/14 0.65625% 3 month USD-LIBOR-BBA (1,295)
8,121,000 —      1/12/14 3 month USD-LIBOR-BBA 0.655% 21,876
95,000 —      1/12/17 1.226% 3 month USD-LIBOR-BBA (1,154)
1,175,000 —      1/13/22 2.074% 3 month USD-LIBOR-BBA (18,991)
165,000 —      1/13/22 2.05125% 3 month USD-LIBOR-BBA (2,317)
553,000 —      1/13/14 3 month USD-LIBOR-BBA 0.608% 973
3,955,400 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (35,107)
632,300 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 8,808
3,619,000 —      1/17/22 3 month USD-LIBOR-BBA 2.028% 41,881
3,311,000 —      1/17/14 3 month USD-LIBOR-BBA 0.5675% 3,160
12,897,000 —      1/19/22 1.9955% 3 month USD-LIBOR-BBA (109,007)
5,859,000 (10,253)     1/3/14 0.6075% 3 month USD-LIBOR-BBA (20,650)
11,650,000 —      1/19/42 2.6192% 3 month USD-LIBOR-BBA 19,572
1,833,000 —      1/19/22 1.992% 3 month USD-LIBOR-BBA (14,886)
4,429,000 —      1/20/22 3 month USD-LIBOR-BBA 1.993% 36,105
1,698,000 —      1/20/42 2.631% 3 month USD-LIBOR-BBA (968)
3,440,000 —      1/23/14 0.5875% 3 month USD-LIBOR-BBA (4,679)
197,000 —      1/24/14 3 month USD-LIBOR-BBA 0.5875% 266
59,000 —      1/24/22 2.1375% 3 month USD-LIBOR-BBA (1,259)
1,254,000 —      1/24/14 3 month USD-LIBOR-BBA 0.591% 1,781
641,000 (E) —      4/11/22 2.265% 3 month USD-LIBOR-BBA (17,877)
4,415,000 —      1/27/22 2.082125% 3 month USD-LIBOR-BBA (70,481)
2,770,000 —      1/30/22 2.062% 3 month USD-LIBOR-BBA (38,438)
1,517,000 —      1/31/22 2.01% 3 month USD-LIBOR-BBA (13,736)
2,802,000 —      2/2/17 1.035% 3 month USD-LIBOR-BBA (5,438)
3,810,000 —      2/2/22 1.965% 3 month USD-LIBOR-BBA (18,118)
4,665,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (972)
16,930,000 —      2/2/14 0.515% 3 month USD-LIBOR-BBA 1,000
4,306,000 —      2/2/22 1.92833% 3 month USD-LIBOR-BBA (5,519)
904,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 38,773
AUD 5,010,000 —      1/27/17 4.43% 6 month AUD-BBR-BBSW (58,447)
AUD 2,180,000 —      1/27/22 6 month AUD-BBR-BBSW 4.81% 48,049
AUD 530,000 —      2/1/22 4.609% 6 month AUD-BBR-BBSW (2,562)
GBP 1,210,000 —      1/23/22 2.4275% 6 month GBP-LIBOR-BBA (30,737)
GBP 910,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (112,948)
GBP 412,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (90,519)
GBP 1,380,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 198,585
Citibank, N.A.
$20,864,000 —      1/12/14 0.6565% 3 month USD-LIBOR-BBA (56,845)
285,000 —      1/12/17 3 month USD-LIBOR-BBA 1.2264% 3,467
7,924,000 —      1/19/22 3 month USD-LIBOR-BBA 2.021% 85,822
1,672,000 —      1/19/42 3 month USD-LIBOR-BBA 2.6455% 6,586
363,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 3,300
904,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 38,773
3,361,000 73,151      1/17/22 2.4475% 3 month USD-LIBOR-BBA (97,136)
1,630,000 —      1/10/17 3 month USD-LIBOR-BBA 1.216% 19,126
Credit Suisse International
22,975,000 —      1/5/14 0.73% 3 month USD-LIBOR-BBA (96,503)
8,731,000 —      1/5/17 3 month USD-LIBOR-BBA 1.26875% 127,031
2,962,000 —      1/6/17 3 month USD-LIBOR-BBA 1.2753% 43,911
71,953,000 —      1/12/14 0.6525% 3 month USD-LIBOR-BBA (190,131)
116,600,000 —      1/13/14 0.617% 3 month USD-LIBOR-BBA (226,698)
1,617,000 —      1/13/17 3 month USD-LIBOR-BBA 1.1795% 15,888
2,037,700 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 32,452
9,817,100 —      1/13/17 1.164104% 3 month USD-LIBOR-BBA (89,118)
4,614,000 —      1/17/22 2.0505% 3 month USD-LIBOR-BBA (63,079)
20,086,000 —      1/17/42 2.688% 3 month USD-LIBOR-BBA (263,309)
12,505,000 —      1/20/14 3 month USD-LIBOR-BBA 0.583% 16,020
64,000 —      1/20/42 3 month USD-LIBOR-BBA 2.673% 624
591,000 —      1/23/17 1.165% 3 month USD-LIBOR-BBA (5,141)
115,000 —      1/23/42 3 month USD-LIBOR-BBA 2.765% 3,357
1,594,000 —      1/23/22 2.09875% 3 month USD-LIBOR-BBA (28,319)
11,723,000 —      1/27/14 0.550278% 3 month USD-LIBOR-BBA (7,196)
3,454,000 —      1/27/14 3 month USD-LIBOR-BBA 0.56% 2,780
6,418,000 —      1/30/14 0.533% 3 month USD-LIBOR-BBA (1,753)
904,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 38,773
1,675,000 —      1/30/17 3 month USD-LIBOR-BBA 1.075% 6,732
1,059,000 —      1/30/22 2.0725% 3 month USD-LIBOR-BBA (15,733)
311,000 —      1/30/42 2.81% 3 month USD-LIBOR-BBA (11,957)
604,000 —      1/30/17 1.056% 3 month USD-LIBOR-BBA (1,866)
1,060,000 —      2/1/17 1.04% 3 month USD-LIBOR-BBA (2,321)
4,806,000 —      2/2/14 0.529% 3 month USD-LIBOR-BBA (1,062)
4,663,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (972)
9,501,000 —      2/2/14 0.514% 3 month USD-LIBOR-BBA 751
463,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 16,349
CHF 550,000 —      1/23/22 6 month CHF-LIBOR-BBA 1.1225% 3,453
CHF 550,000 —      1/25/22 6 month CHF-LIBOR-BBA 1.1775% 6,698
GBP 910,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 103,202
SEK 4,410,000 —      1/23/22 2.30% 3 month SEK-STIBOR-SIDE 1,549
SEK 4,410,000 —      1/25/22 2.4275% 3 month SEK-STIBOR-SIDE (5,821)
Deutsche Bank AG
$10,141,000 —      1/6/14 0.7245% 3 month USD-LIBOR-BBA (41,501)
3,847,000 —      1/6/17 3 month USD-LIBOR-BBA 1.257% 53,559
5,171,000 —      1/6/17 3 month USD-LIBOR-BBA 1.255% 71,519
7,761,000 —      1/6/14 3 month USD-LIBOR-BBA 0.7225% 31,440
96,531,000 —      1/13/14 3 month USD-LIBOR-BBA 0.618% 189,658
6,272,000 —      1/13/17 3 month USD-LIBOR-BBA 1.178% 61,182
9,633,600 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (85,505)
1,580,700 —      1/13/22 3 month USD-LIBOR-BBA 2.05375% 22,577
5,717,000 —      1/19/14 0.5625% 3 month USD-LIBOR-BBA (4,999)
55,000 —      1/19/17 1.102% 3 month USD-LIBOR-BBA (318)
2,173,000 —      1/20/17 1.10% 3 month USD-LIBOR-BBA (12,275)
14,073,000 —      1/20/22 2.02% 3 month USD-LIBOR-BBA (150,161)
12,723,000 —      1/20/42 3 month USD-LIBOR-BBA 2.656% 77,922
232,000 —      1/20/17 1.1225% 3 month USD-LIBOR-BBA (1,567)
9,388,000 —      1/23/22 2.0475% 3 month USD-LIBOR-BBA (121,994)
3,803,000 —      1/23/22 2.108% 3 month USD-LIBOR-BBA (70,843)
19,350,000 —      1/23/17 3 month USD-LIBOR-BBA 1.15641% 160,154
545,000 —      1/24/17 3 month USD-LIBOR-BBA 1.19233% 5,443
8,571,000 —      1/30/14 0.53125% 3 month USD-LIBOR-BBA (2,177)
4,665,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (972)
184,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 1,549
904,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 38,773
734,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 36,230
12,102,578 (22,844)     1/5/14 0.545% 3 month USD-LIBOR-BBA (29,218)
6,229,000 —      1/3/14 0.773% 3 month USD-LIBOR-BBA (31,539)
42,821,000 —      1/5/17 1.2699% 3 month USD-LIBOR-BBA (625,198)
EUR 3,420,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (446,136)
Goldman Sachs International
$3,143,000 —      1/5/17 3 month USD-LIBOR-BBA 1.285% 48,217
49,168,000 —      1/6/17 3 month USD-LIBOR-BBA 1.2568% 684,029
39,554,000 —      1/12/14 3 month USD-LIBOR-BBA 0.6565% 107,767
659,000 —      1/12/17 1.2185% 3 month USD-LIBOR-BBA (7,757)
2,000,000 —      1/13/14 3 month USD-LIBOR-BBA 0.609% 3,560
17,034,700 —      1/13/17 1.164785% 3 month USD-LIBOR-BBA (155,154)
4,768,000 (8,284)     1/4/14 0.61% 3 month USD-LIBOR-BBA (16,989)
904,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 38,773
15,530,000 —      1/30/22 2.052% 3 month USD-LIBOR-BBA (201,056)
15,559,000 —      1/30/42 3 month USD-LIBOR-BBA 2.8019% 571,281
8,481,000 (F) —      2/1/17 3 month USD-LIBOR-BBA 1.041% 19,455
376,000 —      2/2/42 3 month USD-LIBOR-BBA 2.695% 5,307
2,220,000 —      2/2/17 3 month USD-LIBOR-BBA 0.98875% (775)
87,000 —      2/2/42 2.64% 3 month USD-LIBOR-BBA (174)
734,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 36,230
1,020,000 (11,526)     1/27/22 3 month USD-LIBOR-BBA 2.27% 22,608
762,000 16,107      1/27/22 2.52% 3 month USD-LIBOR-BBA (27,131)
2,332,000 (E) —      2/7/17 1.35% 3 month USD-LIBOR-BBA (40,017)
EUR 3,400,000 —      9/29/21 6 month EUR-EURIBOR-REUTERS 2.54% 144,466
GBP 781,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 42,878
GBP 412,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 38,311
GBP 741,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (35,065)
GBP 710,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (81,114)
GBP 710,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (74,334)
JPMorgan Chase Bank, N.A.
$13,976,000 —      1/11/17 1.2125% 3 month USD-LIBOR-BBA (161,073)
8,858,000 —      1/11/17 3 month USD-LIBOR-BBA 1.187% 90,979
21,762,000 —      1/13/14 3 month USD-LIBOR-BBA 0.613% 40,526
168,000 —      1/13/17 3 month USD-LIBOR-BBA 1.1673% 1,551
15,138,600 —      1/13/17 1.168249% 3 month USD-LIBOR-BBA (140,484)
80,512,000 —      1/17/14 0.587% 3 month USD-LIBOR-BBA (108,049)
13,080,000 —      1/17/17 1.115% 3 month USD-LIBOR-BBA (84,855)
68,000 —      1/19/22 1.99% 3 month USD-LIBOR-BBA (540)
46,000 —      1/19/14 0.56% 3 month USD-LIBOR-BBA (38)
34,693,000 —      1/20/22 3 month USD-LIBOR-BBA 2.0075% 329,803
386,000 —      1/20/42 3 month USD-LIBOR-BBA 2.6455% 1,498
6,405,000 —      1/20/22 3 month USD-LIBOR-BBA 2.029% 73,676
1,282,000 —      1/23/42 3 month USD-LIBOR-BBA 2.688% 16,367
16,260,000 —      1/23/14 3 month USD-LIBOR-BBA 0.59% 22,940
10,871,000 —      1/23/22 3 month USD-LIBOR-BBA 2.097184% 191,609
2,129,000 —      1/25/17 3 month USD-LIBOR-BBA 1.2255% 24,644
2,545,000 —      1/26/22 2.154% 3 month USD-LIBOR-BBA (57,838)
3,150,000 —      1/27/22 3 month USD-LIBOR-BBA 2.10% 55,553
904,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 38,773
3,361,000 72,113      1/17/22 2.453% 3 month USD-LIBOR-BBA (99,895)
3,932,000 —      2/1/22 1.956% 3 month USD-LIBOR-BBA (15,256)
4,665,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (972)
1,388,000 (26,580)     1/19/22 3 month USD-LIBOR-BBA 2.2775% 21,620
9,007,500 519,733      1/17/22 4.80% 3 month USD-LIBOR-BBA (1,911,575)
CAD 590,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (13,716)
CAD 1,160,000 —      1/24/22 2.3825% 3 month CAD-BA-CDOR (18,187)
EUR 2,280,000 —      12/16/16 1 month EUR-EONIA-OIS-COMPOUND 1.205% 44,446
EUR 5,590,000 —      12/16/13 0.52% 1 month EUR-EONIA-OIS-COMPOUND (22,748)
JPY 8,800,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 3,587
JPY 11,800,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (1,246)
UBS AG
CHF 9,043,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (143,270)
Total $(3,092,510)
(E)   See Interest rate swap contracts note regarding extended effective dates.
(F)   Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.











TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
$2,337,191 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools $(44,658)
Barclays Bank PLC
802,537 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 843
720,040 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (14,100)
1,820,155 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,866
69,664 305      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (1,033)
92,830 (15)     1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (1,934)
3,271,988 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 22,613
4,607,303 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,510)
2,969,600 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,973)
2,288,469 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 621
11,953,269 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (35,052)
7,886,541 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,139
1,614,440 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 438
10,308,471 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (30,229)
7,532,979 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,043
3,021,810 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 13,413
352,968 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,826)
800,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (15,174)
2,337,191 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 44,658
1,805,583 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (33,568)
685,295 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (12,740)
2,302,718 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,752)
3,082,694 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 13,683
4,350,912 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,759)
624,542 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (11,611)
2,054,068 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 3,235
5,518,965 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,497
413,931 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 846
171,709 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (114)
555,950 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (369)
403,031 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (268)
4,257,457 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (86,033)
Citibank, N.A.
573,126 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 155
6,976,583 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (133,305)
Credit Suisse International
804,072 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (15,364)
2,134,369 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,259)
Deutsche Bank AG
2,024,416 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 19,577
2,134,369 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,259)
Goldman Sachs International
460,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 4,137
345,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 2,760
212,299 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (4,157)
5,117,776 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,388
4,921,589 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 34,014
EUR 2,294,000 —      10/18/13 (1.7775%) Eurostat Eurozone HICP excluding tobacco (32,137)
Total $(354,258)











CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(1,513) $170,000 12/20/19 (100 bp) $25,673
Deutsche Bank AG
  France, Gov't of, 4.25%, 04/25/2019 — 1,870 2,000,000 6/20/15 (100 bp) 32,981
JPMorgan Chase Bank, N.A.
  Republic of Italy, 6 7/8%, 9/27/23 — (364,425) 1,376,000 12/20/21 (100 bp) (85,048)
  Republic of Italy, 6 7/8%, 9/27/23 A2 305,195 3,476,000 12/20/13 100 bp 120,284
Total $93,890
*   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 January 31, 2012.  










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
EMTN Euro Medium Term Notes
FDIC Guaranteed Federal Deposit Insurance Corp. Guaranteed
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
GMTN Global Medium Term Notes
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
MTN Medium Term Notes
MTNA Medium Term Notes Class A
OJSC Open Joint Stock Company
PO Principal Only
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
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 November 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $349,399,518.
(b) The aggregate identified cost on a tax basis is $487,242,877, resulting in gross unrealized appreciation and depreciation of $9,482,717 and $6,109,819, respectively, or net unrealized appreciation of $3,372,898.
(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.
(FWC) Forward commitment, in part or in entirety.
The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $2,344 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $92,608,009 and $96,897,751, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
(TR) Maturity value of a term repurchase agreement will equal the principal amount of the repurchase agreement plus interest.
At the close of the reporting period, the fund maintained liquid assets totaling $173,286,894 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: 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 considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses 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”.
Outstanding number of contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk and to gain exposure to interest rates.
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. Options traded over-the-counter are valued using prices supplied by dealers.
The fund had an average contract amount of approximately $412,900,000 on purchased options contracts for the reporting period. Outstanding contracts on written options contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Total return swap contracts: The fund enters into 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/industries, to gain exposure to rates of inflation in specific regions/countries and to hedge inflation in specific regions/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. 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 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.
Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Interest rate swap contracts: The fund enters into 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 interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate 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 interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
The fund had an average notional amount of approximately $1,555,200,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund enters into credit default contracts to hedge credit risk.
In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract.
The fund had an average notional amount of approximately $5,800,000 on credit default swap contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter 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 $1,265,303 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 $21,472,580 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $20,194,561.
TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $10,971,478 $—
Corporate bonds and notes — 42,901,910 —
Foreign government bonds and notes — 2,222,217 —
Mortgage-backed securities — 90,238,573 16,692
Purchased options outstanding — 9,486,086 —
U.S. Government Agency Obligations — 394,866 —
U.S. Government and Agency Mortgage Obligations — 110,066,091 —
U.S. Treasury Obligations — 60,769 —
Short-term investments — 224,257,093 —
Totals by level $— $490,599,083 $16,692



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $(13,383) $—
Futures contracts (788,813) — —
Written options — (24,631,729) —
TBA sale commitments — (11,482,969) —
Interest rate swap contracts — (4,014,884) —
Total return swap contracts — (354,548) —
Credit default contracts — 152,763 —
Totals by level $(788,813) $(40,344,750) $—


At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $337,674 $184,911
Foreign exchange contracts 22,281 35,664
Interest rate contracts 15,191,609 35,495,497
Total $15,551,564 $35,716,072


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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: October 31, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Absolute Return 300 Fund

The fund's portfolio
1/31/12 (Unaudited)
MORTGAGE-BACKED SECURITIES (39.5%)(a)
Principal amount Value
Adjustable Rate Mortgage Trust
     FRB Ser. 06-1, Class 5A1, 3.365s, 2036 $6,369,930 $2,834,619
     FRB Ser. 05-11, Class 5A1, 0.546s, 2036 11,596,225 6,145,999
American Home Mortgage Assets FRB Ser. 06-6, Class A1A, 0.466s, 2046 5,974,267 2,628,678
Banc of America Commercial Mortgage, Inc.
     FRB Ser. 07-3, Class A2, 5.843s, 2049 1,760,178 1,777,686
     Ser. 04-3, Class D, 5.786s, 2039 2,832,319 2,552,967
     Ser. 07-2, Class A2, 5.634s, 2049 4,967,900 5,131,624
     Ser. 06-5, Class A2, 5.317s, 2047 7,882,967 7,990,672
     Ser. 06-6, Class A2, 5.309s, 2045 4,260,511 4,262,296
     Ser. 04-4, Class D, 5.073s, 2042 1,827,000 1,731,083
     Ser. 07-1, Class XW, IO, 0.456s, 2049 7,175,077 83,403
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 03-1, Class F, 5.507s, 2036 1,954,000 1,943,644
     Ser. 04-4, Class XC, IO, 1.042s, 2042 6,895,337 127,309
     Ser. 02-PB2, Class XC, IO, 0.806s, 2035 10,636,874 13,402
Barclays Capital LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.87s, 2046 46,036,430 1,881,020
     Ser. 09-RR7, Class 2A7, IO, 1.584s, 2047 107,211,329 4,459,991
     Ser. 09-RR7, Class 2A1, IO, 3/4s, 2047 121,048,612 2,989,901
     Ser. 09-RR7, Class 1A1, IO, 3/4s, 2046 125,578,475 3,101,788
Barclays Capital, LLC Trust FRB Ser. 07-AA2, Class 12A1, 0.486s, 2047 3,433,708 1,613,843
Bear Stearns Alt-A Trust FRB Ser. 05-9, Class 11A1, 0.536s, 2035 2,837,399 1,376,138
Bear Stearns Commercial Mortgage Securities, Inc. 144A Ser. 02-PBW1, Class G, 5.83s, 2035 1,867,000 1,796,427
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 19,785,959 496,628
     Ser. 07-AR5, Class 1X2, IO, 1/2s, 2047 11,908,061 242,924
     Ser. 06-AR5, Class 1X, IO, 1/2s, 2046 26,411,384 470,123
     Ser. 07-AR3, Class 1X, IO, 1/2s, 2037 13,580,756 217,292
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 14,134,813 192,233
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class AJ, 4.96s, 2043 2,520,000 2,420,914
Citigroup Mortgage Loan Trust, Inc.
     FRB Ser. 07-AR1, Class A3, 0.496s, 2037 2,218,452 1,109,226
     FRB Ser. 07-AR1, Class A2, 0.436s, 2037 2,134,869 1,099,031
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 07-CD4, Class A2B, 5.205s, 2049 3,689,440 3,704,770
Commercial Mortgage Asset Trust FRB Ser. 99-C2, Class E, 7.64s, 2032 1,914,000 2,004,915
Commercial Mortgage Pass-Through Certificates
     Ser. 06-C8, Class A2B, 5.25s, 2046 1,776,208 1,781,841
     Ser. 05-LP5, Class B, 5.105s, 2043(F) 4,064,000 3,823,056
Countrywide Alternative Loan Trust
     FRB Ser. 05-84, Class 4A1, 5.666s, 2036 17,049,361 9,803,382
     FRB Ser. 07-OA11, Class A1A, 1.577s, 2047 8,027,333 4,029,764
     FRB Ser. 05-38, Class A3, 0.626s, 2035 3,140,102 1,674,960
     FRB Ser. 07-OA4, Class A1, 0.446s, 2047 6,561,427 3,822,031
Countrywide Home Loans 144A
     Ser. 05-R3, Class AS, IO, 5.581s, 2035 198,967 34,299
     FRB Ser. 05-R3, Class AF, 0.676s, 2035 195,552 157,419
Credit Suisse Mortgage Capital Certificates FRB Ser. 07-C4, Class A2, 5.987s, 2039 4,006,427 4,023,514
CS First Boston Mortgage Securities Corp.
     FRB Ser. 04-C2, Class D, 5.575s, 2036 2,196,000 2,152,080
     Ser. 05-C5, Class AJ, 5.1s, 2038(F) 3,872,000 3,875,607
     Ser. 05-C1, Class AJ, 5.075s, 2038 1,745,000 1,776,288
     Ser. 03-CPN1, Class E, 4.891s, 2035 1,849,000 1,790,220
CS First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 2,328,000 2,456,040
     Ser. 03-C3, Class AX, IO, 1.922s, 2038 66,599,480 972,619
     Ser. 04-C4, Class AX, IO, 1.19s, 2039 6,668,857 140,713
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust FRB Ser. 06-AR1, Class 1A3, 0.606s, 2036 5,043,430 1,765,201
DLJ Commercial Mortgage Corp. 144A
     FRB Ser. 98-CG1, Class B4, 7.452s, 2031 2,057,000 2,177,688
     Ser. 98-CF2, Class B3, 6.04s, 2031 3,868,767 4,039,235
Federal Home Loan Mortgage Corp.
     IFB Ser. 2976, Class LC, 23.358s, 2035 236,105 377,306
     IFB Ser. 3072, Class SM, 22.735s, 2035 652,710 1,011,257
     IFB Ser. 3072, Class SB, 22.588s, 2035 584,809 902,274
     IFB Ser. 3249, Class PS, 21.319s, 2036 539,168 797,523
     IFB Ser. 2990, Class LB, 16.205s, 2034 1,435,418 1,967,814
     IFB Ser. 3835, Class SN, 15.401s, 2041 29,210,480 41,007,132
     IFB Ser. 3859, Class SG, IO, 6.41s, 2039 4,377,726 657,928
     IFB Ser. 3727, Class PS, IO, 6.41s, 2038 34,871,647 3,894,549
     IFB Ser. 3287, Class SE, IO, 6.41s, 2037(F) 878,675 111,429
     IFB Ser. 3835, Class SC, IO, 6.36s, 2038 25,316,685 4,644,346
     IFB Ser. 3856, Class PS, IO, 6.31s, 2040 4,828,099 744,944
     IFB Ser. 3852, Class KS, IO, 6.26s, 2041 16,247,277 2,673,814
     IFB Ser. 3677, Class SA, IO, 6.26s, 2040 36,168,806 3,806,043
     IFB Ser. 3708, Class SQ, IO, 6.26s, 2040 22,222,261 2,872,005
     IFB Ser. 3907, Class KS, IO, 6.26s, 2040 10,358,627 1,745,543
     IFB Ser. 3708, Class SA, IO, 6.16s, 2040 44,554,901 5,642,433
     IFB Ser. 3934, Class SA, IO, 6.11s, 2041 2,358,926 397,267
     IFB Ser. 3852, Class NT, 5.71s, 2041 12,272,139 12,920,230
     IFB Ser. 3852, Class TB, 5.71s, 2041 2,101,375 2,214,009
     IFB Ser. 3752, Class PS, IO, 5.71s, 2040 20,983,064 3,586,635
     Ser. 3645, Class ID, IO, 5s, 2040 668,470 59,119
     Ser. 3680, Class KI, IO, 5s, 2038 16,066,557 2,153,883
     Ser. 3632, Class CI, IO, 5s, 2038 745,740 62,336
     Ser. 3626, Class DI, IO, 5s, 2037 506,489 22,422
     Ser. 3653, Class CI, IO, 5s, 2036 9,385,514 407,801
     Ser. 3623, Class CI, IO, 5s, 2036 462,051 34,654
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 847,761 96,677
     Ser. 3736, Class QI, IO, 4s, 2034 17,030,782 628,010
     Ser. 3751, Class MI, IO, 4s, 2034 1,762,706 84,857
     Ser. 3707, Class HI, IO, 4s, 2023 1,398,176 47,622
     Ser. T-8, Class A9, IO, 0.441s, 2028 627,930 4,709
     Ser. T-59, Class 1AX, IO, 0.275s, 2043 1,409,147 10,569
     Ser. T-48, Class A2, IO, 0.212s, 2033 2,015,115 14,449
     FRB Ser. T-54, Class 2A, IO, zero %, 2043 818,917 128
Federal National Mortgage Association
     IFB Ser. 04-10, Class QC, 27.62112s, 2031 2,115,637 2,930,736
     IFB Ser. 05-74, Class NK, 26.119s, 2035 139,555 254,564
     IFB Ser. 07-53, Class SP, 23.187s, 2037 566,456 885,402
     IFB Ser. 06-86, Class SY, 23.004s, 2036 1,667,570 2,269,959
     IFB Ser. 05-75, Class GS, 19.421s, 2035 631,458 910,395
     IFB Ser. 11-4, Class CS, 12.347s, 2040 6,719,601 7,700,982
     IFB Ser. 11-67, Class BS, IO, 6.224s, 2041 21,881,707 3,372,409
     IFB Ser. 12-3, Class SD, IO, 6.22s, 2042 6,886,124 1,254,583
     IFB Ser. 404, Class S13, IO, 6.124s, 2040 969,860 141,215
     IFB Ser. 10-35, Class SG, IO, 6.124s, 2040 17,339,497 3,092,673
     Ser. 10-21, Class IP, IO, 5s, 2039 1,167,389 135,709
     Ser. 398, Class C5, IO, 5s, 2039 2,002,551 230,293
Ser. 397, Class 2, IO, 5s, 2039 647,028 84,618
     Ser. 09-31, Class PI, IO, 5s, 2038 6,827,349 1,003,508
     Ser. 10-100, Class AI, IO, 4 1/2s, 2025 10,203,784 630,619
     Ser. 406, Class 2, IO, 4s, 2041 2,076,820 242,780
     Ser. 406, Class 1, IO, 4s, 2041 1,272,536 148,759
     Ser. 03-W10, Class 1, IO, 1.442s, 2043 590,160 26,557
     Ser. 98-W2, Class X, IO, 0.919s, 2028 1,110,087 49,603
     Ser. 98-W5, Class X, IO, 0.85s, 2028 456,981 18,965
     Ser. 03-W1, Class 2A, IO, zero %, 2042 1,747,990 137
     Ser. 07-44, Class CO, PO, zero %, 2037 202,124 181,455
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 2,410,000 2,349,750
First Union National Bank Commercial Mortgage 144A Ser. 01-C3, Class K, 6.155s, 2033 2,508,000 2,508,000
GE Capital Commercial Mortgage Corp. Ser. 07-C1, Class A3, 5.481s, 2049 3,126,000 3,399,178
GE Capital Commercial Mortgage Corp. 144A
     Ser. 03-C2, Class D, 5.326s, 2037 3,000,000 3,037,741
     FRB Ser. 04-C1, Class G, 5.157s, 2038(F) 2,606,000 2,490,653
     Ser. 05-C2, Class XC, IO, 0.183s, 2043 41,251,328 310,086
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class AJ, 4.915s, 2041 2,958,000 2,832,631
GMAC Commercial Mortgage Securities, Inc. 144A
     Ser. 02-C2, Class H, 6.756s, 2038(F) 1,713,000 1,738,499
     FRB Ser. 03-C2, Class F, 5.651s, 2040 1,472,000 1,409,780
Government National Mortgage Association
     IFB Ser. 11-56, Class SA, 23.353s, 2041 15,868,804 23,830,818
     IFB Ser. 10-158, Class SD, 14.157s, 2040 2,479,000 3,494,597
     IFB Ser. 11-70, Class WS, 9.138s, 2040 10,522,271 11,883,853
     IFB Ser. 11-56, Class MS, 6.786s, 2041 2,656,532 2,906,219
     IFB Ser. 11-56, Class SG, 6.776s, 2041 1,278,661 1,416,743
     IFB Ser. 11-37, Class SB, IO, 6.419s, 2038 2,583,898 326,217
     IFB Ser. 11-61, Class CS, IO, 6.399s, 2035 21,545,302 2,962,479
     IFB Ser. 10-167, Class SM, IO, 6.39s, 2040 16,102,366 2,618,245
     IFB Ser. 10-113, Class CS, IO, 6.369s, 2039 12,118,711 1,885,914
     IFB Ser. 10-85, Class SD, IO, 6.369s, 2038 1,129,659 179,220
     IFB Ser. 11-37, Class SD, IO, 6.369s, 2038 3,324,313 548,512
     IFB Ser. 11-11, Class PS, IO, 6.319s, 2040 16,405,918 2,497,965
     IFB Ser. 10-120, Class SB, IO, 5.919s, 2035 2,342,582 235,031
     IFB Ser. 10-20, Class SC, IO, 5.869s, 2040 594,203 92,197
     IFB Ser. 11-40, Class AS, IO, 5.837s, 2036 7,698,555 986,878
     IFB Ser. 11-70, Class SN, IO, 5.61s, 2041 10,626,000 2,964,335
     IFB Ser. 11-70, Class SH, IO, 5.6s, 2041 13,288,000 3,723,962
     Ser. 10-68, Class MI, IO, 5s, 2039 2,381,676 322,979
     Ser. 10-150, Class WI, IO, 5s, 2038 29,352,793 3,298,080
     IFB Ser. 11-12, Class IB, IO, 4.505s, 2040 7,818,938 767,038
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 980,170 168,421
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 13,125,550 1,525,845
     Ser. 11-70, PO, zero %, 2041 20,152,370 16,395,968
     Ser. 10-151, Class KO, PO, zero %, 2037 4,453,472 4,016,899
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 13,697,927 493,125
Greenwich Capital Commercial Funding Corp. 144A Ser. 03-C1, Class G, 4.773s, 2035 2,233,000 2,167,909
GS Mortgage Securities Corp. II Ser. 06-GG6, Class A2, 5.506s, 2038 987,148 995,169
GSMPS Mortgage Loan Trust 144A
     Ser. 05-RP1, Class 1AS, IO, 5.913s, 2035 429,527 72,768
     IFB Ser. 04-4, Class 1AS, IO, 5.204s, 2034 1,056,002 180,675
     Ser. 06-RP2, Class 1AS1, IO, 5.13s, 2036 935,297 144,647
     FRB Ser. 06-RP2, Class 1AF1, 0.676s, 2036 935,297 720,179
     FRB Ser. 04-4, Class 1AF, 0.676s, 2034 1,056,002 813,122
     FRB Ser. 05-RP1, Class 1AF, 0.626s, 2035 429,527 330,736
     Ser. 98-2, IO, 0.467s, 2027 173,293 14
     Ser. 98-3, IO, 0.315s, 2027 208,411 523
     Ser. 99-2, IO, zero %, 2027 303,827 767
     Ser. 98-4, IO, zero %, 2026 235,000 611
Harborview Mortgage Loan Trust
     FRB Ser. 05-16, Class 3A1A, 0.531s, 2036 6,315,001 3,533,875
     FRB Ser. 06-8, Class 2A1A, 0.469s, 2036 15,694,039 9,494,893
IndyMac Index Mortgage Loan Trust
     FRB Ser. 06-AR5, Class 1A2, 5.168s, 2036 103,897 5,714
     FRB Ser. 06-AR11, Class 3A1, 2.82648s, 2036 3,226,571 1,394,992
     FRB Ser. 06-AR39, Class A1, 0.456s, 2037 13,840,127 7,352,567
     FRB Ser. 06-AR21, Class A1, 0.396s, 2036 8,597,628 3,696,980
     FRB Ser. 06-AR29, Class A2, 0.356s, 2036 7,886,369 3,391,139
JPMorgan Alternative Loan Trust
     FRB Ser. 07-A2, Class 12A1, 0.476s, 2037 5,888,322 2,531,978
     FRB Ser. 06-A7, Class 1A1, 0.436s, 2036 10,774,083 5,171,560
     FRB Ser. 07-A1, Class 1A3A, 0.426s, 2037(F) 5,121,668 2,201,286
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 04-CB9, Class B, 5.843s, 2041(F) 3,181,000 2,952,802
     FRB Ser. 02-C2, Class E, 5.517s, 2034 2,251,000 2,219,914
     Ser. 07-LDPX, Class A3S, 5.317s, 2049 4,595,000 4,715,617
     Ser. 02-C3, Class D, 5.314s, 2035 3,519,000 3,413,430
     FRB Ser. 03-LN1, Class B, 5.012s, 2037 2,100,000 1,932,000
     Ser. 05-LDP3, Class A4B, 4.996s, 2042 1,942,500 1,991,193
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     Ser. 02-C1, Class E, 6.135s, 2037 2,672,000 2,662,488
     FRB Ser. 01-C1, Class H, 5.626s, 2035(F) 2,404,000 2,380,177
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class A2, 5.532s, 2032 19,032 19,023
     Ser. 06-C6, Class AM, 5.413s, 2039(F) 1,342,000 1,388,675
     Ser. 05-C7, Class A2, 5.103s, 2030 192,881 192,881
     Ser. 03-C5, Class F, 4.843s, 2037 3,000,000 2,760,000
     Ser. 07-C2, Class XW, IO, 0.702s, 2040 6,081,069 123,573
LB-UBS Commercial Mortgage Trust 144A
     Ser. 02-C2, Class J, 6.235s, 2035 6,492,000 6,493,948
     Ser. 03-C8, Class G, 5.35s, 2037 1,803,000 1,815,813
     Ser. 05-C3, Class XCL, IO, 0.328s, 2040 57,590,535 970,861
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.406s, 2037 3,361,750 1,630,449
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, zero %, 2047 10,014,761 310,458
Merrill Lynch Mortgage Trust
     FRB Ser. 07-C1, Class A3, 6.027s, 2050 889,000 929,335
     FRB Ser. 07-C1, Class A2, 5.923s, 2050 3,011,168 3,031,041
     Ser. 05-MCP1, Class XC, IO, 0.269s, 2043 164,643,004 1,724,471
Merrill Lynch/Countrywide Commercial Mortgage Trust
     Ser. 06-1, Class A2, 5.439s, 2039 136,800 136,764
     FRB Ser. 06-4, Class A2FL, 0.416s, 2049 2,230,305 2,180,123
Morgan Stanley Capital I
     FRB Ser. 07-HQ12, Class A2, 5.783s, 2049 993,708 1,013,568
     Ser. 06-HQ9, Class A2, 5.618s, 2044 880,155 879,787
     Ser. 07-IQ14, Class A2, 5.61s, 2049 3,135,654 3,297,272
     FRB Ser. 07-HQ12, Class A2FL, 0.545s, 2049 976,528 917,936
Morgan Stanley Capital I 144A Ser. 03-IQ6, Class C, 5.238s, 2041(F) 2,734,000 2,742,699
Morgan Stanley Dean Witter Capital I Ser. 03-HQ2, Class C, 5.15s, 2035 3,158,000 3,052,839
Morgan Stanley Dean Witter Capital I 144A FRB Ser. 03-HQ2, Class F, 5.72855s, 2035 2,126,000 2,019,700
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 10.236s, 2043 843,571 862,551
Nomura Asset Acceptance Corp.
     FRB Ser. 06-AR4, Class A4A, 0.516s, 2036 2,291,705 893,765
     FRB Ser. 06-AR4, Class A1A, 0.446s, 2036 2,348,599 939,440
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030 4,302,883 4,410,455
Residential Accredit Loans, Inc.
     Ser. 06-QS13, Class 1A5, 6s, 2036 182,132 114,743
     Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046 17,543,825 898,244
     Ser. 06-Q07, Class X1, IO, 0.9s, 2046 11,483,096 361,718
Salomon Brothers Mortgage Securities VII 144A FRB Ser. 99-C1, Class J, 7s, 2032 4,138,000 4,280,871
Structured Adjustable Rate Mortgage Loan Trust FRB Ser. 07-4, Class 1A1, 0.516s, 2037 1,582,882 633,153
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 27,155,385 1,010,180
     Ser. 06-AR3, Class 12X, IO, 1s, 2036 9,285,445 339,847
     Ser. 06-AR7, Class X, IO, 0.9s, 2036 66,745,273 1,908,915
     Ser. 06-AR4, Class 5X, IO, 0.8s, 2036 8,345,092 217,807
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 9,427,010 196,082
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 43,156,129 561,030
Structured Asset Securities Corp.
     IFB Ser. 07-4, Class 1A3, IO, 5.913s, 2045 1,514,297 272,573
     Ser. 07-4, Class 1A4, IO, 1s, 2045 3,116,449 128,554
Structured Asset Securities Corp. 144A
FRB Ser. 05-RF2, Class A, 0.644s, 2035 3,494,020 2,620,515
Ser. 04-NP2, Class A, 0.63s, 2034 458,054 366,444
TIAA Seasoned Commercial Mortgage Trust FRB Ser. 07-C4, Class AJ, 5.739s, 2039(F) 8,148,000 7,829,634
Wachovia Bank Commercial Mortgage Trust
     Ser. 06-C25, Class A2, 5.684s, 2043 172,738 172,738
     Ser. 06-C28, Class A3, 5.679s, 2048 1,571,000 1,723,565
     Ser. 07-C30, Class A3, 5.246s, 2043 1,640,606 1,676,690
     Ser. 05-C17, Class AJ, 5.224s, 2042 1,795,820 1,849,282
     Ser. 06-C29, IO, 0.552s, 2048 167,090,740 2,526,412
Wachovia Mortgage Loan Trust, LLC
     FRB Ser. 06-AMN1, Class A2, 0.444s, 2036 6,190,700 2,445,327
     FRB Ser. 06-AMN1, Class A1, 0.29472s, 2036 3,823,264 1,491,073
WAMU Commercial Mortgage Securities Trust 144A Ser. 05-C1A, Class C, 4.9s, 2036 589,000 592,596
Washington Mutual Mortgage Pass-Through Certificates
     FRB Ser. 07-0C2, Class A3, 0.604s, 2037(F) 5,228,809 2,560,917
     FRB Ser. 07-HY1, Class A3A, 0.506s, 2037 21,835,492 12,102,525
Total mortgage-backed securities (cost $506,989,678) $507,570,586

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (38.7%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.3%)
Government National Mortgage Association Pass-Through Certificates
     4s, January 20, 2041 $7,375,241 $7,957,194
     3 1/2s, TBA, February 1, 2042 8,000,000 8,405,625
16,362,819
U.S. Government Agency Mortgage Obligations (37.4%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, January 1, 2041 741,541 769,610
Federal National Mortgage Association Pass-Through Certificates
     4s, TBA, February 1, 2042 19,000,000 20,083,593
     3 1/2s, TBA, February 1, 2042 443,000,000 460,270,089
481,123,292
Total U.S. government and agency mortgage obligations (cost $491,944,825) $497,486,111

U.S. GOVERNMENT AGENCY OBLIGATIONS (0.1%)(a)
Principal amount Value
Wells Fargo & Co. 2 1/8s, FDIC guaranteed notes, June 15, 2012 $840,000 $846,140
Total U.S. government agency obligations (cost $840,931) $846,140

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 2 5/8s, November 15, 2020 $371,000 $402,593
Total U.S. treasury obligations (cost $349,396) $402,593

CORPORATE BONDS AND NOTES (16.7%)(a)
Principal amount Value
Basic materials (1.6%)
Airgas, Inc. sr. unsec. unsub. notes 2.85s, 2013 $1,145,000 $1,166,176
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 950,000 1,021,250
Dow Chemical Co. (The) sr. unsec. notes 7.6s, 2014 1,270,000 1,442,627
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 1,000,000 1,030,000
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes 8 3/8s, 2017 (Indonesia) 1,836,000 1,934,685
INEOS Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom) EUR 195,000 264,316
Lyondell Chemical Co. company guaranty notes 11s, 2018 $374,324 409,885
Lyondell Chemical Co. company guaranty sr. notes 8s, 2017 273,000 304,395
LyondellBasell Industries NV 144A company guaranty sr. notes 6s, 2021 (Netherlands) 200,000 217,500
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) 1,985,000 2,762,393
Sealed Air Corp. sr. notes 7 7/8s, 2017 1,385,000 1,474,197
Sealed Air Corp. 144A notes 5 5/8s, 2013 1,442,000 1,496,355
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 1,032,000 1,210,020
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 1,040,000 1,071,200
Weyerhaeuser Co. sr. unsec. unsub. notes 7 1/4s, 2013 4,175,000 4,409,343
20,214,342
Capital goods (0.3%)
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 227,000 243,458
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 1,000,000 1,030,000
Staples, Inc. sr. unsec. notes 9 3/4s, 2014 2,495,000 2,859,362
4,132,820
Communication services (1.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 1,020,000 1,106,700
CenturyLink, Inc. sr. unsec. unsub. notes Ser. L, 7 7/8s, 2012 3,010,000 3,095,647
Comcast Cable Holdings, LLC debs. 9.8s, 2012 290,000 290,000
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2015 2,205,000 2,527,611
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 1,000,000 1,060,000
Digicel Group, Ltd. 144A sr. unsec. notes 12s, 2014 (Jamaica) 1,480,000 1,668,700
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 1,005,000 1,012,538
Frontier Communications Corp. sr. unsec. notes 7 7/8s, 2015 2,835,000 2,927,138
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 210,000 221,288
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 1,000,000 1,031,250
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 1,270,000 1,444,625
Qwest Communications International, Inc. company guaranty Ser. B, 7 1/2s, 2014 1,000,000 1,004,492
SBA Tower Trust 144A company guaranty mtge. notes 4.254s, 2015 2,900,000 3,000,740
Wind Acquisition Finance SA 144A company guaranty sr. sec. bonds 7 3/8s, 2018 (Luxembourg) EUR 850,000 1,006,050
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 $1,000,000 1,105,000
22,501,779
Consumer cyclicals (1.9%)
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 2,560,000 2,739,200
Belo Corp. sr. unsec. unsub. notes 8s, 2016 500,000 551,250
Building Materials Corp. 144A sr. notes 7s, 2020 1,010,000 1,090,800
DISH DBS Corp. company guaranty 7 1/8s, 2016 977,000 1,072,258
Ford Motor Credit Corp. sr. unsec. notes 12s, 2015 1,250,000 1,559,375
Hanesbrands, Inc. company guaranty sr. unsec. notes FRN Ser. B, 4.146s, 2014 896,000 896,000
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016(R) 1,000,000 1,033,750
Interpublic Group of Companies, Inc. (The) sr. unsec. notes 10s, 2017 895,000 1,023,656
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 3,000,000 2,955,000
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy) EUR 100,000 112,106
MGM Resorts International sr. notes 10 3/8s, 2014 $340,000 387,600
Omnicom Group, Inc. sr. unsec. unsub. notes 4.45s, 2020 1,675,000 1,777,238
Owens Corning company guaranty sr. unsec. notes 9s, 2019 1,500,000 1,803,750
QVC, Inc. 144A sr. notes 7 1/8s, 2017 965,000 1,033,756
Sears Holdings Corp. company guaranty 6 5/8s, 2018 725,000 589,063
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 950,000 1,017,688
Turner Broadcasting System, Inc. sr. unsec. unsub. notes company guaranty 8 3/8s, 2013 2,365,000 2,603,839
Viacom, Inc. sr. unsec. notes 4 3/8s, 2014 1,571,000 1,687,791
Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 457,000 466,711
24,400,831
Consumer staples (1.1%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2014 2,775,000 3,103,402
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,105,000 2,362,863
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 415,000 450,275
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 365,000 366,825
JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 500,000 574,375
Kraft Foods, Inc. sr. unsec. notes 2 5/8s, 2013 3,270,000 3,338,828
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 905,000 1,063,375
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 1,960,000 2,273,600
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 500,000 549,375
14,082,918
Energy (1.3%)
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 481,000 484,608
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 935,000 1,051,875
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 300,000 302,250
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 985,000 1,063,800
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 955,000 1,086,313
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) 1,000,000 1,139,040
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016 593,000 607,825
Peabody Energy Corp. company guaranty 7 3/8s, 2016 945,000 1,051,313
Petrobras International Finance Co. company guaranty sr. unsec. notes 3 7/8s, 2016 (Brazil) 5,000,000 5,119,425
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 1,000,000 1,111,250
Ras Laffan Liquefied Natural Gas Co., Ltd. 144A company guaranty sr. notes 4 1/2s, 2012 (Qatar) 1,000,000 1,015,000
WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 2,000,000 2,000,000
16,032,699
Financials (5.5%)
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 4 1/2s, 2014 1,500,000 1,499,820
Barclays Bank PLC unsec. sub. notes FRN Ser. EMTN, 0.74s, 2017 (United Kingdom) 4,448,000 3,937,325
Berkshire Hathaway Finance Corp. company guaranty sr. notes 4s, 2012 415,000 417,594
CIT Group, Inc. 144A company guaranty notes 5 1/4s, 2014 1,500,000 1,526,250
Citigroup, Inc. unsec. sub. notes 5 5/8s, 2012 3,650,000 3,719,704
Erac USA Finance Co. 144A company guaranty notes 2 1/4s, 2014 3,185,000 3,202,135
Erac USA Finance Co. 144A company guaranty sr. notes 2 3/4s, 2013 2,315,000 2,351,490
GATX Corp. notes 4 3/4s, 2012 750,000 762,601
Goldman Sachs Group, Inc. (The) sr. notes 3 5/8s, 2012 791,000 800,762
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. debs. FRB 8 1/8s, 2038 1,075,000 1,118,000
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 815,000 717,031
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 1,150,000 1,196,000
ING Bank NV 144A sr. unsec. notes FRN 1.596s, 2013 (Netherlands) 4,230,000 4,174,130
JPMorgan Chase Capital XX company guaranty jr. unsec. sub. notes Ser. T, 6.55s, 2036 6,925,000 6,964,542
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 1,027,000 1,060,378
Lloyds TSB Bank PLC bank guaranty sr. unsec. unsub. notes 4 7/8s, 2016 (United Kingdom) 60,000 61,353
Lloyds TSB Bank PLC company guaranty sr. unsec. sub. notes Ser. MTN, 6 1/2s, 2020 (United Kingdom) 2,940,000 2,742,538
MetLife Global Funding I 144A sr. unsub. notes 5 1/8s, 2014 200,000 215,897
MetLife Global Funding I 144A sr. unsub. notes 5 1/8s, 2013 350,000 366,852
MetLife Global Funding I 144A sr. unsec. notes 2 7/8s, 2012 1,030,000 1,043,172
National Australia Bank, Ltd. 144A sr. unsec. notes 2 1/2s, 2013 (Australia) 2,830,000 2,851,995
New York Life Global Funding 144A notes 3s, 2015 4,560,000 4,813,837
Prudential Financial, Inc. sr. notes 6.2s, 2015 1,595,000 1,766,695
Royal Bank of Scotland PLC (The) company guaranty sr. unsec. unsub. notes Ser. 2, 3.4s, 2013 (United Kingdom) 2,560,000 2,603,197
Royal Bank of Scotland PLC (The) 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2014 (United Kingdom) 1,620,000 1,645,653
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea) 425,000 432,375
Simon Property Group LP sr. unsec. unsub. notes 5.1s, 2015(R) 3,900,000 4,312,043
Simon Property Group LP sr. unsec. unsub. notes 4.2s, 2015(R) 300,000 321,367
Sumitomo Mitsui Banking Corp. 144A sr. unsec. notes 2.15s, 2013 (Japan) 3,610,000 3,653,753
TD Ameritrade Holding Corp. company guaranty sr. unsec. unsub. notes 2.95s, 2012 4,250,000 4,328,846
UBS AG/Jersey Branch jr. unsec. sub. FRB 4.28s, perpetual maturity (Cayman Islands) EUR 27,000 29,358
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) $500,000 508,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,000,000 1,038,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 1,850,000 1,882,375
Westpac Banking Corp. sr. unsec. unsub. bonds 2 1/4s, 2012 (Australia) 2,665,000 2,698,507
70,765,075
Health care (0.3%)
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 510,000 679,267
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 $900,000 1,014,750
HCA, Inc. company guaranty sr. notes 7 7/8s, 2020 805,000 880,469
HCA, Inc. sr. notes 6 1/2s, 2020 665,000 705,731
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 130,000 147,063
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 665,000 696,588
4,123,868
Technology (0.2%)
NXP BV/NXP Funding, LLC company guaranty sr. notes FRN Ser. EXCH, 3.322s, 2013 (Netherlands) 75,000 74,813
Seagate Technology International 144A company guaranty sr. sec. notes 10s, 2014 (Cayman Islands) 2,095,000 2,393,538
Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 120,000 126,679
2,595,030
Transportation (0.6%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 888,000 979,164
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018 $1,041,541 1,109,241
Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017 1,188,664 1,236,210
Federal Express Corp. 2012 Pass Through Trust 144A notes 2 5/8s, 2018(FWC) 4,400,000 4,411,278
RailAmerica, Inc. company guaranty sr. notes 9 1/4s, 2017 267,000 297,038
8,032,931
Utilities and power (2.2%)
AES Corp. (The) sr. unsec. notes 8s, 2020 500,000 567,500
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,005,000 1,128,113
Allegheny Energy Supply 144A sr. unsec. bond 8 1/4s, 2012 4,180,000 4,234,056
CMS Energy Corp. sr. unsec. unsub. notes FRN 1.353s, 2013 760,000 755,250
El Paso Corp. sr. unsec. notes 7s, 2017 1,140,000 1,262,387
GenOn Energy, Inc. sr. unsec. unsub. notes 7 5/8s, 2014 1,500,000 1,500,000
KCP&L Greater Missouri Operations Co. sr. unsec. unsub. notes 11 7/8s, 2012 3,439,000 3,585,553
Kinder Morgan, Inc./Kansas sr. notes 6 1/2s, 2012 2,510,000 2,547,650
NGPL PipeCo, LLC 144A sr. unsec. notes 6.514s, 2012 4,400,000 4,238,027
Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s, 2019 3,816,000 5,013,110
Total Capital SA company guaranty sr. unsec. unsub. notes 3s, 2015 (France) 2,900,000 3,094,098
27,925,744
Total corporate bonds and notes (cost $211,338,940) $214,808,037

PURCHASED OPTIONS OUTSTANDING (5.3%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.085 $11,614,000 $304,868
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.064 11,614,000 286,634
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.042 11,614,000 265,496
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 8,469,000 60,892
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 8,469,000 64,449
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 13,489,000 399,409
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 13,489,000 944
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 13,025,569 517,245
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 13,025,569 13
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 39,445,428 4,856,521
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 39,445,428 70,213
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 32,871,190 4,489,547
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 32,871,190 4,020,804
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 32,871,190 57,525
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 32,871,190 41,418
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 13,148,476 1,784,643
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 13,148,476 16,304
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 32,871,190 4,552,331
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 32,871,190 37,144
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022. Jun-12/1.683 8,469,000 60,892
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA April 2022. Apr-12/1.861 8,469,000 84,012
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 37,115,000 448,720
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 2.015% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.015 7,438,000 119,157
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.765% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.765 18,596,000 106,183
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 72,447,000 74,620
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 72,447,000 71,723
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA March 2022. Mar-12/1.869 8,469,000 64,449
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 8,469,000 67,667
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 37,351,000 953,198
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 8,469,000 84,012
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 37,115,000 448,720
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.985% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.985 16,990,000 252,641
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.96% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.96 16,990,000 182,982
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.193 22,019,000 702,626
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.169 22,019,000 662,552
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/1.9475 59,782,000 1,116,728
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.144 22,019,000 620,495
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 8,469,000 67,667
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 37,351,000 953,198
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.122 22,019,000 574,696
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.096 22,019,000 523,171
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.074% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.074 22,019,000 470,766
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 37,115,000 448,720
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.27 19,839,000 727,496
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.13375 11,614,000 342,497
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.2475 19,839,000 700,118
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.1125 11,614,000 325,773
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.225 19,839,000 669,566
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 69,014,500 4,724,043
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 69,014,500 477,580
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 8,469,000 67,667
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 8,469,000 60,892
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 8,469,000 84,012
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 37,115,000 581,221
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 37,115,000 448,720
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 8,469,000 64,449
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 90,380,509 67,785
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 90,380,509 904
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023. Jan-13/1.8625 8,469,000 152,865
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.855 8,469,000 149,308
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 5,375,000 214,248
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 5,375,000 134,053
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.3675 19,839,000 838,991
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 8,726,000 827,487
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 8,726,000 536,038
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.845 8,469,000 143,804
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.835 8,469,000 138,214
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 5,375,000 207,099
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 5,375,000 125,130
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.34375 19,839,000 811,018
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.82 8,469,000 132,286
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.3175 19,839,000 776,697
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 5,375,000 198,445
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 5,375,000 115,563
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 5,375,000 190,920
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 5,375,000 106,801
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 8,726,000 728,010
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 8,726,000 435,166
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 5,375,000 181,030
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 5,375,000 96,428
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1825 7,703,000 232,322
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 8,469,000 67,667
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 5,375,000 170,979
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 5,375,000 84,495
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.11875 37,351,000 973,367
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.055 16,990,000 383,294
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 8,469,000 60,892
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 5,375,000 160,659
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 5,375,000 72,778
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.03 16,990,000 343,878
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 8,726,000 600,872
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 8,726,000 302,094
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 5,375,000 147,598
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 5,375,000 59,179
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.005 16,990,000 299,364
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.35% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.35 7,703,000 304,808
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 8,469,000 84,012
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 5,375,000 133,730
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 5,375,000 43,860
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 37,115,000 581,221
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 37,115,000 448,720
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 52,058,000 964,635
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 52,058,000 375,859
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 8,469,000 64,449
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 8,726,000 405,235
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 8,726,000 104,537
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. Mar-12/1.86 13,482,606 552,248
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. Mar-12/1.86 13,482,606 13
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 52,058,000 761,609
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 52,058,000 169,709
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 82,458,000 169,863
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 82,458,000 825
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 30,869,388 4,285,597
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 30,869,388 33,339
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 32,897,229 4,421,388
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 32,897,229 38,490
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 8,469,000 67,667
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 8,469,000 60,892
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 8,469,000 84,012
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 11,938,000 466,895
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 11,938,000 48,707
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 37,115,000 448,720
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 8,469,000 64,453
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 11,938,000 437,647
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 11,938,000 18,623
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 11,938,000 418,427
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 11,938,000 1,194
Total purchased options outstanding (cost $57,276,456) $67,589,141

SENIOR LOANS (4.4%)(a)(c)
Principal amount Value
Basic materials (0.3%)
Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017 $830,825 $822,517
General Chemical Group, Inc. bank term loan FRN Ser. B, 5s, 2018 689,834 686,959
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 1,458,975 1,436,482
Novelis, Inc. bank term loan FRN Ser. B, 3 3/4s, 2017 282,150 280,880
Styron Corp. bank term loan FRN 6s, 2017 365,327 332,448
Tronox Worldwide bank term loan FRN Ser. B, 7 1/4s, 2015 495,000 494,794
4,054,080
Capital goods (0.2%)
Reynolds Group Holdings, Inc, bank term loan FRN Ser. C, 6 1/2s, 2018 370,048 371,147
Reynolds Group Holdings, Inc, bank term loan FRN Ser. E, 6 1/2s, 2018 490,911 492,368
SRAM Corp. bank term loan FRN 4.77s, 2018 811,641 808,395
Terex Corp. bank term loan FRN Ser. B, 5 1/2s, 2017 663,338 666,102
2,338,012
Communication services (0.4%)
Atlantic Broadband Finance, LLC bank term loan FRN Ser. B, 4s, 2016 560,245 553,592
Crown Castle Operating Co. bank term loan FRN Ser. B, 4s, 2019 1,000,000 999,286
Intelsat Jackson Holdings SA bank term loan FRN Ser. B, 5 1/4s, 2018 (Bermuda) 992,500 993,120
Intelsat SA bank term loan FRN 3.296s, 2014 (Luxembourg) 1,000,000 977,500
Level 3 Financing, Inc. bank term loan FRN Ser. B2, 5 3/4s, 2018 665,000 660,982
MetroPCS Wireless, Inc. bank term loan FRN Ser. B3, 4.063s, 2018 1,116,555 1,104,924
SBA Senior Finance II, LLC bank term loan FRN Ser. B, 3 3/4s, 2018 497,500 495,924
5,785,328
Consumer cyclicals (1.7%)
Affinion Group, Inc. bank term loan FRN 5s, 2016 987,454 891,177
Boyd Gaming Corp. bank term loan FRN Ser. A, 3.796s, 2015 1,425,000 1,376,312
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 239,375 238,819
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.418s, 2015 1,000,000 898,439
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 959,980 954,880
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.55s, 2014 987,113 872,891
Cenveo, Inc. bank term loan FRN Ser. B, 6 1/4s, 2016 749,895 748,020
Cumulus Media, Inc. bank term loan FRN 5 3/4s, 2018 800,000 799,571
Gateway Casinos & Entertainment, Inc. bank term loan FRN Ser. B1, 5 1/4s, 2016 CAD 2,487,500 2,381,570
Gymboree Corp. bank term loan FRN 5s, 2018 $495,000 443,555
Interactive Data Corp. bank term loan FRN 4 1/2s, 2018 709,638 706,976
Isle of Capri Casinos, Inc. bank term loan FRN 4 3/4s, 2017 853,550 852,839
J. Crew Group, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 995,000 959,346
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 1,243,750 1,206,438
Lord & Taylor, LLC bank term loan FRN 5 3/4s, 2018 667,000 667,556
MoneyGram International, Inc. bank term loan FRN Ser. B, 4 1/2s, 2017 1,307,692 1,297,885
NBTY, Inc. bank term loan FRN Ser. B, 4 1/4s, 2017 689,143 687,277
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 1,280,000 1,256,000
Nielsen Finance LLC bank term loan FRN Ser. C, 3.545s, 2016 494,975 496,109
Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017 678,291 668,965
PETCO Animal Supplies, Inc. bank term loan FRN 4 1/2s, 2017 980,000 969,791
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.851s, 2014 1,080,012 1,058,605
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.8s, 2014 107,553 105,421
Six Flags Theme Parks, Inc. bank term loan FRN Ser. B, 4 1/4s, 2018 1,200,000 1,196,926
21,735,368
Consumer staples (0.5%)
Burger King Holdings, Inc. bank term loan FRN Ser. B, 4 1/2s, 2016 885,688 881,418
Claire's Stores, Inc. bank term loan FRN 3.069s, 2014 498,294 455,690
Dean Foods Co. bank term loan FRN Ser. A1, 3.3s, 2014 384,416 377,448
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 477,600 465,541
DineEquity, Inc. bank term loan FRN Ser. B, 4 1/4s, 2017 345,825 344,889
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 1,492,500 1,485,485
Rite Aid Corp. bank term loan FRN 4 1/2s, 2018 971,916 950,048
Spectrum Brands, Inc. bank term loan FRN 5s, 2016 770,402 770,723
5,731,242
Energy (0.2%)
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 485,233 483,240
MEG Energy Corp. bank term loan FRN Ser. B, 4s, 2018 (Canada) 832,913 831,158
Samson Investment Co. bank term loan FRN 8s, 2018 700,000 700,000
2,014,398
Financials (0.1%)
CNO Financial Group, Inc. bank term loan FRN 6 1/4s, 2016 285,834 286,549
Ocwen Financial Corp. bank term loan FRN 7s, 2016 665,000 658,350
Ocwen Financial Corp. bank term loan FRN Ser. B, 7s, 2016 760,000 754,300
1,699,199
Health care (0.7%)
Capsugel Holdings US, Inc. bank term loan FRN Ser. B, 5 1/4s, 2018 997,500 1,003,734
DaVita, Inc. bank term loan FRN Ser. B, 4 1/2s, 2016 990,000 994,022
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 595,500 593,453
Health Management Associates, Inc. bank term loan FRN Ser. B, 3.99s, 2018 1,125,000 1,112,110
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 565,725 558,653
Kindred Healthcare, Inc. bank term loan FRN Ser. B, 5 1/4s, 2018 746,250 718,266
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 7s, 2018 1,000,000 1,015,893
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 934,439 913,024
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 6 1/4s, 2018 1,080,000 1,086,557
Quintiles Transnational Corp. bank term loan FRN Ser. B, 5s, 2018 995,000 989,610
8,985,322
Technology (0.1%)
Epicor Software Corp. bank term loan FRN 5s, 2018 995,000 976,966
Syniverse Holdings, Inc. bank term loan FRN 5 1/4s, 2017 659,340 659,752
1,636,718
Transportation (0.1%)
Delta Air Lines, Inc. bank term loan FRN Ser. B, 5 1/2s, 2017 828,835 805,006
Swift Transportation Comapny, LLC bank term loan FRN 6s, 2016 817,186 819,995
1,625,001
Utilities and power (0.1%)
AES Corp. (The) bank term loan FRN Ser. B, 4 1/4s, 2018 496,250 496,250
Calpine Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 397,000 393,526
889,776
Total senior loans (cost $57,078,224) $56,494,444

ASSET-BACKED SECURITIES (2.9%)(a)
Principal amount Value
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9, Class 1A2, 0.426s, 2036 $14,646,000 $6,151,320
Countrywide Asset Backed Certificates
     FRB Ser. 07-3, Class 2A2, 0.446s, 2047 3,826,000 2,764,867
     FRB Ser. 07-1, Class 2A2, 0.376s, 2037 1,500,000 1,230,945
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.426s, 2036 5,122,424 2,638,048
Green Tree Financial Corp. Ser. 99-3, Class A8, 7.06s, 2031 1,876,000 1,636,810
GSAA Home Equity Trust
     FRB Ser. 06-3, Class A3, 0.576s, 2036 3,251,499 1,560,720
     FRB Ser. 05-11, Class 3A4, 0.526s, 2035 1,258,083 981,305
     FRB Ser. 07-3, Class A4A, 0.496s, 2047 3,321,234 1,311,887
     FRB Ser. 06-3, Class A2, 0.466s, 2036(F) 8,347,328 3,608,529
     FRB Ser. 06-11, Class 2A2, 0.436s, 2036 3,415,438 1,400,330
     FRB Ser. 06-12, Class A2A, 0.426s, 2036(F) 1,994,248 877,059
     FRB Ser. 06-12, Class A1, 0.326s, 2036 9,232,379 3,601,551
     FRB Ser. 07-3, Class 2A1A, 0.198s, 2047 5,196,870 2,338,591
HSI Asset Securitization Corp. Trust FRB Ser. 06-HE1, Class 2A1, 0.326s, 2036 39,177 16,993
Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.446s, 2037 4,062,898 1,711,496
Oakwood Mortgage Investors, Inc.
     Ser. 01-C, Class A4, 7.405s, 2030 2,763,212 1,492,134
     Ser. 98-A, Class M, 6.825s, 2028 2,176,000 2,148,610
     Ser. 01-D, Class A2, 5.26s, 2019(F) 2,495,207 1,549,476
Total asset-backed securities (cost $42,520,422) $37,020,671

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (2.1%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $2,810,000 $2,489,351
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 1,175,000 1,170,982
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 13,520,000 13,215,394
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 960,000 885,600
Korea Development Bank sr. unsec. unsub. notes 4s, 2016 (South Korea) 2,000,000 2,038,661
Ontario (Province of) sr. unsec. unsub. bonds 1 7/8s, 2012 (Canada) 2,100,000 2,123,127
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 4,000,000 3,986,720
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 1,700,000 1,649,000
Total foreign government and agency bonds and notes (cost $27,797,356) $27,558,835

SHORT-TERM INVESTMENTS (44.3%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.08%(e) 66,737,525 $66,737,525
Straight-A Funding, LLC commercial paper with an effective yield of 0.188%, April 16, 2012 $27,700,000 27,695,017
U.S. Treasury Bills with an effective yield of 0.245%, February 9, 2012(SEGSF) 25,000,000 24,998,389
U.S. Treasury Bills with an effective yield of 0.221%, March 8, 2012 60,000,000 59,985,600
U.S. Treasury Bills with an effective yield of 0.106%, December 13, 2012(SEGSF) 33,000,000 32,971,785
U.S. Treasury Bills with an effective yield of 0.071%, July 26, 2012(SEGSF) 20,000,000 19,992,180
U.S. Treasury Bills with effective yields ranging from 0.119% to 0.150%, May 3, 2012(SEGSF) 74,000,000 73,989,566
U.S. Treasury Bills with effective yields ranging from 0.092% to 0.099%, August 23, 2012(SEGSF) 81,000,000 80,961,039
U.S. Treasury Bills with effective yields ranging from 0.078% to 0.110%, October 18, 2012(SEG)(SEGSF) 95,000,000 94,936,540
U.S. Treasury Bills with effective yields ranging from 0.072% to 0.128%, April 5, 2012(SEGSF) 88,000,000 87,992,960
Total short-term investments (cost $570,219,386) $570,260,601

TOTAL INVESTMENTS
Total investments (cost $1,966,355,614)(b) $1,980,037,159













FORWARD CURRENCY CONTRACTS at 1/31/12 (aggregate face value $770,461,158) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Sell 2/15/12 $769,527 $748,294 $(21,233)
British Pound Sell 2/15/12 2,384,888 2,358,961 (25,927)
Canadian Dollar Sell 2/15/12 140,974 175,224 34,250
Czech Koruna Buy 2/15/12 779,478 757,383 22,095
Czech Koruna Sell 2/15/12 779,478 772,891 (6,587)
Euro Buy 2/15/12 8,388,069 8,357,732 30,337
Hungarian Forint Buy 2/15/12 347,965 338,316 9,649
Hungarian Forint Sell 2/15/12 347,965 317,802 (30,163)
Japanese Yen Sell 2/15/12 7,042,053 6,991,091 (50,962)
Mexican Peso Sell 2/15/12 449,985 427,829 (22,156)
Norwegian Krone Sell 2/15/12 1,062,756 1,056,738 (6,018)
South African Rand Sell 2/15/12 167,256 160,607 (6,649)
South Korean Won Buy 2/15/12 1,953,849 1,901,729 52,120
Swedish Krona Sell 2/15/12 1,449,484 1,447,138 (2,346)
Swiss Franc Buy 2/15/12 1,397,746 1,381,644 16,102
Taiwan Dollar Buy 2/15/12 352,374 348,807 3,567
Taiwan Dollar Sell 2/15/12 352,374 344,080 (8,294)
Turkish Lira Buy 2/15/12 1,283,742 1,250,019 33,723
Turkish Lira Sell 2/15/12 1,283,742 1,209,853 (73,889)
Barclays Bank PLC
Australian Dollar Buy 2/15/12 16,639,234 16,183,170 456,064
Brazilian Real Buy 2/15/12 1,938,790 1,934,054 4,736
British Pound Sell 2/15/12 5,225,450 5,273,819 48,369
Canadian Dollar Sell 2/15/12 1,920,394 1,904,376 (16,018)
Czech Koruna Sell 2/15/12 2,885,814 2,886,264 450
Euro Sell 2/15/12 11,662,719 11,270,651 (392,068)
Hungarian Forint Buy 2/15/12 781,916 760,773 21,143
Hungarian Forint Sell 2/15/12 781,916 711,385 (70,531)
Indonesian Rupiah Sell 2/15/12 688,143 706,171 18,028
Japanese Yen Sell 2/15/12 2,434,767 2,380,288 (54,479)
Malaysian Ringgit Sell 2/15/12 1,506,756 1,512,886 6,130
Mexican Peso Sell 2/15/12 2,111,426 2,249,596 138,170
New Zealand Dollar Buy 2/15/12 2,628,657 2,503,967 124,690
Norwegian Krone Buy 2/15/12 5,499,384 5,461,591 37,793
Polish Zloty Buy 2/15/12 2,707,578 2,504,320 203,258
Polish Zloty Sell 2/15/12 2,707,578 2,515,092 (192,486)
Singapore Dollar Sell 2/15/12 2,425,153 2,428,839 3,686
South Korean Won Buy 2/15/12 1,941,968 1,939,101 2,867
Swedish Krona Sell 2/15/12 324,853 359,936 35,083
Swiss Franc Sell 2/15/12 2,567,642 2,535,433 (32,209)
Taiwan Dollar Sell 2/15/12 1,947,715 1,902,695 (45,020)
Turkish Lira Buy 2/15/12 3,158,538 3,184,002 (25,464)
Citibank, N.A.
Australian Dollar Buy 2/15/12 5,913,772 5,555,836 357,936
Brazilian Real Buy 2/15/12 1,938,733 1,932,897 5,836
British Pound Buy 2/15/12 1,906,524 1,885,797 20,727
Canadian Dollar Sell 2/15/12 4,686,630 4,648,964 (37,666)
Czech Koruna Sell 2/15/12 2,885,830 2,868,198 (17,632)
Euro Sell 2/15/12 13,756,695 13,485,117 (271,578)
Hungarian Forint Buy 2/15/12 3,984,954 3,690,536 294,418
Hungarian Forint Sell 2/15/12 3,984,954 3,627,610 (357,344)
Japanese Yen Sell 2/15/12 3,234,920 3,214,021 (20,899)
Mexican Peso Sell 2/15/12 91,665 182,171 90,506
New Zealand Dollar Buy 2/15/12 1,953,881 1,955,090 (1,209)
Norwegian Krone Buy 2/15/12 3,568,863 3,544,361 24,502
Polish Zloty Buy 2/15/12 2,918,825 2,957,667 (38,842)
Singapore Dollar Sell 2/15/12 2,425,232 2,428,918 3,686
South African Rand Buy 2/15/12 3,226,016 3,258,081 (32,065)
South Korean Won Buy 2/15/12 5,116 4,134 982
Swedish Krona Sell 2/15/12 1,670,382 1,665,578 (4,804)
Swiss Franc Sell 2/15/12 1,930,268 1,906,607 (23,661)
Taiwan Dollar Sell 2/15/12 1,947,715 1,953,826 6,111
Turkish Lira Buy 2/15/12 3,158,594 3,163,883 (5,289)
Credit Suisse AG
Australian Dollar Buy 2/15/12 13,256,135 12,831,752 424,383
Brazilian Real Buy 2/15/12 2,561,420 2,517,914 43,506
British Pound Sell 2/15/12 2,170,758 2,146,663 (24,095)
Canadian Dollar Sell 2/15/12 2,530,350 2,655,662 125,312
Chilean Peso Buy 2/15/12 1,926,659 1,927,454 (795)
Czech Koruna Buy 2/15/12 2,569,869 2,466,742 103,127
Czech Koruna Sell 2/15/12 2,569,869 2,503,617 (66,252)
Euro Sell 2/15/12 14,850,643 14,823,650 (26,993)
Hungarian Forint Buy 2/15/12 804,681 732,582 72,099
Hungarian Forint Sell 2/15/12 804,681 782,643 (22,038)
Japanese Yen Buy 2/15/12 1,577,156 1,566,793 10,363
Malaysian Ringgit Buy 2/15/12 356,965 329,290 27,675
Mexican Peso Sell 2/15/12 262,425 453,969 191,544
New Zealand Dollar Buy 2/15/12 197,896 130,970 66,926
Norwegian Krone Buy 2/15/12 9,978,056 9,909,888 68,168
Polish Zloty Buy 2/15/12 3,491,999 3,274,792 217,207
Polish Zloty Sell 2/15/12 3,491,999 3,241,884 (250,115)
Singapore Dollar Sell 2/15/12 2,425,153 2,428,916 3,763
South African Rand Buy 2/15/12 932,741 893,402 39,339
South Korean Won Buy 2/15/12 2,040,628 2,030,652 9,976
Swedish Krona Sell 2/15/12 814,381 712,889 (101,492)
Swiss Franc Sell 2/15/12 2,667,605 2,463,122 (204,483)
Taiwan Dollar Sell 2/15/12 1,947,715 1,903,262 (44,453)
Turkish Lira Buy 2/15/12 3,158,594 3,146,497 12,097
Deutsche Bank AG
Australian Dollar Buy 2/15/12 11,845,989 11,521,639 324,350
British Pound Buy 2/15/12 884,879 875,534 9,345
Canadian Dollar Buy 2/15/12 1,567,162 1,559,343 7,819
Czech Koruna Sell 2/15/12 5,771,659 5,758,881 (12,778)
Euro Sell 2/15/12 12,894,016 12,604,291 (289,725)
Hungarian Forint Buy 2/15/12 3,250,219 2,977,592 272,627
Hungarian Forint Sell 2/15/12 3,250,219 2,955,537 (294,682)
Mexican Peso Sell 2/15/12 1,365,672 1,298,459 (67,213)
New Zealand Dollar Buy 2/15/12 197,813 130,920 66,893
Norwegian Krone Sell 2/15/12 1,153,505 1,144,660 (8,845)
Polish Zloty Buy 2/15/12 2,673,227 2,474,143 199,084
Polish Zloty Sell 2/15/12 2,673,227 2,497,885 (175,342)
Singapore Dollar Sell 2/15/12 2,425,153 2,428,935 3,782
South Korean Won Buy 2/15/12 2,119,659 2,070,028 49,631
Swedish Krona Sell 2/15/12 4,167,925 4,152,514 (15,411)
Swiss Franc Buy 2/15/12 1,884,524 1,861,943 22,581
Taiwan Dollar Buy 2/15/12 1,126,537 1,100,565 25,972
Taiwan Dollar Sell 2/15/12 1,126,537 1,113,621 (12,916)
Turkish Lira Buy 2/15/12 3,158,594 3,194,054 (35,460)
Goldman Sachs International
Australian Dollar Buy 2/15/12 7,472,650 7,329,630 143,020
British Pound Sell 2/15/12 3,816,514 3,821,714 5,200
Canadian Dollar Sell 2/15/12 9,588,410 9,475,865 (112,545)
Euro Sell 2/15/12 15,649,096 15,423,880 (225,216)
Hungarian Forint Buy 2/15/12 1,766,270 1,718,490 47,780
Hungarian Forint Sell 2/15/12 1,766,270 1,607,883 (158,387)
Japanese Yen Sell 2/15/12 22,436 22,290 (146)
Norwegian Krone Buy 2/15/12 3,271,351 3,247,326 24,025
Polish Zloty Buy 2/15/12 284,127 277,722 6,405
Polish Zloty Sell 2/15/12 284,127 263,685 (20,442)
Singapore Dollar Sell 2/15/12 1,940,122 1,939,812 (310)
South African Rand Buy 2/15/12 220,584 211,481 9,103
Swedish Krona Buy 2/15/12 7,646,566 7,623,391 23,175
Swiss Franc Buy 2/15/12 794,707 784,697 10,010
Turkish Lira Buy 2/15/12 3,158,594 3,168,036 (9,442)
HSBC Bank USA, National Association
Australian Dollar Buy 2/15/12 6,322,228 6,147,783 174,445
British Pound Sell 2/15/12 2,705,845 2,677,597 (28,248)
Canadian Dollar Sell 2/15/12 7,131,638 7,073,692 (57,946)
Euro Buy 2/15/12 1,257,851 1,556,958 (299,107)
Japanese Yen Buy 2/15/12 2,682,656 2,666,855 15,801
New Zealand Dollar Buy 2/15/12 1,953,963 1,954,367 (404)
Norwegian Krone Sell 2/15/12 9,036,611 8,988,714 (47,897)
Singapore Dollar Sell 2/15/12 2,425,153 2,428,906 3,753
South Korean Won Sell 2/15/12 162,914 115,068 (47,846)
Swedish Krona Sell 2/15/12 898,753 1,052,578 153,825
Swiss Franc Buy 2/15/12 2,876,985 2,841,658 35,327
Taiwan Dollar Buy 2/15/12 117,163 114,405 2,758
Taiwan Dollar Sell 2/15/12 117,163 116,033 (1,130)
Turkish Lira Buy 2/15/12 3,158,594 3,168,392 (9,798)
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 2/15/12 20,123,785 19,669,494 454,291
Brazilian Real Buy 2/15/12 1,938,790 1,934,604 4,186
British Pound Sell 2/15/12 6,023,984 5,958,648 (65,336)
Canadian Dollar Sell 2/15/12 2,895,944 2,767,557 (128,387)
Czech Koruna Sell 2/15/12 2,885,830 2,864,743 (21,087)
Euro Sell 2/15/12 5,287,656 5,299,372 11,716
Hungarian Forint Buy 2/15/12 560,365 509,868 50,497
Hungarian Forint Sell 2/15/12 560,365 545,207 (15,158)
Japanese Yen Sell 2/15/12 8,381,901 8,430,884 48,983
Malaysian Ringgit Buy 2/15/12 545,827 514,145 31,682
Mexican Peso Buy 2/15/12 1,477,944 1,400,868 77,076
New Zealand Dollar Buy 2/15/12 2,628,822 2,504,028 124,794
Norwegian Krone Buy 2/15/12 7,433,806 7,368,317 65,489
Polish Zloty Buy 2/15/12 1,217,312 1,130,836 86,476
Polish Zloty Sell 2/15/12 1,217,312 1,190,008 (27,304)
Singapore Dollar Sell 2/15/12 4,365,275 4,370,252 4,977
South African Rand Buy 2/15/12 3,148,163 3,186,295 (38,132)
South Korean Won Sell 2/15/12 1,409,744 1,376,974 (32,770)
Swedish Krona Buy 2/15/12 391,008 316,357 74,651
Swiss Franc Sell 2/15/12 7,902,417 7,614,201 (288,216)
Taiwan Dollar Sell 2/15/12 1,947,715 1,893,900 (53,815)
Turkish Lira Buy 2/15/12 3,158,594 3,152,023 6,571
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 2/15/12 14,430,939 14,032,819 398,120
Brazilian Real Buy 2/15/12 4,500,210 4,466,819 33,391
British Pound Buy 2/15/12 3,006,162 3,145,340 (139,178)
Canadian Dollar Buy 2/15/12 10,339,738 10,364,986 (25,248)
Czech Koruna Sell 2/15/12 2,885,830 2,898,509 12,679
Euro Sell 2/15/12 14,175,543 13,904,619 (270,924)
Hungarian Forint Buy 2/15/12 4,316,475 4,022,416 294,059
Hungarian Forint Sell 2/15/12 4,316,475 3,939,269 (377,206)
Indonesian Rupiah Buy 2/15/12 508,951 523,193 (14,242)
Japanese Yen Sell 2/15/12 13,425,362 13,285,136 (140,226)
Malaysian Ringgit Buy 2/15/12 603,964 546,856 57,108
Mexican Peso Buy 2/15/12 3,443,784 3,290,069 153,715
Mexican Peso Sell 2/15/12 3,384,897 3,393,067 8,170
New Zealand Dollar Buy 2/15/12 2,629,894 2,504,125 125,769
Norwegian Krone Buy 2/15/12 11,998,031 11,924,133 73,898
Polish Zloty Buy 2/15/12 1,146,133 1,123,065 23,068
Polish Zloty Sell 2/15/12 1,146,133 1,065,725 (80,408)
Singapore Dollar Sell 2/15/12 1,940,202 1,942,346 2,144
South African Rand Buy 2/15/12 4,903,378 4,837,833 65,545
South Korean Won Buy 2/15/12 213,909 208,864 5,045
Swedish Krona Buy 2/15/12 245,946 98,550 147,396
Swiss Franc Sell 2/15/12 5,336,405 5,271,898 (64,507)
Taiwan Dollar Buy 2/15/12 825,471 815,843 9,628
Taiwan Dollar Sell 2/15/12 825,471 806,706 (18,765)
Turkish Lira Buy 2/15/12 2,663,169 2,521,213 141,956
Turkish Lira Sell 2/15/12 2,663,169 2,509,940 (153,229)
State Street Bank and Trust Co.
Australian Dollar Buy 2/15/12 10,538,991 10,177,162 361,829
Brazilian Real Buy 2/15/12 325,004 311,779 13,225
British Pound Sell 2/15/12 12,025,752 11,894,940 (130,812)
Canadian Dollar Buy 2/15/12 2,530,948 2,649,283 (118,335)
Chilean Peso Buy 2/15/12 1,926,659 1,927,259 (600)
Czech Koruna Sell 2/15/12 5,771,659 5,838,689 67,030
Euro Sell 2/15/12 16,602,949 16,445,836 (157,113)
Hungarian Forint Buy 2/15/12 3,294,571 3,025,439 269,132
Hungarian Forint Sell 2/15/12 3,294,571 2,997,198 (297,373)
Indonesian Rupiah Sell 2/15/12 329,758 360,578 30,820
Japanese Yen Sell 2/15/12 1,962,910 1,949,557 (13,353)
Mexican Peso Sell 2/15/12 2,707,755 2,821,767 114,012
New Zealand Dollar Buy 2/15/12 2,629,482 2,503,955 125,527
Norwegian Krone Buy 2/15/12 6,093,283 6,031,312 61,971
Polish Zloty Buy 2/15/12 2,918,856 2,924,720 (5,864)
Singapore Dollar Sell 2/15/12 4,365,275 4,369,962 4,687
South African Rand Buy 2/15/12 3,565,085 3,518,193 46,892
South Korean Won Buy 2/15/12 1,716,040 1,715,371 669
Swedish Krona Buy 2/15/12 4,978,692 4,926,786 51,906
Swiss Franc Sell 2/15/12 7,367,723 7,086,013 (281,710)
Taiwan Dollar Sell 2/15/12 1,947,715 1,941,579 (6,136)
Turkish Lira Buy 2/15/12 55,808 54,240 1,568
Turkish Lira Sell 2/15/12 55,808 52,620 (3,188)
UBS AG
Australian Dollar Buy 2/15/12 5,669,100 5,387,012 282,088
Brazilian Real Buy 2/15/12 4,500,267 4,449,448 50,819
British Pound Buy 2/15/12 2,375,907 2,377,995 (2,088)
Canadian Dollar Buy 2/15/12 415,344 438,349 (23,005)
Czech Koruna Buy 2/15/12 2,569,089 2,467,828 101,261
Czech Koruna Sell 2/15/12 2,569,089 2,505,244 (63,845)
Euro Sell 2/15/12 2,248,068 1,996,329 (251,739)
Hungarian Forint Buy 2/15/12 5,090,964 4,635,190 455,774
Hungarian Forint Sell 2/15/12 5,090,964 4,951,130 (139,834)
Indonesian Rupiah Buy 2/15/12 508,951 552,058 (43,107)
Japanese Yen Sell 2/15/12 893,760 935,707 41,947
Mexican Peso Buy 2/15/12 297,862 206,095 91,767
New Zealand Dollar Buy 2/15/12 2,629,069 2,504,073 124,996
Norwegian Krone Sell 2/15/12 3,047,859 3,193,957 146,098
Polish Zloty Buy 2/15/12 1,281,961 1,189,900 92,061
Polish Zloty Sell 2/15/12 1,281,961 1,253,047 (28,914)
Singapore Dollar Sell 2/15/12 4,365,275 4,369,397 4,122
South African Rand Buy 2/15/12 1,965,565 1,939,409 26,156
South Korean Won Buy 2/15/12 1,392,631 1,402,507 (9,876)
Swedish Krona Buy 2/15/12 212,965 118,731 94,234
Swiss Franc Sell 2/15/12 7,376,524 7,382,374 5,850
Taiwan Dollar Sell 2/15/12 1,947,715 1,917,088 (30,627)
Turkish Lira Buy 2/15/12 3,158,594 3,193,157 (34,563)
Westpac Banking Corp.
Australian Dollar Sell 2/15/12 187,214 171,622 (15,592)
British Pound Sell 2/15/12 75,473 121,989 46,516
Canadian Dollar Sell 2/15/12 1,878,321 1,863,649 (14,672)
Euro Sell 2/15/12 2,191,951 1,990,203 (201,748)
Japanese Yen Buy 2/15/12 1,111,778 1,105,157 6,621
New Zealand Dollar Buy 2/15/12 4,584,435 4,457,436 126,999
Norwegian Krone Sell 2/15/12 388,499 385,820 (2,679)
Swedish Krona Buy 2/15/12 3,436,462 3,428,146 8,316
Swiss Franc Buy 2/15/12 1,828,783 1,806,657 22,126
Total $2,232,958












FUTURES CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Canadian Government Bond 10 yr (Long) 47 $6,307,759             Mar-12 $101,973
Euro-Bund 10 yr (Short) 80 14,620,855             Mar-12 (226,973)
Euro-Swiss Franc 3 Month (Short) 110 29,901,955             Dec-12 (479,988)
Euro-Swiss Franc 3 Month (Short) 110 29,881,043             Jun-12 (333,162)
Euro-Swiss Franc 3 Month (Short) 110 29,863,117             Mar-12 (245,011)
Japanese Government Bond 10 yr Mini (Short) 10 1,870,638             Mar-12 (11,073)
U.S. Treasury Bond 30 yr (Long) 105 16,796,719             Mar-12 172,066
U.S. Treasury Bond 30 yr (Short) 3 436,313             Mar-12 (99)
U.S. Treasury Note 10 yr (Short) 344 45,494,000             Mar-12 (603,685)
Total $(1,625,952)












WRITTEN OPTIONS OUTSTANDING at 1/31/12 (premiums received $135,626,372) (Unaudited)


Contract           Expiration date/
amount           strike price Value
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 5.35% versus the three month USD-LIBOR-BBA maturing August 2026. $21,493,220           Aug-16/5.35 $464,318
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. 21,493,220           Aug-16/4.35 3,029,985
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 52,030,116           Aug-16/4.28 1,870,223
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 52,030,116           Aug-16/4.28 7,094,410
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 3,980,000           Jun-12/2.183 116,335
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 5,843,000           Mar-12/2.119 123,054
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 62,705,637           Aug-16/3.625 3,279,505
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 62,705,637           Aug-16/3.625 6,094,988
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 81,833,453           Aug-16/4.17 1,481,186
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 81,833,453           Aug-16/4.17 6,471,308
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 20,981,611           Aug-16/4.68 631,546
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 20,981,611           Aug-16/4.68 3,426,297
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 17,484,676           Jul-16/4.67 528,037
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 17,484,676           Jul-16/4.67 2,843,008
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 17,484,676           Jul-16/4.80 496,565
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 17,484,676           Jul-16/4.80 3,000,370
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 6,993,870           Jul-16/4.80 197,927
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 6,993,870           Jul-16/4.80 1,200,847
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 17,484,676           Jul-16/4.815 491,319
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 17,484,676           Jul-16/4.815 3,019,604
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 2021. 24,709,984           Jun-16/4.89 298,991
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 2021. 24,709,984           Jun-16/4.39 2,194,494
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. 795,340           Feb-15/5.36 9,226
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. 795,340           Feb-15/5.36 187,730
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 12,964,757           Aug-14/4.20 224,290
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 12,964,757           Aug-14/4.20 2,011,469
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 10,803,964           Jul-14/4.19 186,909
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 10,803,964           Jul-14/4.19 1,670,887
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 4,321,586           Jul-14/4.34 66,985
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 10,803,964           Jul-14/4.35 166,381
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 4,321,586           Jul-14/4.34 717,625
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 10,803,964           Jul-14/4.35 1,802,447
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 10,803,991           Jul-14/4.3725 163,140
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 10,803,991           Jul-14/4.3725 1,825,010
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA August 2022. 69,014,500           Aug-12/2.73 477,580
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. 69,014,500           Aug-12/2.73 4,724,043
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 3,980,000           Jun-12/2.183 116,335
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 6,013,000           Apr-12/2.111 135,653
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.4275 1,350,392
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 5,843,000           Mar-12/2.119 123,054
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 50,714,521           May-16/4.745 639,003
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 50,714,521           May-16/4.745 5,229,225
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.5625% versus the three month USD-LIBOR-BBA maturing October 2021. 18,596,000           Oct-16/2.5625 536,495
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.86% versus the three month USD-LIBOR-BBA maturing June 2026. 4,040,933           Jun-16/5.86 62,675
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing June 2026. 4,040,933           Jun-16/4.86 712,513
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 2021. 25,111,120           Jun-16/5.12 264,797
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 2021. 25,111,120           Jun-16/4.12 1,977,676
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 4,065,000           Jul-12/2.1714 118,983
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 30,852,000           Jul-12/2.6075 1,827,981
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 6,013,000           Apr-12/2.111 135,653
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.4275 1,350,392
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. 22,461,176           May-16/5.11 236,561
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing May 2021. 22,461,176           May-16/4.11 1,761,877
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.443% versus the three month USD-LIBOR-BBA maturing October 2022. 16,938,000           Oct-12/2.443 797,441
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.419% versus the three month USD-LIBOR-BBA maturing September 2022. 16,938,000           Sep-12/2.419 769,324
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing August 2022. 41,229,000           Aug-12/2.4475 1,957,141
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 86,784,700           Aug-12/2.855 477,316
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 86,784,700           Aug-12/2.855 6,810,863
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.394% versus the three month USD-LIBOR-BBA maturing August 2022. 16,938,000           Aug-12/2.394 740,360
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 4,065,000           Jul-12/2.1714 118,983
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 30,852,000           Jul-12/2.6075 1,827,981
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.372% versus the three month USD-LIBOR-BBA maturing July 2022. 16,938,000           Jul-12/2.372 709,194
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.346% versus the three month USD-LIBOR-BBA maturing June 2022. 16,938,000           Jun-12/2.346 674,641
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.324% versus the three month USD-LIBOR-BBA maturing May 2022. 16,938,000           May-12/2.324 640,765
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.4275 1,350,392
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 33,209,608           May-16/4.7575 421,762
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 126,786,296           May-16/4.77 1,597,507
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 33,209,608           May-16/4.7575 3,441,312
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 126,786,296           May-16/4.77 13,198,327
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.7975% versus the three month USD-LIBOR-BBA maturing October 2021. 7,438,000           Oct-16/2.7975 256,685
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 4,065,000           Jul-12/2.1714 118,983
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 3,980,000           Jun-12/2.183 116,335
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 6,013,000           Apr-12/2.111 135,653
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.498 1,526,169
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.4275 1,350,392
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 5,843,000           Mar-12/2.119 123,054
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 22,005,119           May-16/4.60 292,712
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 22,005,119           May-16/4.60 2,156,502
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 41,578,327           May-16/4.765 506,673
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 41,578,327           May-16/4.765 4,365,724
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. 18,605,933           Sep-16/3.49 1,057,561
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. 18,605,933           Sep-16/3.49 1,664,915
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.3625% versus the three month USD-LIBOR-BBA maturing January 2023. 4,743,000           Jan-13/2.3625 199,301
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2022. 4,743,000           Dec-12/2.355 197,593
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.345% versus the three month USD-LIBOR-BBA maturing December 2022. 4,743,000           Dec-12/2.345 194,510
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.335% versus the three month USD-LIBOR-BBA maturing November 2022. 4,743,000           Nov-12/2.335 191,333
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.32% versus the three month USD-LIBOR-BBA maturing November 2022. 4,743,000           Nov-12/2.32 187,443
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.6825% versus the three month USD-LIBOR-BBA maturing July 2022. 4,378,000           Jul-12/2.6825 284,920
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 4,065,000           Jul-12/2.1714 118,983
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.61875% versus the three month USD-LIBOR-BBA maturing July 2022. 30,852,000           Jul-12/2.61875 1,854,205
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 3,980,000           Jun-12/2.183 116,335
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.60% versus the three month USD-LIBOR-BBA maturing April 2022. 6,024,000           Apr-12/2.60 360,958
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 6,013,000           Apr-12/2.111 135,653
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.498 1,526,169
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.4275 1,350,392
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 5,843,000           Mar-12/2.119 123,054
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing May 2021. 22,115,185           May-16/4.86 265,382
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing May 2021. 22,115,185           May-16/4.36 1,940,165
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 15,321,700           Aug-15/4.375 798,552
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 15,321,700           Aug-15/4.375 5,049,802
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 15,321,700           Aug-15/4.46 750,656
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 15,321,700           Aug-15/4.46 5,265,747
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 16,419,887           Jul-16/4.79 444,519
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 16,419,887           Jul-16/4.79 2,864,696
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 17,498,526           Jul-16/4.74 485,339
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 17,498,526           Jul-16/4.74 2,994,908
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 12,793,343           Jun-16/4.815 329,659
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 12,793,343           Jun-16/4.815 2,273,492
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 24,553,095           Jun-16/4.575 332,302
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 24,553,095           Jun-16/4.575 2,387,052
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 86,207,400           Sep-15/4.04 2,690,361
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 86,207,400           Sep-15/4.04 11,307,825
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 5,042,460           Feb-15/5.27 55,507
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 5,042,460           Feb-15/5.27 1,177,868
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 10,146,020           Jul-14/4.36 142,744
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 10,146,020           Jul-14/4.36 1,732,240
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 10,812,522           Jul-14/4.29 159,701
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 10,812,522           Jul-14/4.29 1,787,840
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 4,065,000           Jul-12/2.1714 118,983
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 3,980,000           Jun-12/2.183 116,335
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 6,013,000           Apr-12/2.111 135,653
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 5,758,100           Apr-12/4.8675 6
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 29,692,000           Apr-12/2.4275 1,350,392
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 5,758,100           Apr-12/4.8675 1,550,023
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 5,843,000           Mar-12/2.119 123,054
Total $183,843,623












TBA SALE COMMITMENTS OUTSTANDING at 1/31/12 (proceeds receivable $76,666,328) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, February 1, 2042 $19,000,000       2-13-12 $20,083,593
Federal National Mortgage Association, 3 1/2s, February 1, 2042 55,000,000       2-13-12 57,144,142
Total $77,227,735















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/12 (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.
$52,788,000 $—      1/12/22 3 month USD-LIBOR-BBA 2.13057% $1,135,075
155,230,000 —      1/13/14 3 month USD-LIBOR-BBA 0.6075% 271,573
6,502,600 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 103,559
47,037,900 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 655,273
105,408,800 —      1/13/17 1.1642% 3 month USD-LIBOR-BBA (956,884)
19,199,000 —      1/24/22 3 month USD-LIBOR-BBA 2.16% 449,743
15,953,000 —      1/25/22 3 month USD-LIBOR-BBA 2.1825% 406,081
2,563,000 (E) —      2/13/22 3 month USD-LIBOR-BBA 2.24% 75,711
23,055,600 1,368,350      1/19/22 4.72% 3 month USD-LIBOR-BBA (4,678,910)
1,513,000 —      1/9/17 1.253% 3 month USD-LIBOR-BBA (20,582)
137,481,000 —      1/9/22 3 month USD-LIBOR-BBA 2.11% 2,717,627
3,341,000 —      1/9/42 3 month USD-LIBOR-BBA 2.723% 70,401
CAD 16,520,000 —      1/23/17 1.6325% 3 month CAD-BA-CDOR (137,671)
Barclays Bank PLC
$25,998,000 —      1/5/17 3 month USD-LIBOR-BBA 1.2685% 377,732
122,668,000 —      1/11/14 0.6575% 3 month USD-LIBOR-BBA (336,926)
336,142,000 —      1/12/14 0.655% 3 month USD-LIBOR-BBA (905,483)
5,178,000 —      1/12/17 3 month USD-LIBOR-BBA 1.226% 62,887
9,043,000 —      1/13/22 2.074% 3 month USD-LIBOR-BBA (146,160)
1,099,000 —      1/13/22 2.05125% 3 month USD-LIBOR-BBA (15,431)
3,689,000 —      1/13/14 3 month USD-LIBOR-BBA 0.608% 6,492
49,459,300 —      1/13/14 0.61% 3 month USD-LIBOR-BBA (89,063)
34,368,600 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (305,047)
23,519,000 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 327,637
26,105,000 —      1/17/22 3 month USD-LIBOR-BBA 2.028% 302,098
24,884,000 —      1/17/14 3 month USD-LIBOR-BBA 0.5675% 23,750
4,935,000 —      1/17/22 2.0225% 3 month USD-LIBOR-BBA (54,582)
6,980,000 —      1/17/14 0.57375% 3 month USD-LIBOR-BBA (7,586)
290,002,000 —      1/19/22 1.9955% 3 month USD-LIBOR-BBA (2,451,130)
41,827,000 (73,197)     1/3/14 0.6075% 3 month USD-LIBOR-BBA (147,418)
66,496,000 —      1/19/42 2.6192% 3 month USD-LIBOR-BBA 111,712
13,150,000 —      1/19/22 1.992% 3 month USD-LIBOR-BBA (106,790)
30,272,000 —      1/20/22 3 month USD-LIBOR-BBA 1.993% 246,774
11,816,000 —      1/20/42 2.631% 3 month USD-LIBOR-BBA (6,733)
23,650,000 —      1/23/14 0.5875% 3 month USD-LIBOR-BBA (32,170)
1,309,000 —      1/24/14 3 month USD-LIBOR-BBA 0.5875% 1,767
395,000 —      1/24/22 2.1375% 3 month USD-LIBOR-BBA (8,426)
7,851,000 —      1/24/14 3 month USD-LIBOR-BBA 0.591% 11,150
4,820,000 (E) —      4/11/22 2.265% 3 month USD-LIBOR-BBA (134,430)
36,848,000 —      1/27/22 2.082125% 3 month USD-LIBOR-BBA (588,243)
19,434,000 —      1/30/22 2.062% 3 month USD-LIBOR-BBA (269,677)
10,552,000 —      1/31/22 2.01% 3 month USD-LIBOR-BBA (95,545)
58,549,000 —      2/2/17 1.035% 3 month USD-LIBOR-BBA (113,633)
19,728,000 —      2/2/22 1.965% 3 month USD-LIBOR-BBA (93,814)
897,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (187)
3,256,000 —      2/2/14 0.515% 3 month USD-LIBOR-BBA 192
30,053,000 —      2/2/22 1.92833% 3 month USD-LIBOR-BBA (38,518)
6,829,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 292,896
AUD 36,470,000 —      1/27/17 4.43% 6 month AUD-BBR-BBSW (425,459)
AUD 15,860,000 —      1/27/22 6 month AUD-BBR-BBSW 4.81% 349,565
AUD 3,900,000 —      2/1/22 4.609% 6 month AUD-BBR-BBSW (18,850)
GBP 8,750,000 —      1/23/22 2.4275% 6 month GBP-LIBOR-BBA (222,275)
GBP 6,290,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (780,703)
GBP 2,816,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (618,695)
GBP 9,510,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 1,368,509
Citibank, N.A.
$162,244,000 —      1/12/14 0.6565% 3 month USD-LIBOR-BBA (442,041)
2,220,000 —      1/12/17 3 month USD-LIBOR-BBA 1.2264% 27,007
9,369,000 —      1/19/22 3 month USD-LIBOR-BBA 2.021% 101,472
20,237,000 —      1/19/42 3 month USD-LIBOR-BBA 2.6455% 79,709
2,734,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 24,852
6,829,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 292,896
25,399,000 552,802      1/17/22 2.4475% 3 month USD-LIBOR-BBA (734,053)
31,472,000 —      1/10/17 1.216% 3 month USD-LIBOR-BBA (369,292)
Credit Suisse International
1,267,000 —      1/5/14 0.73% 3 month USD-LIBOR-BBA (5,322)
481,000 —      1/5/17 3 month USD-LIBOR-BBA 1.26875% 6,998
298,000 —      1/6/17 1.2753% 3 month USD-LIBOR-BBA (4,418)
278,208,000 —      1/12/14 0.6525% 3 month USD-LIBOR-BBA (735,145)
264,655,000 —      1/13/14 0.617% 3 month USD-LIBOR-BBA (514,552)
3,736,000 —      1/13/17 3 month USD-LIBOR-BBA 1.1795% 36,708
9,233,700 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 147,053
47,863,900 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (88,643)
85,301,400 —      1/13/17 1.164104% 3 month USD-LIBOR-BBA (774,348)
4,712,000 —      1/17/22 2.0505% 3 month USD-LIBOR-BBA (64,419)
54,142,000 —      1/17/42 3 month USD-LIBOR-BBA 2.688% 709,752
95,198,000 —      1/20/14 3 month USD-LIBOR-BBA 0.583% 121,956
1,520,000 —      1/20/42 3 month USD-LIBOR-BBA 2.673% 14,820
231,000 —      1/23/17 1.165% 3 month USD-LIBOR-BBA (2,009)
2,521,000 —      1/23/42 3 month USD-LIBOR-BBA 2.765% 73,598
11,325,000 —      1/23/22 2.09875% 3 month USD-LIBOR-BBA (201,201)
71,637,000 —      1/27/14 0.550278% 3 month USD-LIBOR-BBA (43,973)
21,109,000 —      1/27/14 3 month USD-LIBOR-BBA 0.56% 16,991
32,094,000 —      1/30/14 0.533% 3 month USD-LIBOR-BBA (8,764)
6,829,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 292,896
9,568,000 —      1/30/17 1.075% 3 month USD-LIBOR-BBA (38,455)
672,000 —      1/30/22 3 month USD-LIBOR-BBA 2.0725% 9,984
2,076,000 —      1/30/42 2.81% 3 month USD-LIBOR-BBA (79,817)
13,880,000 —      1/30/17 1.056% 3 month USD-LIBOR-BBA (42,870)
2,877,000 —      1/31/17 1.04% 3 month USD-LIBOR-BBA (6,515)
15,735,000 —      2/1/17 1.04% 3 month USD-LIBOR-BBA (34,460)
897,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (187)
58,127,000 —      2/2/14 0.514% 3 month USD-LIBOR-BBA 4,597
3,546,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 125,209
CHF 3,990,000 —      1/23/22 6 month CHF-LIBOR-BBA 1.1225% 25,049
CHF 3,990,000 —      1/25/22 6 month CHF-LIBOR-BBA 1.1775% 48,593
GBP 6,292,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 713,572
SEK 31,920,000 —      1/23/22 2.30% 3 month SEK-STIBOR-SIDE 11,215
SEK 31,920,000 —      1/25/22 2.4275% 3 month SEK-STIBOR-SIDE (42,131)
Deutsche Bank AG
$40,849,000 —      1/6/14 0.7245% 3 month USD-LIBOR-BBA (167,172)
15,495,000 —      1/6/17 3 month USD-LIBOR-BBA 1.257% 215,725
2,457,000 —      1/6/17 3 month USD-LIBOR-BBA 1.255% 33,982
80,339,000 —      1/13/14 3 month USD-LIBOR-BBA 0.618% 157,845
34,170,000 —      1/13/17 3 month USD-LIBOR-BBA 1.178% 333,319
53,182,100 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (98,493)
83,707,000 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (742,961)
58,797,400 —      1/13/22 3 month USD-LIBOR-BBA 2.05375% 839,780
43,702,000 —      1/19/14 0.5625% 3 month USD-LIBOR-BBA (38,215)
1,729,000 —      1/19/17 1.102% 3 month USD-LIBOR-BBA (10,001)
21,262,000 —      1/20/17 1.10% 3 month USD-LIBOR-BBA (120,110)
72,356,000 —      1/20/22 2.02% 3 month USD-LIBOR-BBA (772,050)
38,214,000 —      1/20/42 3 month USD-LIBOR-BBA 2.656% 234,041
3,469,000 —      1/20/17 3 month USD-LIBOR-BBA 1.1225% 23,436
83,125,000 —      1/23/22 2.0475% 3 month USD-LIBOR-BBA (1,080,184)
26,143,000 —      1/23/22 2.108% 3 month USD-LIBOR-BBA (486,996)
159,546,000 —      1/23/17 3 month USD-LIBOR-BBA 1.15641% 1,320,511
17,658,000 —      1/24/17 3 month USD-LIBOR-BBA 1.19233% 176,353
64,781,000 —      1/30/14 0.53125% 3 month USD-LIBOR-BBA (16,456)
897,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (187)
1,383,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 11,645
6,829,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 292,896
5,547,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 273,800
90,380,509 (170,593)     1/5/14 0.545% 3 month USD-LIBOR-BBA (218,200)
38,449,000 —      1/3/14 0.773% 3 month USD-LIBOR-BBA (194,675)
23,431,000 —      1/5/17 1.2699% 3 month USD-LIBOR-BBA (342,099)
EUR 22,470,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (2,931,190)
Goldman Sachs International
$41,210,000 —      1/5/17 1.285% 3 month USD-LIBOR-BBA (632,210)
29,973,000 —      1/6/17 1.2568% 3 month USD-LIBOR-BBA (416,987)
120,301,000 —      1/12/14 3 month USD-LIBOR-BBA 0.6565% 327,765
11,612,000 —      1/12/17 1.2185% 3 month USD-LIBOR-BBA (136,687)
148,015,200 —      1/13/17 1.164785% 3 month USD-LIBOR-BBA (1,348,141)
36,223,000 (62,938)     1/4/14 0.61% 3 month USD-LIBOR-BBA (129,067)
6,829,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 292,896
6,070,000 —      1/27/17 1.0825% 3 month USD-LIBOR-BBA (27,212)
571,000 —      1/27/17 3 month USD-LIBOR-BBA 1.11% 3,332
28,252,000 —      1/30/42 2.8019% 3 month USD-LIBOR-BBA (1,037,332)
1,045,000 —      1/30/22 3 month USD-LIBOR-BBA 2.052% 13,529
125,879,000 (F) —      2/1/17 3 month USD-LIBOR-BBA 1.041% 288,766
1,418,000 —      2/2/42 2.69% 3 month USD-LIBOR-BBA (18,452)
16,400,000 —      2/2/17 3 month USD-LIBOR-BBA 0.98875% (5,724)
1,456,000 —      2/2/42 2.64% 3 month USD-LIBOR-BBA (2,917)
5,547,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 273,800
7,703,000 (87,044)     1/27/22 3 month USD-LIBOR-BBA 2.27% 170,736
5,758,000 121,713      1/27/22 2.52% 3 month USD-LIBOR-BBA (205,012)
34,617,000 (E) —      2/7/17 1.35% 3 month USD-LIBOR-BBA (594,028)
EUR 22,500,000 —      9/29/21 6 month EUR-EURIBOR-REUTERS 2.54% 956,027
GBP 5,404,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 296,684
GBP 2,816,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 261,855
GBP 5,106,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (241,622)
GBP 4,904,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (560,260)
GBP 4,904,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (513,430)
JPMorgan Chase Bank, N.A.
$5,181,000 —      1/11/17 3 month USD-LIBOR-BBA 1.2125% 59,711
57,173,000 —      1/11/17 3 month USD-LIBOR-BBA 1.187% 587,214
34,966,000 —      1/12/14 3 month USD-LIBOR-BBA 0.639% 83,055
300,812,000 —      1/13/14 3 month USD-LIBOR-BBA 0.613% 560,183
983,000 —      1/13/17 1.1673% 3 month USD-LIBOR-BBA (9,072)
106,364,200 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (196,985)
131,539,600 —      1/13/17 1.168249% 3 month USD-LIBOR-BBA (1,220,669)
305,816,000 —      1/17/14 0.587% 3 month USD-LIBOR-BBA (410,414)
49,682,000 —      1/17/17 1.115% 3 month USD-LIBOR-BBA (322,305)
450,000 —      1/19/22 1.99% 3 month USD-LIBOR-BBA (3,573)
308,000 —      1/19/14 0.56% 3 month USD-LIBOR-BBA (252)
261,813,000 —      1/20/22 3 month USD-LIBOR-BBA 2.0075% 2,488,882
7,376,000 —      1/20/42 3 month USD-LIBOR-BBA 2.6455% 28,628
45,571,000 —      1/20/22 3 month USD-LIBOR-BBA 2.029% 524,199
10,026,000 —      1/23/42 3 month USD-LIBOR-BBA 2.688% 128,002
153,410,000 —      1/23/14 3 month USD-LIBOR-BBA 0.59% 216,433
77,217,000 —      1/23/22 3 month USD-LIBOR-BBA 2.097184% 1,361,007
19,178,000 —      1/25/17 3 month USD-LIBOR-BBA 1.2255% 221,992
8,756,000 —      1/26/22 2.154% 3 month USD-LIBOR-BBA (198,989)
21,554,000 —      1/27/22 3 month USD-LIBOR-BBA 2.10% 380,127
6,829,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 292,896
25,399,000 544,958      1/17/22 2.453% 3 month USD-LIBOR-BBA (754,904)
20,260,000 —      2/1/14 3 month USD-LIBOR-BBA 0.54125% 9,320
8,430,000 —      2/1/22 1.95125% 3 month USD-LIBOR-BBA (28,915)
26,837,000 —      2/1/22 1.956% 3 month USD-LIBOR-BBA (104,127)
13,824,000 —      2/2/14 0.5175% 3 month USD-LIBOR-BBA 126
5,531,000 —      2/2/22 1.92875% 3 month USD-LIBOR-BBA (7,309)
14,000 —      2/2/42 2.6675% 3 month USD-LIBOR-BBA (113)
897,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (187)
11,938,000 (228,613)     1/19/22 3 month USD-LIBOR-BBA 2.2775% 185,948
38,426,000 2,217,180      1/17/22 4.80% 3 month USD-LIBOR-BBA (8,154,782)
CAD 3,390,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (78,808)
CAD 8,410,000 —      1/24/22 2.3825% 3 month CAD-BA-CDOR (131,856)
EUR 16,810,000 —      12/16/16 1 month EUR-EONIA-OIS-COMPOUND 1.205% 327,691
EUR 41,170,000 —      12/16/13 0.52% 1 month EUR-EONIA-OIS-COMPOUND (167,541)
JPY 36,800,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 15,001
JPY 49,400,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (5,217)
MXN 14,762,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (60,104)
MXN 19,089,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (77,435)
MXN 63,220,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (111,362)
MXN 6,909,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (12,170)
MXN 63,220,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 188,871
MXN 40,760,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 148,681
UBS AG
CHF 74,153,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (1,174,818)
Total $(17,499,792)
(E)   See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.
(F)   Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (”ASC 820”) based on the securities' valuation inputs.











TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
$12,662,430 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools $(241,947)
Barclays Bank PLC
1,792,257 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,191)
1,605,073 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,687
8,262,645 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 13,013
464,964 2,034      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,897)
617,523 (96)     1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (12,866)
13,913,955 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 96,161
12,382,512 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (8,228)
9,542,150 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,588
49,519,239 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (145,211)
13,064,859 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,543
4,843,321 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,313
42,982,999 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (126,044)
31,408,938 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,518
12,600,510 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 55,928
1,472,757 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (24,308)
5,760,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (109,250)
12,662,430 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 241,947
5,847,691 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (108,714)
4,575,926 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (85,071)
4,843,321 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,313
31,435,794 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (92,183)
22,349,529 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 99,200
18,142,140 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (53,200)
1,432,964 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,928
3,608,258 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 5,683
6,737,117 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (125,250)
16,724,422 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 26,339
53,649,469 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 14,549
13,265,857 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,598
670,800 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 182
1,570,655 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,044)
5,093,612 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (3,385)
3,692,723 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,454)
23,060,893 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (466,003)
Citibank, N.A.
2,701,766 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 733
34,810,344 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (665,138)
2,242,458 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 608
Credit Suisse International
353,178 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 722
3,228,881 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 876
13,601,430 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (259,889)
16,007,771 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (46,941)
Deutsche Bank AG
17,141,209 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 165,765
16,007,771 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (46,942)
Goldman Sachs International
3,290,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 29,590
2,467,500 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 19,742
1,419,093 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (27,788)
15,778,733 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,279
20,251,431 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 139,961
EUR 17,506,000 —      10/18/13 (1.7775%) Eurostat Eurozone HICP excluding tobacco (245,245)
Total $(1,964,423)











CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(5,787) $650,000 12/20/19 (100 bp) $98,164
Deutsche Bank AG
  France, Gov't of, 4.25%, 04/25/2019 — 9,480 10,140,000 6/20/15 (100 bp) 167,213
JPMorgan Chase Bank, N.A.
  Republic of Italy, 6 7/8%, 9/27/23 — (2,691,870) 10,164,000 12/20/21 (100 bp) (628,217)
  Republic of Italy, 6 7/8%, 9/27/23 A2 2,253,668 25,668,000 12/20/13 100 bp 888,219
Total $525,379
*   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 January 31, 2012.  










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
EMTN Euro Medium Term Notes
FDIC Guaranteed Federal Deposit Insurance Corp. Guaranteed
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
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 November 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $1,286,534,035.
(b) The aggregate identified cost on a tax basis is $1,968,936,035, resulting in gross unrealized appreciation and depreciation of $59,418,240 and $48,317,116, respectively, or net unrealized appreciation of $11,101,124.
(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.
(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.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $14,615 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $341,750,302 and $369,531,730, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $609,169,093 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: 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 considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses 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”.
Outstanding number of contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk, to gain exposure to interest rates and to hedge against changes in values of securities it owns, owned or expects to own.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers.
The fund had an average contract amount of approximately $3,037,500,000 on purchased options contracts for the reporting period. Outstanding contracts on written options contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Total return swap contracts: The fund enters into 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 gain exposure to rates of inflation in specific regions/countries and to hedge inflation in specific regions/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. 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 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.
Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Interest rate swap contracts: The fund enters into 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 interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate 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 interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
The fund had an average notional amount of approximately $8,912,800,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund enters into credit default contracts to hedge credit risk.
In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract.
The fund had an average notional amount of approximately $37,700,000 on credit default swap contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter 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 $3,273,998 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 $139,090,565 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $135,832,042.
TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $37,020,671 $—
Corporate bonds and notes — 214,808,037 —
Foreign government and agency bonds and notes — 27,558,835 —
Mortgage-backed securities — 507,459,157 111,429
Purchased options outstanding — 67,589,141 —
Senior loans — 56,494,444 —
U.S. government agency obligations — 846,140 —
U.S. government and agency mortgage obligations — 497,486,111 —
U.S. treasury obligations — 402,593 —
Short-term investments 66,737,525 503,523,076 —
Totals by level $66,737,525 $1,913,188,205 $111,429



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $2,232,958 $—
Futures contracts (1,625,952) — —
Written options — (183,843,623) —
TBA sale commitments — (77,227,735) —
Interest rate swap contracts — (21,682,410) —
Total return swap contracts — (1,966,361) —
Credit default contracts — 959,888 —
Totals by level $(1,625,952) $(281,527,283) $—


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $2,325,337 $1,365,449
Foreign exchange contracts 10,629,309 8,396,351
Interest rate contracts 95,979,424 237,508,629
Total $108,934,070 $247,270,429


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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: October 31, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Absolute Return 500 Fund

The fund's portfolio
1/31/12 (Unaudited)
COMMON STOCKS (27.1%)(a)
Shares Value
Basic materials (0.7%)
International Flavors & Fragrances, Inc. 10,481 $584,945
Newmont Mining Corp. 24,438 1,502,448
PPG Industries, Inc. 12,232 1,095,743
Sealed Air Corp. 23,383 466,023
Sherwin-Williams Co. (The) 9,980 973,349
Sigma-Aldrich Corp. 11,695 795,728
Valspar Corp. 14,798 639,866
6,058,102
Capital goods (1.2%)
Ball Corp. 19,642 771,145
Covanta Holding Corp. 34,601 494,448
Huntington Ingalls Industries, Inc.(NON) 4,065 153,169
KBR, Inc. 26,190 841,747
Lockheed Martin Corp. 26,080 2,146,906
Northrop Grumman Corp. 24,594 1,427,682
Raytheon Co. 32,634 1,566,106
Rockwell Collins, Inc. 19,066 1,103,731
Roper Industries, Inc. 12,764 1,192,030
9,696,964
Communication services (0.9%)
American Tower REIT, Inc. Class A(R) 32,720 2,078,047
IAC/InterActiveCorp. 27,597 1,188,603
Verizon Communications, Inc. 105,096 3,957,915
7,224,565
Conglomerates (0.1%)
AMETEK, Inc. 23,052 1,083,444
1,083,444
Consumer cyclicals (3.4%)
Advance Auto Parts, Inc. 9,199 705,011
Amazon.com, Inc.(NON) 13,217 2,569,913
AutoZone, Inc.(NON) 3,410 1,186,271
Big Lots, Inc.(NON) 13,744 542,751
Cintas Corp. 25,628 949,517
Discovery Communications, Inc. Class A(NON) 14,768 633,252
Dollar Tree, Inc.(NON) 12,292 1,042,485
Ecolab, Inc. 18,672 1,128,536
Equifax, Inc. 21,764 848,143
Expedia, Inc. 13,055 422,590
Gartner, Inc.(NON) 17,433 660,885
Kimberly-Clark Corp. 45,319 3,243,028
McGraw-Hill Cos., Inc. (The) 24,213 1,113,798
Moody's Corp. 24,354 906,699
MSC Industrial Direct Co., Inc. 9,699 737,318
Omnicom Group, Inc. 21,152 964,743
PETsMART, Inc. 14,335 762,909
Priceline.com, Inc.(NON) 2,917 1,544,493
Scotts Miracle-Gro Co. (The) Class A 9,987 472,984
Target Corp. 28,838 1,465,259
Tupperware Brands Corp. 9,660 607,034
Verisk Analytics, Inc. Class A(NON) 23,909 958,034
Viacom, Inc. Class B 31,149 1,465,249
Wal-Mart Stores, Inc. 38,900 2,386,904
Washington Post Co. (The) Class B 1,156 437,789
27,755,595
Consumer staples (3.0%)
Brinker International, Inc. 17,508 452,582
ConAgra Foods, Inc. 39,900 1,064,133
Corn Products International, Inc. 22,665 1,257,681
Darden Restaurants, Inc. 14,066 645,207
Dr. Pepper Snapple Group, Inc. 74,200 2,880,444
Herbalife, Ltd. 32,839 1,900,721
Hormel Foods Corp. 56,712 1,632,171
Kroger Co. (The) 41,700 990,792
Lorillard, Inc. 9,496 1,019,775
Panera Bread Co. Class A(NON) 4,344 643,998
Philip Morris International, Inc. 51,394 3,842,729
Safeway, Inc. 74,462 1,636,675
Starbucks Corp. 39,908 1,912,790
TripAdvisor, Inc. 13,055 429,640
W.W. Grainger, Inc. 8,231 1,569,981
Walgreen Co. 24,500 817,320
Yum! Brands, Inc. 25,428 1,610,355
24,306,994
Energy (2.8%)
Chevron Corp. 58,745 6,055,435
Core Laboratories NV (Netherlands) 8,734 927,813
Deepocean Group (Shell) (acquired 6/9/11, cost $357,152) (Norway)(RES) 24,587 393,392
Dresser-Rand Group, Inc.(NON) 17,537 898,421
Exxon Mobil Corp. 103,002 8,625,387
FMC Technologies, Inc.(NON) 28,860 1,475,035
HollyFrontier Corp. 29,574 867,701
Murphy Oil Corp. 20,510 1,222,396
Oceaneering International, Inc. 21,334 1,036,619
Oil States International, Inc.(NON) 11,177 890,695
Sunoco, Inc. 21,549 826,620
23,219,514
Financials (3.3%)
ACE, Ltd. 28,762 2,001,835
Allied World Assurance Co. Holdings AG 10,282 632,651
Annaly Capital Management, Inc.(R) 72,327 1,217,987
Arch Capital Group, Ltd.(NON) 26,875 968,844
Aspen Insurance Holdings, Ltd. 20,162 535,503
Axis Capital Holdings, Ltd. 22,308 686,640
Bank of Hawaii Corp. 12,519 572,369
Berkshire Hathaway, Inc. Class B(NON) 34,138 2,675,395
BlackRock, Inc. 2,400 436,800
Chubb Corp. (The) 16,099 1,085,234
Digital Realty Trust, Inc.(R) 16,162 1,145,239
Endurance Specialty Holdings, Ltd. (Bermuda) 13,253 495,662
Everest Re Group, Ltd. 9,836 839,994
Federal Realty Investment Trust(R) 11,097 1,048,223
Goldman Sachs Group, Inc. (The) 3,400 378,998
Jones Lang LaSalle, Inc. 8,811 693,954
JPMorgan Chase & Co. 43,600 1,626,280
M&T Bank Corp. 14,610 1,165,001
New York Community Bancorp, Inc. 60,415 766,666
PartnerRe, Ltd. 12,000 785,040
People's United Financial, Inc. 64,297 792,782
Rayonier, Inc.(R) 23,011 1,052,293
Realty Income Corp.(R) 22,902 833,633
RenaissanceRe Holdings, Ltd. 11,362 830,676
Transatlantic Holdings, Inc. 13,650 756,893
Travelers Cos., Inc. (The) 21,796 1,270,707
Validus Holdings, Ltd. 23,548 755,184
W.R. Berkley Corp. 27,934 957,298
27,007,781
Health care (2.5%)
Abbott Laboratories 70,765 3,831,925
AmerisourceBergen Corp. 36,589 1,425,873
Biogen Idec, Inc.(NON) 16,565 1,953,345
C.R. Bard, Inc. 12,527 1,158,998
Cardinal Health, Inc. 38,074 1,638,324
Eli Lilly & Co. 71,399 2,837,396
Forest Laboratories, Inc.(NON) 36,733 1,167,375
Gen-Probe, Inc.(NON) 11,361 760,392
Laboratory Corp. of America Holdings(NON) 13,483 1,232,211
Lincare Holdings, Inc. 23,998 616,509
McKesson Corp. 24,013 1,962,342
Perrigo Co. 14,899 1,424,344
Warner Chilcott PLC Class A (Ireland)(NON) 42,944 724,465
20,733,499
Technology (7.6%)
Accenture PLC Class A 51,913 2,976,691
Amdocs, Ltd. (United Kingdom)(NON) 43,471 1,279,786
Analog Devices, Inc. 45,658 1,786,598
Apple, Inc.(NON) 68,859 31,432,756
Avago Technologies, Ltd. (Singapore) 48,832 1,657,358
BMC Software, Inc.(NON) 31,010 1,123,802
CA, Inc. 48,711 1,255,770
Harris Corp. 26,937 1,104,417
Hewlett-Packard Co. 42,743 1,195,949
IBM Corp. 35,219 6,783,179
Intuit, Inc. 41,345 2,333,512
KLA-Tencor Corp. 11,945 610,748
L-3 Communications Holdings, Inc. 14,641 1,035,704
Lam Research Corp.(NON) 10,732 457,076
Micros Systems, Inc.(NON) 21,666 1,077,017
Microsoft Corp. 128,219 3,786,307
NetApp, Inc.(NON) 10,655 402,120
Novellus Systems, Inc.(NON) 26,645 1,256,312
QLogic Corp.(NON) 25,313 438,421
Solera Holdings, Inc. 18,920 903,808
62,897,331
Transportation (0.7%)
Copa Holdings SA Class A (Panama) 8,797 599,428
J. B. Hunt Transport Services, Inc. 20,221 1,032,686
Landstar Systems, Inc. 13,082 669,144
Southwest Airlines Co. 88,327 846,173
United Parcel Service, Inc. Class B 36,586 2,767,731
5,915,162
Utilities and power (0.9%)
AGL Resources, Inc. 14,450 599,820
Alliant Energy Corp. 16,843 713,975
DTE Energy Co. 19,092 1,015,885
Entergy Corp. 15,632 1,084,548
Pinnacle West Capital Corp. 16,023 757,247
Public Service Enterprise Group, Inc. 39,654 1,203,102
Spectra Energy Corp. 37,006 1,165,319
Westar Energy, Inc. 20,495 582,878
7,122,774
Total common stocks (cost $196,375,679) $223,021,725

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (17.9%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.7%)
Government National Mortgage Association Pass-Through Certificates
     4s, with due dates from January 20, 2041 to February 20, 2041 $5,576,195 $6,016,154
6,016,154
U.S. Government Agency Mortgage Obligations (17.2%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     3 1/2s, with due dates from January 1, 2041 to January 1, 2041 1,906,944 1,979,125
Federal National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, February 1, 2042 134,000,000 139,223,910
141,203,035
Total U.S. government and agency mortgage obligations (cost $145,653,591) $147,219,189

CORPORATE BONDS AND NOTES (15.5%)(a)
Principal amount Value
Basic materials (1.3%)
Alcoa, Inc. sr. unsec. unsub. notes 5.55s, 2017 $339,000 $371,225
ArcelorMittal sr. unsec. unsub. notes 6 1/8s, 2018 (France) 339,000 353,636
BHP Billiton Finance USA, Ltd. company guaranty sr. unsec. unsub. notes 5 1/2s, 2014 (Australia) 339,000 374,309
Dow Chemical Co. (The) sr. unsec. unsub. notes 5.9s, 2015 565,000 636,687
E.I. du Pont de Nemours & Co. sr. unsec. unsub. notes 3 1/4s, 2015 452,000 483,696
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 1,250,000 1,287,500
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes FRN 4.957s, 2014 400,000 366,000
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 1,020,000 1,063,350
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany) EUR 495,200 646,768
Lyondell Chemical Co. company guaranty notes 11s, 2018 $374,324 409,885
Lyondell Chemical Co. company guaranty sr. notes 8s, 2017 271,000 302,165
Momentive Performance Materials, Inc. company guaranty sr. notes 12 1/2s, 2014 647,000 687,438
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 100,000 142,500
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) $445,000 619,277
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.712s, 2015 (Germany) EUR 100,000 128,360
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $1,000,000 1,010,625
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2015 500,000 510,625
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 170,000 177,225
Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 395,000 451,707
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 898,000 924,940
10,947,918
Capital goods (0.5%)
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 265,000 272,288
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 1,045,000 1,120,763
BE Aerospace, Inc. sr. unsec. unsub. notes 8 1/2s, 2018 285,000 314,213
Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019 200,000 233,787
Boeing Co. (The) sr. unsec. unsub. notes 3 1/2s, 2015 252,000 273,950
Caterpillar Financial Services Corp. sr. unsec. notes 6 1/8s, 2014 616,000 681,156
Deere & Co. sr. unsec. notes 6.95s, 2014 252,000 285,367
General Cable Corp. company guaranty sr. unsec. unsub. notes FRN 2.956s, 2015 85,000 80,963
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A company guaranty sr. notes 8 3/4s, 2016 195,000 207,675
United Technologies Corp. sr. unsec. unsub. notes 4 7/8s, 2015 452,000 507,123
3,977,285
Communication services (2.1%)
America Movil SAB de CV company guaranty unsec. unsub. notes 5 1/2s, 2014 (Mexico) 339,000 366,859
AT&T, Inc. sr. unsec. unsub. notes 2 1/2s, 2015 2,579,000 2,694,823
Cellco Partnership/Verizon Wireless Capital, LLC sr. unsec. unsub. notes 5.55s, 2014 452,000 493,745
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 350,000 329,875
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 1,125,000 1,341,311
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 380,000 402,800
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. notes 5 3/4s, 2016 (Germany) 452,000 509,196
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) 560,000 593,600
Level 3 Financing, Inc. 144A company guaranty FRN 4.202s, 2015 1,000,000 940,000
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 900,000 928,125
Nextel Communications, Inc. company guaranty sr. unsec. unsub. notes 5.95s, 2014 840,000 831,600
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 245,000 278,688
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 290,000 316,463
Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016 642,000 747,560
Qwest Corp. sr. unsec. unsub. notes 6 1/2s, 2017 510,000 572,914
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 240,000 259,800
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 265,000 233,863
Telecom Italia Capital SA company guaranty 5 1/4s, 2015 (Italy) 508,000 490,855
Telefonica Emisones SAU company guaranty 6.421s, 2016 (Spain) 250,000 270,017
Telefonica Emisones SAU company guaranty sr. unsec. notes 4.949s, 2015 (Spain) 315,000 325,467
Time Warner Cable, Inc. company guaranty sr. unsec. notes 5.85s, 2017 955,000 1,111,242
Verizon Communications, Inc. sr. unsec. notes 5.55s, 2016 1,459,000 1,692,458
Vodafone Group PLC sr. unsec. unsub. notes 5 5/8s, 2017 (United Kingdom) 508,000 601,388
Wind Acquisition Finance SA company guaranty sr. sec. notes Ser. REGS, 7 3/8s, 2018 (Netherlands) EUR 190,000 224,882
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Netherlands) $335,000 324,950
16,882,481
Conglomerates (0.5%)
General Electric Co. sr. unsec. notes 5 1/4s, 2017 3,534,000 4,129,974
SPX Corp. sr. unsec. notes 7 5/8s, 2014 260,000 293,150
4,423,124
Consumer cyclicals (1.6%)
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 500,000 443,750
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 390,000 422,663
Daimler Finance North America, LLC company guaranty 6 1/2s, 2013 (Germany) 282,000 306,351
DISH DBS Corp. company guaranty 6 5/8s, 2014 750,000 806,250
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 400,000 435,322
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s, 2016 282,000 329,104
Interpublic Group of Companies, Inc. (The) sr. unsec. notes 6 1/4s, 2014 231,000 249,480
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 990,000 1,123,650
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 905,000 891,425
MGM Resorts International sr. notes 10 3/8s, 2014 180,000 205,200
News America, Inc. company guaranty sr. unsec. notes 5.3s, 2014 452,000 502,733
Nielsen Finance, LLC/Nielsen Finance Co. sr. notes 11 5/8s, 2014 114,000 131,100
Owens Corning company guaranty sr. unsec. notes 9s, 2019 210,000 252,525
QVC, Inc. 144A sr. notes 7 1/8s, 2017 475,000 508,844
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 200,000 200,000
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 484,000 527,608
Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015 685,000 744,938
Target Corp. sr. unsec. notes 5 3/8s, 2017 452,000 536,718
Time Warner, Inc. company guaranty sr. unsec. notes 5 7/8s, 2016 729,000 861,205
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 1,200,000 1,230,000
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 125,000 75,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2014 1,000,000 1,075,000
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 3.2s, 2014 1,068,000 1,135,420
Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 455,000 464,669
13,458,955
Consumer staples (1.1%)
ACCO Brands Corp. company guaranty sr. notes 10 5/8s, 2015 500,000 555,050
Altria Group, Inc. company guaranty sr. unsec. notes 4 1/8s, 2015 663,000 725,124
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4 1/8s, 2015 616,000 671,103
Coca-Cola Co. (The) sr. unsec. notes 1.8s, 2016 282,000 290,265
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 260,000 291,850
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 260,000 282,100
CVS Corp. sr. unsec. 5 3/4s, 2017 395,000 466,405
Diageo Capital PLC company guaranty 5 3/4s, 2017 (United Kingdom) 339,000 409,214
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 500,000 688,780
Kraft Foods, Inc. sr. unsec. unsub. notes 4 1/8s, 2016 $1,068,000 1,162,056
Kroger Co. company guaranty 6.4s, 2017 282,000 339,132
PepsiCo, Inc. sr. unsec. unsub. notes 3.1s, 2015 786,000 839,837
Philip Morris International, Inc. sr. unsec. unsub. notes 5.65s, 2018 339,000 411,046
Procter & Gamble Co. (The) sr. unsec. notes 3 1/2s, 2015 452,000 489,947
Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 300,000 321,000
Service Corporation International sr. notes 7s, 2017 170,000 188,700
Service Corporation International sr. unsec. 7 3/8s, 2014 180,000 197,325
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 180,000 211,500
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 230,000 266,800
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 235,000 258,206
9,065,440
Energy (1.7%)
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 285,000 327,474
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 379,000 381,843
BP Capital Markets PLC company guaranty sr. unsec. notes 3 7/8s, 2015 (United Kingdom) 252,000 272,164
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (United Kingdom) 200,000 223,957
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 490,000 551,250
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 560,000 539,000
ConocoPhillips company guaranty sr. unsec. notes 4.6s, 2015 899,000 1,001,245
EnCana Holdings Finance Corp. company guaranty sr. unsec. unsub. notes 5.8s, 2014 (Canada) 395,000 428,506
Forest Oil Corp. company guaranty sr. unsec. notes 8 1/2s, 2014 965,000 1,051,850
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) 1,000,000 1,139,040
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 435,000 440,438
Peabody Energy Corp. company guaranty 7 3/8s, 2016 135,000 150,188
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 1,035,000 1,150,144
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 3,295,000 2,765,164
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 225,000 240,188
Shell International Finance BV company guaranty sr. unsec. notes 3.1s, 2015 (Netherlands) 786,000 846,884
Whiting Petroleum Corp. company guaranty 7s, 2014 125,000 133,438
WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 2,000,000 2,000,000
XTO Energy, Inc. sr. unsec. unsub. notes 6 1/4s, 2017 339,000 424,415
14,067,188
Financials (4.0%)
Allstate Corp. (The) sr. unsec. unsub. notes 5s, 2014 339,000 369,544
American Express Credit Corp. sr. unsec. unsub. notes 5 1/8s, 2014 1,012,000 1,100,649
American International Group, Inc. sr. unsec. notes Ser. MTN, 5.45s, 2017 565,000 578,996
Bank of America Corp. sr. unsec. notes 5 3/4s, 2017 3,585,000 3,691,639
Bank of New York Mellon Corp. (The) sr. unsec. notes 2.95s, 2015 452,000 475,344
Barclays Bank PLC sr. unsec. unsub. notes 5.2s, 2014 (United Kingdom) 616,000 648,798
BB&T Corp. unsec. sub. notes 5.2s, 2015 339,000 369,450
Berkshire Hathaway, Inc. sr. unsec. unsub. notes 3.2s, 2015 1,233,000 1,317,821
Capital One Financial Corp. sr. unsec. unsub. notes 6 3/4s, 2017 452,000 520,301
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 355,000 410,025
Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018 1,230,000 1,351,576
Citigroup, Inc. sr. unsec. unsub. notes 6 1/8s, 2017 1,575,000 1,732,837
Credit Suisse Guernsey sr. unsec. notes 5 1/2s, 2014 1,402,000 1,495,756
Deutsche Bank AG sr. unsec. notes 6s, 2017 (United Kingdom) 616,000 704,432
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 480,000 477,600
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 175,000 202,563
Goldman Sachs Group, Inc. (The) sr. unsec. notes 6 1/4s, 2017 2,748,000 3,016,699
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. debs. FRB 8 1/8s, 2038 530,000 551,200
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 740,000 768,825
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 300,000 312,000
JPMorgan Chase & Co. sr. unsec. unsub. notes 3.7s, 2015 3,031,000 3,192,161
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 162,000 174,150
Leucadia National Corp. sr. unsec. notes 7s, 2013 100,000 104,250
MetLife, Inc. sr. unsec. 6 3/4s, 2016 452,000 533,549
PNC Funding Corp. bank guaranty sr. unsec. note 3 5/8s, 2015 283,000 301,623
Prudential Financial, Inc. sr. disc. unsec. unsub. notes Ser. MTN, 4 3/4s, 2015 565,000 610,622
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea) 225,000 228,904
Simon Property Group LP sr. unsec. unsub. notes 4 1/8s, 2021(R) 395,000 424,123
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 395,000 427,588
UBS AG/Stamford CT sr. unsec. notes Ser. DPNT, 3 7/8s, 2015 300,000 308,827
US Bancorp sr. unsec. unsub. notes 2.45s, 2015 452,000 471,087
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017(R) 135,000 139,882
Vnesheconombank Via VEB Finance PLC 144A bank guaranteed bonds 6.8s, 2025 (Russia) 800,000 808,800
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 500,000 508,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,600,000 1,662,000
Wells Fargo & Co. sr. unsec. unsub. notes 5 5/8s, 2017 2,301,000 2,646,914
Westpac Banking Corp. sr. unsec. unsub. notes 3s, 2015 (Australia) 395,000 405,220
33,044,505
Health care (0.9%)
Abbott Laboratories sr. unsec. notes 5 7/8s, 2016 508,000 602,155
Amgen, Inc. sr. unsec. notes 5.85s, 2017 339,000 398,803
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 339,000 413,311
CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021 305,000 317,631
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 415,000 552,737
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 $235,000 264,963
GlaxoSmith Kline Capital, Inc. company guaranty sr. unsec. unsub. notes 4 3/8s, 2014 452,000 489,554
HCA, Inc. sr. notes 6 1/2s, 2020 665,000 705,731
Merck & Co., Inc. sr. unsec. notes 4s, 2015 508,000 561,678
Novartis Capital Corp. company guaranty sr. unsec. notes 2.9s, 2015 452,000 484,732
Pfizer, Inc. sr. unsec. notes 5.35s, 2015 1,068,000 1,217,345
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 40,000 45,250
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 665,000 696,588
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 339,000 412,457
WellPoint, Inc. unsec. unsub. notes 5 1/4s, 2016 157,000 177,171
7,340,106
Technology (0.6%)
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 485,000 435,288
Cisco Systems, Inc. sr. unsec. unsub. notes 5 1/2s, 2016 508,000 596,777
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014 452,000 492,567
IBM Corp. sr. unsec. notes 5.7s, 2017 673,000 822,152
Oracle Corp. sr. unsec. notes 5 1/4s, 2016 616,000 713,226
Seagate Technology International 144A company guaranty sr. sec. notes 10s, 2014 (Cayman Islands) 222,000 253,635
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 985,000 1,019,475
Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 395,000 416,985
4,750,105
Transportation (—%)
United Parcel Service, Inc. sr. unsec. unsub. notes 3 7/8s, 2014 339,000 361,521
361,521
Utilities and power (1.2%)
AES Corp. (The) sr. unsec. unsub. notes 9 3/4s, 2016 210,000 246,750
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,035,000 1,161,788
Appalachian Power Co. sr. unsec. unsub. notes 7s, 2038 189,000 259,026
Carolina Power & Light Co. 1st mtge. bonds 5.3s, 2019 280,000 332,597
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 157,000 203,902
Dominion Resources, Inc. sr. unsec. unsub. notes Ser. 07-A, 6s, 2017 880,000 1,061,267
Duke Energy Corp. sr. unsec. unsub. notes 6.3s, 2014 880,000 971,521
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 350,000 306,250
El Paso Corp. sr. unsec. notes 7s, 2017 225,000 249,155
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds Ser. L, 6.3s, 2017 395,000 466,354
Exelon Corp. sr. unsec. notes 4.9s, 2015 827,000 903,334
FirstEnergy Corp. sr. unsec. unsub. notes Ser. C, 7 3/8s, 2031 220,000 283,174
FPL Group Capital, Inc. company guaranty sr. unsec. notes 7 7/8s, 2015 282,000 335,823
Kinder Morgan Energy Partners LP notes 6s, 2017 452,000 516,466
National Rural Utilities Cooperative Finance Corp. sr. bonds 10 3/8s, 2018 226,000 330,339
Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018 315,000 419,415
Pacific Gas & Electric Co. sr. unsec. bonds 4.8s, 2014 220,000 237,914
Southern Power Co. sr. unsec. notes Ser. D, 4 7/8s, 2015 339,000 374,338
Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s, 2019 275,000 361,270
TransCanada Pipelines, Ltd. sr. unsec. unsub. notes 6 1/2s, 2018 (Canada) 395,000 490,739
9,511,422
Total corporate bonds and notes (cost $124,287,150) $127,830,050

MORTGAGE-BACKED SECURITIES (15.3%)(a)
Principal amount Value
Adjustable Rate Mortgage Trust FRB Ser. 05-11, Class 5A1, 0.546s, 2036 $1,116,624 $591,811
American Home Mortgage Assets FRB Ser. 06-6, Class A1A, 0.466s, 2046 2,108,642 927,803
Banc of America Commercial Mortgage, Inc.
     Ser. 04-3, Class D, 5.786s, 2039 639,000 575,975
     Ser. 06-6, Class A2, 5.309s, 2045 1,150,900 1,151,382
     Ser. 04-4, Class B, 4.985s, 2042 563,000 551,812
     Ser. 07-1, Class XW, IO, 0.456s, 2049 4,947,632 57,511
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 03-1, Class F, 5.507s, 2036 493,000 490,387
     Ser. 04-4, Class XC, IO, 1.042s, 2042 4,754,738 87,787
     Ser. 02-PB2, Class XC, IO, 0.806s, 2035 2,981,962 3,757
Banc of America Funding Corp. FRB Ser. 06-H, Class 6A1, 0.471s, 2036 703,559 328,914
Barclays Capital LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.87s, 2046 13,548,601 553,587
     Ser. 09-RR7, Class 2A7, IO, 1.584s, 2047 31,408,762 1,306,604
     Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047 33,912,070 837,628
     Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046 35,195,267 869,323
Barclays Capital, LLC Trust
     FRB Ser. 07-AA2, Class 12A1, 0.486s, 2047 3,519,807 1,654,309
     FRB Ser. 07-AA1, Class 2A1, 0.456s, 2037 1,106,619 580,975
Bear Stearns Alt-A Trust FRB Ser. 05-9, Class 11A1, 0.536s, 2035 831,222 403,142
Bear Stearns Asset Backed Securities Trust
     FRB Ser. 06-IM1, Class A3, 0.556s, 2036 1,028,608 216,008
     FRB Ser. 06-IM1, Class A1, 0.506s, 2036 1,005,869 487,847
Bear Stearns Commercial Mortgage Securities, Inc. 144A Ser. 02-PBW1, Class G, 5.83s, 2035 492,000 473,402
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 5,812,733 145,900
     Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047 3,498,123 71,362
     Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046 7,759,142 138,113
     Ser. 07-AR3, Class 1X, IO, 0 1/2s, 2037 3,989,693 63,835
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 4,152,927 56,480
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class AJ, 4.96s, 2043 590,000 566,801
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR1, Class A2, 0.436s, 2037 872,630 449,230
Commercial Mortgage Asset Trust FRB Ser. 99-C2, Class E, 7.64s, 2032 520,000 544,700
Commercial Mortgage Pass-Through Certificates
     Ser. 06-C8, Class A2B, 5 1/4s, 2046 600,700 602,605
     Ser. 05-LP5, Class B, 5.105s, 2043(F) 886,000 833,471
Countrywide Alternative Loan Trust
     FRB Ser. 05-84, Class 4A1, 5.666s, 2036 4,741,156 2,726,165
     FRB Ser. 07-OA4, Class A1, 0.446s, 2047 5,693,388 3,316,398
     FRB Ser. 07-OA3, Class 1A1, 0.416s, 2047 3,248,836 1,916,813
     FRB Ser. 06-HY11, Class A1, 0.396s, 2036 1,480,004 725,202
Countrywide Home Loans 144A
     Ser. 05-R3, Class AS, IO, 5.581s, 2035 385,108 66,386
     FRB Ser. 05-R3, Class AF, 0.676s, 2035 378,497 304,690
Credit Suisse Mortgage Capital Certificates FRB Ser. 07-C4, Class A2, 5.987s, 2039 898,844 902,677
CS First Boston Mortgage Securities Corp.
     Ser. 02-CKN2, Class C1, 6.376s, 2037(F) 965,000 967,434
     FRB Ser. 04-C2, Class E, 5.736s, 2036(F) 963,000 720,778
     FRB Ser. 04-C2, Class D, 5.575s, 2036 567,000 555,660
     Ser. 2005-C6, Class AJ, 5.23s, 2040(F) 1,212,000 1,129,515
     Ser. 05-C5, Class AJ, 5.1s, 2038(F) 1,466,000 1,467,366
     Ser. 03-CPN1, Class E, 4.891s, 2035 514,000 497,660
CS First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 730,000 770,150
     FRB Ser. 03-CK2, Class G, 5.744s, 2036 1,430,000 1,424,996
     Ser. 03-C3, Class AX, IO, 1.922s, 2038 7,956,185 116,192
     Ser. 04-C4, Class AX, IO, 1.19s, 2039 3,278,209 69,170
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust FRB Ser. 06-AR1, Class 1A3, 0.606s, 2036 9,991,755 3,497,114
Federal Home Loan Mortgage Corp.
     IFB Ser. 2990, Class LB, 16.205s, 2034 238,600 327,097
     IFB Ser. 3951, Class CS, IO, 6.46s, 2026 7,179,956 1,247,948
     IFB Ser. 3859, Class SG, IO, 6.41s, 2039 745,589 112,055
     IFB Ser. 3727, Class PS, IO, 6.41s, 2038 3,107,279 347,028
     IFB Ser. 3287, Class SE, IO, 6.41s, 2037(F) 149,711 18,986
     IFB Ser. 3835, Class SC, IO, 6.36s, 2038 18,799,832 3,448,829
     IFB Ser. 3856, Class PS, IO, 6.31s, 2040 822,572 126,918
     IFB Ser. 3852, Class KS, IO, 6.26s, 2041 9,418,473 1,549,998
     IFB Ser. 3708, Class SQ, IO, 6.26s, 2040 9,132,183 1,180,243
     IFB Ser. 3907, Class KS, IO, 6.26s, 2040 2,735,533 460,967
     IFB Ser. 3708, Class SA, IO, 6.16s, 2040 13,333,846 1,688,598
     IFB Ser. 3934, Class SA, IO, 6.11s, 2041 401,580 67,630
     IFB Ser. 3116, Class AS, IO, 5.81s, 2034 2,638,506 264,776
     IFB Ser. 3852, Class NT, 5.71s, 2041 3,523,925 3,710,024
     IFB Ser. 3752, Class PS, IO, 5.71s, 2040 1,582,958 270,575
     Ser. 3672, Class PI, IO, 5 1/2s, 2039 1,470,976 163,881
     Ser. 3645, Class ID, IO, 5s, 2040 460,693 40,744
     Ser. 3680, Class KI, IO, 5s, 2038 7,467,015 1,001,028
     Ser. 3632, Class CI, IO, 5s, 2038 514,266 42,987
     Ser. 3626, Class DI, IO, 5s, 2037 349,380 15,467
     Ser. 3653, Class CI, IO, 5s, 2036 5,348,523 232,393
     Ser. 3623, Class CI, IO, 5s, 2036 318,434 23,883
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 417,109 47,566
     Ser. 3738, Class MI, IO, 4s, 2034 23,629,207 1,889,509
     Ser. 3736, Class QI, IO, 4s, 2034 6,423,084 236,851
     Ser. 3751, Class MI, IO, 4s, 2034 300,512 14,467
     Ser. 3707, Class HI, IO, 4s, 2023 596,790 20,327
     Ser. T-8, Class A9, IO, 0.441s, 2028 347,158 2,604
     Ser. T-59, Class 1AX, IO, 0.275s, 2043 779,163 5,844
     Ser. T-48, Class A2, IO, 0.212s, 2033 1,114,166 7,989
     Ser. 3206, Class EO, PO, zero %, 2036 130,552 120,085
     Ser. 3175, Class MO, PO, zero %, 2036 102,614 94,064
     FRB Ser. T-54, Class 2A, IO, zero %, 2043 452,806 71
Federal National Mortgage Association
     IFB Ser. 05-74, Class NK, 26.119s, 2035 95,529 174,255
     IFB Ser. 05-45, Class DA, 23.407s, 2035 440,857 719,953
     IFB Ser. 11-4, Class CS, 12.347s, 2040 2,576,101 2,952,334
     IFB Ser. 11-67, Class BS, IO, 6.224s, 2041 7,425,770 1,144,460
     IFB Ser. 404, Class S13, IO, 6.124s, 2040 165,019 24,027
     IFB Ser. 10-35, Class SG, IO, 6.124s, 2040 5,820,761 1,038,191
     Ser. 10-21, Class IP, IO, 5s, 2039 1,107,557 128,754
     Ser. 10-92, Class CI, IO, 5s, 2039 2,168,857 199,264
     Ser. 397, Class 2, IO, 5s, 2039 111,537 14,587
     Ser. 398, Class C5, IO, 5s, 2039 992,499 114,137
     Ser. 09-31, Class PI, IO, 5s, 2038 2,134,716 313,768
     Ser. 10-13, Class EI, IO, 5s, 2038 941,224 53,817
     Ser. 10-100, Class AI, IO, 4 1/2s, 2025 4,817,437 297,730
     Ser. 406, Class 2, IO, 4s, 2041 353,558 41,331
     Ser. 406, Class 1, IO, 4s, 2041 216,930 25,359
     Ser. 03-W10, Class 1, IO, 1.442s, 2043 316,489 14,242
     Ser. 98-W2, Class X, IO, 0.919s, 2028 613,764 27,425
     Ser. 98-W5, Class X, IO, 0.85s, 2028 252,653 10,485
     Ser. 03-W1, Class 2A, IO, zero %, 2042 966,397 75
     FRB Ser. 06-104, Class EK, zero %, 2036 26,258 25,470
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 531,000 517,725
First Union National Bank Commercial Mortgage 144A Ser. 01-C3, Class K, 6.155s, 2033 658,000 658,000
GE Capital Commercial Mortgage Corp. Ser. 07-C1, Class A3, 5.481s, 2049 914,000 993,874
GE Capital Commercial Mortgage Corp. 144A
     FRB Ser. 03-C2, Class H, 5.705s, 2037 1,231,000 1,176,836
     FRB Ser. 04-C1, Class F, 5.088s, 2038 807,000 782,790
     Ser. 05-C2, Class XC, IO, 0.183s, 2043 20,793,586 156,305
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class AJ, 4.915s, 2041 792,000 758,433
GMAC Commercial Mortgage Securities, Inc. 144A
     Ser. 02-C3, Class G, 5.831s, 2039 376,000 357,200
     FRB Ser. 03-C2, Class F, 5.651s, 2040 422,000 404,162
Government National Mortgage Association
     IFB Ser. 11-37, Class SB, IO, 6.419s, 2038 1,401,722 176,967
     IFB Ser. 11-61, Class CS, IO, 6.399s, 2035 11,761,674 1,617,230
     IFB Ser. 10-167, Class SM, IO, 6.39s, 2040 8,183,342 1,330,611
     IFB Ser. 10-85, Class SD, IO, 6.369s, 2038 192,376 30,520
     IFB Ser. 11-37, Class SD, IO, 6.369s, 2038 1,803,484 297,575
     IFB Ser. 11-11, Class PS, IO, 6.319s, 2040 5,145,950 783,522
     IFB Ser. 10-58, Class LS, IO, 6.269s, 2039 6,613,849 1,008,678
     IFB Ser. 10-120, Class SB, IO, 5.919s, 2035 398,650 39,997
     IFB Ser. 10-20, Class SC, IO, 5.869s, 2040 101,193 15,701
     IFB Ser. 11-40, Class AS, IO, 5.837s, 2036 6,462,427 828,419
     IFB Ser. 11-70, Class SN, IO, 5.61s, 2041 802,000 223,734
     IFB Ser. 11-70, Class SH, IO, 5.6s, 2041 1,003,000 281,091
     Ser. 10-68, Class MI, IO, 5s, 2039 405,257 54,957
     Ser. 10-150, Class WI, IO, 5s, 2038 11,638,515 1,307,704
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 167,233 28,735
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 6,876,057 799,342
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 4,024,363 144,877
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class AJ, 4.859s, 2042 674,000 688,049
Greenwich Capital Commercial Funding Corp. 144A
     Ser. 02-C1, Class H, 5.903s, 2035 3,000,000 3,039,943
     Ser. 03-C1, Class G, 4.773s, 2035 558,000 541,735
GS Mortgage Securities Corp. II Ser. 06-GG6, Class A2, 5.506s, 2038 352,048 354,909
GSMPS Mortgage Loan Trust 144A
     Ser. 05-RP1, Class 1AS, IO, 5.913s, 2035 327,633 55,506
     IFB Ser. 04-4, Class 1AS, IO, 5.204s, 2034 616,638 105,503
     Ser. 06-RP2, Class 1AS1, IO, 5.13s, 2036 531,117 82,139
     FRB Ser. 06-RP2, Class 1AF1, 0.676s, 2036 531,117 408,960
     FRB Ser. 04-4, Class 1AF, 0.676s, 2034 616,638 474,811
     FRB Ser. 05-RP1, Class 1AF, 0.626s, 2035 327,633 252,278
     Ser. 98-2, IO, 0.467s, 2027 95,805 7
     Ser. 98-3, IO, 0.315s, 2027 115,256 289
     Ser. 99-2, IO, zero %, 2027 168,030 424
     Ser. 98-4, IO, zero %, 2026 129,929 338
Harborview Mortgage Loan Trust FRB Ser. 06-8, Class 2A1A, 0.469s, 2036 4,229,439 2,558,811
IndyMac Index Mortgage Loan Trust
     FRB Ser. 06-AR5, Class 1A2, 5.168s, 2036 68,401 3,762
     FRB Ser. 06-AR3, Class 3A1B, 4.911s, 2036 346,500 188,843
     FRB Ser. 06-AR19, Class 1A2, 2.958s, 2036 981,091 413,378
     FRB Ser. 06-AR11, Class 3A1, 2.82648s, 2036 1,745,494 754,655
     FRB Ser. 06-AR35, Class 2A1A, 0.446s, 2037 757,157 346,150
     FRB Ser. 06-AR21, Class A1, 0.396s, 2036 3,996,592 1,718,535
     FRB Ser. 06-AR29, Class A2, 0.356s, 2036 1,229,254 528,579
JPMorgan Alternative Loan Trust
     FRB Ser. 07-A2, Class 12A1, 0.476s, 2037 659,883 283,750
     FRB Ser. 06-A7, Class 1A1, 0.436s, 2036 832,797 399,743
     FRB Ser. 07-A1, Class 1A3A, 0.426s, 2037(F) 1,593,953 685,079
     FRB Ser. 06-A4, Class A3, 0.386s, 2036 2,447,432 1,248,190
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 02-C2, Class E, 5.517s, 2034 1,130,000 1,114,395
     Ser. 02-C3, Class D, 5.314s, 2035 843,000 817,710
     Ser. 2007-LDPX, Class A2S, 5.305s, 2049 590,335 594,527
     Ser. 03-C1, Class D, 5.192s, 2037 453,000 453,935
     Ser. 04-C3, Class B, 4.961s, 2042 427,000 405,095
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     Ser. 02-C1, Class E, 6.135s, 2037 535,000 533,095
     FRB Ser. 02-CIB5, Class F, 6.118s, 2037 2,000,000 2,030,000
     FRB Ser. 01-C1, Class H, 5.626s, 2035(F) 672,000 665,341
     FRB Ser. 04-CB8, Class F, 4.964s, 2039(F) 500,000 395,186
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class A2, 5.532s, 2032 9,327 9,322
     Ser. 06-C6, Class AM, 5.413s, 2039(F) 1,905,000 1,971,256
     Ser. 05-C7, Class A2, 5.103s, 2030 129,476 129,476
     Ser. 03-C3, Class G, 4.392s, 2037 607,000 596,378
     Ser. 07-C2, Class XW, IO, 0.702s, 2040 3,143,159 63,872
     Ser. 07-C1, Class XW, IO, 0.655s, 2040(F) 18,512,419 424,573
LB-UBS Commercial Mortgage Trust 144A
     Ser. 02-C1, Class J, 6.95s, 2034 363,000 363,000
     Ser. 02-C2, Class K, 6.529s, 2035(F) 601,000 595,026
     Ser. 02-C1, Class K, 6.428s, 2034 1,134,000 1,134,000
     Ser. 02-C2, Class J, 6.235s, 2035 992,000 992,298
     Ser. 03-C8, Class G, 5.35s, 2037 436,000 439,098
     Ser. 05-C3, Class XCL, IO, 0.328s, 2040 19,089,293 321,807
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.406s, 2037 1,342,074 650,906
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, 0.92s, 2047 2,863,437 88,767
Merrill Lynch Mortgage Trust
     FRB Ser. 07-C1, Class A2, 5.923s, 2050 1,249,295 1,257,540
     Ser. 03-KEY1, Class C, 5.373s, 2035 356,000 358,559
     Ser. 04-KEY2, Class B, 4.947s, 2039 674,000 684,851
     Ser. 05-MCP1, Class XC, IO, 0.269s, 2043 17,935,604 187,858
Morgan Stanley Capital I
     FRB Ser. 07-HQ12, Class A2, 5.783s, 2049 403,270 411,330
     Ser. 07-IQ14, Class A2, 5.61s, 2049 1,034,687 1,088,017
     FRB Ser. 07-HQ12, Class A2FL, 0.545s, 2049 514,486 483,616
Morgan Stanley Dean Witter Capital I Ser. 03-HQ2, Class C, 5.15s, 2035 844,000 815,895
Morgan Stanley Dean Witter Capital I 144A FRB Ser. 03-HQ2, Class F, 5.72855s, 2035 535,000 508,250
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 10.236s, 2043 439,000 448,878
Nomura Asset Acceptance Corp.
     FRB Ser. 06-AR4, Class A4A, 0.516s, 2036 1,144,933 446,524
     FRB Ser. 06-AR4, Class A1A, 0.446s, 2036 3,076,530 1,230,612
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030 236,000 241,900
Residential Accredit Loans, Inc.
     Ser. 06-QS13, Class 1A5, 6s, 2036 104,024 65,535
     Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046 5,004,905 256,251
     Ser. 06-Q07, Class X1, IO, 0.9s, 2046 3,379,311 106,448
Salomon Brothers Mortgage Securities VII 144A FRB Ser. 99-C1, Class J, 7s, 2032 903,000 934,178
Structured Adjustable Rate Mortgage Loan Trust FRB Ser. 07-4, Class 1A1, 0.516s, 2037 639,596 255,838
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 7,978,045 296,783
     Ser. 06-AR3, Class 12X, IO, 1s, 2036 2,727,657 99,832
     Ser. 06-AR7, Class X, IO, 0.9s, 2036 19,609,025 560,818
     Ser. 06-AR4, Class 5X, IO, 0.8s, 2036 2,047,501 53,440
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 2,769,650 57,609
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 12,435,939 161,667
Structured Asset Securities Corp.
     IFB Ser. 07-4, Class 1A3, IO, 5.913s, 2045 812,524 146,254
     Ser. 07-4, Class 1A4, IO, 1s, 2045 1,616,528 66,682
TIAA Seasoned Commercial Mortgage Trust FRB Ser. 07-C4, Class AJ, 5.739s, 2039(F) 1,969,000 1,892,065
Wachovia Bank Commercial Mortgage Trust
     Ser. 06-C25, Class A2, 5.684s, 2043 13,680 13,680
     Ser. 06-C28, Class A3, 5.679s, 2048 922,000 1,011,538
     Ser. 2004-C12, Class F, 5.495s, 2041 868,000 773,822
     Ser. 04-C11, Class B, 5.306s, 2041 534,000 537,948
     Ser. 05-C17, Class B, 5.287s, 2042 1,009,000 890,443
     Ser. 2003-C8, Class E, 5.251s, 2035 583,000 594,233
     Ser. 06-C29, IO, 0.552s, 2048 43,386,351 656,002
Wachovia Bank Commercial Mortgage Trust 144A Ser. 07-C31, IO, 0.416s, 2047 65,050,731 589,522
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A1, 0.29472s, 2036 1,049,150 409,169
WAMU Commercial Mortgage Securities Trust 144A Ser. 05-C1A, Class C, 4.9s, 2036 139,000 139,849
Total mortgage-backed securities (cost $130,710,412) $126,329,773

SENIOR LOANS (6.6%)(a)(c)
Principal amount Value
Basic materials (0.4%)
Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017 $830,825 $822,517
General Chemical Group, Inc. bank term loan FRN Ser. B, 5s, 2018 689,834 686,959
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 466,475 459,283
Norit NV bank term loan FRN 6 3/4s, 2017 (Netherlands) 498,750 492,516
Novelis, Inc. bank term loan FRN Ser. B, 3 3/4s, 2017 282,150 280,880
Styron Corp. bank term loan FRN 6s, 2017 365,327 332,448
3,074,603
Capital goods (0.3%)
Husky Injection Molding Systems, Ltd. bank term loan FRN Ser. B, 6 1/2s, 2018 (Canada) 497,500 499,366
Reynolds Group Holdings, Inc, bank term loan FRN Ser. C, 6 1/2s, 2018 370,048 371,147
Reynolds Group Holdings, Inc, bank term loan FRN Ser. E, 6 1/2s, 2018 490,911 492,368
SRAM Corp. bank term loan FRN 8 1/2s, 2018 500,000 498,000
SRAM Corp. bank term loan FRN 4.77s, 2018 181,726 180,999
Terex Corp. bank term loan FRN Ser. B, 5 1/2s, 2017 663,338 666,102
2,707,982
Communication services (0.5%)
Atlantic Broadband Finance, LLC bank term loan FRN Ser. B, 4s, 2016 560,245 553,592
Crown Castle Operating Co. bank term loan FRN Ser. B, 4s, 2019 1,000,000 999,286
Intelsat Jackson Holdings SA bank term loan FRN Ser. B, 5 1/4s, 2018 (Bermuda) 992,500 993,120
Level 3 Financing, Inc. bank term loan FRN Ser. B2, 5 3/4s, 2018 665,000 660,982
MetroPCS Wireless, Inc. bank term loan FRN Ser. B3, 4.063s, 2018 495,006 489,850
SBA Senior Finance II, LLC bank term loan FRN Ser. B, 3 3/4s, 2018 497,500 495,924
4,192,754
Consumer cyclicals (2.1%)
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 1,287,000 1,291,826
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 239,375 238,819
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.418s, 2015 1,000,000 898,439
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 959,980 954,880
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.55s, 2014 947,629 837,975
Cumulus Media, Inc. bank term loan FRN 5 3/4s, 2018 800,000 799,571
Federal Mogul Corp. bank term loan FRN Ser. B, 2.235s, 2014 334,481 319,596
Federal Mogul Corp. bank term loan FRN Ser. C, 2.22s, 2015 170,653 163,059
Gateway Casinos & Entertainment, Inc. bank term loan FRN Ser. B1, 5 1/4s, 2016 CAD 1,691,500 1,619,467
Getty Images, Inc. bank term loan FRN Ser. B, 5 1/4s, 2016 $735,517 737,539
Goodman Global, Inc. bank term loan FRN 9s, 2017 54,091 54,301
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 247,581 248,044
Gymboree Corp. bank term loan FRN 5s, 2018 495,000 443,555
Interactive Data Corp. bank term loan FRN 4 1/2s, 2018 709,638 706,976
Isle of Capri Casinos, Inc. bank term loan FRN 4 3/4s, 2017 853,550 852,839
J. Crew Group, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 995,000 959,346
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 671,625 651,476
Lord & Taylor, LLC bank term loan FRN 5 3/4s, 2018 833,000 833,694
MGM Mirage bank term loan FRN Ser. E, 7s, 2014 1,000,000 999,444
NBTY, Inc. bank term loan FRN Ser. B, 4 1/4s, 2017 689,143 687,277
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 1,280,000 1,256,000
Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017 672,306 663,062
PETCO Animal Supplies, Inc. bank term loan FRN 4 1/2s, 2017 980,000 969,791
Realogy Corp. bank term loan FRN Ser. B, 4.691s, 2016 263,723 245,395
17,432,371
Consumer staples (0.9%)
Burger King Holdings, Inc. bank term loan FRN Ser. B, 4 1/2s, 2016 885,688 881,418
Claire's Stores, Inc. bank term loan FRN 3.069s, 2014 1,288,192 1,178,051
Dean Foods Co. bank term loan FRN Ser. A1, 3.3s, 2014 384,416 377,448
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 477,600 465,541
DineEquity, Inc. bank term loan FRN Ser. B, 4 1/4s, 2017 345,825 344,889
Prestige Brands, Inc. bank term loan FRN Ser. B, 5 1/4s, 2019 1,000,000 1,003,958
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 1,492,500 1,485,485
Rite Aid Corp. bank term loan FRN 4 1/2s, 2018 971,916 950,048
Spectrum Brands, Inc. bank term loan FRN 5s, 2016 770,402 770,723
7,457,561
Energy (0.2%)
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 485,233 483,240
Samson Investment Co. bank term loan FRN 8s, 2018 1,250,000 1,250,000
1,733,240
Financials (0.4%)
CNO Financial Group, Inc. bank term loan FRN 6 1/4s, 2016 200,765 201,267
iStar Financial, Inc. bank term loan FRN Ser. A1, 5s, 2013 615,340 613,143
Nuveen Investments, Inc. bank term loan FRN Ser. B, 6.013s, 2017 517,286 512,275
Nuveen Investments, Inc. bank term loan FRN Ser. B, 3.513s, 2014 442,714 433,417
Ocwen Financial Corp. bank term loan FRN 7s, 2016 665,000 658,350
Ocwen Financial Corp. bank term loan FRN Ser. B, 7s, 2016 760,000 754,300
3,172,752
Health care (1.1%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 740,589 739,663
Capsugel Holdings US, Inc. bank term loan FRN Ser. B, 5 1/4s, 2018 997,500 1,003,734
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 595,500 593,453
Health Management Associates, Inc. bank term loan FRN Ser. B, 3.99s, 2018 1,125,000 1,112,110
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 565,725 558,653
Kindred Healthcare, Inc. bank term loan FRN Ser. B, 5 1/4s, 2018 746,250 718,266
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 7s, 2018 1,250,000 1,269,866
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 1,162,998 1,136,345
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 6 1/4s, 2018 640,000 643,885
Quintiles Transnational Corp. bank term loan FRN Ser. B, 5s, 2018 995,000 989,610
8,765,585
Technology (0.3%)
Epicor Software Corp. bank term loan FRN 5s, 2018 995,000 976,966
First Data Corp. bank term loan FRN 4.277s, 2018 1,000,000 876,250
Syniverse Holdings, Inc. bank term loan FRN 5 1/4s, 2017 660,330 660,743
2,513,959
Transportation (0.2%)
Delta Air Lines, Inc. bank term loan FRN Ser. B, 5 1/2s, 2017 828,835 805,006
Swift Transportation Comapny, LLC bank term loan FRN 6s, 2016 817,186 819,995
1,625,001
Utilities and power (0.2%)
AES Corp. (The) bank term loan FRN Ser. B, 4 1/4s, 2018 496,250 496,250
Calpine Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 397,000 393,526
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.795s, 2017 920,555 567,580
1,457,356
Total senior loans (cost $54,745,613) $54,133,164

PURCHASED OPTIONS OUTSTANDING (3.3%)(a)
Expiration date/ Contract
strike price amount Value
SPDR S&P 500 ETF Trust (Put) Jan-13/$110.00 88,643 $471,721
SPDR S&P 500 ETF Trust (Put) Dec-12/102.00 147,770 511,036
SPDR S&P 500 ETF Trust (Put) Nov-12/99.00 111,210 295,129
SPDR S&P 500 ETF Trust (Put) Oct-12/100.00 172,100 419,924
SPDR S&P 500 ETF Trust (Put) Jul-12/117.00 88,643 297,891
SPDR S&P 500 ETF Trust (Put) Jun-12/107.00 147,770 203,679
SPDR S&P 500 ETF Trust (Put) May-12/103.00 111,210 81,773
SPDR S&P 500 ETF Trust (Put) Apr-12/105.00 164,000 80,521
SPDR S&P 500 ETF Trust (Put) Mar-12/102.00 270,996 33,839
SPDR S&P 500 ETF Trust (Put) Feb-12/97.00 238,069 3,309
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. Sep-16/3.49 $3,109,944 278,287
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. Sep-16/3.49 3,109,944 176,769
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023. Jan-13/1.8625 3,363,000 60,702
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855 versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.855 3,363,000 59,290
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 1,917,000 76,412
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 1,917,000 47,810
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.3675 2,495,000 105,514
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.27 2,495,000 91,492
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 3,799,000 360,259
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 3,799,000 233,373
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845 versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.845 3,363,000 57,104
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835 versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.835 3,363,000 54,884
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 1,917,000 73,862
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 1,917,000 44,628
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.34375 2,495,000 101,996
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.2475 2,495,000 88,049
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.82 3,363,000 52,530
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.3175 2,495,000 97,679
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.225 2,495,000 84,206
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 1,917,000 70,776
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 1,917,000 41,216
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.193 8,745,000 279,053
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 1,917,000 68,092
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 1,917,000 38,091
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 3,799,000 316,951
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 3,799,000 189,456
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.169 8,745,000 263,137
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/1.9475 24,800,000 463,264
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 1,917,000 64,565
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 1,917,000 34,391
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 42,757,600 2,926,758
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 42,757,600 295,883
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.144 8,745,000 246,434
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 12,663,710 1,559,156
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 12,663,710 22,541
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 10,553,092 1,441,341
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 10,553,092 1,290,854
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 10,553,092 18,468
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 10,553,092 13,297
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 4,221,237 572,949
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 4,221,237 5,234
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 10,553,092 1,461,498
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1825 3,188,000 96,150
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 10,553,092 11,925
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 6,598,724 916,101
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 6,598,724 7,127
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 10,478,311 1,408,285
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 10,478,311 12,260
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 3,363,000 26,870
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 3,363,000 26,870
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 3,363,000 26,870
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 3,363,000 26,870
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 3,363,000 26,870
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 1,917,000 60,980
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 1,917,000 30,135
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 15,455,000 394,412
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 15,455,000 394,412
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.11875 15,455,000 402,757
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.122 8,745,000 228,245
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 3,363,000 24,180
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 3,363,000 24,180
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 3,363,000 24,180
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 3,363,000 24,180
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022. Jun-12/1.683 3,363,000 24,180
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 1,917,000 57,299
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 1,917,000 25,956
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 3,799,000 261,599
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 3,799,000 131,521
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.096 8,745,000 207,781
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 1,917,000 52,641
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 1,917,000 21,106
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.074% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.074 8,745,000 186,968
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.35% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.35 3,188,000 126,149
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 3,363,000 33,361
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 3,363,000 33,361
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 3,363,000 33,361
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 3,363,000 33,361
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA April 2022. Apr-12/1.861 3,363,000 33,361
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 7,471,000 292,191
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 1,917,000 47,695
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 7,471,000 30,482
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 1,917,000 15,643
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 15,358,000 240,506
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 15,358,000 240,506
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 15,358,000 185,678
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 15,358,000 185,678
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 15,358,000 185,678
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 15,358,000 185,678
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 15,358,000 185,678
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 15,358,000 185,678
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 2.015% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.015 3,050,000 48,861
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.765% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.765 7,625,000 43,539
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 18,569,000 344,084
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 18,569,000 134,068
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 23,833,000 24,548
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 23,833,000 23,595
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 3,363,000 25,592
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 3,363,000 25,592
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 3,363,000 25,592
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 3,363,000 25,592
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA March 2022. Mar-12/1.869 3,363,000 25,592
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 7,471,000 273,887
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 7,471,000 11,655
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 3,799,000 176,426
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 3,799,000 45,512
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. Mar-12/1.86 14,518,848 594,692
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. Mar-12/1.86 14,518,848 15
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 18,569,000 271,664
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 18,569,000 60,535
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 7,471,000 261,859
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 7,471,000 747
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 5,456,000 161,552
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 5,456,000 382
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 34,206,000 70,464
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 34,206,000 342
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 12,624,016 501,300
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 12,624,016 13
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 26,559,841 19,920
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 26,559,841 266
Total purchased options outstanding (cost $29,431,902) $26,861,914

COMMODITY LINKED NOTES (1.6%)(a)
Principal amount Value
UBS AG/Jersey Branch notes 144A zero %, 2012 (Indexed to the UBS Bloomberg CMCI Essence Index) (Jersey) $13,564,000 $13,376,090
Total commodity Linked Notes (cost $13,564,000) $13,376,090

FOREIGN GOVERNMENT BONDS AND NOTES (1.5%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $325,000 $287,914
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 1,405,000 1,400,195
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 7,915,000 7,736,675
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 240,000 221,400
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 200,000 165,000
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 525,000 523,257
Ukraine (Government of) 144A bonds 7 3/4s, 2020 260,000 227,500
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 215,000 193,468
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 1,700,000 1,649,000
Total foreign government bonds and notes (cost $12,622,361) $12,404,409

ASSET-BACKED SECURITIES (1.3%)(a)
Principal amount Value
Countrywide Asset Backed Certificates
     FRB Ser. 07-3, Class 2A2, 0.446s, 2047 $940,000 $679,293
     FRB Ser. 07-1, Class 2A2, 0.376s, 2037 704,000 577,724
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.426s, 2036 2,146,738 1,105,570
Green Tree Financial Corp. Ser. 99-3, Class A8, 7.06s, 2031 638,000 556,655
GSAA Home Equity Trust
     FRB Ser. 06-3, Class A3, 0.576s, 2036 2,213,729 1,062,590
     FRB Ser. 05-14, Class 2A2, 0.526s, 2035 543,485 266,308
     FRB Ser. 07-3, Class A4A, 0.496s, 2047 1,400,766 553,302
     FRB Ser. 06-1, Class A2, 0.496s, 2036(F) 1,496,882 620,915
     FRB Ser. 06-12, Class A2A, 0.426s, 2036(F) 848,459 373,147
HSI Asset Securitization Corp. Trust FRB Ser. 06-HE1, Class 2A1, 0.326s, 2036 22,321 9,682
Long Beach Mortgage Loan Trust FRB Ser. 06-5, Class 2A3, 0.426s, 2036 4,869,807 1,753,131
Oakwood Mortgage Investors, Inc.
     Ser. 01-C, Class A4, 7.405s, 2030 919,978 496,788
     Ser. 01-D, Class A2, 5.26s, 2019(F) 871,706 541,313
Structured Asset Securities Corp. FRB Ser. 06-BC2, Class A3, 0.426s, 2036 3,826,504 2,161,975
Total asset-backed securities (cost $11,701,852) $10,758,393

SHORT-TERM INVESTMENTS (35.1%)(a)
Principal amount/shares Value
Straight-A Funding, LLC with an effective yield of 0.188%, April 16, 2012 $7,000,000 $6,998,741
U.S. Treasury bills with effective yields ranging from 0.072% to 0.145%, April 5, 2012(SEGSF) 73,000,000 72,994,160
U.S. Treasury bills with an effective yield of 0.100%, November 15, 2012(SEGSF) 20,000,000 19,984,420
U.S. Treasury Bills with effective yields ranging from 0.092% to 0.099%, August 23, 2012(SEG)(SEGSF) 51,000,000 50,975,469
U.S. Treasury bills with an effective yield of 0.093%, September 20, 2012(SEG)(SEGSF) 32,000,000 31,983,008
U.S. Treasury bills with effective yields ranging from 0.041% to 0.071%, July 26, 2012 30,000,000 29,988,270
U.S. Treasury bills with an effective yield of 0.221%, March 8, 2012 15,000,000 14,996,400
Putnam Money Market Liquidity Fund 0.08%(e) 60,951,680 60,951,680
Total short-term investments (cost $288,861,078) $288,872,148

TOTAL INVESTMENTS
Total investments (cost $1,007,953,638)(b) $1,030,806,855













FORWARD CURRENCY CONTRACTS at 1/31/12 (aggregate face value $165,114,426) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Buy 2/15/12 $504,926 $490,994 $13,932
British Pound Buy 2/15/12 1,164,555 1,151,895 12,660
Canadian Dollar Buy 2/15/12 399,492 396,043 3,449
Czech Koruna Buy 2/15/12 326,926 317,659 9,267
Czech Koruna Sell 2/15/12 326,926 324,164 (2,762)
Euro Buy 2/15/12 518,392 516,518 1,874
Hungarian Forint Buy 2/15/12 125,768 122,280 3,488
Hungarian Forint Sell 2/15/12 125,768 114,865 (10,903)
Japanese Yen Sell 2/15/12 2,133,349 2,131,375 (1,974)
Norwegian Krone Sell 2/15/12 418,550 416,180 (2,370)
South African Rand Buy 2/15/12 405,782 389,651 16,131
South Korean Won Buy 2/15/12 1,676,925 1,656,139 20,786
South Korean Won Sell 2/15/12 1,676,925 1,637,987 (38,938)
Swedish Krona Sell 2/15/12 247,694 247,294 (400)
Swiss Franc Buy 2/15/12 1,252,800 1,236,793 16,007
Taiwan Dollar Buy 2/15/12 1,059,327 1,048,407 10,920
Taiwan Dollar Sell 2/15/12 1,059,327 1,035,925 (23,402)
Turkish Lira Buy 2/15/12 209,601 203,851 5,750
Turkish Lira Sell 2/15/12 209,600 197,971 (11,629)
Barclays Bank PLC
Australian Dollar Buy 2/15/12 4,451,151 4,328,879 122,272
Brazilian Real Buy 2/15/12 627,707 620,922 6,785
British Pound Sell 2/15/12 1,130,364 1,139,485 9,121
Canadian Dollar Sell 2/15/12 691,509 685,582 (5,927)
Czech Koruna Sell 2/15/12 459,623 453,724 (5,899)
Euro Sell 2/15/12 7,659,861 7,561,505 (98,356)
Hungarian Forint Buy 2/15/12 654,182 636,493 17,689
Hungarian Forint Sell 2/15/12 654,182 595,173 (59,009)
Indonesian Rupiah Sell 2/15/12 17,284 17,835 551
Japanese Yen Sell 2/15/12 2,267,111 2,241,266 (25,845)
Malaysian Ringgit Buy 2/15/12 6,405 2,823 3,582
Mexican Peso Sell 2/15/12 214,267 228,803 14,536
New Zealand Dollar Buy 2/15/12 326,087 310,619 15,468
Norwegian Krone Buy 2/15/12 3,667,210 3,642,008 25,202
Polish Zloty Buy 2/15/12 659,766 611,340 48,426
Polish Zloty Sell 2/15/12 659,765 644,914 (14,851)
Singapore Dollar Sell 2/15/12 386,212 386,799 587
South Korean Won Buy 2/15/12 309,292 301,565 7,727
Swedish Krona Buy 2/15/12 3,918,674 3,889,858 28,816
Swiss Franc Buy 2/15/12 337,159 332,929 4,230
Taiwan Dollar Sell 2/15/12 310,203 301,903 (8,300)
Turkish Lira Buy 2/15/12 503,109 483,687 19,422
Citibank, N.A.
Australian Dollar Buy 2/15/12 918,154 878,015 40,139
Brazilian Real Buy 2/15/12 617,497 615,901 1,596
British Pound Sell 2/15/12 367,439 355,846 (11,593)
Canadian Dollar Buy 2/15/12 896,490 889,023 7,467
Czech Koruna Sell 2/15/12 919,235 932,858 13,623
Euro Sell 2/15/12 2,146,561 2,111,221 (35,340)
Hungarian Forint Buy 2/15/12 777,853 706,000 71,853
Hungarian Forint Sell 2/15/12 777,853 756,648 (21,205)
Japanese Yen Sell 2/15/12 1,641,687 1,631,081 (10,606)
Mexican Peso Sell 2/15/12 214,259 221,723 7,464
New Zealand Dollar Buy 2/15/12 637,243 621,902 15,341
Norwegian Krone Buy 2/15/12 400,646 397,895 2,751
Polish Zloty Buy 2/15/12 464,859 499,640 (34,781)
Singapore Dollar Sell 2/15/12 772,662 773,837 1,175
South African Rand Sell 2/15/12 209,558 176,451 (33,107)
South Korean Won Buy 2/15/12 16,521 16,163 358
South Korean Won Sell 2/15/12 16,521 16,383 (138)
Swedish Krona Sell 2/15/12 1,196,309 1,192,869 (3,440)
Taiwan Dollar Sell 2/15/12 310,200 302,192 (8,008)
Turkish Lira Buy 2/15/12 503,053 510,291 (7,238)
Credit Suisse AG
Australian Dollar Buy 2/15/12 2,954,289 2,865,017 89,272
Brazilian Real Buy 2/15/12 318,901 313,485 5,416
British Pound Sell 2/15/12 640,025 632,921 (7,104)
Canadian Dollar Sell 2/15/12 2,517,688 2,514,705 (2,983)
Chilean Peso Buy 2/15/12 306,854 306,981 (127)
Czech Koruna Buy 2/15/12 315,093 302,448 12,645
Czech Koruna Sell 2/15/12 315,093 311,562 (3,531)
Euro Sell 2/15/12 1,847,664 1,844,375 (3,289)
Hungarian Forint Buy 2/15/12 536,899 488,793 48,106
Hungarian Forint Sell 2/15/12 536,899 522,194 (14,705)
Japanese Yen Sell 2/15/12 987,995 976,925 (11,070)
Malaysian Ringgit Sell 2/15/12 23,025 25,935 2,910
Mexican Peso Buy 2/15/12 18,339 4,087 14,252
New Zealand Dollar Buy 2/15/12 326,334 310,567 15,767
Norwegian Krone Buy 2/15/12 1,400,421 1,390,853 9,568
Polish Zloty Buy 2/15/12 499,706 462,999 36,707
Polish Zloty Sell 2/15/12 499,706 488,489 (11,217)
Singapore Dollar Sell 2/15/12 695,229 695,929 700
South African Rand Buy 2/15/12 786,578 761,674 24,904
South Korean Won Buy 2/15/12 309,292 316,736 (7,444)
Swedish Krona Sell 2/15/12 194,909 182,048 (12,861)
Swiss Franc Sell 2/15/12 1,190,975 1,155,941 (35,034)
Taiwan Dollar Sell 2/15/12 310,203 317,357 7,154
Turkish Lira Buy 2/15/12 503,053 516,244 (13,191)
Deutsche Bank AG
Australian Dollar Buy 2/15/12 1,436,436 1,397,164 39,272
British Pound Buy 2/15/12 769,700 761,572 8,128
Canadian Dollar Buy 2/15/12 376,562 376,694 (132)
Czech Koruna Sell 2/15/12 919,235 912,706 (6,529)
Euro Sell 2/15/12 4,860,306 4,803,365 (56,941)
Hungarian Forint Buy 2/15/12 676,995 636,081 40,914
Hungarian Forint Sell 2/15/12 676,994 615,615 (61,379)
Japanese Yen Buy 2/15/12 1,028,539 1,022,321 6,218
New Zealand Dollar Buy 2/15/12 326,334 310,578 15,756
Norwegian Krone Buy 2/15/12 246,592 224,337 22,255
Polish Zloty Buy 2/15/12 327,763 303,353 24,410
Polish Zloty Sell 2/15/12 327,763 317,700 (10,063)
Singapore Dollar Sell 2/15/12 386,212 386,814 602
South Korean Won Buy 2/15/12 1,116,440 1,106,637 9,803
South Korean Won Sell 2/15/12 1,116,440 1,090,299 (26,141)
Swedish Krona Sell 2/15/12 552,523 550,480 (2,043)
Swiss Franc Sell 2/15/12 1,169,570 1,170,498 928
Taiwan Dollar Buy 2/15/12 565,552 559,068 6,484
Taiwan Dollar Sell 2/15/12 565,552 552,513 (13,039)
Turkish Lira Buy 2/15/12 503,053 503,460 (407)
Goldman Sachs International
Australian Dollar Buy 2/15/12 195,165 200,061 (4,896)
British Pound Sell 2/15/12 167,648 173,209 5,561
Canadian Dollar Buy 2/15/12 48,852 52,762 (3,910)
Euro Sell 2/15/12 1,806,329 1,778,897 (27,432)
Hungarian Forint Buy 2/15/12 455,308 442,992 12,316
Hungarian Forint Sell 2/15/12 455,308 414,479 (40,829)
Japanese Yen Sell 2/15/12 878,185 875,019 (3,166)
Norwegian Krone Sell 2/15/12 998,838 991,502 (7,336)
Polish Zloty Buy 2/15/12 176,926 172,937 3,989
Polish Zloty Sell 2/15/12 176,926 164,197 (12,729)
Singapore Dollar Sell 2/15/12 309,017 308,968 (49)
South African Rand Buy 2/15/12 520,221 498,752 21,469
South Korean Won Buy 2/15/12 309,292 308,822 470
Swedish Krona Sell 2/15/12 43,045 42,915 (130)
Taiwan Dollar Sell 2/15/12 310,203 309,386 (817)
Turkish Lira Buy 2/15/12 503,053 504,557 (1,504)
HSBC Bank USA, National Association
Australian Dollar Sell 2/15/12 877,021 848,253 (28,768)
British Pound Sell 2/15/12 1,064,502 1,053,389 (11,113)
Canadian Dollar Sell 2/15/12 1,050,025 1,041,494 (8,531)
Euro Buy 2/15/12 186,794 223,732 (36,938)
Japanese Yen Buy 2/15/12 418,565 416,061 2,504
New Zealand Dollar Buy 2/15/12 311,238 311,303 (65)
Norwegian Krone Sell 2/15/12 509,436 506,736 (2,700)
Singapore Dollar Sell 2/15/12 386,212 386,810 598
South Korean Won Buy 2/15/12 309,292 269,665 39,627
Swedish Krona Buy 2/15/12 13,075 (6,189) 19,264
Taiwan Dollar Buy 2/15/12 316,234 313,184 3,050
Taiwan Dollar Sell 2/15/12 316,234 308,790 (7,444)
Turkish Lira Buy 2/15/12 503,053 504,613 (1,560)
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 2/15/12 1,769,414 1,732,813 36,601
Brazilian Real Buy 2/15/12 308,806 308,139 667
British Pound Buy 2/15/12 194,119 191,768 2,351
Canadian Dollar Buy 2/15/12 167,992 181,806 (13,814)
Czech Koruna Sell 2/15/12 459,617 455,280 (4,337)
Euro Sell 2/15/12 2,294,243 2,283,820 (10,423)
Hungarian Forint Buy 2/15/12 899,449 818,395 81,054
Hungarian Forint Sell 2/15/12 899,449 875,117 (24,332)
Japanese Yen Sell 2/15/12 1,050,806 1,032,525 (18,281)
Malaysian Ringgit Buy 2/15/12 6,405 2,923 3,482
Mexican Peso Buy 2/15/12 785,375 764,571 20,804
Mexican Peso Sell 2/15/12 766,461 767,771 1,310
New Zealand Dollar Buy 2/15/12 326,087 310,607 15,480
Norwegian Krone Sell 2/15/12 974,221 968,971 (5,250)
Polish Zloty Buy 2/15/12 381,333 372,779 8,554
Polish Zloty Sell 2/15/12 381,333 354,243 (27,090)
Singapore Dollar Sell 2/15/12 695,229 696,022 793
South African Rand Buy 2/15/12 1,068,235 1,048,697 19,538
South Korean Won Buy 2/15/12 857,581 837,646 19,935
South Korean Won Sell 2/15/12 857,581 851,928 (5,653)
Swedish Krona Sell 2/15/12 452,403 460,047 7,644
Swiss Franc Sell 2/15/12 1,181,522 1,143,421 (38,101)
Taiwan Dollar Sell 2/15/12 310,203 311,272 1,069
Turkish Lira Buy 2/15/12 1,006,106 1,012,005 (5,899)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 2/15/12 3,009,732 2,924,473 85,259
Brazilian Real Buy 2/15/12 627,707 623,442 4,265
British Pound Sell 2/15/12 2,080,317 2,032,451 (47,866)
Canadian Dollar Sell 2/15/12 243,863 225,333 (18,530)
Czech Koruna Sell 2/15/12 459,617 462,662 3,045
Euro Sell 2/15/12 319,956 285,800 (34,156)
Hungarian Forint Buy 2/15/12 354,631 322,990 31,641
Hungarian Forint Sell 2/15/12 354,631 327,720 (26,911)
Indonesian Rupiah Buy 2/15/12 1,964 4,098 (2,134)
Japanese Yen Buy 2/15/12 2,568 8,364 (5,796)
Malaysian Ringgit Buy 2/15/12 10,215 3,652 6,563
Mexican Peso Sell 2/15/12 211,692 227,274 15,582
New Zealand Dollar Buy 2/15/12 326,169 310,571 15,598
Norwegian Krone Buy 2/15/12 1,432,823 1,423,998 8,825
Polish Zloty Buy 2/15/12 310,618 303,703 6,915
Polish Zloty Sell 2/15/12 310,618 288,826 (21,792)
Singapore Dollar Sell 2/15/12 308,938 309,279 341
South African Rand Sell 2/15/12 396,645 361,133 (35,512)
South Korean Won Buy 2/15/12 539,374 536,387 2,987
South Korean Won Sell 2/15/12 539,374 526,653 (12,721)
Swedish Krona Buy 2/15/12 192,514 174,033 18,481
Swiss Franc Sell 2/15/12 512,855 506,655 (6,200)
Taiwan Dollar Buy 2/15/12 1,369,395 1,338,266 31,129
Taiwan Dollar Sell 2/15/12 1,369,395 1,353,423 (15,972)
Turkish Lira Buy 2/15/12 326,544 309,138 17,406
Turkish Lira Sell 2/15/12 326,544 309,397 (17,147)
State Street Bank and Trust Co.
Australian Dollar Buy 2/15/12 2,750,007 2,665,287 84,720
Brazilian Real Buy 2/15/12 318,901 314,738 4,163
British Pound Sell 2/15/12 863,765 854,370 (9,395)
Canadian Dollar Buy 2/15/12 421,027 437,229 (16,202)
Chilean Peso Buy 2/15/12 306,854 306,949 (95)
Czech Koruna Sell 2/15/12 459,617 461,670 2,053
Euro Buy 2/15/12 7,222,439 7,206,235 16,204
Hungarian Forint Buy 2/15/12 941,231 893,789 47,442
Hungarian Forint Sell 2/15/12 941,231 856,274 (84,957)
Indonesian Rupiah Buy 2/15/12 15,320 12,521 2,799
Japanese Yen Sell 2/15/12 356,977 354,482 (2,495)
Mexican Peso Sell 2/15/12 190,809 221,169 30,360
New Zealand Dollar Buy 2/15/12 326,169 310,599 15,570
Norwegian Krone Buy 2/15/12 997,441 986,302 11,139
Polish Zloty Buy 2/15/12 464,890 457,203 7,687
Singapore Dollar Sell 2/15/12 695,229 695,976 747
South African Rand Buy 2/15/12 765,089 749,718 15,371
South Korean Won Buy 2/15/12 309,292 308,014 1,278
Swedish Krona Sell 2/15/12 734,637 734,304 (333)
Swiss Franc Sell 2/15/12 1,173,264 1,135,185 (38,079)
Taiwan Dollar Sell 2/15/12 310,203 304,913 (5,290)
Turkish Lira Buy 2/15/12 44,814 43,555 1,259
Turkish Lira Sell 2/15/12 44,814 42,255 (2,559)
Westpac Banking Corp.
Australian Dollar Sell 2/15/12 468,671 454,440 (14,231)
British Pound Sell 2/15/12 545,171 546,648 1,477
Canadian Dollar Buy 2/15/12 58,523 58,066 457
Euro Sell 2/15/12 1,878,012 1,847,211 (30,801)
Japanese Yen Buy 2/15/12 2,436,241 2,423,542 12,699
New Zealand Dollar Buy 2/15/12 637,573 621,811 15,762
Norwegian Krone Sell 2/15/12 35,298 35,055 (243)
Swedish Krona Buy 2/15/12 106,027 105,771 256
Total $312,461












FUTURES CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Canadian Government Bond 10 yr (Long) 17 $2,281,530             Mar-12 $36,884
Euro STOXX 50 Index (Short) 831 26,305,139             Mar-12 (1,641,174)
Euro-Bund 10 yr (Short) 30 5,482,821             Mar-12 (85,108)
Euro-Swiss Franc 3 Month (Short) 38 10,329,766             Dec-12 (158,825)
Euro-Swiss Franc 3 Month (Short) 38 10,322,542             Jun-12 (114,923)
Euro-Swiss Franc 3 Month (Short) 38 10,316,350             Mar-12 (84,653)
Japanese Government Bond 10 yr (Long) 19 35,544,608             Mar-12 56,041
Japanese Government Bond 10 yr Mini (Short) 10 1,870,638             Mar-12 (11,073)
NASDAQ 100 Index E-Mini (Short) 448 22,079,680             Mar-12 (1,100,629)
S&P 500 Index E-Mini (Long) 644 42,124,040             Mar-12 517,464
S&P Mid Cap 400 Index E-Mini (Long) 376 35,152,240             Mar-12 1,758,928
U.K. Gilt 10 yr (Short) 182 33,626,800             Mar-12 (283,216)
U.S. Treasury Bond 30 yr (Long) 145 21,088,438             Mar-12 368,842
U.S. Treasury Note 10 yr (Short) 10 1,322,500             Mar-12 (7,519)
Total $(748,962)












WRITTEN OPTIONS OUTSTANDING at 1/31/12 (premiums received $51,096,804) (Unaudited)


Contract       Expiration date/
amount       strike price Value
SPDR S&P 500 ETF Trust (Call) 1,542,835       Feb-12/$136.00 $323,343
SPDR S&P 500 ETF Trust (Put) 88,643       Jan-13/95.00 246,905
SPDR S&P 500 ETF Trust (Put) 147,770       Dec-12/85.00 236,841
SPDR S&P 500 ETF Trust (Put) 111,210       Nov-12/85.00 152,135
SPDR S&P 500 ETF Trust (Put) 88,643       Jul-12/105.00 150,035
SPDR S&P 500 ETF Trust (Put) 147,770       Jun-12/95.00 95,678
SPDR S&P 500 ETF Trust (Put) 111,210       May-12/90.00 31,606
SPDR S&P 500 ETF Trust (Put) 270,996       Mar-12/90.00 9,927
SPDR S&P 500 ETF Trust (Put) 238,069       Feb-12/85.00 1,007
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. $6,180,300       Aug-15/4.375 322,111
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 6,180,300       Aug-15/4.375 2,036,934
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 6,180,300       Aug-15/4.46 302,791
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 6,180,300       Aug-15/4.46 2,124,039
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.7975% versus the three month USD-LIBOR-BBA maturing October 2021. 3,050,000       Oct-16/2.7975 105,256
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.5625% versus the three month USD-LIBOR-BBA maturing October 2021. 7,625,000       Oct-16/2.5625 219,981
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 14,288,761       Aug-16/3.625 747,302
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 14,288,761       Aug-16/3.625 1,388,868
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 5.35% versus the three month USD-LIBOR-BBA maturing August 2026. 24,328,403       Aug-16/5.35 525,566
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. 24,328,403       Aug-16/4.35 3,429,672
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 10,549,616       Aug-16/4.17 190,948
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 16,863,030       Aug-16/4.28 606,142
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 10,549,616       Aug-16/4.17 834,253
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 16,863,030       Aug-16/4.28 2,299,308
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 6,736,016       Aug-16/4.68 202,754
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 6,736,016       Aug-16/4.68 1,099,991
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 5,613,347       Jul-16/4.67 169,523
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 5,613,347       Jul-16/4.67 912,730
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 5,613,347       Jul-16/4.80 159,419
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 5,613,347       Jul-16/4.80 963,250
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 2,245,339       Jul-16/4.80 63,543
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 2,245,339       Jul-16/4.80 385,525
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 5,613,347       Jul-16/4.815 157,735
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 5,613,347       Jul-16/4.815 969,425
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 3,509,959       Jul-16/4.79 95,022
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 3,509,959       Jul-16/4.79 612,365
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 5,573,570       Jul-16/4.74 154,589
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 5,573,570       Jul-16/4.74 953,928
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 4,145,824       Jun-16/4.815 106,830
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 4,145,824       Jun-16/4.815 736,750
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 2021. 7,402,572       Jun-16/5.12 78,060
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 2021. 7,284,320       Jun-16/4.89 88,140
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 7,238,070       Jun-16/4.575 97,960
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 2021. 7,402,572       Jun-16/4.12 583,004
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 2021. 7,284,320       Jun-16/4.39 646,920
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 7,238,070       Jun-16/4.575 703,685
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 27,400,500       Sep-15/4.04 855,115
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 27,400,500       Sep-15/4.04 3,594,124
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. 1,726,280       Feb-15/5.36 20,025
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. 1,726,280       Feb-15/5.36 407,466
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 3,955,380       Feb-15/5.27 43,541
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 3,955,380       Feb-15/5.27 923,937
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 4,162,255       Aug-14/4.20 72,007
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 4,162,255       Aug-14/4.20 645,770
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 3,468,546       Jul-14/4.19 60,006
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 3,468,546       Jul-14/4.19 536,428
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 1,387,418       Jul-14/4.34 21,505
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 3,468,546       Jul-14/4.35 53,416
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 1,387,418       Jul-14/4.34 230,389
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 3,468,546       Jul-14/4.35 578,664
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 3,468,554       Jul-14/4.3725 52,375
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 3,468,554       Jul-14/4.3725 585,908
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 2,168,841       Jul-14/4.36 30,513
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 2,168,841       Jul-14/4.36 370,288
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 3,443,967       Jul-14/4.29 50,867
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 3,443,967       Jul-14/4.29 569,457
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.3625% versus the three month USD-LIBOR-BBA maturing January 2023. 1,884,000       Jan-13/2.3625 79,166
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2022. 1,884,000       Dec-12/2.355 78,487
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.345% versus the three month USD-LIBOR-BBA maturing December 2022. 1,884,000       Dec-12/2.345 77,263
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.335% versus the three month USD-LIBOR-BBA maturing November 2022. 1,884,000       Nov-12/2.335 76,001
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.32% versus the three month USD-LIBOR-BBA maturing November 2022. 1,884,000       Nov-12/2.32 74,456
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.443% versus the three month USD-LIBOR-BBA maturing October 2022. 6,727,000       Oct-12/2.443 316,707
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.419% versus the three month USD-LIBOR-BBA maturing September 2022. 6,727,000       Sep-12/2.419 305,540
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing August 2022. 17,103,000       Aug-12/2.4475 811,879
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 33,161,500       Aug-12/2.855 182,388
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 33,161,500       Aug-12/2.855 2,602,515
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA August 2022. 42,757,600       Aug-12/2.73 295,883
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. 42,757,600       Aug-12/2.73 2,926,758
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.394% versus the three month USD-LIBOR-BBA maturing August 2022. 6,727,000       Aug-12/2.394 294,037
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.6825% versus the three month USD-LIBOR-BBA maturing July 2022. 1,812,000       Jul-12/2.6825 117,925
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 1,614,000       Jul-12/2.1714 47,242
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 1,614,000       Jul-12/2.1714 47,242
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 1,614,000       Jul-12/2.1714 47,242
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 1,614,000       Jul-12/2.1714 47,242
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 1,614,000       Jul-12/2.1714 47,242
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 12,766,000       Jul-12/2.6075 756,386
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 12,766,000       Jul-12/2.6075 756,386
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.61875% versus the three month USD-LIBOR-BBA maturing July 2022. 12,766,000       Jul-12/2.61875 767,237
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.372% versus the three month USD-LIBOR-BBA maturing July 2022. 6,727,000       Jul-12/2.372 281,659
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 1,581,000       Jun-12/2.183 46,213
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 1,581,000       Jun-12/2.183 46,213
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 1,581,000       Jun-12/2.183 46,213
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 1,581,000       Jun-12/2.183 46,213
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 1,581,000       Jun-12/2.183 46,213
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.346% versus the three month USD-LIBOR-BBA maturing June 2022. 6,727,000       Jun-12/2.346 267,936
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.324% versus the three month USD-LIBOR-BBA maturing May 2022. 6,727,000       May-12/2.324 254,482
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.60% versus the three month USD-LIBOR-BBA maturing April 2022. 2,493,000       Apr-12/2.60 149,381
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 2,388,000       Apr-12/2.111 53,873
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 2,388,000       Apr-12/2.111 53,873
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 2,388,000       Apr-12/2.111 53,873
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 2,388,000       Apr-12/2.111 53,873
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 2,388,000       Apr-12/2.111 53,873
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.498 631,500
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.498 631,500
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 2,391,100       Apr-12/4.8675 2
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.4275 558,767
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.4275 558,767
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.4275 558,767
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.4275 558,767
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.4275 558,767
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 12,286,000       Apr-12/2.4275 558,767
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 2,391,100       Apr-12/4.8675 643,660
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,321,000       Mar-12/2.119 48,880
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,321,000       Mar-12/2.119 48,880
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,321,000       Mar-12/2.119 48,880
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,321,000       Mar-12/2.119 48,880
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,321,000       Mar-12/2.119 48,880
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. 11,141,576       May-16/5.11 117,343
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing May 2021. 10,969,952       May-16/4.86 131,639
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 10,915,355       May-16/4.60 145,196
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing May 2021. 11,141,576       May-16/4.11 873,956
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing May 2021. 10,969,952       May-16/4.36 962,394
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 10,915,355       May-16/4.60 1,069,705
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 21,482,482       May-16/4.765 261,786
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 21,482,482       May-16/4.765 2,255,661
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 9,302,123       May-16/4.7575 118,137
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 14,205,307       May-16/4.745 178,987
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 35,513,269       May-16/4.77 447,467
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 9,302,123       May-16/4.7575 963,923
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 14,205,307       May-16/4.745 1,464,723
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 35,513,269       May-16/4.77 3,696,898
Total $66,424,188















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/12 (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.
$9,521,000 $—      1/12/22 3 month USD-LIBOR-BBA 2.13057% $204,726
95,179,000 —      1/13/14 0.6075% 3 month USD-LIBOR-BBA (166,514)
9,582,000 —      1/13/17 1.158% 3 month USD-LIBOR-BBA (84,080)
2,054,600 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 32,721
11,890,100 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 165,638
46,103,200 —      1/13/17 1.1642% 3 month USD-LIBOR-BBA (418,517)
5,572,000 —      1/24/22 3 month USD-LIBOR-BBA 2.16% 130,526
6,056,000 —      1/25/22 3 month USD-LIBOR-BBA 2.1825% 154,155
1,037,000 (E) —      2/13/22 3 month USD-LIBOR-BBA 2.24% 30,633
11,974,320 710,676      1/19/22 4.72% 3 month USD-LIBOR-BBA (2,430,072)
28,317,000 —      1/9/22 3 month USD-LIBOR-BBA 2.11% 559,750
2,935,000 —      1/9/17 3 month USD-LIBOR-BBA 1.253% 39,926
626,000 —      1/9/42 2.723% 3 month USD-LIBOR-BBA (13,191)
CAD 6,330,000 —      1/23/17 1.6325% 3 month CAD-BA-CDOR (52,752)
Barclays Bank PLC
$91,373,000 —      1/5/17 1.2685% 3 month USD-LIBOR-BBA (1,327,582)
57,206,000 —      1/11/14 0.6575% 3 month USD-LIBOR-BBA (157,125)
216,306,000 —      1/12/14 0.655% 3 month USD-LIBOR-BBA (582,674)
3,263,000 —      1/12/17 3 month USD-LIBOR-BBA 1.226% 39,630
3,611,000 —      1/13/22 2.074% 3 month USD-LIBOR-BBA (58,364)
187,000 —      1/13/22 2.05125% 3 month USD-LIBOR-BBA (2,626)
628,000 —      1/13/14 3 month USD-LIBOR-BBA 0.608% 1,105
23,039,000 —      1/13/14 0.61% 3 month USD-LIBOR-BBA (41,487)
15,032,000 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (133,420)
5,945,000 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 82,818
132,000 —      1/17/22 3 month USD-LIBOR-BBA 2.06% 1,921
95,000 —      1/17/14 0.58% 3 month USD-LIBOR-BBA (115)
1,370,000 —      1/17/22 3 month USD-LIBOR-BBA 1.9975% 11,961
1,443,000 —      1/17/14 0.58375% 3 month USD-LIBOR-BBA (1,848)
43,242,000 —      1/19/22 1.9955% 3 month USD-LIBOR-BBA (365,486)
12,555,000 (21,971)     1/3/14 0.6075% 3 month USD-LIBOR-BBA (44,250)
12,936,000 —      1/19/42 2.6192% 3 month USD-LIBOR-BBA 21,732
4,415,000 —      1/19/22 1.992% 3 month USD-LIBOR-BBA (35,854)
6,514,000 —      1/20/22 3 month USD-LIBOR-BBA 1.993% 53,102
3,266,000 —      1/20/42 2.631% 3 month USD-LIBOR-BBA (1,861)
224,000 —      1/24/14 3 month USD-LIBOR-BBA 0.5875% 302
68,000 —      1/24/22 2.1375% 3 month USD-LIBOR-BBA (1,451)
4,888,000 —      1/24/14 3 month USD-LIBOR-BBA 0.591% 6,942
1,976,000 (E) —      4/11/22 2.265% 3 month USD-LIBOR-BBA (55,111)
12,552,000 —      1/27/22 2.082125% 3 month USD-LIBOR-BBA (200,381)
6,323,000 —      1/30/22 2.062% 3 month USD-LIBOR-BBA (87,741)
151,000 —      1/30/22 3 month USD-LIBOR-BBA 2.061% 2,082
3,427,000 —      1/31/22 2.01% 3 month USD-LIBOR-BBA (31,030)
41,631,000 —      2/1/14 3 month USD-LIBOR-BBA 0.5325% 11,657
34,234,000 —      2/1/17 1.031% 3 month USD-LIBOR-BBA (59,910)
6,298,000 —      2/1/22 1.976% 3 month USD-LIBOR-BBA (36,151)
3,125,000 —      2/1/42 3 month USD-LIBOR-BBA 2.7075% 51,156
22,813,000 —      2/2/17 1.035% 3 month USD-LIBOR-BBA (44,276)
6,496,000 —      2/2/22 1.965% 3 month USD-LIBOR-BBA (30,891)
5,113,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (1,066)
18,558,000 —      2/2/14 0.515% 3 month USD-LIBOR-BBA 1,096
9,767,000 —      2/2/22 1.92833% 3 month USD-LIBOR-BBA (12,518)
437,000 —      2/2/22 3 month USD-LIBOR-BBA 1.9125% (95)
2,826,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 121,207
AUD 13,980,000 —      1/27/17 4.43% 6 month AUD-BBR-BBSW (163,090)
AUD 6,080,000 —      1/27/22 6 month AUD-BBR-BBSW 4.81% 134,007
AUD 1,510,000 —      2/1/22 4.609% 6 month AUD-BBR-BBSW (7,298)
GBP 3,350,000 —      1/23/22 2.4275% 6 month GBP-LIBOR-BBA (85,100)
GBP 2,450,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (304,090)
GBP 1,086,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (238,602)
GBP 3,700,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 532,438
Citibank, N.A.
$21,229,000 —      1/12/14 0.6565% 3 month USD-LIBOR-BBA (57,839)
290,000 —      1/12/17 3 month USD-LIBOR-BBA 1.2264% 3,528
39,723,000 —      1/19/22 3 month USD-LIBOR-BBA 2.021% 430,224
2,819,000 —      1/19/42 3 month USD-LIBOR-BBA 2.6455% 11,103
1,121,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 10,190
2,826,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 121,207
10,510,000 228,747      1/17/22 2.4475% 3 month USD-LIBOR-BBA (303,748)
2,436,000 —      1/10/17 3 month USD-LIBOR-BBA 1.216% 28,584
Credit Suisse International
36,371,000 —      1/5/14 0.73% 3 month USD-LIBOR-BBA (152,771)
13,821,000 —      1/5/17 3 month USD-LIBOR-BBA 1.26875% 201,088
7,073,000 —      1/6/17 3 month USD-LIBOR-BBA 1.2753% 104,857
42,308,000 —      1/12/14 0.6525% 3 month USD-LIBOR-BBA (111,796)
80,617,000 —      1/13/14 0.617% 3 month USD-LIBOR-BBA (156,738)
1,108,000 —      1/13/17 3 month USD-LIBOR-BBA 1.1795% 10,887
2,917,600 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 46,465
22,295,800 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (41,292)
37,308,700 —      1/13/17 1.164104% 3 month USD-LIBOR-BBA (338,680)
28,409,000 —      1/17/42 3 month USD-LIBOR-BBA 2.688% 372,416
12,008,000 —      1/17/22 3 month USD-LIBOR-BBA 2.0505% 164,163
34,985,000 —      1/20/14 3 month USD-LIBOR-BBA 0.583% 44,818
692,000 —      1/20/42 3 month USD-LIBOR-BBA 2.673% 6,747
2,978,000 —      1/23/17 1.165% 3 month USD-LIBOR-BBA (25,904)
1,145,000 —      1/23/42 3 month USD-LIBOR-BBA 2.765% 33,427
3,811,000 —      1/23/22 2.09875% 3 month USD-LIBOR-BBA (67,707)
18,587,000 —      1/27/14 0.550278% 3 month USD-LIBOR-BBA (11,409)
5,477,000 —      1/27/14 3 month USD-LIBOR-BBA 0.56% 4,409
18,434,000 —      1/30/14 0.533% 3 month USD-LIBOR-BBA (5,034)
2,826,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 121,207
28,729,000 —      1/30/17 1.075% 3 month USD-LIBOR-BBA (115,466)
980,000 —      1/30/22 3 month USD-LIBOR-BBA 2.0725% 14,560
556,000 —      1/30/42 3 month USD-LIBOR-BBA 2.81% 21,377
31,033,000 —      1/30/17 1.056% 3 month USD-LIBOR-BBA (95,849)
10,963,000 —      1/31/17 1.04% 3 month USD-LIBOR-BBA (24,828)
25,542,000 —      2/1/17 1.04% 3 month USD-LIBOR-BBA (55,937)
5,113,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (1,066)
1,471,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 51,941
CHF 1,520,000 —      1/23/22 6 month CHF-LIBOR-BBA 1.1225% 9,543
CHF 1,520,000 —      1/25/22 6 month CHF-LIBOR-BBA 1.1775% 18,512
GBP 2,451,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 277,966
SEK 12,160,000 —      1/23/22 2.30% 3 month SEK-STIBOR-SIDE 4,272
SEK 12,160,000 —      1/25/22 2.4275% 3 month SEK-STIBOR-SIDE (16,050)
Deutsche Bank AG
$50,822,000 —      1/6/14 0.7245% 3 month USD-LIBOR-BBA (207,986)
19,278,000 —      1/6/17 3 month USD-LIBOR-BBA 1.257% 268,393
14,041,000 —      1/6/17 3 month USD-LIBOR-BBA 1.255% 194,199
5,543,000 —      1/6/14 3 month USD-LIBOR-BBA 0.7225% 22,455
212,118,000 —      1/13/14 3 month USD-LIBOR-BBA 0.618% 416,756
5,064,000 —      1/13/17 3 month USD-LIBOR-BBA 1.178% 49,398
24,773,100 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (45,879)
36,611,400 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (324,953)
14,862,600 —      1/13/22 3 month USD-LIBOR-BBA 2.05375% 212,277
17,545,000 —      1/19/14 0.5625% 3 month USD-LIBOR-BBA (15,342)
4,702,000 —      1/19/17 1.102% 3 month USD-LIBOR-BBA (27,198)
9,456,000 —      1/20/17 1.10% 3 month USD-LIBOR-BBA (53,417)
48,641,000 —      1/20/22 2.02% 3 month USD-LIBOR-BBA (519,007)
32,880,000 —      1/20/42 3 month USD-LIBOR-BBA 2.656% 201,373
17,392,000 —      1/20/17 3 month USD-LIBOR-BBA 1.1225% 117,499
6,892,000 —      1/23/22 2.0475% 3 month USD-LIBOR-BBA (89,559)
87,546,000 —      1/23/17 3 month USD-LIBOR-BBA 1.15641% 724,590
20,946,000 —      1/24/17 3 month USD-LIBOR-BBA 1.19233% 209,191
22,056,000 —      1/30/14 0.53125% 3 month USD-LIBOR-BBA (5,603)
5,113,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (1,066)
567,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 4,774
2,826,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 121,207
2,295,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 113,281
26,559,841 (50,132)     1/5/14 0.545% 3 month USD-LIBOR-BBA (64,122)
23,829,000 —      1/3/14 0.773% 3 month USD-LIBOR-BBA (120,651)
50,342,000 —      1/5/17 3 month USD-LIBOR-BBA 1.2699% 735,007
EUR 9,060,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (1,181,868)
Goldman Sachs International
$16,833,000 —      1/5/17 1.285% 3 month USD-LIBOR-BBA (258,238)
19,035,000 —      1/6/17 1.2568% 3 month USD-LIBOR-BBA (264,817)
96,785,000 —      1/12/14 3 month USD-LIBOR-BBA 0.6565% 263,695
6,487,000 —      1/12/17 1.2185% 3 month USD-LIBOR-BBA (76,359)
64,738,200 —      1/13/17 1.164785% 3 month USD-LIBOR-BBA (589,644)
11,916,000 (20,704)     1/4/14 0.61% 3 month USD-LIBOR-BBA (42,458)
2,826,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 121,207
37,376,000 —      1/27/17 1.0825% 3 month USD-LIBOR-BBA (167,556)
8,656,000 —      1/27/17 3 month USD-LIBOR-BBA 1.11% 50,517
25,950,000 —      1/30/42 2.8019% 3 month USD-LIBOR-BBA (952,809)
28,425,000 —      1/30/22 3 month USD-LIBOR-BBA 2.052% 367,998
204,333,000 (F) —      2/1/17 3 month USD-LIBOR-BBA 1.041% 468,740
2,131,000 —      2/2/42 2.69% 3 month USD-LIBOR-BBA (27,730)
5,860,000 —      2/2/17 3 month USD-LIBOR-BBA 0.98875% (2,045)
657,000 —      2/2/42 2.64% 3 month USD-LIBOR-BBA (1,316)
2,295,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 113,281
3,188,000 (36,024)     1/27/22 3 month USD-LIBOR-BBA 2.27% 70,662
2,383,000 50,372      1/27/22 2.52% 3 month USD-LIBOR-BBA (84,846)
56,192,000 (E) —      2/7/17 1.35% 3 month USD-LIBOR-BBA (964,255)
EUR 9,100,000 —      9/29/21 6 month EUR-EURIBOR-REUTERS 2.54% 386,660
GBP 2,102,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 115,402
GBP 1,086,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 100,985
GBP 1,986,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (93,980)
GBP 1,908,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (217,980)
GBP 1,908,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (199,760)
JPMorgan Chase Bank, N.A.
$12,320,000 —      1/11/17 1.2125% 3 month USD-LIBOR-BBA (141,988)
68,068,000 —      1/11/17 3 month USD-LIBOR-BBA 1.187% 699,114
74,714,000 —      1/13/14 3 month USD-LIBOR-BBA 0.613% 139,135
24,000 —      1/13/17 3 month USD-LIBOR-BBA 1.1673% 222
49,546,200 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (91,759)
57,532,200 —      1/13/17 1.168249% 3 month USD-LIBOR-BBA (533,891)
52,778,000 —      1/17/14 0.587% 3 month USD-LIBOR-BBA (70,830)
8,574,000 —      1/17/17 1.115% 3 month USD-LIBOR-BBA (55,623)
77,000 —      1/19/22 1.99% 3 month USD-LIBOR-BBA (611)
53,000 —      1/19/14 0.56% 3 month USD-LIBOR-BBA (43)
835,000 —      1/20/17 1.117% 3 month USD-LIBOR-BBA (5,414)
84,426,000 —      1/20/22 3 month USD-LIBOR-BBA 2.0075% 802,582
5,386,000 —      1/20/42 2.6455% 3 month USD-LIBOR-BBA (20,905)
15,336,000 —      1/20/22 3 month USD-LIBOR-BBA 2.029% 176,409
2,199,000 —      1/23/42 3 month USD-LIBOR-BBA 2.688% 28,075
42,877,000 —      1/23/14 3 month USD-LIBOR-BBA 0.59% 60,491
25,987,000 —      1/23/22 3 month USD-LIBOR-BBA 2.097184% 458,040
14,728,000 —      1/25/17 3 month USD-LIBOR-BBA 1.2255% 170,482
6,565,000 —      1/27/22 3 month USD-LIBOR-BBA 2.10% 115,781
2,826,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 121,207
10,510,000 225,501      1/17/22 2.453% 3 month USD-LIBOR-BBA (312,376)
1,940,000 —      2/1/14 3 month USD-LIBOR-BBA 0.54125% 892
1,640,000 —      2/1/22 1.95125% 3 month USD-LIBOR-BBA (5,625)
7,817,000 —      2/1/22 1.956% 3 month USD-LIBOR-BBA (30,330)
949,000 —      2/2/14 0.5175% 3 month USD-LIBOR-BBA 9
1,698,000 —      2/2/22 1.92875% 3 month USD-LIBOR-BBA (2,244)
400,000 —      2/2/42 2.6675% 3 month USD-LIBOR-BBA (3,223)
5,113,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (1,066)
7,471,000 (143,070)     1/19/22 3 month USD-LIBOR-BBA 2.2775% 116,369
19,957,200 1,151,531      1/17/22 4.80% 3 month USD-LIBOR-BBA (4,235,325)
CAD 1,460,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (33,941)
CAD 3,210,000 —      1/24/22 2.3825% 3 month CAD-BA-CDOR (50,328)
EUR 6,000,000 —      12/16/16 1 month EUR-EONIA-OIS-COMPOUND 1.205% 116,963
EUR 14,690,000 —      12/16/13 0.52% 1 month EUR-EONIA-OIS-COMPOUND (59,781)
JPY 24,900,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 10,150
JPY 33,500,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (3,538)
UBS AG
CHF 25,006,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (396,174)
Total $(8,544,002)
(E)   See Interest rate swap contracts note regarding extended effective dates.
(F)   Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (”ASC 820”) based on the securities' valuation inputs.











TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
baskets 208,670 $—      7/30/12 3 month USD-LIBOR-BBA A basket (GDX) of common stocks $(838,878)
Barclays Bank PLC
$690,725 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (459)
162,008 228      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (2,784)
2,188,529 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,418)
79,384 347      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (1,178)
4,952,804 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,524)
3,192,498 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,121)
2,459,600 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 667
12,702,433 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (37,249)
807,220 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 219
11,080,846 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (32,494)
8,097,226 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,196
3,248,388 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 14,418
379,942 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,271)
2,180,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (41,348)
12,072,052 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (224,431)
6,830,880 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 54,152
1,113,098 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 8,824
3,085,196 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (60,413)
779,260 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (14,487)
4,036,101 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,095
12,539,421 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (36,771)
7,706,734 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 34,207
4,676,937 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,715)
9,891,168 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 15,577
932,358 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 1,905
8,639,769 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 13,607
5,656,521 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (105,160)
1,845,388 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,906
19,453,200 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,276
4,750,491 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,288
605,194 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (402)
1,963,318 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,305)
1,423,568 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (946)
509,314 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 3,520
8,298,428 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 57,352
7,185,111 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (145,193)
Citibank, N.A.
1,964,774 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 533
6,696,017 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (127,944)
960,592 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 261
baskets 666 —      4/11/12 (3 month USD-LIBOR-BBA plus 0.10%) A basket (CGPUTQL1) of common stocks 864,186
baskets 327,011 —      10/29/12 (3 month USD-LIBOR-BBA minus 1.6%) A basket (CGPUTSB9) of common stocks (1,966,539)
units 14,852 —      4/11/12 3 month USD-LIBOR-BBA minus 0.05% Russell 2000 Total Return Index (939,929)
units 620 —      4/11/12 3 month USD-LIBOR-BBA minus 0.05% Russell 2000 Total Return Index (39,101)
units 217 —      4/11/12 3 month USD-LIBOR-BBA minus 0.05% Russell 1000 Total Return Index (13,733)
Credit Suisse International
$1,614,440 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 438
4,496,193 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (85,911)
3,036,988 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (58,029)
2,199,538 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (42,028)
shares 79,600 —      3/13/12 (1 month USD-LIBOR minus 1.00%) iShares iBoxx H/Y Corp Bond ETF 121,516
shares 79,600 —      3/13/12 (1 month USD-LIBOR minus 1.00%) SPDR Barclays Capital High ETF 70,167
Deutsche Bank AG
$7,126,558 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 68,918
2,724,331 —      1/12/34 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 42,256
Goldman Sachs International
1,240,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 11,153
930,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 7,441
241,359 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (4,726)
2,405,227 15,784      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (30,505)
2,132,676 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 578
241,359 (2,187)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,003
801,131 2,754      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (13,526)
657,754 7,605      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (5,842)
2,214,654 46,369      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 0
2,206,940 (53,794)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (4,828)
2,724,331 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (42,256)
EUR 5,855,000 —      10/18/13 (1.7775%) Eurostat Eurozone HICP excluding tobacco (82,024)
UBS, AG
baskets 390,904 —      5/24/12 (3 month USD-LIBOR-BBA) A basket (UBSEMBSK) of common stocks 419,166
contracts 91,959 —      5/24/12 3 month USD-LIBOR-BBA minus 0.35% MSCI Daily Total Return Net USD Index (5,080,327)
shares 135,484 —      2/28/12 (3 month USD-LIBOR-BBA minus 0.25%) iShares MSCI Emerging Markets Index 625,864
Total $(7,671,106)











CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(3,383) $380,000 12/20/19 (100 bp) $57,388
Deutsche Bank AG
  DJ CDX NA IG Series 17 Index BBB+/P 1,226,844 62,200,000 12/20/16 100 bp 1,265,062
JPMorgan Chase Bank, N.A.
  Belgium Government International Bond, 4 1/4s, 9/28/14 — (309,385) 3,044,000 12/20/16 (100 bp) (121,736)
  Belgium Government International Bond, 4 1/4s, 9/28/14 — (226,510) 3,042,000 3/20/17 (100 bp) (25,521)
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — (2,178,333) 18,394,000 3/20/17 (100 bp) 22,841
  Bundesrepublic of Deutschland, 6%, 6/20/16 — (282,081) 7,610,000 12/20/16 (25 bp) (62,408)
  France, Gov't of, 4.25%, 04/25/2019 — (829,552) 9,133,000 12/20/16 (25 bp) (195,800)
  France, Gov't of, 4.25%, 04/25/2019 — (217,581) 3,042,000 3/20/17 (25 bp) 8,973
  Republic of Austria, 4.65%, 1/5/18 — (367,544) 7,611,000 12/20/16 (100 bp) (128,653)
  Republic of Italy, 6 7/8%, 9/27/23 — (962,177) 3,633,000 12/20/21 (100 bp) (224,548)
  Republic of Italy, 6 7/8%, 9/27/23 A2 805,483 9,174,000 12/20/13 100 bp 317,458
Total $913,056
*   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 January 31, 2012. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
JPY Japanese Yen
USD / $ United States Dollar
Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
EMTN Euro Medium Term Notes
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
VRDN Variable Rate Demand Notes, which are floating-rate securities with long-term maturities, that carry coupons that reset every one or seven days. The rate shown is the current interest rate at the close of the reporting period.
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 November 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $823,490,525.
(b) The aggregate identified cost on a tax basis is $1,009,522,436, resulting in gross unrealized appreciation and depreciation of $49,298,182 and $28,013,763, respectively, or net unrealized appreciation of $21,284,419.
(NON) Non-income-producing security.
(RES) Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $393,392, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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.
(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.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $8,099 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $119,965,699 and $105,358,289, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $612,558,681 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
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. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses futures contracts to hedge interest rate risk, to gain exposure to interest rates, to hedge prepayment risk, to equitize cash and to manage exposure to market risk.
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”.
Outstanding number of contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned and to enhance the return on securities owned.
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. Options traded over-the-counter are valued using prices supplied by dealers.
Outstanding contracts on purchased options contracts and written options contracts at the close of the reporting period are indicative of the volume of activity for each during the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Total return swap contracts: The fund enters into 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 markets/countries and to gain exposure to specific sectors/industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. 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 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.
Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Interest rate swap contracts: The fund enters into 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, to gain exposure on interest rates and to hedge prepayment risk.
An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate 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 interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
Outstanding notional amount on interest rate swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Credit default contracts: The fund enters into credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract.
The fund had an average notional amount of approximately $111,100,000 on credit default swap contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter 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 $1,898,744 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 $53,803,999 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $54,672,911.
TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $6,058,102 $— $—
    Capital goods 9,696,964 — —
    Communication services 7,224,565 — —
    Conglomerates 1,083,444 — —
    Consumer cyclicals 27,755,595 — —
    Consumer staples 24,306,994 — —
    Energy 22,826,122 393,392 —
    Financials 27,007,781 — —
    Health care 20,733,499 — —
    Technology 62,897,331 — —
    Transportation 5,915,162 — —
    Utilities and power 7,122,774 — —
Total common stocks 222,628,333 393,392 —
Asset-backed securities $— $10,758,393 $—
Commodity linked notes — 13,376,090 —
Corporate bonds and notes — 127,830,050 —
Foreign government bonds and notes — 12,404,409 —
Mortgage-backed securities — 125,886,214 443,559
Purchased options outstanding — 26,861,914 —
Senior loans — 54,133,164 —
U.S. Government and Agency Mortgage Obligations — 147,219,189 —
Short-term investments 60,951,680 227,920,468 —
Totals by level $283,580,013 $746,783,283 $443,559



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $312,461 $—
Futures contracts (748,962) — —
Written options — (66,424,188) —
Interest rate swap contracts — (10,638,928) —
Total return swap contracts — (7,688,212) —
Credit default contracts — 4,257,275 —
Totals by level $(748,962) $(80,181,592) $—


Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $4,866,816 $488,025
Foreign exchange contracts 1,879,164 1,566,703
Equity contracts 6,654,597 12,867,787
Interest rate contracts 38,477,086 91,023,788
Total $51,877,663 $105,946,303


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of 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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: October 31, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Absolute Return 700 Fund

The fund's portfolio
1/31/12 (Unaudited)
COMMON STOCKS (31.9%)(a)
Shares Value
Basic materials (0.8%)
International Flavors & Fragrances, Inc. 10,177 $567,978
Newmont Mining Corp. 23,598 1,450,805
PPG Industries, Inc. 11,812 1,058,119
Sealed Air Corp. 22,627 450,956
Sherwin-Williams Co. (The) 9,682 944,285
Sigma-Aldrich Corp. 11,281 767,559
Valspar Corp. 14,252 616,256
5,855,958
Capital goods (1.4%)
Ball Corp. 18,848 739,972
Covanta Holding Corp. 33,361 476,729
Huntington Ingalls Industries, Inc.(NON) 3,925 147,894
KBR, Inc. 25,233 810,989
Lockheed Martin Corp. 25,123 2,068,126
Northrop Grumman Corp. 23,752 1,378,804
Raytheon Co. 31,516 1,512,453
Rockwell Collins, Inc. 18,378 1,063,902
Roper Industries, Inc. 12,338 1,152,246
9,351,115
Communication services (1.0%)
American Tower REIT, Inc. Class A(R) 31,598 2,006,789
IAC/InterActiveCorp. 26,527 1,142,518
Verizon Communications, Inc. 101,266 3,813,678
6,962,985
Conglomerates (0.2%)
AMETEK, Inc. 22,229 1,044,763
1,044,763
Consumer cyclicals (3.9%)
Advance Auto Parts, Inc. 8,810 675,198
Amazon.com, Inc.(NON) 12,687 2,466,860
AutoZone, Inc.(NON) 3,275 1,139,307
Big Lots, Inc.(NON) 13,209 521,623
Cintas Corp. 24,678 914,320
Discovery Communications, Inc. Class A(NON) 14,222 609,839
Dollar Tree, Inc.(NON) 11,871 1,006,780
Ecolab, Inc. 18,090 1,093,360
Equifax, Inc. 20,851 812,563
Expedia, Inc. 12,628 408,768
Gartner, Inc.(NON) 16,915 641,248
Kimberly-Clark Corp. 43,673 3,125,240
McGraw-Hill Cos., Inc. (The) 23,375 1,075,250
Moody's Corp. 24,223 901,822
MSC Industrial Direct Co., Inc. 9,205 699,764
Omnicom Group, Inc. 20,345 927,935
PETsMART, Inc. 13,795 734,170
Priceline.com, Inc.(NON) 2,889 1,529,668
Scotts Miracle-Gro Co. (The) Class A 9,688 458,824
Target Corp. 27,754 1,410,181
Tupperware Brands Corp. 9,165 575,929
Verisk Analytics, Inc. Class A(NON) 23,074 924,575
Viacom, Inc. Class B 30,044 1,413,270
Wal-Mart Stores, Inc. 37,700 2,313,272
Washington Post Co. (The) Class B 1,045 395,752
26,775,518
Consumer staples (3.4%)
Brinker International, Inc. 16,837 435,236
ConAgra Foods, Inc. 38,600 1,029,462
Corn Products International, Inc. 21,843 1,212,068
Darden Restaurants, Inc. 13,530 620,621
Dr. Pepper Snapple Group, Inc. 71,800 2,787,276
Herbalife, Ltd. 31,719 1,835,896
Hormel Foods Corp. 54,657 1,573,028
Kroger Co. (The) 40,300 957,528
Lorillard, Inc. 9,229 991,102
Panera Bread Co. Class A(NON) 4,202 622,947
Philip Morris International, Inc. 49,733 3,718,536
Safeway, Inc. 71,732 1,576,669
Starbucks Corp. 38,416 1,841,279
TripAdvisor, Inc. 12,628 415,587
W.W. Grainger, Inc. 7,949 1,516,192
Walgreen Co. 23,800 793,968
Yum! Brands, Inc. 24,478 1,550,192
23,477,587
Energy (3.2%)
Chevron Corp. 56,569 5,831,133
Core Laboratories NV (Netherlands) 8,447 897,325
Deepocean Group (Shell) (acquired 6/9/11, cost $415,063) (Norway)(RES) 28,574 457,184
Dresser-Rand Group, Inc.(NON) 16,866 864,045
Exxon Mobil Corp. 99,192 8,306,338
FMC Technologies, Inc.(NON) 27,777 1,419,682
HollyFrontier Corp. 28,488 835,838
Murphy Oil Corp. 19,808 1,180,557
Oceaneering International, Inc. 20,522 997,164
Oil States International, Inc.(NON) 10,768 858,102
Sunoco, Inc. 20,639 791,712
22,439,080
Financials (3.8%)
ACE, Ltd. 27,680 1,926,528
Allied World Assurance Co. Holdings AG 9,982 614,192
Annaly Capital Management, Inc.(R) 69,717 1,174,034
Arch Capital Group, Ltd.(NON) 25,912 934,128
Aspen Insurance Holdings, Ltd. 19,364 514,308
Axis Capital Holdings, Ltd. 21,490 661,462
Bank of Hawaii Corp. 12,096 553,029
Berkshire Hathaway, Inc. Class B(NON) 32,705 2,563,091
BlackRock, Inc. 2,300 418,600
Chubb Corp. (The) 15,429 1,040,069
Digital Realty Trust, Inc.(R) 15,505 1,098,684
Endurance Specialty Holdings, Ltd. (Bermuda) 12,723 475,840
Everest Re Group, Ltd. 9,439 806,091
Federal Realty Investment Trust(R) 10,689 1,009,683
Goldman Sachs Group, Inc. (The) 3,300 367,851
Jones Lang LaSalle, Inc. 8,525 671,429
JPMorgan Chase & Co. 42,000 1,566,600
M&T Bank Corp. 14,069 1,121,862
New York Community Bancorp, Inc. 58,122 737,568
PartnerRe, Ltd. 11,581 757,629
People's United Financial, Inc. 61,967 764,053
Rayonier, Inc.(R) 22,138 1,012,371
Realty Income Corp.(R) 22,076 803,566
RenaissanceRe Holdings, Ltd. 10,850 793,244
Transatlantic Holdings, Inc. 13,116 727,282
Travelers Cos., Inc. (The) 21,051 1,227,273
Validus Holdings, Ltd. 22,617 725,327
W.R. Berkley Corp. 26,861 920,526
25,986,320
Health care (2.9%)
Abbott Laboratories 68,170 3,691,406
AmerisourceBergen Corp. 35,331 1,376,849
Biogen Idec, Inc.(NON) 15,808 1,864,079
C.R. Bard, Inc. 12,105 1,119,955
Cardinal Health, Inc. 36,701 1,579,244
Eli Lilly & Co. 68,800 2,734,112
Forest Laboratories, Inc.(NON) 35,471 1,127,268
Gen-Probe, Inc.(NON) 10,850 726,191
Laboratory Corp. of America Holdings(NON) 12,952 1,183,683
Lincare Holdings, Inc. 23,161 595,006
McKesson Corp. 23,178 1,894,106
Perrigo Co. 14,354 1,372,242
Warner Chilcott PLC Class A (Ireland)(NON) 42,830 722,542
19,986,683
Technology (9.5%)
Accenture PLC Class A 50,523 2,896,989
Amdocs, Ltd. (United Kingdom)(NON) 41,943 1,234,802
Analog Devices, Inc. 44,008 1,722,033
Apple, Inc.(NON) 78,054 35,630,090
Avago Technologies, Ltd. (Singapore) 47,053 1,596,979
BMC Software, Inc.(NON) 29,906 1,083,793
CA, Inc. 46,913 1,209,417
Harris Corp. 25,973 1,064,893
Hewlett-Packard Co. 41,223 1,153,420
IBM Corp. 33,874 6,524,132
Intuit, Inc. 39,742 2,243,038
KLA-Tencor Corp. 11,586 592,392
L-3 Communications Holdings, Inc. 14,098 997,293
Lam Research Corp.(NON) 10,479 446,301
Micros Systems, Inc.(NON) 20,756 1,031,781
Microsoft Corp. 124,189 3,667,301
NetApp, Inc.(NON) 10,402 392,571
Novellus Systems, Inc.(NON) 25,683 1,210,953
QLogic Corp.(NON) 24,489 424,149
Solera Holdings, Inc. 18,333 875,767
65,998,094
Transportation (0.8%)
Copa Holdings SA Class A (Panama) 8,511 579,940
J. B. Hunt Transport Services, Inc. 19,422 991,882
Landstar Systems, Inc. 12,553 642,086
Southwest Airlines Co. 85,060 814,875
United Parcel Service, Inc. Class B 35,327 2,672,488
5,701,271
Utilities and power (1.0%)
AGL Resources, Inc. 13,910 577,404
Alliant Energy Corp. 16,377 694,221
DTE Energy Co. 18,406 979,383
Entergy Corp. 14,980 1,039,312
Pinnacle West Capital Corp. 15,366 726,197
Public Service Enterprise Group, Inc. 38,266 1,160,990
Spectra Energy Corp. 35,775 1,126,555
Westar Energy, Inc. 19,793 562,913
6,866,975
Total common stocks (cost $193,609,961) $220,446,349

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (21.5%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (21.5%)
Federal National Mortgage Association Pass-Through Certificates
     4s, TBA, February 1, 2042 $8,000,000 $8,456,250
     3 1/2s, TBA, February 1, 2042 135,000,000 140,262,894
148,719,144
Total U.S. government and agency mortgage obligations (cost $147,442,070) $148,719,144

MORTGAGE-BACKED SECURITIES (17.5%)(a)
Principal amount Value
Adjustable Rate Mortgage Trust FRB Ser. 05-11, Class 5A1, 0.546s, 2036 $1,304,432 $691,349
American Home Mortgage Assets FRB Ser. 06-6, Class A1A, 0.466s, 2046 2,302,911 1,013,281
Banc of America Commercial Mortgage, Inc.
     Ser. 06-5, Class A2, 5.317s, 2047 371,003 376,072
     Ser. 06-6, Class A2, 5.309s, 2045 720,158 720,460
     Ser. 07-1, Class XW, IO, 0.456s, 2049 4,392,379 51,057
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 04-4, Class XC, IO, 1.042s, 2042 4,220,394 77,921
     Ser. 02-PB2, Class XC, IO, 0.806s, 2035 2,752,511 3,468
Banc of America Funding Corp. FRB Ser. 06-H, Class 6A1, 0.471s, 2036 1,355,670 633,776
Barclays Capital LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.87s, 2046 14,616,313 597,213
     Ser. 09-RR7, Class 2A7, IO, 1.584s, 2047 33,671,699 1,400,743
     Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047 36,431,932 899,869
     Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046 37,810,697 933,924
Barclays Capital, LLC Trust
     FRB Ser. 07-AA2, Class 12A1, 0.486s, 2047 4,038,113 1,897,913
     FRB Ser. 07-AA1, Class 2A1, 0.456s, 2037 1,962,529 1,030,328
Bear Stearns Asset Backed Securities Trust
     FRB Ser. 06-IM1, Class A3, 0.556s, 2036 1,094,439 229,832
     FRB Ser. 06-IM1, Class A1, 0.506s, 2036 1,124,573 545,418
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 6,270,224 157,383
     Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047 3,773,566 76,981
     Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046 8,369,653 148,980
     Ser. 07-AR3, Class 1X, IO, 0 1/2s, 2037 4,303,451 68,855
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 4,479,327 60,919
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR1, Class A2, 0.436s, 2037 4,444,584 2,288,072
Commercial Mortgage Pass-Through Certificates
     FRB Ser. 04-LB3A, Class B, 5.526s, 2037(F) 1,587,000 1,518,771
     Ser. 05-LP5, Class B, 5.105s, 2043(F) 422,000 396,981
Countrywide Alternative Loan Trust
     FRB Ser. 05-84, Class 4A1, 5.666s, 2036 4,383,594 2,520,567
     FRB Ser. 06-OA6, Class 1A1A, 0.486s, 2046 2,157,279 1,114,628
     FRB Ser. 07-OA4, Class A1, 0.446s, 2047 5,006,748 2,916,431
     FRB Ser. 07-OA3, Class 1A1, 0.416s, 2047 2,857,305 1,685,810
     FRB Ser. 06-HY11, Class A1, 0.396s, 2036 1,608,657 788,242
Countrywide Home Loans 144A
     Ser. 05-R3, Class AS, IO, 5.581s, 2035 182,719 31,498
     FRB Ser. 05-R3, Class AF, 0.676s, 2035 179,583 144,564
Credit Suisse Mortgage Capital Certificates FRB Ser. 07-C4, Class A2, 5.987s, 2039 366,947 368,512
CS First Boston Mortgage Securities Corp.
     Ser. 02-CP5, Class E, 5.339s, 2035(F) 525,000 527,958
     Ser. 05-C5, Class AJ, 5.1s, 2038(F) 662,000 662,617
     Ser. 04-C1, Class B, 4.855s, 2037 5,750,000 5,893,750
CS First Boston Mortgage Securities Corp. 144A
     Ser. 03-C3, Class AX, IO, 1.922s, 2038 8,657,474 126,434
     Ser. 04-C4, Class AX, IO, 1.19s, 2039 2,825,864 59,626
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust FRB Ser. 06-AR3, Class A2, 0.396s, 2036 1,564,293 657,003
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 733,189 703,861
Federal National Mortgage Association Ser. 397, Class 2, IO, 5s, 2039 177,572 23,223
Federal Home Loan Mortgage Corp.
     IFB Ser. 2990, Class LB, 16.205s, 2034 713,414 978,019
     IFB Ser. 3859, Class SG, IO, 6.41s, 2039 8,610,318 1,294,045
     IFB Ser. 3727, Class PS, IO, 6.41s, 2038 3,904,310 436,043
     IFB Ser. 3287, Class SE, IO, 6.41s, 2037(F) 238,131 30,199
     IFB Ser. 3835, Class SC, IO, 6.36s, 2038 20,874,640 3,829,453
     IFB Ser. 3856, Class PS, IO, 6.31s, 2040 1,309,846 202,101
     IFB Ser. 3852, Class KS, IO, 6.26s, 2041 10,158,469 1,671,779
     IFB Ser. 3677, Class SA, IO, 6.26s, 2040 8,976,188 944,564
     IFB Ser. 3677, Class SA, IO, 6.26s, 2040 10,553,550 1,363,941
     IFB Ser. 3907, Class KS, IO, 6.26s, 2040 3,303,303 556,643
     IFB Ser. 3708, Class SA, IO, 6.16s, 2040 14,902,186 1,887,213
     IFB Ser. 3934, Class SA, IO, 6.11s, 2041 640,048 107,791
     IFB Ser. 3116, Class AS, IO, 5.81s, 2034 3,210,768 322,203
     IFB Ser. 3852, Class NT, 5.71s, 2041 3,218,858 3,388,845
     IFB Ser. 3752, Class PS, IO, 5.71s, 2040 1,434,007 245,115
     Ser. 3672, Class PI, IO, 5 1/2s, 2039 1,967,161 219,161
     Ser. 3645, Class ID, IO, 5s, 2040 699,005 61,820
     Ser. 3687, Class CI, IO, 5s, 2038 3,293,691 451,334
     Ser. 3680, Class KI, IO, 5s, 2038 10,371,307 1,390,377
     Ser. 3632, Class CI, IO, 5s, 2038 780,133 65,211
     Ser. 3626, Class DI, IO, 5s, 2037 530,078 23,467
     Ser. 3653, Class CI, IO, 5s, 2036 6,388,542 277,582
     Ser. 3623, Class CI, IO, 5s, 2036 483,157 36,237
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 421,623 48,081
     Ser. 3738, Class MI, IO, 4s, 2034 31,947,333 2,554,668
     Ser. 3736, Class QI, IO, 4s, 2034 587,362 21,659
     Ser. 3751, Class MI, IO, 4s, 2034 478,128 23,017
     Ser. 3707, Class HI, IO, 4s, 2023 693,737 23,629
     Ser. T-8, Class A9, IO, 0.441s, 2028 294,824 2,211
     Ser. T-59, Class 1AX, IO, 0.275s, 2043 661,634 4,962
     Ser. T-48, Class A2, IO, 0.212s, 2033 946,124 6,784
     FRB Ser. T-54, Class 2A, IO, zero %, 2043 384,550 60
Federal National Mortgage Association Grantor Trust
     IFB Ser. 05-74, Class NK, 26.119s, 2035 94,698 172,740
     IFB Ser. 05-122, Class SE, 22.133s, 2035 420,192 629,111
     IFB Ser. 11-4, Class CS, 12.347s, 2040 3,118,652 3,574,124
     IFB Ser. 10-135, Class SP, IO, 6.324s, 2040 11,609,928 1,799,539
     IFB Ser. 11-67, Class BS, IO, 6.224s, 2041 6,354,789 979,400
     IFB Ser. 404, Class S13, IO, 6.124s, 2040 263,280 38,335
     IFB Ser. 10-35, Class SG, IO, 6.124s, 2040 5,786,567 1,032,092
     Ser. 10-21, Class IP, IO, 5s, 2039 1,738,453 202,095
     Ser. 10-92, Class CI, IO, 5s, 2039 2,674,163 245,689
     Ser. 398, Class C5, IO, 5s, 2039 1,269,837 146,031
     Ser. 09-31, Class PI, IO, 5s, 2038 2,120,823 311,726
     Ser. 10-13, Class EI, IO, 5s, 2038 1,160,534 66,357
     Ser. 10-100, Class AI, IO, 4 1/2s, 2025 6,628,893 409,682
     Ser. 406, Class 2, IO, 4s, 2041 563,734 65,900
     Ser. 406, Class 1, IO, 4s, 2041 344,910 40,320
     Ser. 03-W10, Class 1, IO, 1.442s, 2043 430,007 19,350
     Ser. 98-W2, Class X, IO, 0.919s, 2028 521,205 23,289
     Ser. 98-W5, Class X, IO, 0.85s, 2028 214,550 8,904
     Ser. 03-W1, Class 2A, IO, zero %, 2042 820,777 64
     Ser. 08-36, Class OV, PO, zero %, 2036 53,618 44,284
     FRB Ser. 06-104, Class EK, zero %, 2036 37,482 36,357
GE Capital Commercial Mortgage Corp. 144A
     Ser. 03-C2, Class D, 5.326s, 2037 392,000 396,931
     FRB Ser. 04-C1, Class G, 5.157s, 2038(F) 567,000 541,903
     Ser. 05-C2, Class XC, IO, 0.183s, 2043 17,970,107 135,081
GMAC Commercial Mortgage Securities, Inc. FRB Ser. 03-C2, Class E, 5.651s, 2040(F) 2,310,000 2,350,628
Government National Mortgage Association
     IFB Ser. 11-37, Class SB, IO, 6.419s, 2038 1,780,374 224,772
     IFB Ser. 11-61, Class CS, IO, 6.399s, 2035 12,685,552 1,744,263
     IFB Ser. 10-167, Class SM, IO, 6.39s, 2040 9,349,315 1,520,199
     IFB Ser. 10-85, Class SD, IO, 6.369s, 2038 306,572 48,638
     IFB Ser. 11-37, Class SD, IO, 6.369s, 2038 2,290,576 377,945
     IFB Ser. 11-11, Class PS, IO, 6.319s, 2040 5,568,956 847,929
     IFB Ser. 10-58, Class LS, IO, 6.269s, 2039 7,051,906 1,075,486
     IFB Ser. 10-120, Class SB, IO, 5.919s, 2035 635,374 63,747
     IFB Ser. 10-20, Class SC, IO, 5.869s, 2040 161,099 24,996
     IFB Ser. 11-40, Class AS, IO, 5.837s, 2036 5,727,787 734,245
     IFB Ser. 11-70, Class SN, IO, 5.61s, 2041 726,000 202,532
     IFB Ser. 11-70, Class SH, IO, 5.6s, 2041 786,718 220,478
     Ser. 10-68, Class MI, IO, 5s, 2039 646,416 87,660
     Ser. 10-150, Class WI, IO, 5s, 2038 16,405,081 1,843,275
     IFB Ser. 11-12, Class IB, IO, 4.505s, 2040 1,940,161 190,330
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 265,714 45,657
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 9,088,545 1,056,543
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 4,340,903 156,273
GS Mortgage Securities Corp. II Ser. 06-GG6, Class A2, 5.506s, 2038 318,365 320,952
GSMPS Mortgage Loan Trust 144A
     Ser. 05-RP1, Class 1AS, IO, 5.913s, 2035 417,732 70,770
     IFB Ser. 04-4, Class 1AS, IO, 5.204s, 2034 758,183 129,720
     Ser. 06-RP2, Class 1AS1, IO, 5.13s, 2036 531,117 82,139
     FRB Ser. 06-RP2, Class 1AF1, 0.676s, 2036 531,117 408,960
     FRB Ser. 04-4, Class 1AF, 0.676s, 2034 758,183 583,801
     FRB Ser. 05-RP1, Class 1AF, 0.626s, 2035 417,732 321,654
     Ser. 98-2, IO, 0.467s, 2027 81,347 6
     Ser. 98-3, IO, 0.315s, 2027 97,843 246
     Ser. 99-2, IO, zero %, 2027 142,661 360
     Ser. 98-4, IO, zero %, 2026 110,374 287
Harborview Mortgage Loan Trust
     FRB Ser. 05-7, Class 1A1, 3.068s, 2045 760,918 378,557
     FRB Ser. 06-8, Class 2A1A, 0.469s, 2036 3,172,079 1,919,108
IndyMac Index Mortgage Loan Trust
     FRB Ser. 06-AR5, Class 1A2, 5.168s, 2036 62,019 3,411
     FRB Ser. 06-AR3, Class 3A1B, 4.911s, 2036 403,370 219,837
     FRB Ser. 06-AR19, Class 1A2, 2.958s, 2036 2,404,365 1,013,067
     FRB Ser. 06-AR11, Class 3A1, 2.82648s, 2036 2,230,689 964,427
     FRB Ser. 06-AR39, Class A1, 0.456s, 2037 4,565,715 2,425,536
     FRB Ser. 06-AR35, Class 2A1A, 0.446s, 2037 756,695 345,938
     FRB Ser. 06-AR21, Class A1, 0.396s, 2036 4,587,367 1,972,568
JPMorgan Alternative Loan Trust
     FRB Ser. 07-A2, Class 12A1, 0.476s, 2037 730,924 314,298
     FRB Ser. 06-A7, Class 1A1, 0.436s, 2036 899,622 431,818
     FRB Ser. 07-A1, Class 1A3A, 0.426s, 2037(F) 3,071,755 1,320,236
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 02-C2, Class E, 5.517s, 2034 376,000 370,807
     Ser. 07-LDPX, Class A3S, 5.317s, 2049 545,000 559,306
     Ser. 02-C3, Class D, 5.314s, 2035 351,000 340,470
     Ser. 03-C1, Class D, 5.192s, 2037 6,183,000 6,195,766
     Ser. 04-CB8, Class B, 4 1/2s, 2039 708,000 671,725
LB-UBS Commercial Mortgage Trust
     Ser. 02-C1, Class D, 6.683s, 2034 2,000,000 2,000,625
     Ser. 06-C3, Class A2, 5.532s, 2032 16,152 16,144
     Ser. 05-C7, Class A2, 5.103s, 2030 109,228 109,228
     Ser. 03-C5, Class F, 4.843s, 2037 480,000 441,600
     Ser. 07-C2, Class XW, IO, 0.702s, 2040 2,791,057 56,717
LB-UBS Commercial Mortgage Trust 144A
     Ser. 02-C2, Class J, 6.235s, 2035 5,886,000 5,887,766
     Ser. 05-C3, Class XCL, IO, 0.328s, 2040 19,260,120 324,687
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.406s, 2037 1,253,877 608,131
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, 0.8s, 2047 3,059,662 94,850
Merrill Lynch Mortgage Trust Ser. 04-MKB1, Class B, 5.28s, 2042 1,870,000 1,916,995
Merrill Lynch/Countrywide Commercial Mortgage Trust FRB Ser. 06-3, Class AM, 5.456s, 2046 297,000 304,397
Morgan Stanley Capital I
     FRB Ser. 07-HQ12, Class A2, 5.783s, 2049 539,803 550,591
     FRB Ser. 07-HQ12, Class A2FL, 0.545s, 2049 619,372 582,210
Morgan Stanley Dean Witter Capital I Ser. 03-HQ2, Class C, 5.15s, 2035 524,000 506,551
Nomura Asset Acceptance Corp.
     FRB Ser. 06-AR4, Class A4A, 0.516s, 2036 1,353,938 528,036
     FRB Ser. 06-AR4, Class A1A, 0.446s, 2036 1,943,116 777,246
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030 177,000 181,425
Residential Accredit Loans, Inc.
     Ser. 06-QS13, Class 1A5, 6s, 2036 93,945 59,186
     Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046 5,398,920 276,425
     Ser. 06-Q07, Class X1, IO, 0.9s, 2046 3,645,699 114,840
Salomon Brothers Mortgage Securities VII 144A FRB Ser. 99-C1, Class J, 7s, 2032 1,700,000 1,758,695
Structured Adjustable Rate Mortgage Loan Trust FRB Ser. 07-4, Class 1A1, 0.516s, 2037 681,288 272,515
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 8,605,257 320,116
     Ser. 06-AR3, Class 12X, IO, 1s, 2036 2,942,619 107,700
     Ser. 06-AR7, Class X, IO, 0.9s, 2036 21,151,511 604,933
     Ser. 06-AR4, Class 5X, IO, 0.8s, 2036 2,208,290 57,636
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 2,987,658 62,143
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 13,414,336 174,386
Structured Asset Securities Corp.
     IFB Ser. 07-4, Class 1A3, IO, 5.913s, 2045 1,103,776 198,680
     Ser. 07-4, Class 1A4, IO, 1s, 2045 2,279,423 94,026
Wachovia Bank Commercial Mortgage Trust Ser. 06-C25, Class A2, 5.684s, 2043 120,754 120,754
WAMU Commercial Mortgage Securities Trust 144A Ser. 05-C1A, Class C, 4.9s, 2036 103,000 103,629
WAMU Mortgage Pass-Through Certificates FRB Ser. 05-AR11, Class A1C4, 0.716s, 2045 1,068,919 593,250
Total mortgage-backed securities (cost $127,542,836) $121,419,287

CORPORATE BONDS AND NOTES (15.6%)(a)
Principal amount Value
Basic materials (1.4%)
Alcoa, Inc. sr. unsec. unsub. notes 5.55s, 2017 $196,000 $214,632
ArcelorMittal sr. unsec. unsub. notes 6 1/8s, 2018 (France) 85,000 88,670
BHP Billiton Finance USA Ltd company guaranty sr. unsec. unsub. notes 5 1/2s, 2014 (Australia) 196,000 216,414
Dow Chemical Co. (The) sr. unsec. unsub. notes 5.9s, 2015 325,000 366,236
E.I. du Pont de Nemours & Co. sr. unsec. unsub. notes 3 1/4s, 2015 263,000 281,443
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 750,000 772,500
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes FRN 4.957s, 2014 750,000 686,250
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 1,170,000 1,219,725
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany) EUR 495,200 646,768
Momentive Performance Materials, Inc. company guaranty sr. notes 12 1/2s, 2014 $165,000 175,313
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 165,000 235,125
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) $265,000 368,783
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.712s, 2015 (Germany) EUR 150,000 192,540
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $1,410,000 1,424,981
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2015 500,000 510,625
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 220,000 229,350
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 750,000 765,000
Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 230,000 263,019
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes FRN Ser. B, 4.179s, 2014 500,000 332,500
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 885,000 911,550
9,901,424
Capital goods (0.6%)
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 335,000 344,213
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 1,483,000 1,590,518
Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019 115,000 134,428
Boeing Co. (The) sr. unsec. unsub. notes 3 1/2s, 2015 148,000 160,891
Caterpillar Financial Services Corp. sr. unsec. notes 6 1/8s, 2014 359,000 396,972
Deere & Co. sr. unsec. notes 6.95s, 2014 148,000 167,597
General Cable Corp. company guaranty sr. unsec. unsub. notes FRN 2.956s, 2015 125,000 119,063
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 405,000 408,038
Reynolds Group DL Escrew, Inc./Reynolds Group Escrew, LLC 144A company guaranty sr. notes 8 3/4s, 2016 200,000 213,000
United Technologies Corp. sr. unsec. unsub. notes 4 7/8s, 2015 263,000 295,074
3,829,794
Communication services (2.4%)
America Movil SAB de CV company guaranty unsec. unsub. notes 5 1/2s, 2014 (Mexico) 196,000 212,107
AT&T, Inc. sr. unsec. unsub. notes 2 1/2s, 2015 1,501,000 1,568,410
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 270,000 292,950
Cellco Partnership/Verizon Wireless Capital, LLC sr. unsec. unsub. notes 5.55s, 2014 263,000 287,290
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 705,000 664,463
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 250,000 235,625
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 655,000 780,941
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 963,000 1,020,780
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. notes 5 3/4s, 2016 (Germany) 263,000 296,280
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 130,000 136,988
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) 560,000 593,600
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 500,000 512,500
Level 3 Financing, Inc. 144A company guaranty FRN 4.202s, 2015 2,100,000 1,974,000
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 1,400,000 1,443,750
Nextel Communications, Inc. company guaranty sr. unsec. unsub. notes 5.95s, 2014 805,000 796,950
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 740,000 841,750
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 725,000 791,156
Qwest Communications International, Inc. company guaranty Ser. B, 7 1/2s, 2014 250,000 251,123
Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016 173,000 201,445
Qwest Corp. sr. unsec. unsub. notes 6 1/2s, 2017 290,000 325,775
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 195,000 211,088
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 120,000 105,900
Telecom Italia Capital SA company guaranty 5 1/4s, 2015 (Italy) 297,000 286,976
Telefonica Emisones SAU company guaranty 6.421s, 2016 (Spain) 140,000 151,210
Telefonica Emisones SAU company guaranty sr. unsec. notes 4.949s, 2015 (Spain) 185,000 191,147
Time Warner Cable, Inc. company guaranty sr. unsec. notes 5.85s, 2017 555,000 645,800
Verizon Communications, Inc. sr. unsec. notes 5.55s, 2016 846,000 981,370
Vodafone Group PLC sr. unsec. unsub. notes 5 5/8s, 2017 (United Kingdom) 297,000 351,599
Wind Acquisition Finance SA company guaranty sr. sec. notes Ser. REGS, 7 3/8s, 2018 (Netherlands) EUR 235,000 278,143
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Netherlands) $420,000 407,400
16,838,516
Conglomerates (0.4%)
General Electric Co. sr. unsec. notes 5 1/4s, 2017 2,051,000 2,396,881
SPX Corp. sr. unsec. notes 7 5/8s, 2014 125,000 140,938
2,537,819
Consumer cyclicals (1.7%)
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 1,000,000 887,500
AMC Entertainment, Inc. sr. sub. notes 8s, 2014 350,000 349,125
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 695,000 753,206
Daimler Finance North America, LLC company guaranty 6 1/2s, 2013 (Germany) 163,000 177,075
DISH DBS Corp. company guaranty 7 1/8s, 2016 255,000 279,863
DISH DBS Corp. company guaranty 7s, 2013 220,000 235,400
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 657,000 726,806
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s, 2016 163,000 190,227
Interpublic Group of Companies, Inc. (The) sr. unsec. notes 6 1/4s, 2014 234,000 252,720
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 135,000 146,813
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 200,000 227,000
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 1,559,000 1,535,615
MGM Resorts International sr. notes 10 3/8s, 2014 190,000 216,600
News America, Inc. company guaranty sr. unsec. notes 5.3s, 2014 263,000 292,520
Nielsen Finance, LLC/Nielsen Finance Co. sr. notes 11 5/8s, 2014 114,000 131,100
Owens Corning company guaranty sr. unsec. notes 9s, 2019 275,000 330,688
QVC, Inc. 144A sr. notes 7 1/8s, 2017 570,000 610,613
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 200,000 200,000
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 500,000 386,250
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 615,000 670,412
Target Corp. sr. unsec. notes 5 3/8s, 2017 263,000 312,294
Time Warner, Inc. company guaranty sr. unsec. notes 5 7/8s, 2016 426,000 503,256
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 1,000,000 1,025,000
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 580,000 348,000
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 3.2s, 2014 622,000 661,265
Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 455,000 464,669
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 162,000 172,935
12,086,952
Consumer staples (1.4%)
ACCO Brands Corp. company guaranty sr. notes 10 5/8s, 2015 500,000 555,050
Altria Group, Inc. company guaranty sr. unsec. notes 4 1/8s, 2015 387,000 423,263
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4 1/8s, 2015 359,000 391,114
Coca-Cola Co. (The) sr. unsec. notes 1.8s, 2016 163,000 167,777
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 590,000 662,275
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 320,000 347,200
CVS Corp. sr. unsec. 5 3/4s, 2017 230,000 271,578
Diageo Capital PLC company guaranty 5 3/4s, 2017 (United Kingdom) 196,000 236,596
Dole Food Co. 144A sr. notes 8s, 2016 200,000 213,000
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 750,000 1,033,170
Kraft Foods, Inc. sr. unsec. unsub. notes 4 1/8s, 2016 $622,000 676,778
Kroger Co. company guaranty 6.4s, 2017 163,000 196,023
Landry's, Inc. company guaranty sr. notes 11 5/8s, 2015 900,000 965,250
PepsiCo, Inc. sr. unsec. unsub. notes 3.1s, 2015 459,000 490,439
Philip Morris International, Inc. sr. unsec. unsub. notes 5.65s, 2018 196,000 237,655
Procter & Gamble Co. (The) sr. unsec. notes 3 1/2s, 2015 263,000 285,080
Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 300,000 321,000
Service Corporation International sr. notes 7s, 2017 185,000 205,350
Service Corporation International sr. unsec. 7 3/8s, 2014 195,000 213,769
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 530,000 622,750
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 505,000 585,800
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 300,000 329,625
9,430,542
Energy (1.6%)
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 170,000 195,335
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 282,000 284,115
BP Capital Markets PLC company guaranty sr. unsec. notes 3 7/8s, 2015 (United Kingdom) 148,000 159,842
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (United Kingdom) 115,000 128,775
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 500,000 562,500
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 685,000 659,313
ConocoPhillips company guaranty sr. unsec. notes 4.6s, 2015 521,000 580,254
EnCana Holdings Finance Corp. company guaranty sr. unsec. unsub. notes 5.8s, 2014 (Canada) 230,000 249,510
Forest Oil Corp. company guaranty sr. unsec. notes 8 1/2s, 2014 1,035,000 1,128,150
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) 1,000,000 1,139,040
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 175,000 184,625
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 195,000 197,438
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 750,000 830,625
Peabody Energy Corp. company guaranty 7 3/8s, 2016 555,000 617,438
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 2,805,000 2,353,956
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 500,000 494,375
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 280,000 298,900
Shell International Finance BV company guaranty sr. unsec. notes 3.1s, 2015 (Netherlands) 459,000 494,555
XTO Energy, Inc. sr. unsec. unsub. notes 6 1/4s, 2017 196,000 245,384
10,804,130
Financials (3.3%)
Allstate Corp. (The) sr. unsec. unsub. notes 5s, 2014 196,000 213,660
American Express Credit Corp. sr. unsec. unsub. notes 5 1/8s, 2014 588,000 639,508
American International Group, Inc. sr. unsec. notes Ser. MTN, 5.45s, 2017 325,000 333,051
Bank of America Corp. sr. unsec. notes 5 3/4s, 2017 2,085,000 2,147,020
Bank of New York Mellon Corp. (The) sr. unsec. notes 2.95s, 2015 263,000 276,583
Barclays Bank PLC sr. unsec. unsub. notes 5.2s, 2014 (United Kingdom) 359,000 378,114
BB&T Corp. unsec. sub. notes 5.2s, 2015 196,000 213,605
Berkshire Hathaway, Inc. sr. unsec. unsub. notes 3.2s, 2015 717,000 766,324
Capital One Financial Corp. sr. unsec. unsub. notes 6 3/4s, 2017 263,000 302,741
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 685,000 791,175
Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018 705,000 774,684
Citigroup, Inc. sr. unsec. unsub. notes 6 1/8s, 2017 925,000 1,017,698
Credit Suisse Guernsey sr. unsec. notes 5 1/2s, 2014 818,000 872,702
Deutsche Bank AG sr. unsec. notes 6s, 2017 (United Kingdom) 359,000 410,538
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 480,000 477,600
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 210,000 243,075
Goldman Sachs Group, Inc. (The) sr. unsec. notes 6 1/4s, 2017 1,597,000 1,753,155
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. debs. FRB 8 1/8s, 2038 645,000 670,800
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 435,000 451,945
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 700,000 728,000
JPMorgan Chase & Co. sr. unsec. unsub. notes 3.7s, 2015 1,759,000 1,852,528
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 324,000 348,300
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 266,000 274,645
MetLife, Inc. sr. unsec. 6 3/4s, 2016 263,000 310,450
PNC Funding Corp. bank guaranty sr. unsec. note 3 5/8s, 2015 167,000 177,989
Prudential Financial, Inc. sr. disc. unsec. unsub. notes Ser. MTN, 4 3/4s, 2015 325,000 351,243
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea) 150,000 152,603
Simon Property Group LP sr. unsec. unsub. notes 4 1/8s, 2021(R) 230,000 246,957
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 230,000 248,975
UBS AG/Stamford CT sr. unsec. notes Ser. DPNT, 3 7/8s, 2015 250,000 257,356
US Bancorp sr. unsec. unsub. notes 2.45s, 2015 263,000 274,106
Vnesheconombank Via VEB Finance PLC 144A bank guaranteed bonds 6.8s, 2025 (Russia) 700,000 707,700
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 500,000 508,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,500,000 1,558,125
Wells Fargo & Co. sr. unsec. unsub. notes 5 5/8s, 2017 1,334,000 1,534,543
Westpac Banking Corp. sr. unsec. unsub. notes 3s, 2015 (Australia) 230,000 235,951
22,502,199
Health care (0.8%)
Abbott Laboratories sr. unsec. notes 5 7/8s, 2016 297,000 352,047
Amgen, Inc. sr. unsec. notes 5.85s, 2017 196,000 230,576
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 196,000 238,964
CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021 175,000 182,247
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 445,000 592,693
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 $525,000 591,938
GlaxoSmith Kline Capital, Inc. company guaranty sr. unsec. unsub. notes 4 3/8s, 2014 263,000 284,851
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 50,000 55,500
HCA, Inc. sr. notes 6 1/2s, 2020 665,000 705,731
Merck & Co., Inc. sr. unsec. notes 4s, 2015 297,000 328,383
Novartis Capital Corp. company guaranty sr. unsec. notes 2.9s, 2015 263,000 282,046
Pfizer, Inc. sr. unsec. notes 5.35s, 2015 622,000 708,978
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 80,000 90,500
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 665,000 696,588
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 196,000 238,470
WellPoint, Inc. unsec. unsub. notes 5 1/4s, 2016 93,000 104,948
5,684,460
Technology (0.6%)
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 800,000 718,000
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 350,000 314,125
Cisco Systems, Inc. sr. unsec. unsub. notes 5 1/2s, 2016 297,000 348,903
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014 263,000 286,605
IBM Corp. sr. unsec. notes 5.7s, 2017 392,000 478,876
NXP BV/NXP Funding, LLC company guaranty Ser. EXCH, 9 1/2s, 2015 (Netherlands) 545,000 574,294
Oracle Corp. sr. unsec. notes 5 1/4s, 2016 359,000 415,663
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 1,085,000 1,122,975
Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 230,000 242,801
4,502,242
Transportation (0.1%)
RailAmerica, Inc. company guaranty sr. notes 9 1/4s, 2017 552,000 614,100
United Parcel Service, Inc. sr. unsec. unsub. notes 3 7/8s, 2014 196,000 209,021
823,121
Utilities and power (1.3%)
AES Corp. (The) sr. unsec. unsub. notes 9 3/4s, 2016 150,000 176,250
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,000,000 1,122,500
Appalachian Power Co. sr. unsec. unsub. notes 7s, 2038 111,000 152,126
Calpine Corp. 144A sr. notes 7 1/4s, 2017 350,000 365,750
Carolina Power & Light Co. 1st mtge. bonds 5.3s, 2019 160,000 190,055
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 93,000 120,783
Dominion Resources, Inc. sr. unsec. unsub. notes Ser. 07-A, 6s, 2017 510,000 615,052
Duke Energy Corp. sr. unsec. unsub. notes 6.3s, 2014 510,000 563,041
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 1,000,000 875,000
El Paso Corp. sr. unsec. notes 7s, 2017 465,000 514,921
El Paso Corp. sr. unsec. notes Ser. GMTN, 7 3/8s, 2012 26,000 26,947
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds Ser. L, 6.3s, 2017 230,000 271,548
Exelon Corp. sr. unsec. notes 4.9s, 2015 488,000 533,043
FirstEnergy Corp. sr. unsec. unsub. notes Ser. C, 7 3/8s, 2031 130,000 167,330
FPL Group Capital, Inc. company guaranty sr. unsec. notes 7 7/8s, 2015 163,000 194,110
GenOn Energy, Inc. sr. unsec. unsub. notes 7 5/8s, 2014 1,500,000 1,500,000
Kinder Morgan Energy Partners LP notes 6s, 2017 263,000 300,510
National Rural Utilities Cooperative Finance Corp. sr. bonds 10 3/8s, 2018 134,000 195,865
Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018 185,000 246,323
Pacific Gas & Electric Co. sr. unsec. bonds 4.8s, 2014 130,000 140,585
Southern Power Co. sr. unsec. notes Ser. D, 4 7/8s, 2015 196,000 216,431
Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s, 2019 125,000 164,214
TransCanada Pipelines, Ltd. sr. unsec. unsub. notes 6 1/2s, 2018 (Canada) 230,000 285,746
8,938,130
Total corporate bonds and notes (cost $105,831,282) $107,879,329

SENIOR LOANS (6.6%)(a)(c)
Principal amount Value
Basic materials (0.2%)
Norit NV bank term loan FRN 6 3/4s, 2017 (Netherlands) $498,750 $492,516
Novelis, Inc. bank term loan FRN Ser. B, 3 3/4s, 2017 282,150 280,880
Styron Corp. bank term loan FRN 6s, 2017 365,327 332,448
Tronox Worldwide bank term loan FRN Ser. B, 7 1/4s, 2015 495,000 494,794
1,600,638
Capital goods (0.5%)
Husky Injection Molding Systems, Ltd. bank term loan FRN Ser. B, 6 1/2s, 2018 (Canada) 497,500 499,366
Reynolds Group Holdings, Inc, bank term loan FRN Ser. C, 6 1/2s, 2018 370,048 371,147
Reynolds Group Holdings, Inc, bank term loan FRN Ser. E, 6 1/2s, 2018 490,911 492,368
SRAM Corp. bank term loan FRN 8 1/2s, 2018 595,000 592,620
SRAM Corp. bank term loan FRN 4.77s, 2018 180,752 180,029
Terex Corp. bank term loan FRN Ser. B, 5 1/2s, 2017 668,325 671,110
2,806,640
Communication services (0.2%)
Intelsat Jackson Holdings SA bank term loan FRN Ser. B, 5 1/4s, 2018 (Bermuda) 992,500 993,120
MetroPCS Wireless, Inc. bank term loan FRN Ser. B3, 4.063s, 2018 495,006 489,850
1,482,970
Consumer cyclicals (2.3%)
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 1,188,000 1,192,455
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 1,196,875 1,194,097
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.418s, 2015 1,000,000 898,439
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 959,980 954,880
Cenveo, Inc. bank term loan FRN Ser. B, 6 1/4s, 2016 749,895 748,020
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.946s, 2016 1,150,000 917,778
Federal Mogul Corp. bank term loan FRN Ser. B, 2.235s, 2014 397,196 379,521
Federal Mogul Corp. bank term loan FRN Ser. C, 2.22s, 2015 202,651 193,633
Gateway Casinos & Entertainment, Inc. bank term loan FRN Ser. B1, 5 1/4s, 2016 CAD 1,791,000 1,714,730
Goodman Global, Inc. bank term loan FRN 9s, 2017 $356,364 357,745
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 173,708 174,032
Gymboree Corp. bank term loan FRN 5s, 2018 495,000 443,555
Interactive Data Corp. bank term loan FRN 4 1/2s, 2018 709,638 706,976
J. Crew Group, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 995,000 959,346
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 597,000 579,090
Lord & Taylor, LLC bank term loan FRN 5 3/4s, 2018 833,000 833,694
MGM Mirage bank term loan FRN Ser. E, 7s, 2014 1,000,000 999,444
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 1,280,000 1,256,000
Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017 678,291 668,965
Radio One, Inc. bank term loan FRN Ser. B, 7 1/2s, 2016 496,250 481,363
Realogy Corp. bank term loan FRN Ser. B, 4.691s, 2016 349,587 325,290
15,979,053
Consumer staples (1.0%)
Burger King Holdings, Inc. bank term loan FRN Ser. B, 4 1/2s, 2016 885,688 881,418
Claire's Stores, Inc. bank term loan FRN 3.069s, 2014 1,436,297 1,313,494
Dean Foods Co. bank term loan FRN Ser. A1, 3.3s, 2014 384,416 377,448
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 477,600 465,541
Prestige Brands, Inc. bank term loan FRN Ser. B, 5 1/4s, 2019 1,000,000 1,003,958
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 1,492,500 1,485,485
Rite Aid Corp. bank term loan FRN 4 1/2s, 2018 971,916 950,048
Spectrum Brands, Inc. bank term loan FRN 5s, 2016 770,402 770,723
7,248,115
Energy (0.3%)
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 485,233 483,240
Samson Investment Co. bank term loan FRN 8s, 2018 1,750,000 1,750,000
2,233,240
Financials (0.5%)
CNO Financial Group, Inc. bank term loan FRN 6 1/4s, 2016 285,834 286,549
iStar Financial, Inc. bank term loan FRN Ser. A2, 7s, 2014 1,000,000 980,833
Nuveen Investments, Inc. bank term loan FRN Ser. B, 6.013s, 2017 587,336 581,646
Nuveen Investments, Inc. bank term loan FRN Ser. B, 3.513s, 2014 502,664 492,108
Ocwen Financial Corp. bank term loan FRN 7s, 2016 670,000 663,300
3,004,436
Health care (1.1%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 1,014,895 1,013,626
Capsugel Holdings US, Inc. bank term loan FRN Ser. B, 5 1/4s, 2018 997,500 1,003,734
Health Management Associates, Inc. bank term loan FRN Ser. B, 3.99s, 2018 1,125,000 1,112,110
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 565,725 558,653
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 7s, 2018 1,200,000 1,219,072
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 929,388 908,089
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 6 1/4s, 2018 720,000 724,371
Quintiles Transnational Corp. bank term loan FRN Ser. B, 5s, 2018 995,000 989,610
7,529,265
Technology (0.2%)
First Data Corp. bank term loan FRN 4.277s, 2018 1,000,000 876,250
Syniverse Holdings, Inc. bank term loan FRN 5 1/4s, 2017 660,330 660,743
1,536,993
Transportation (0.2%)
Delta Airlines, Inc. bank term loan FRN Ser. B, 5 1/2s, 2017 829,830 805,972
Swift Transportation Comapny, LLC bank term loan FRN 6s, 2016 817,186 819,995
1,625,967
Utilities and power (0.1%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.795s, 2017 1,093,159 674,001
674,001
Total senior loans (cost $46,389,242) $45,721,318

PURCHASED OPTIONS OUTSTANDING (4.7%)(a)
Expiration date/ Contract
strike price amount Value
SPDR S&P 500 ETF Trust (Put) Apr-12/105 144,900 71,143
SPDR S&P 500 ETF Trust (Put) Oct-12/100 152,100 371,124
SPDR S&P 500 ETF Trust (Put) Jan-13/$110.00 $83,466 $444,171
SPDR S&P 500 ETF Trust (Put) Jul-12/117.00 83,466 280,493
SPDR S&P 500 ETF Trust (Put) Mar-12/102 273,284 34,125
SPDR S&P 500 ETF Trust (Put) Feb-12/97 267,554 3,719
SPDR S&P 500 ETF Trust (Put) May-12/103.00 105,301 77,428
SPDR S&P 500 ETF Trust (Put) Nov-12/99.00 105,301 279,448
SPDR S&P 500 ETF Trust (Put) Jun-12/107.00 137,607 189,671
SPDR S&P 500 ETF Trust (Put) Dec-12/102.00 137,607 475,889
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.765% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.765 9,456,000 53,994
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 4,286,000 42,517
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 4,286,000 42,517
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 4,286,000 42,517
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.861 4,286,000 42,517
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA April 2022. Apr-12/1.861 4,286,000 42,517
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 19,041,000 230,206
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 19,041,000 230,206
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 19,041,000 230,206
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 19,041,000 230,206
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 19,041,000 230,206
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.9275 19,041,000 230,206
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.985% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.985 1,704,000 25,338
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 19,041,000 298,182
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/1.998 19,041,000 298,182
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 2.015% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.015 3,782,000 60,588
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 2,246,000 55,880
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.15 2,246,000 18,327
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 9,790,000 382,887
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.3475 9,790,000 39,943
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.35% versus the three month USD-LIBOR-BBA maturing April 2022. Apr-12/2.35 3,952,000 156,381
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/1.9475 30,843,000 576,147
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.042 1,792,000 40,965
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.144 11,143,000 314,010
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 2,246,000 75,645
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 2,246,000 40,293
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 55,602,200 3,805,971
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 55,602,200 384,767
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 15,702,947 1,933,347
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 15,702,947 27,951
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845 versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.845 4,286,000 72,776
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855 versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.855 4,286,000 75,562
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.13375 1,792,000 52,846
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.27 5,413,000 198,495
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 2,246,000 89,526
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 2,246,000 56,015
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.3675 5,413,000 228,916
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 3,313,000 314,172
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 3,313,000 203,518
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 31,689,495 23,767
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.555 31,689,495 317
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 42,543,000 87,639
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. Feb-12/0.62 42,543,000 425
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 17,040,355 676,673
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. Feb-12/1.81 17,040,355 17
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 21,755,000 318,276
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.0525 21,755,000 70,921
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 7,213,000 213,577
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.24 7,213,000 505
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 9,790,000 343,140
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.30% versus the three month USD-LIBOR-BBA maturing February 2022. Feb-12/2.30 9,790,000 979
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023. Jan-13/1.8625 4,286,000 77,362
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 4,286,000 34,245
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 4,286,000 34,245
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 4,286,000 34,245
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 4,286,000 34,245
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 4,286,000 34,245
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.055 1,704,000 38,442
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 19,161,000 488,989
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 19,161,000 488,989
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.11875 19,161,000 499,336
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.122 11,143,000 290,832
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1825 3,952,000 119,192
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 2,246,000 71,445
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 2,246,000 35,307
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 13,085,789 1,600,654
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 13,085,789 22,900
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 13,013,186 1,748,972
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 13,013,186 15,225
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 5,234,316 710,454
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 5,234,316 6,491
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 13,085,789 1,787,257
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 13,085,789 16,488
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 13,085,789 1,812,251
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 13,085,789 14,787
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 6,141,805 852,667
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 6,141,805 6,633
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 4,286,000 30,816
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 4,286,000 30,816
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 4,286,000 30,816
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 4,286,000 30,816
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022. Jun-12/1.683 4,286,000 30,816
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.03 1,704,000 34,489
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.096 11,143,000 264,758
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 2,246,000 67,133
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 2,246,000 30,411
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 3,313,000 228,133
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 3,313,000 114,696
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 29,803,000 30,697
Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. Mar-12/0.52 29,803,000 29,505
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. Mar-12/1.86 18,995,051 778,037
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. Mar-12/1.86 18,995,051 19
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 4,286,000 32,616
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 4,286,000 32,616
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 4,286,000 32,616
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.869 4,286,000 32,616
Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA March 2022. Mar-12/1.869 4,286,000 32,616
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.96% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/1.96 1,704,000 18,352
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 21,755,000 403,120
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.075 21,755,000 157,071
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 9,790,000 358,901
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. Mar-12/2.3225 9,790,000 15,272
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 3,313,000 153,856
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. Mar-12/2.8025 3,313,000 39,690
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.005 1,704,000 30,024
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.074% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.074 11,143,000 238,237
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 2,246,000 61,675
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 2,246,000 24,728
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.82 4,286,000 66,947
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.835 4,286,000 69,948
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.1125 1,792,000 50,266
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.2475 5,413,000 191,025
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 2,246,000 86,538
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 2,246,000 52,287
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.34375 5,413,000 221,283
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.085 1,792,000 47,040
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.193 11,143,000 355,573
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.225 5,413,000 182,689
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 2,246,000 82,922
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 2,246,000 48,289
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.3175 5,413,000 211,919
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.064 1,792,000 44,227
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.169 11,143,000 335,293
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 2,246,000 79,778
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 2,246,000 44,628
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 3,313,000 276,404
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 3,313,000 165,219
Total purchased options outstanding (cost $33,731,700) $32,322,029

COMMODITY LINKED NOTES (2.4%)(a)
Principal amount Value
UBS AG/Jersey Branch144Azero %, 2012 (Indexed to the UBS Bloomberg CMCI Essence Index) (Jersey) $16,764,000 $16,531,770
Total commodity Linked Notes (cost $16,764,000) $16,531,770

ASSET-BACKED SECURITIES (1.7%)(a)
Principal amount Value
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9, Class 1A2, 0.426s, 2036 $7,000,000 $2,940,000
Countrywide Asset Backed Certificates
     FRB Ser. 07-6, Class 2A2, 0.446s, 2037 372,000 297,972
     FRB Ser. 07-1, Class 2A2, 0.376s, 2037 826,000 677,840
First Franklin Mortgage Loan Asset Backed Certificates
     FRB Ser. 06-FF9, Class 2A3, 0.436s, 2036 1,245,362 622,681
     FRB Ser. 06-FF11, Class 2A3, 0.426s, 2036 2,522,541 1,299,109
Green Tree Financial Corp. Ser. 99-3, Class A8, 7.06s, 2031 414,000 361,215
GSAA Home Equity Trust
     FRB Ser. 06-3, Class A3, 0.576s, 2036 1,896,708 910,420
     FRB Ser. 05-14, Class 2A2, 0.526s, 2035 643,635 315,381
     FRB Ser. 07-3, Class A4A, 0.496s, 2047 1,542,645 609,345
     FRB Ser. 06-1, Class A2, 0.496s, 2036(F) 1,560,060 647,122
     FRB Ser. 06-12, Class A2A, 0.426s, 2036(F) 935,523 411,437
     FRB Ser. 06-12, Class A1, 0.326s, 2036 944,382 368,403
HSI Asset Securitization Corp. Trust FRB Ser. 06-HE1, Class 2A1, 0.326s, 2036 20,178 8,752
Long Beach Mortgage Loan Trust FRB Ser. 06-5, Class 2A3, 0.426s, 2036 4,485,349 1,614,726
Oakwood Mortgage Investors, Inc.
     Ser. 01-C, Class A4, 7.405s, 2030 605,231 326,825
     Ser. 01-D, Class A2, 5.26s, 2019(F) 556,862 345,801
Total asset-backed securities (cost $13,204,964) $11,757,029

FOREIGN GOVERNMENT BONDS AND NOTES (1.7%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $725,000 $642,270
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 1,305,000 1,300,537
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 7,210,000 7,047,559
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 220,000 202,950
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 150,000 123,750
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 475,000 473,423
Ukraine (Government of) 144A bonds 7 3/4s, 2020 225,000 196,875
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 230,000 206,966
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 1,600,000 1,552,000
Total foreign government bonds and notes (cost $11,966,118) $11,746,330

SHORT-TERM INVESTMENTS (30.3%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.08%(e) 63,543,734 $63,543,734
U.S. Treasury Bills with an effective yield of 0.188%, April 17, 2012 14,100,000 14,097,648
U.S. Treasury Bills with an effective yield of 0.221%, March 8, 2012(SEGSF)(SEG) 20,000,000 19,995,200
U.S. Treasury Bills with an effective yield of 0.072%, April 5, 2012(SEGSF)(SEG) 22,000,000 21,998,240
U.S. Treasury Bills with an effective yield of 0.041%, July 26, 2012(SEGSF) 30,000,000 29,988,270
U.S. Treasury Bills with an effective yield of 0.078%, October 18, 2012(SEGSF)(SEG) 10,000,000 9,993,320
U.S. Treasury Bills with an effective yield of 0.100%, November 15, 2012(SEGSF)(SEG) 30,000,000 29,976,630
U.S. Treasury Bills with an effective yield of 0.106%, December 13, 2012(SEGSF)(SEG) $10,000,000 9,991,450
U.S. Treasury Bills with an effective yield of 0.099%, August 23, 2012(SEGSF)(SEG) 10,000,000 9,995,190
Total short-term investments (cost $209,579,631) $209,579,682

TOTAL INVESTMENTS
Total investments (cost $906,061,804)(b) $926,122,267













FORWARD CURRENCY CONTRACTS at 1/31/12 (aggregate face value $175,815,229) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Buy 2/15/12 $296,192 $288,019 $8,173
British Pound Buy 2/15/12 1,572,488 1,555,393 17,095
Canadian Dollar Sell 2/15/12 47,257 46,849 (408)
Czech Koruna Buy 2/15/12 216,043 209,919 6,124
Czech Koruna Sell 2/15/12 216,043 214,218 (1,825)
Euro Buy 2/15/12 160,240 159,660 580
Hungarian Forint Buy 2/15/12 199,053 193,533 5,520
Hungarian Forint Sell 2/15/12 199,053 181,798 (17,255)
Japanese Yen Sell 2/15/12 2,573,398 2,571,776 (1,622)
Norwegian Krone Sell 2/15/12 136,558 135,785 (773)
South African Rand Buy 2/15/12 283,750 272,470 11,280
South Korean Won Buy 2/15/12 860,205 845,711 14,494
South Korean Won Sell 2/15/12 860,205 839,772 (20,433)
Swedish Krona Sell 2/15/12 585,667 584,719 (948)
Swiss Franc Sell 2/15/12 6,411 6,329 (82)
Taiwan Dollar Buy 2/15/12 864,566 855,674 8,892
Taiwan Dollar Sell 2/15/12 864,566 844,215 (20,351)
Turkish Lira Buy 2/15/12 73,307 71,296 2,011
Turkish Lira Sell 2/15/12 73,307 69,586 (3,721)
Barclays Bank PLC
Australian Dollar Buy 2/15/12 1,857,403 1,806,506 50,897
Brazilian Real Buy 2/15/12 791,977 783,423 8,554
British Pound Buy 2/15/12 175,211 146,246 28,965
Canadian Dollar Sell 2/15/12 943,747 935,699 (8,048)
Czech Koruna Sell 2/15/12 580,588 577,056 (3,532)
Euro Sell 2/15/12 10,173,338 10,039,507 (133,831)
Hungarian Forint Buy 2/15/12 823,443 801,178 22,265
Hungarian Forint Sell 2/15/12 823,443 749,166 (74,277)
Indonesian Rupiah Buy 2/15/12 1,664 994 670
Japanese Yen Sell 2/15/12 1,286,641 1,263,868 (22,773)
Malaysian Ringgit Buy 2/15/12 7,095 2,580 4,515
Mexican Peso Sell 2/15/12 271,576 289,900 18,324
New Zealand Dollar Buy 2/15/12 410,392 390,926 19,466
Norwegian Krone Buy 2/15/12 4,419,234 4,388,865 30,369
Polish Zloty Buy 2/15/12 513,508 475,073 38,435
Polish Zloty Sell 2/15/12 513,508 501,950 (11,558)
Singapore Dollar Sell 2/15/12 487,893 488,634 741
South Korean Won Buy 2/15/12 390,688 391,426 (738)
Swedish Krona Buy 2/15/12 1,630,436 1,604,430 26,006
Swiss Franc Buy 2/15/12 417,346 412,111 5,235
Taiwan Dollar Sell 2/15/12 391,838 376,588 (15,250)
Turkish Lira Buy 2/15/12 635,252 612,694 22,558
Citibank, N.A.
Australian Dollar Buy 2/15/12 1,328,942 1,270,564 58,378
Brazilian Real Buy 2/15/12 780,170 778,154 2,016
British Pound Sell 2/15/12 1,213,715 1,190,673 (23,042)
Canadian Dollar Buy 2/15/12 239,875 237,643 2,232
Czech Koruna Sell 2/15/12 1,161,146 1,166,947 5,801
Euro Sell 2/15/12 2,584,768 2,540,708 (44,060)
Hungarian Forint Buy 2/15/12 1,199,912 1,089,648 110,264
Hungarian Forint Sell 2/15/12 1,199,911 1,151,152 (48,759)
Japanese Yen Buy 2/15/12 309,459 307,460 1,999
Mexican Peso Sell 2/15/12 271,583 280,994 9,411
New Zealand Dollar Buy 2/15/12 803,544 784,235 19,309
Norwegian Krone Buy 2/15/12 471,242 468,007 3,235
Polish Zloty Buy 2/15/12 587,225 622,229 (35,004)
Singapore Dollar Sell 2/15/12 975,785 977,268 1,483
South African Rand Buy 2/15/12 30,026 60,012 (29,986)
South Korean Won Buy 2/15/12 78,290 77,637 653
South Korean Won Sell 2/15/12 78,290 76,596 (1,693)
Swedish Krona Buy 2/15/12 1,648,345 1,643,604 4,741
Taiwan Dollar Sell 2/15/12 391,831 389,440 (2,391)
Turkish Lira Buy 2/15/12 635,477 644,678 (9,201)
Credit Suisse AG
Australian Dollar Buy 2/15/12 3,976,861 3,857,225 119,636
Brazilian Real Buy 2/15/12 401,892 395,066 6,826
British Pound Buy 2/15/12 762,767 754,300 8,467
Canadian Dollar Sell 2/15/12 1,559,286 1,567,594 8,308
Chilean Peso Buy 2/15/12 387,608 387,768 (160)
Czech Koruna Buy 2/15/12 785,191 757,753 27,438
Czech Koruna Sell 2/15/12 785,191 778,544 (6,647)
Euro Sell 2/15/12 1,664,533 1,662,491 (2,042)
Hungarian Forint Buy 2/15/12 397,349 361,747 35,602
Hungarian Forint Sell 2/15/12 397,349 386,467 (10,882)
Japanese Yen Sell 2/15/12 1,967,466 1,948,757 (18,709)
Malaysian Ringgit Sell 2/15/12 25,258 28,927 3,669
Mexican Peso Buy 2/15/12 21,351 3,389 17,962
New Zealand Dollar Buy 2/15/12 410,722 390,877 19,845
Norwegian Krone Buy 2/15/12 986,470 979,731 6,739
Polish Zloty Buy 2/15/12 494,600 458,013 36,587
Polish Zloty Sell 2/15/12 494,600 483,497 (11,103)
Singapore Dollar Sell 2/15/12 878,238 879,122 884
South African Rand Buy 2/15/12 497,226 485,949 11,277
South Korean Won Buy 2/15/12 390,688 395,554 (4,866)
Swedish Krona Buy 2/15/12 141,551 157,014 (15,463)
Swiss Franc Sell 2/15/12 1,496,406 1,452,302 (44,104)
Taiwan Dollar Sell 2/15/12 391,838 394,476 2,638
Turkish Lira Buy 2/15/12 635,477 649,692 (14,215)
Deutsche Bank AG
Australian Dollar Buy 2/15/12 3,915,270 3,804,712 110,558
British Pound Sell 2/15/12 501,053 495,762 (5,291)
Canadian Dollar Buy 2/15/12 266,992 269,003 (2,011)
Czech Koruna Sell 2/15/12 1,161,146 1,144,605 (16,541)
Euro Buy 2/15/12 196,473 243,861 (47,388)
Hungarian Forint Buy 2/15/12 859,627 807,719 51,908
Hungarian Forint Sell 2/15/12 859,627 781,689 (77,938)
Japanese Yen Buy 2/15/12 1,406,632 1,398,128 8,504
New Zealand Dollar Buy 2/15/12 410,722 390,891 19,831
Norwegian Krone Sell 2/15/12 118,960 143,700 24,740
Polish Zloty Buy 2/15/12 421,657 390,571 31,086
Polish Zloty Sell 2/15/12 421,657 391,341 (30,316)
Singapore Dollar Sell 2/15/12 487,893 488,654 761
South Korean Won Buy 2/15/12 1,068,409 1,059,028 9,382
South Korean Won Sell 2/15/12 1,068,409 . (25,017)
Swedish Krona Sell 2/15/12 832,686 829,607 (3,079)
Swiss Franc Sell 2/15/12 1,472,936 1,474,205 1,269
Taiwan Dollar Buy 2/15/12 559,444 553,029 6,415
Taiwan Dollar Sell 2/15/12 559,444 546,546 (12,898)
Turkish Lira Buy 2/15/12 635,477 644,314 (8,837)
Goldman Sachs International
Australian Dollar Buy 2/15/12 560,369 557,897 2,472
British Pound Sell 2/15/12 57,668 66,396 8,728
Canadian Dollar Sell 2/15/12 2,210,916 2,187,529 (23,387)
Euro Sell 2/15/12 142,580 116,360 (26,220)
Hungarian Forint Buy 2/15/12 507,333 493,609 13,724
Hungarian Forint Sell 2/15/12 507,333 461,839 (45,494)
Japanese Yen Buy 2/15/12 409,321 403,501 5,820
Norwegian Krone Sell 2/15/12 1,302,959 1,293,390 (9,569)
Polish Zloty Buy 2/15/12 32,216 31,490 726
Polish Zloty Sell 2/15/12 32,216 29,898 (2,318)
Singapore Dollar Sell 2/15/12 390,346 390,283 (63)
South African Rand Buy 2/15/12 705,509 676,393 29,116
South Korean Won Buy 2/15/12 390,688 390,094 594
Swedish Krona Sell 2/15/12 360,597 359,504 (1,093)
Taiwan Dollar Sell 2/15/12 391,838 390,806 (1,032)
Turkish Lira Buy 2/15/12 635,477 637,376 (1,899)
HSBC Bank USA, National Association
Australian Dollar Sell 2/15/12 675,284 650,875 (24,409)
British Pound Sell 2/15/12 976,897 966,698 (10,199)
Canadian Dollar Sell 2/15/12 1,368,463 1,357,343 (11,119)
Euro Buy 2/15/12 2,333,093 2,371,941 (38,848)
Japanese Yen Buy 2/15/12 1,064,311 1,057,995 6,316
New Zealand Dollar Buy 2/15/12 393,069 393,151 (82)
Norwegian Krone Sell 2/15/12 983,864 978,649 (5,215)
Singapore Dollar Sell 2/15/12 487,893 488,648 755
South Korean Won Buy 2/15/12 390,688 369,549 21,139
Swedish Krona Buy 2/15/12 1,320,245 1,294,108 26,136
Swedish Krona Sell 2/15/12 1,320,245 1,318,321 (1,924)
Taiwan Dollar Buy 2/15/12 273,086 270,452 2,634
Taiwan Dollar Sell 2/15/12 273,086 266,658 (6,428)
Turkish Lira Buy 2/15/12 635,477 637,448 (1,971)
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 2/15/12 3,480,204 3,400,301 79,903
Brazilian Real Buy 2/15/12 390,028 389,186 842
British Pound Sell 2/15/12 484,667 479,690 (4,976)
Canadian Dollar Sell 2/15/12 1,584,111 1,551,833 (32,277)
Czech Koruna Sell 2/15/12 580,573 588,340 7,767
Euro Sell 2/15/12 2,131,780 2,121,241 (10,539)
Hungarian Forint Buy 2/15/12 550,542 500,930 49,612
Hungarian Forint Sell 2/15/12 550,542 535,649 (14,893)
Japanese Yen Sell 2/15/12 1,218,561 1,196,122 (22,439)
Malaysian Ringgit Buy 2/15/12 7,127 2,738 4,389
Mexican Peso Buy 2/15/12 202,090 175,634 26,456
New Zealand Dollar Buy 2/15/12 410,392 390,911 19,481
Norwegian Krone Buy 2/15/12 334,019 329,624 4,395
Polish Zloty Buy 2/15/12 78,699 76,934 1,765
Polish Zloty Sell 2/15/12 78,699 73,108 (5,591)
Singapore Dollar Sell 2/15/12 878,238 879,240 1,001
South African Rand Buy 2/15/12 748,793 748,997 (204)
South Korean Won Buy 2/15/12 604,732 590,675 14,057
South Korean Won Sell 2/15/12 604,732 600,746 (3,986)
Swedish Krona Sell 2/15/12 488,881 498,829 9,948
Swiss Franc Buy 2/15/12 1,321,687 1,305,255 16,432
Swiss Franc Sell 2/15/12 1,336,682 1,290,546 (46,136)
Taiwan Dollar Sell 2/15/12 391,838 395,239 3,401
Turkish Lira Buy 2/15/12 1,270,953 1,284,305 (13,352)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 2/15/12 2,660,535 2,586,387 74,148
Brazilian Real Buy 2/15/12 791,920 786,544 5,376
British Pound Sell 2/15/12 2,675,751 2,615,056 (60,695)
Canadian Dollar Buy 2/15/12 2,484,987 2,484,899 88
Czech Koruna Sell 2/15/12 580,573 584,151 3,578
Euro Sell 2/15/12 247,227 204,829 (42,398)
Hungarian Forint Buy 2/15/12 463,298 423,020 40,278
Hungarian Forint Sell 2/15/12 463,298 434,766 (28,532)
Indonesian Rupiah Buy 2/15/12 1,482 4,184 (2,702)
Japanese Yen Sell 2/15/12 3,682,839 3,650,008 (32,831)
Malaysian Ringgit Buy 2/15/12 11,036 2,780 8,256
Mexican Peso Sell 2/15/12 269,307 288,907 19,600
New Zealand Dollar Buy 2/15/12 410,557 390,923 19,634
Norwegian Krone Sell 2/15/12 497,869 494,802 (3,067)
Polish Zloty Buy 2/15/12 205,088 200,502 4,586
Polish Zloty Sell 2/15/12 205,088 191,789 (13,299)
Singapore Dollar Sell 2/15/12 390,187 390,618 431
South African Rand Buy 2/15/12 671,909 670,071 1,838
South Korean Won Buy 2/15/12 349,765 341,516 8,249
South Korean Won Sell 2/15/12 349,765 347,828 (1,937)
Swedish Krona Buy 2/15/12 27,531 4,525 23,006
Swiss Franc Sell 2/15/12 623,466 615,930 (7,536)
Taiwan Dollar Buy 2/15/12 794,182 776,128 18,054
Taiwan Dollar Sell 2/15/12 794,182 784,919 (9,263)
Turkish Lira Buy 2/15/12 413,985 391,918 22,067
Turkish Lira Sell 2/15/12 413,985 391,421 (22,564)
State Street Bank and Trust Co.
Australian Dollar Buy 2/15/12 3,458,048 3,351,504 106,544
Brazilian Real Buy 2/15/12 401,892 396,645 5,247
British Pound Sell 2/15/12 548,480 542,514 (5,966)
Canadian Dollar Buy 2/15/12 554,823 575,113 (20,290)
Chilean Peso Buy 2/15/12 387,608 387,729 (121)
Czech Koruna Sell 2/15/12 580,573 581,633 1,060
Euro Buy 2/15/12 671,961 693,494 (21,533)
Hungarian Forint Buy 2/15/12 580,452 536,778 43,674
Hungarian Forint Sell 2/15/12 580,452 528,060 (52,392)
Indonesian Rupiah Sell 2/15/12 3,147 6,191 3,044
Japanese Yen Sell 2/15/12 442,648 439,556 (3,092)
Mexican Peso Sell 2/15/12 245,719 283,900 38,181
New Zealand Dollar Buy 2/15/12 410,475 390,880 19,595
Norwegian Krone Buy 2/15/12 1,797,489 1,779,405 18,084
Polish Zloty Buy 2/15/12 587,225 584,861 2,364
Singapore Dollar Sell 2/15/12 878,238 879,181 943
South African Rand Buy 2/15/12 689,557 681,578 7,979
South Korean Won Buy 2/15/12 390,688 391,397 (709)
Swedish Krona Sell 2/15/12 897,739 897,447 (292)
Swiss Franc Sell 2/15/12 1,473,588 1,425,650 (47,938)
Taiwan Dollar Sell 2/15/12 391,838 386,989 (4,849)
Turkish Lira Buy 2/15/12 235,289 221,852 13,437
Turkish Lira Sell 2/15/12 235,289 228,679 (6,610)
Westpac Banking Corp.
Australian Dollar Buy 2/15/12 215,837 211,531 4,306
British Pound Sell 2/15/12 985,089 983,722 (1,367)
Canadian Dollar Buy 2/15/12 1,222,205 1,212,658 9,547
Euro Sell 2/15/12 5,045,399 4,996,991 (48,408)
Japanese Yen Buy 2/15/12 1,132,687 1,125,941 6,746
New Zealand Dollar Buy 2/15/12 804,039 784,195 19,844
Norwegian Krone Buy 2/15/12 1,243,369 1,234,795 8,574
Swedish Krona Buy 2/15/12 486,031 484,854 1,177
Total $365,047












FUTURES CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Canadian Government Bond 10 yr (Long) 20 $2,684,153             Mar-12 $43,393
Euro STOXX 50 Index (Short) 935 29,597,238             Mar-12 (1,870,726)
Euro-Bund 10 yr (Short) 36 6,579,385             Mar-12 (102,159)
Euro-Swiss Franc 3 Month (Short) 47 12,776,290             Dec-12 (196,255)
Euro-Swiss Franc 3 Month (Short) 47 12,767,355             Jun-12 (142,181)
Euro-Swiss Franc 3 Month (Short) 47 12,759,696             Mar-12 (104,620)
Japanese Government Bond 10 yr (Long) 22 41,156,914             Mar-12 54,711
NASDAQ 100 Index E-Mini (Short) 534 26,318,190             Mar-12 (1,316,684)
S&P 500 Index E-Mini (Long) 762 49,842,420             Mar-12 772,236
S&P Mid Cap 400 Index E-Mini (Long) 474 44,314,260             Mar-12 2,217,372
U.K. Gilt 10 yr (Short) 229 42,310,644             Mar-12 (355,770)
U.S. Treasury Bond 30 yr (Long) 143 20,797,563             Mar-12 345,916
U.S. Treasury Note 10 yr (Short) 32 4,232,000             Mar-12 (36,967)
Total $(691,734)












WRITTEN OPTIONS OUTSTANDING at 1/31/12 (premiums received $62,747,167) (Unaudited)


Contract       Expiration date/
amount       strike price Value
SPDR S&P 500 ETF Trust (Call) $1,492,941       Feb-12/$136.00 $312,886
SPDR S&P 500 ETF Trust (Put) 83,466       Jan-13/95.00 232,485
SPDR S&P 500 ETF Trust (Put) 83,466       Jul-12/105.00 141,272
SPDR S&P 500 ETF Trust (Put) 273,284       Mar-12/90 10,010
SPDR S&P 500 ETF Trust (Put) 267,554       Feb-12/85 1,132
SPDR S&P 500 ETF Trust (Put) 105,301       May-12/90.00 29,927
SPDR S&P 500 ETF Trust (Put) 105,301       Nov-12/85.00 144,052
SPDR S&P 500 ETF Trust (Put) 137,607       Jun-12/95.00 89,098
SPDR S&P 500 ETF Trust (Put) 137,607       Dec-12/85.00 220,552
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 3,043,000       Apr-12/2.111 68,650
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 3,043,000       Apr-12/2.111 68,650
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 3,043,000       Apr-12/2.111 68,650
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 3,043,000       Apr-12/2.111 68,650
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. 3,043,000       Apr-12/2.111 68,650
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.4275 692,751
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.4275 692,751
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.4275 692,751
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.4275 692,751
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.4275 692,751
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.4275 692,751
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.498 782,925
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. 15,232,000       Apr-12/2.498 782,925
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.60% versus the three month USD-LIBOR-BBA maturing April 2022. 3,091,000       Apr-12/2.60 185,213
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 4,527,700       Apr-12/4.8675 5
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. 4,527,700       Apr-12/4.8675 1,218,812
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.394% versus the three month USD-LIBOR-BBA maturing August 2022. 8,571,000       Aug-12/2.394 374,638
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing August 2022. 21,271,000       Aug-12/2.4475 1,009,734
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA August 2022. 55,602,200       Aug-12/2.73 384,767
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. 55,602,200       Aug-12/2.73 3,805,971
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 39,821,400       Aug-12/2.855 219,018
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 39,821,400       Aug-12/2.855 3,125,183
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 5,161,178       Aug-14/4.20 89,288
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. 5,161,178       Aug-14/4.20 800,752
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 6,636,700       Aug-15/4.375 345,898
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 6,636,700       Aug-15/4.375 2,187,357
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 6,636,700       Aug-15/4.46 325,152
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 6,636,700       Aug-15/4.46 2,280,894
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 10,259,726       Aug-16/3.625 536,584
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 3.625% versus the three month USD-LIBOR-BBA maturing August 2026. 10,259,726       Aug-16/3.625 997,245
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 21,094,416       Aug-16/4.17 381,809
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. 21,094,416       Aug-16/4.17 1,668,125
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 18,978,932       Aug-16/4.28 682,198
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. 18,978,932       Aug-16/4.28 2,587,815
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. 35,414,819       Aug-16/4.35 4,992,569
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 8,352,631       Aug-16/4.68 251,414
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 8,352,631       Aug-16/4.68 1,363,985
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 5.35% versus the three month USD-LIBOR-BBA maturing August 2026. 35,414,819       Aug-16/5.35 765,066
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.345% versus the three month USD-LIBOR-BBA maturing December 2022. 2,400,000       Dec-12/2.345 98,424
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2022. 2,400,000       Dec-12/2.355 99,984
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 5,007,860       Feb-15/5.27 55,127
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. 5,007,860       Feb-15/5.27 1,169,786
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. 2,461,160       Feb-15/5.36 28,549
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. 2,461,160       Feb-15/5.36 580,925
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.3625% versus the three month USD-LIBOR-BBA maturing January 2023. 2,400,000       Jan-13/2.3625 100,848
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 2,057,000       Jul-12/2.1714 60,208
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 2,057,000       Jul-12/2.1714 60,208
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 2,057,000       Jul-12/2.1714 60,208
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 2,057,000       Jul-12/2.1714 60,208
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 2,057,000       Jul-12/2.1714 60,208
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.372% versus the three month USD-LIBOR-BBA maturing July 2022. 8,571,000       Jul-12/2.372 358,868
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 15,827,000       Jul-12/2.6075 937,750
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 15,827,000       Jul-12/2.6075 937,750
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.61875% versus the three month USD-LIBOR-BBA maturing July 2022. 15,827,000       Jul-12/2.61875 951,203
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.6825% versus the three month USD-LIBOR-BBA maturing July 2022. 2,246,000       Jul-12/2.6825 146,170
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 4,300,982       Jul-14/4.19 74,407
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. 4,300,982       Jul-14/4.19 665,168
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 4,277,119       Jul-14/4.29 63,173
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. 4,277,119       Jul-14/4.29 707,217
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 1,720,393       Jul-14/4.34 26,666
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. 1,720,393       Jul-14/4.34 285,682
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 4,300,982       Jul-14/4.35 66,235
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. 4,300,982       Jul-14/4.35 717,541
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 2,018,662       Jul-14/4.36 28,401
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. 2,018,662       Jul-14/4.36 344,648
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 4,300,992       Jul-14/4.3725 64,945
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. 4,300,992       Jul-14/4.3725 726,524
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 6,960,526       Jul-16/4.67 210,208
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 6,960,526       Jul-16/4.67 1,131,782
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 6,921,908       Jul-16/4.74 191,986
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 6,921,908       Jul-16/4.74 1,184,698
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 3,266,918       Jul-16/4.79 88,442
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 3,266,918       Jul-16/4.79 569,963
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 6,960,526       Jul-16/4.80 197,679
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 6,960,526       Jul-16/4.80 1,194,426
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 2,784,210       Jul-16/4.80 78,793
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 2,784,210       Jul-16/4.80 478,049
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 6,960,526       Jul-16/4.815 195,591
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. 6,960,526       Jul-16/4.815 1,202,083
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,014,000       Jun-12/2.183 58,869
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,014,000       Jun-12/2.183 58,869
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,014,000       Jun-12/2.183 58,869
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,014,000       Jun-12/2.183 58,869
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,014,000       Jun-12/2.183 58,869
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.346% versus the three month USD-LIBOR-BBA maturing June 2022. 8,571,000       Jun-12/2.346 341,383
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 2021. 8,451,295       Jun-16/4.12 665,599
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 2021. 8,316,290       Jun-16/4.39 738,570
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 8,263,488       Jun-16/4.575 111,838
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 8,263,488       Jun-16/4.575 803,376
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 5,365,418       Jun-16/4.815 138,256
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. 5,365,418       Jun-16/4.815 953,483
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 2021. 8,316,290       Jun-16/4.89 100,627
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 2021. 8,451,295       Jun-16/5.12 89,119
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,957,000       Mar-12/2.119 62,274
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,957,000       Mar-12/2.119 62,274
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,957,000       Mar-12/2.119 62,274
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,957,000       Mar-12/2.119 62,274
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. 2,957,000       Mar-12/2.119 62,274
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.324% versus the three month USD-LIBOR-BBA maturing May 2022. 8,571,000       May-12/2.324 324,241
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing May 2021. 14,251,339       May-16/4.11 1,117,889
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing May 2021. 14,031,812       May-16/4.36 1,231,011
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 13,961,977       May-16/4.60 185,722
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. 13,961,977       May-16/4.60 1,368,274
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 19,149,649       May-16/4.745 241,286
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing May 2021. 19,149,649       May-16/4.745 1,974,539
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 12,539,848       May-16/4.7575 159,256
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.7575% versus the three month USD-LIBOR-BBA maturing May 2021. 12,539,848       May-16/4.7575 1,299,429
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 26,824,343       May-16/4.765 326,881
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. 26,824,343       May-16/4.765 2,816,556
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 47,874,123       May-16/4.77 603,214
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 4.77% versus the three month USD-LIBOR-BBA maturing May 2021. 47,874,123       May-16/4.77 4,983,651
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing May 2021. 14,031,812       May-16/4.86 168,382
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. 14,251,339       May-16/5.11 150,095
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.32% versus the three month USD-LIBOR-BBA maturing November 2022. 2,400,000       Nov-12/2.32 94,848
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.335% versus the three month USD-LIBOR-BBA maturing November 2022. 2,400,000       Nov-12/2.335 96,816
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.443% versus the three month USD-LIBOR-BBA maturing October 2022. 8,571,000       Oct-12/2.443 403,523
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.5625% versus the three month USD-LIBOR-BBA maturing October 2021. 9,456,000       Oct-16/2.5625 272,806
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.7975% versus the three month USD-LIBOR-BBA maturing October 2021. 3,782,000       Oct-16/2.7975 130,517
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.419% versus the three month USD-LIBOR-BBA maturing September 2022. 8,571,000       Sep-12/2.419 389,295
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 26,918,400       Sep-15/4.04 840,069
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 26,918,400       Sep-15/4.04 3,530,887
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. 7,936,217       Sep-16/3.49 451,095
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. 7,936,217       Sep-16/3.49 710,157
Total $82,505,648












TBA SALE COMMITMENTS OUTSTANDING at 1/31/12 (proceeds receivable $34,181,094) (Unaudited)


Principal       Settlement
Agency amount       date Value
FNMA, 4s, February 1, 2042 $8,000,000       2/13/12 $8,456,250
FNMA, 3 1/2s, February 1, 2042 25,000,000       2/13/12 25,974,610
Total $34,430,860















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/12 (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.
$10,399,000 $—      1/12/22 3 month USD-LIBOR-BBA 2.13057% $223,605
1,138,000 —      1/13/14 3 month USD-LIBOR-BBA 0.6075% 1,991
2,901,000 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 46,201
14,823,100 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 206,497
55,289,600 —      1/13/17 1.1642% 3 month USD-LIBOR-BBA (501,910)
8,278,000 —      1/24/22 3 month USD-LIBOR-BBA 2.16% 193,915
11,317,000 —      1/25/22 3 month USD-LIBOR-BBA 2.1825% 288,072
1,370,000 (E) —      2/13/22 3 month USD-LIBOR-BBA 2.24% 40,470
14,911,320 884,987      1/19/22 4.72% 3 month USD-LIBOR-BBA (3,026,107)
38,968,000 —      1/9/22 3 month USD-LIBOR-BBA 2.11% 770,292
4,315,000 —      1/9/17 3 month USD-LIBOR-BBA 1.253% 58,699
992,000 —      1/9/42 2.723% 3 month USD-LIBOR-BBA (20,903)
CAD 7,390,000 —      1/23/17 1.6325% 3 month CAD-BA-CDOR (61,585)
Barclays Bank PLC
$27,638,000 —      1/5/17 1.2685% 3 month USD-LIBOR-BBA (401,560)
40,947,000 —      1/11/14 0.6575% 3 month USD-LIBOR-BBA (112,467)
185,087,000 —      1/12/14 0.655% 3 month USD-LIBOR-BBA (498,578)
24,564,000 —      1/12/17 3 month USD-LIBOR-BBA 1.226% 298,333
4,362,000 —      1/13/22 2.074% 3 month USD-LIBOR-BBA (70,502)
6,571,000 —      1/13/22 2.05125% 3 month USD-LIBOR-BBA (92,266)
22,051,000 —      1/13/14 3 month USD-LIBOR-BBA 0.608% 38,804
33,063,500 —      1/13/14 0.61% 3 month USD-LIBOR-BBA (59,539)
18,027,200 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (160,005)
7,411,500 —      1/13/22 3 month USD-LIBOR-BBA 2.05% 103,248
11,587,000 —      1/17/22 3 month USD-LIBOR-BBA 2.028% 134,090
10,601,000 —      1/17/14 3 month USD-LIBOR-BBA 0.5675% 10,118
48,635,000 —      1/19/22 1.9955% 3 month USD-LIBOR-BBA (411,069)
16,435,000 (28,761)     1/3/14 0.6075% 3 month USD-LIBOR-BBA (57,925)
67,565,000 —      1/19/42 2.6192% 3 month USD-LIBOR-BBA 113,508
5,625,000 —      1/19/22 1.992% 3 month USD-LIBOR-BBA (45,680)
8,409,000 —      1/20/22 3 month USD-LIBOR-BBA 1.993% 68,549
4,141,000 —      1/20/42 2.631% 3 month USD-LIBOR-BBA (2,360)
10,750,000 —      1/23/14 0.5875% 3 month USD-LIBOR-BBA (14,623)
7,843,000 —      1/24/14 3 month USD-LIBOR-BBA 0.5875% 10,585
2,368,000 —      1/24/22 2.1375% 3 month USD-LIBOR-BBA (50,512)
6,837,000 —      1/24/14 3 month USD-LIBOR-BBA 0.591% 9,710
587,000 —      1/26/22 3 month USD-LIBOR-BBA 2.185% 15,033
2,451,000 (E) —      4/11/22 2.265% 3 month USD-LIBOR-BBA (68,358)
17,959,000 —      1/27/22 2.082125% 3 month USD-LIBOR-BBA (286,698)
8,349,000 —      1/30/22 2.062% 3 month USD-LIBOR-BBA (115,855)
510,000 —      1/30/22 3 month USD-LIBOR-BBA 2.061% 7,031
4,527,000 —      1/31/22 2.01% 3 month USD-LIBOR-BBA (40,991)
44,435,000 —      2/1/14 3 month USD-LIBOR-BBA 0.5325% 12,442
40,763,000 —      2/1/17 1.031% 3 month USD-LIBOR-BBA (71,335)
7,915,000 —      2/1/22 1.976% 3 month USD-LIBOR-BBA (45,432)
4,458,000 —      2/1/42 3 month USD-LIBOR-BBA 2.7075% 72,977
487,000 —      2/1/22 3 month USD-LIBOR-BBA 1.958% 1,982
27,552,000 —      2/2/17 1.035% 3 month USD-LIBOR-BBA (53,473)
8,887,000 —      2/2/22 1.965% 3 month USD-LIBOR-BBA (42,261)
2,512,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (524)
9,116,000 —      2/2/14 0.515% 3 month USD-LIBOR-BBA 539
12,786,000 —      2/2/22 1.92833% 3 month USD-LIBOR-BBA (16,388)
503,000 —      2/2/22 3 month USD-LIBOR-BBA 1.9125% (110)
3,503,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 150,244
AUD 16,350,000 —      1/27/17 4.43% 6 month AUD-BBR-BBSW (190,739)
AUD 7,110,000 —      1/27/22 6 month AUD-BBR-BBSW 4.81% 156,709
AUD 1,770,000 —      2/1/22 4.609% 6 month AUD-BBR-BBSW (8,555)
GBP 3,910,000 —      1/23/22 2.4275% 6 month GBP-LIBOR-BBA (99,325)
GBP 2,960,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (367,390)
GBP 1,320,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (290,014)
GBP 4,470,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 643,242
Citibank, N.A.
$35,912,000 —      1/12/14 0.6565% 3 month USD-LIBOR-BBA (97,844)
491,000 —      1/12/17 3 month USD-LIBOR-BBA 1.2264% 5,973
31,297,000 —      1/19/22 3 month USD-LIBOR-BBA 2.021% 338,966
11,137,000 —      1/19/42 3 month USD-LIBOR-BBA 2.6455% 43,866
1,390,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 12,635
3,503,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 150,244
13,030,000 283,594      1/17/22 2.4475% 3 month USD-LIBOR-BBA (376,578)
9,248,000 —      1/10/17 1.216% 3 month USD-LIBOR-BBA (108,516)
Credit Suisse International
37,684,000 —      1/5/14 0.73% 3 month USD-LIBOR-BBA (158,286)
14,320,000 —      1/5/17 3 month USD-LIBOR-BBA 1.26875% 208,348
27,693,000 —      1/6/17 3 month USD-LIBOR-BBA 1.2753% 410,547
48,586,000 —      1/12/14 0.6525% 3 month USD-LIBOR-BBA (128,385)
48,329,000 —      1/13/14 0.617% 3 month USD-LIBOR-BBA (93,963)
629,000 —      1/13/17 3 month USD-LIBOR-BBA 1.1795% 6,180
4,119,400 —      1/13/42 3 month USD-LIBOR-BBA 2.70% 65,604
31,997,000 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (59,258)
44,742,800 —      1/13/17 1.164104% 3 month USD-LIBOR-BBA (406,166)
40,061,000 —      1/17/42 3 month USD-LIBOR-BBA 2.688% 525,163
56,291,000 —      1/17/22 3 month USD-LIBOR-BBA 2.0505% 769,564
43,417,000 —      1/20/14 3 month USD-LIBOR-BBA 0.583% 55,620
527,000 —      1/20/42 3 month USD-LIBOR-BBA 2.673% 5,138
3,273,000 —      1/23/17 1.165% 3 month USD-LIBOR-BBA (28,470)
879,000 —      1/23/42 3 month USD-LIBOR-BBA 2.765% 25,662
4,851,000 —      1/23/22 2.09875% 3 month USD-LIBOR-BBA (86,183)
22,589,000 —      1/27/14 0.550278% 3 month USD-LIBOR-BBA (13,866)
6,656,000 —      1/27/14 3 month USD-LIBOR-BBA 0.56% 5,358
21,555,000 —      1/30/14 0.533% 3 month USD-LIBOR-BBA (5,886)
3,503,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 150,244
32,707,000 —      1/30/17 1.075% 3 month USD-LIBOR-BBA (131,454)
2,128,000 —      1/30/22 3 month USD-LIBOR-BBA 2.0725% 31,615
681,000 —      1/30/42 2.81% 3 month USD-LIBOR-BBA (26,183)
34,950,000 —      1/30/17 1.056% 3 month USD-LIBOR-BBA (107,947)
12,195,000 —      1/31/17 1.04% 3 month USD-LIBOR-BBA (27,618)
29,073,000 —      2/1/17 1.04% 3 month USD-LIBOR-BBA (63,670)
2,511,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (523)
1,829,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 64,582
CHF 1,780,000 —      1/23/22 6 month CHF-LIBOR-BBA 1.1225% 11,175
CHF 1,780,000 —      1/25/22 6 month CHF-LIBOR-BBA 1.1775% 21,678
GBP 2,961,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 335,805
SEK 14,200,000 —      1/23/22 2.30% 3 month SEK-STIBOR-SIDE 4,989
SEK 14,200,000 —      1/25/22 2.4275% 3 month SEK-STIBOR-SIDE (18,743)
Deutsche Bank AG
$48,829,000 —      1/6/14 0.7245% 3 month USD-LIBOR-BBA (199,829)
18,522,000 —      1/6/17 3 month USD-LIBOR-BBA 1.257% 257,867
13,368,000 —      1/6/17 3 month USD-LIBOR-BBA 1.255% 184,891
62,865,000 —      1/13/14 3 month USD-LIBOR-BBA 0.618% 123,513
5,137,000 —      1/13/17 3 month USD-LIBOR-BBA 1.178% 50,110
35,552,200 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (65,842)
43,906,500 —      1/13/17 1.16% 3 month USD-LIBOR-BBA (389,703)
18,528,800 —      1/13/22 3 month USD-LIBOR-BBA 2.05375% 264,640
21,784,000 —      1/19/14 0.5625% 3 month USD-LIBOR-BBA (19,049)
5,261,000 —      1/19/17 1.102% 3 month USD-LIBOR-BBA (30,431)
9,326,000 —      1/20/17 1.10% 3 month USD-LIBOR-BBA (52,683)
50,329,000 —      1/20/22 2.02% 3 month USD-LIBOR-BBA (537,018)
51,235,000 —      1/20/42 3 month USD-LIBOR-BBA 2.656% 313,788
19,285,000 —      1/20/17 3 month USD-LIBOR-BBA 1.1225% 130,288
14,206,000 —      1/23/22 2.0475% 3 month USD-LIBOR-BBA (184,603)
11,883,000 —      1/23/22 2.108% 3 month USD-LIBOR-BBA (221,358)
113,483,000 —      1/23/17 3 month USD-LIBOR-BBA 1.15641% 939,262
21,563,000 —      1/24/17 3 month USD-LIBOR-BBA 1.19233% 215,353
27,031,000 —      1/30/14 0.53125% 3 month USD-LIBOR-BBA (6,867)
2,512,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (524)
703,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 5,919
3,503,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 150,244
2,846,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 140,479
31,689,495 (59,814)     1/5/14 0.545% 3 month USD-LIBOR-BBA (76,506)
31,800,000 —      1/3/14 0.773% 3 month USD-LIBOR-BBA (161,010)
24,573,000 —      1/5/17 1.2699% 3 month USD-LIBOR-BBA (358,773)
EUR 10,880,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (1,419,285)
Goldman Sachs International
$19,626,000 —      1/5/17 1.285% 3 month USD-LIBOR-BBA (301,086)
30,599,000 —      1/6/17 3 month USD-LIBOR-BBA 1.2568% 425,696
38,577,000 —      1/12/14 3 month USD-LIBOR-BBA 0.6565% 105,105
29,635,000 —      1/12/17 1.2185% 3 month USD-LIBOR-BBA (348,838)
77,637,800 —      1/13/17 1.164785% 3 month USD-LIBOR-BBA (707,135)
14,901,000 (25,890)     1/4/14 0.61% 3 month USD-LIBOR-BBA (53,094)
3,503,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 150,244
41,110,000 —      1/27/17 1.0825% 3 month USD-LIBOR-BBA (184,295)
9,557,000 —      1/27/17 3 month USD-LIBOR-BBA 1.11% 55,775
5,627,000 —      1/30/42 3 month USD-LIBOR-BBA 2.8019% 206,607
5,428,000 —      1/30/22 3 month USD-LIBOR-BBA 2.052% 70,272
232,582,000 (F) —      2/1/17 3 month USD-LIBOR-BBA 1.041% 533,543
2,328,000 —      2/2/42 2.69% 3 month USD-LIBOR-BBA (30,294)
6,910,000 —      2/2/17 3 month USD-LIBOR-BBA 0.98875% (2,412)
515,000 —      2/2/42 2.64% 3 month USD-LIBOR-BBA (1,032)
2,846,000 (E) —      4/13/22 3 month USD-LIBOR-BBA 2.498% 140,479
3,952,000 (44,658)     1/27/22 3 month USD-LIBOR-BBA 2.27% 87,596
2,954,000 62,442      1/27/22 2.52% 3 month USD-LIBOR-BBA (105,176)
63,960,000 (E) —      2/7/17 1.35% 3 month USD-LIBOR-BBA (1,097,554)
EUR 10,900,000 —      9/29/21 6 month EUR-EURIBOR-REUTERS 2.54% 463,142
GBP 2,537,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 139,284
GBP 1,320,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 122,745
GBP 2,400,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (113,571)
GBP 2,304,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (263,222)
GBP 2,303,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (241,115)
JPMorgan Chase Bank, N.A.
$28,892,000 —      1/11/17 1.2125% 3 month USD-LIBOR-BBA (332,980)
41,427,000 —      1/11/17 3 month USD-LIBOR-BBA 1.187% 425,489
124,082,000 —      1/13/14 3 month USD-LIBOR-BBA 0.613% 231,070
286,000 —      1/13/17 1.1673% 3 month USD-LIBOR-BBA (2,640)
71,104,400 —      1/13/14 0.6125% 3 month USD-LIBOR-BBA (131,684)
68,995,900 —      1/13/17 1.168249% 3 month USD-LIBOR-BBA (640,272)
64,467,000 —      1/17/14 0.587% 3 month USD-LIBOR-BBA (86,517)
10,473,000 —      1/17/17 1.115% 3 month USD-LIBOR-BBA (67,942)
122,000 —      1/19/22 1.99% 3 month USD-LIBOR-BBA (969)
83,000 —      1/19/14 0.56% 3 month USD-LIBOR-BBA (68)
1,615,000 —      1/20/17 1.117% 3 month USD-LIBOR-BBA (10,472)
112,105,000 —      1/20/22 3 month USD-LIBOR-BBA 2.0075% 1,065,708
15,413,000 —      1/20/42 2.6455% 3 month USD-LIBOR-BBA (59,822)
19,476,000 —      1/20/22 3 month USD-LIBOR-BBA 2.029% 224,031
4,616,000 —      1/23/42 3 month USD-LIBOR-BBA 2.688% 58,933
42,135,000 —      1/23/14 3 month USD-LIBOR-BBA 0.59% 59,445
33,051,000 —      1/23/22 3 month USD-LIBOR-BBA 2.097184% 582,548
15,187,000 —      1/25/17 3 month USD-LIBOR-BBA 1.2255% 175,795
8,780,000 —      1/27/22 3 month USD-LIBOR-BBA 2.10% 154,844
3,503,000 (E) —      4/12/22 3 month USD-LIBOR-BBA 2.4275% 150,244
13,030,000 279,570      1/17/22 2.453% 3 month USD-LIBOR-BBA (387,275)
4,580,000 —      2/1/14 3 month USD-LIBOR-BBA 0.54125% 2,107
1,900,000 —      2/1/22 1.95125% 3 month USD-LIBOR-BBA (6,517)
10,308,000 —      2/1/22 1.956% 3 month USD-LIBOR-BBA (39,995)
965,000 —      2/2/14 0.5175% 3 month USD-LIBOR-BBA 9
1,690,000 —      2/2/22 1.92875% 3 month USD-LIBOR-BBA (2,233)
805,000 —      2/2/42 2.6675% 3 month USD-LIBOR-BBA (6,487)
2,512,000 —      2/2/22 1.917% 3 month USD-LIBOR-BBA (524)
9,790,000 (187,479)     1/19/22 3 month USD-LIBOR-BBA 2.2775% 152,490
24,852,200 1,433,972      1/17/22 4.80% 3 month USD-LIBOR-BBA (5,273,364)
CAD 1,830,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (42,543)
CAD 3,770,000 —      1/24/22 2.3825% 3 month CAD-BA-CDOR (59,108)
EUR 7,090,000 —      12/16/16 1 month EUR-EONIA-OIS-COMPOUND 1.205% 138,211
EUR 17,370,000 —      12/16/13 0.52% 1 month EUR-EONIA-OIS-COMPOUND (70,687)
JPY 22,600,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 9,213
JPY 30,400,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (3,211)
UBS AG
CHF 30,584,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (484,547)
Total $(8,473,919)
(E)   See Total return swap contracts note and/or Interest rate swap contracts note(s)regarding extended effective dates.
(F)   Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (”ASC 820”) based on the securities' valuation inputs.











TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
$3,141,957 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools $(60,035)
baskets 182,716 —      7/30/12 3 month USD-LIBOR-BBA A basket (GDX) of common stocks (734,540)
Barclays Bank PLC
$822,261 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (546)
1,823,018 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,346)
126,367 553      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (1,874)
3,024,654 (473)     1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (63,020)
4,125,736 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,098)
2,659,227 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,767)
2,048,725 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 556
10,479,754 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (30,731)
2,075,327 36,967      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,232)
9,230,614 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (27,068)
6,745,132 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,829
2,705,834 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 12,010
315,976 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,215)
2,620,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (49,694)
3,141,957 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 60,035
337,787 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,280)
9,698,538 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 76,886
1,389,066 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 11,012
1,239,364 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (23,041)
4,843,321 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,313
15,740,975 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (46,159)
10,018,754 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 44,469
3,896,025 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,425)
17,387,288 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 27,383
1,164,030 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,378
11,520,374 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 18,143
5,013,348 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (93,203)
24,551 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 39
23,848,514 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,468
719,883 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (478)
2,335,895 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,552)
1,693,119 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,125)
7,337,162 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 50,708
5,722,889 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (115,645)
Citibank, N.A.
2,701,766 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 733
5,704,638 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (109,001)
1,281,058 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 347
baskets 753 —      4/11/12 (3 month USD-LIBOR-BBA plus 0.10%) A basket (CGPUTQL1) of common stocks 977,075
baskets 412,153 —      10/29/12 (3 month USD-LIBOR-BBA minus 1.6%) A basket (CGPUTSB9) of common stocks (2,478,555)
units 16,807 —      4/11/12 3 month USD-LIBOR-BBA minus 0.05% Russell 2000 Total Return Index (1,063,653)
units 702 —      4/11/12 3 month USD-LIBOR-BBA minus 0.05% Russell 2000 Total Return Index (44,272)
units 260 —      4/11/12 3 month USD-LIBOR-BBA minus 0.05% Russell 1000 Total Return Index (16,454)
Credit Suisse International
$1,614,440 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 438
6,294,281 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (120,268)
2,059,006 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (39,342)
shares 119,200 —      3/13/12 (1 month USD-LIBOR minus 1.00%) iShares iBoxx H/Y Corp Bond ETF 181,969
shares 119,200 —      3/13/12 (1 month USD-LIBOR minus 1.00%) SPDR Barclays Capital High ETF 105,075
Deutsche Bank AG
$7,441,962 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 71,968
Goldman Sachs International
1,500,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 13,491
1,125,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 9,001
6,414,172 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (125,600)
3,092,461 (12,563)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 53,085
3,103,270 (6,788)     1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (69,083)
2,686,429 (24,346)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 33,420
2,695,819 9,267      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (45,515)
635,282 (10,125)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,623
1,317,938 15,239      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (11,706)
2,544,341 53,272      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 0
2,535,479 (61,802)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (5,546)
EUR 7,181,000 —      10/18/13 (1.7775%) Eurostat Eurozone HICP excluding tobacco (100,600)
UBS, AG
baskets 476,409 —      5/24/12 (3 month USD-LIBOR-BBA) A basket (UBSEMBSK) of common stocks 510,853
contracts 112,073 —      5/24/12 3 month USD-LIBOR-BBA minus 0.35% MSCI Daily Total Return Net USD Index (6,190,262)
shares 130,053 —      2/28/12 (3 month USD-LIBOR-BBA minus 0.25%) iShares MSCI Emerging Markets Index 600,775
Total $(8,841,849)











CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(4,006) $450,000 12/20/19 (100 bp) $67,959
Deutsche Bank AG
  DJ CDX NA IG Series 17 Index BBB+/P 765,298 38,800,000 12/20/16 100 bp 789,137
JPMorgan Chase Bank, N.A.
  Belgium Government International Bond, 4 1/4s, 9/28/14 — (353,495) 3,478,000 12/20/16 (100 bp) (139,092)
  Belgium Government International Bond, 4 1/4s, 9/28/14 — (257,485) 3,458,000 3/20/17 (100 bp) (29,011)
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — (2,475,821) 20,906,000 3/20/17 (100 bp) 25,961
  Bundesrepublic of Deutschland, 6%, 6/20/16 — (322,336) 8,696,000 12/20/16 (25 bp) (71,314)
  France, Gov't of, 4.25%, 04/25/2019 — (947,722) 10,434,000 12/20/16 (25 bp) (223,692)
  France, Gov't of, 4.25%, 04/25/2019 — (247,336) 3,458,000 3/20/17 (25 bp) 10,200
  Republic of Austria, 4.65%, 1/5/18 — (419,892) 8,695,000 12/20/16 (100 bp) (146,977)
  Republic of Italy, 6 7/8%, 9/27/23 — (1,134,590) 4,284,000 12/20/21 (100 bp) (264,785)
  Republic of Italy, 6 7/8%, 9/27/23 A2 949,828 10,818,000 12/20/13 100 bp 374,347
Total $392,733
*   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 January 31, 2012. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
EMTN Euro Medium Term Notes
ETF Exchange Traded Fund
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
GMTN Global Medium Term Notes
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
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $691,997,605.
(b) The aggregate identified cost on a tax basis is $908,201,957, resulting in gross unrealized appreciation and depreciation of $47,951,852 and $30,031,542, respectively, or net unrealized appreciation of $17,920,310.
(NON) Non-income-producing security.
(RES) Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $457,184, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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.
(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.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $9,052 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $122,107,823 and $102,491,347, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $589,477,438 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
IFB 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 interest rates shown are the current interest rates at the close of the reporting period.
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. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source.The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses futures contracts to hedge interest rate risk, to gain exposure to interest rates, to hedge prepayment risk, to equitize cash and to manage exposure to market risk.
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”.
Outstanding number of contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio and to enhance the return on securities owned.
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. Options traded over-the-counter are valued using prices supplied by dealers.
Outstanding contracts on written options and purchased options contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Total return swap contracts: The fund enters into 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 markets/countries and to gain exposure to specific sectors/industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. 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 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.
The fund had an average notional amount of approximately $458,800,000 on total return swap contracts for the reporting period.
Interest rate swap contracts: The fund enters into 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, to gain exposure on interest rates, to hedge prepayment risk.
An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate 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 interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
The fund had an average notional amount of approximately $2,920,500,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund enters into credit default contracts to hedge credit risk, to hedge market risk, to gain exposure on individual names and/or baskets of securities and to (any additional reason listed on the most recent shareholder report).
In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract.
The fund had an average notional amount of approximately $94,900,000 on credit default swap contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter 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 $261,452 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 $65,190,045 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $65,533,024.
TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $5,855,958 $— $—
    Capital goods 9,351,115 — —
    Communication services 6,962,985 — —
    Conglomerates 1,044,763 — —
    Consumer cyclicals 26,775,518 — —
    Consumer staples 23,477,587 — —
    Energy 21,981,896 457,184 —
    Financials 25,986,320 — —
    Health care 19,986,683 — —
    Technology 65,998,094 — —
    Transportation 5,701,271 — —
    Utilities and power 6,866,975 — —
Total common stocks 219,989,165 457,184 —
Asset-backed securities $— $11,757,029 $—
Commodity linked notes — 16,531,770 —
Corporate bonds and notes — 107,879,329 —
Foreign government bonds and notes — 11,746,330 —
Mortgage-backed securities — 121,389,088 30,199
Purchased options outstanding — 32,322,029 —
Senior loans — 45,721,318 —
U.S. Government and Agency Mortgage Obligations — 148,719,144 —
Short-term investments 63,543,734 146,035,948 —
Totals by level $283,532,899 $642,559,169 $30,199



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $365,047 $—
Futures contracts (691,734) — —
Written options — (82,505,648) —
TBA sale commitments — (34,430,860) —
Interest rate swap contracts — (11,071,882) —
Total return swap contracts — (8,841,050) —
Credit default contracts — 4,840,290 —
Totals by level $(691,734) $(131,644,103) $—


At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $5,597,740 $575,481
Foreign exchange contracts 2,008,557 1,643,510
Equity contracts 7,410,597 14,896,560
Interest rate contracts 47,006,421 110,490,712
Total $62,023,315 $127,606,263


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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: April 30, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Asia Pacific Equity Fund

The fund's portfolio
1/31/12 (Unaudited)
COMMON STOCKS (97.3%)(a)
Shares Value
Airlines (0.6%)
China Eastern Airlines Corporation Limited (Hong Kong)(NON) 124,000 $44,130
44,130
Auto components (2.2%)
Apollo Tyres, Ltd. (India) 48,370 70,875
Hyundai Mobis (South Korea) 373 91,976
162,851
Automobiles (3.8%)
Brilliance China Automotive Holdings, Inc. (China)(NON) 48,000 51,309
Hyundai Motor Co. (South Korea) 490 96,399
Kia Motors Corp. (South Korea) 2,163 129,971
277,679
Capital markets (0.8%)
BGP Holdings PLC (Malta)(F) 132,965 174
Yuanta Financial Holding Co., Ltd. (Taiwan) 100,264 56,592
56,766
Chemicals (0.8%)
Formosa Chemicals & Fibre Corp. (Taiwan) 20,000 57,457
57,457
Commercial banks (23.1%)
Agricultural Bank of China, Ltd. (China) 297,000 146,675
Bank Mandiri Persero Tbk PT (Indonesia) 121,500 90,551
China Construction Bank Corp. (China) 527,000 421,991
Commerce Asset-Holding Berhad (Malaysia) 22,000 49,974
DBS Group Holdings, Ltd. (Singapore) 19,000 204,675
Industrial and Commercial Bank of China, Ltd. (China) 550,000 385,091
Kasikornbank PCL NVDR (Thailand) 27,200 113,462
KB Financial Group, Inc. (South Korea) 2,919 110,695
PT Bank Rakyat Indonesia (Persero) Tbk (Indonesia) 120,500 91,816
United Overseas Bank, Ltd. (Singapore) 6,000 82,713
1,697,643
Commercial services and supplies (0.6%)
KEPCO Plant Service & Engineering Co., Ltd. (South Korea) 1,400 47,358
47,358
Communications equipment (1.2%)
HTC Corp. (Taiwan) 2,000 32,818
Wistron NeWeb Corp. (Taiwan) 28,049 57,828
90,646
Construction and engineering (3.3%)
Daelim Industrial Co., Ltd. (South Korea) 1,163 111,812
KEPCO Engineering & Construction Co., Inc. (South Korea) 494 40,897
Samsung Engineering Co., Ltd. (South Korea) 487 92,991
245,700
Construction materials (4.3%)
Asia Cement Corp. (Taiwan) 47,000 56,392
China National Building Material Co., Ltd. (China) 74,000 89,503
China Shanshui Cement Group, Ltd. (China) 80,000 58,799
Siam Cement PCL NVDR (Thailand) 9,800 109,646
314,340
Electrical equipment (0.8%)
Harbin Equipment Co., Ltd. (China) 58,000 56,165
56,165
Electronic equipment, instruments, and components (5.5%)
Hollysys Automation Technologies, Ltd. (China)(NON) 7,046 68,417
Hon Hai Precision Industry Co., Ltd. (Taiwan) 58,600 188,748
Tripod Technology Corp. (Taiwan) 23,530 65,530
Unimicron Technology Corp. (Taiwan) 59,000 77,670
400,365
Food products (2.2%)
First Resources, Ltd. (Singapore) 17,000 22,165
Golden Agri-Resources, Ltd. (Singapore) 75,000 43,825
Zhongpin, Inc. (China)(NON) 8,614 97,855
163,845
Health-care equipment and supplies (0.6%)
Biosensors International Group, Ltd. (Singapore)(NON) 34,000 43,789
43,789
Hotels, restaurants, and leisure (4.1%)
Genting Bhd (Malaysia) 36,000 131,598
Home Inns & Hotels Management, Inc. ADR (China)(NON) 2,941 86,730
Sands China, Ltd. (Hong Kong)(NON) 25,200 85,297
303,625
Household durables (1.1%)
Skyworth Digital Holdings, Ltd. (China) 188,000 80,724
80,724
Independent power producers and energy traders (0.7%)
China WindPower Group, Ltd. (China)(NON) 1,280,000 51,990
51,990
Industrial conglomerates (1.7%)
Keppel Corp., Ltd. (Singapore) 14,400 124,212
124,212
Insurance (1.4%)
AIA Group, Ltd. (Hong Kong) 31,600 105,533
105,533
Internet software and services (1.9%)
Tencent Holdings, Ltd. (China) 5,600 136,980
136,980
Machinery (3.2%)
China National Materials Co., Ltd. (China) 169,000 70,605
Samsung Heavy Industries Co., Ltd. (South Korea) 2,220 70,551
SembCorp Marine, Ltd. (Singapore) 24,000 94,828
235,984
Media (1.9%)
Media Nusantara Citra Tbk PT (Indonesia) 284,500 42,722
Television Broadcasts, Ltd. (Hong Kong) 16,000 93,149
135,871
Metals and mining (1.3%)
Sterlite Industries (India), Ltd. (India) 18,483 43,231
Sterlite Industries (India), Ltd. ADR (India) 5,800 53,070
96,301
Multiline retail (1.8%)
Hyundai Department Store Co., Ltd. (South Korea) 437 71,190
PCD Stores Group, Ltd. (China) 408,000 62,079
133,269
Oil, gas, and consumable fuels (3.5%)
CNOOC, Ltd. (China) 51,000 104,824
PT Adaro Energy Tbk (Indonesia) 423,000 86,106
Straits Asia Resources, Ltd. (Singapore) 34,000 63,791
254,721
Real estate management and development (6.6%)
Asian Property Development PCL (Thailand) 252,700 42,900
C C Land Holdings, Ltd. (China) 255,000 55,568
Cheung Kong Holdings, Ltd. (Hong Kong) 8,000 107,692
China Overseas Land & Investment, Ltd. (China) 28,000 52,207
Guangzhou R&F Properties Co., Ltd. (China) 82,400 80,750
Henderson Land Development Co., Ltd. (Hong Kong) 19,000 103,142
Midland Holdings, Ltd. (Hong Kong) 80,000 42,913
485,172
Semiconductors and semiconductor equipment (9.3%)
Samsung Electronics Co., Ltd. (South Korea) 595 586,340
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 35,000 92,860
679,200
Software (1.0%)
Perfect World Co., Ltd. ADR (China)(NON) 6,889 73,850
73,850
Textiles, apparel, and luxury goods (0.8%)
LG Fashion Corp. (South Korea) 1,360 55,146
55,146
Thrifts and mortgage finance (1.8%)
LIC Housing Finance, Ltd. (India) 25,717 130,548
130,548
Tobacco (1.3%)
KT&G Corp. (South Korea) 1,381 96,628
96,628
Trading companies and distributors (0.7%)
Noble Group, Ltd. (Hong Kong) 47,000 50,443
50,443
Wireless telecommunication services (3.4%)
Bharti Airtel, Ltd. (India) 10,255 75,847
China Mobile, Ltd. (China) 17,000 173,830
249,677
Total common stocks (cost $7,643,778) $7,138,608

INVESTMENT COMPANIES (0.6%)(a)
Shares Value
iShares FTSE A50 China Index ETF (China) 29,100 $41,875
Total investment Companies (cost $40,537) $41,875

SHORT-TERM INVESTMENTS (2.1%)(a)
Shares Value
Putnam Money Market Liquidity Fund 0.08%(e) 156,497 $156,497
Total short-term investments (cost $156,497) $156,497

TOTAL INVESTMENTS
Total investments (cost $7,840,812)(b) $7,336,980













Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
ETF Exchange Traded Fund
NVDR Non-voting Depository Receipt
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
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 May 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $7,336,162.
(b) The aggregate identified cost on a tax basis is $7,864,647, resulting in gross unrealized appreciation and depreciation of $426,280 and $953,947, respectively, or net unrealized depreciation of $527,667.
(NON) Non-income-producing security.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $153 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $5,086,018 and $5,348,092, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
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):
China 33.4%
South Korea 21.8
Taiwan 9.4
Singapore 9.3
Hong Kong 8.6
India 5.1
Indonesia 4.2
Thailand 3.6
Malaysia 2.5
United States 2.1
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. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. 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.












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 discretionary $1,149,165 $— $—
    Consumer staples 260,473 — —
    Energy 254,721 — —
    Financials 2,475,488 — 174
    Health care 43,789 — —
    Industrials 803,992 — —
    Information technology 1,381,041 — —
    Materials 468,098 — —
    Telecommunication services 249,677 — —
    Utilities 51,990 — —
Total common stocks 7,138,434 — 174
Investment Companies 41,875 — —
Short-term investments 156,497 — —
Totals by level $7,336,806 $— $174


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of 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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: April 30, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Capital Spectrum Fund

The fund's portfolio
1/31/12 (Unaudited)
COMMON STOCKS (59.7%)(a)
Shares Value
Aerospace and defense (2.2%)
Northrop Grumman Corp. 297,263 $17,256,117
17,256,117
Airlines (3.9%)
United Continental Holdings, Inc.(NON) 1,334,100 30,817,710
30,817,710
Banking (5.3%)
Bank of America Corp. 3,934,400 28,052,272
JPMorgan Chase & Co. 374,600 13,972,580
42,024,852
Biotechnology (5.4%)
Cubist Pharmaceuticals, Inc.(NON) 1,014,869 41,426,953
Sequenom, Inc.(NON)(S) 314,509 1,355,534
42,782,487
Cable television (9.5%)
DISH Network Corp. Class A 2,715,654 75,821,060
75,821,060
Chemicals (5.4%)
LyondellBasell Industries NV Class A (Netherlands) 603,711 26,019,944
OM Group, Inc.(NON)(S) 139,500 3,784,635
W.R. Grace & Co.(NON) 244,300 13,079,822
42,884,401
Distribution (0.2%)
Rentrak Corp.(NON) 92,500 1,582,675
1,582,675
Energy (oil field) (—%)
Stallion Oilfield Holdings, Ltd. 10,433 349,506
349,506
Entertainment (0.1%)
Metro-Goldwyn-Mayer Studios, Inc. Class A (acquired 10/28/10, cost $1,026,629)(RES) 36,206 859,893
859,893
Gaming and lottery (—%)
MTR Gaming Group, Inc.(NON) 95,337 227,855
227,855
Health-care services (0.5%)
Lincare Holdings, Inc. 141,350 3,631,282
3,631,282
Household furniture and appliances (3.5%)
Select Comfort Corp.(NON)(S) 1,103,048 27,664,444
27,664,444
Manufacturing (1.6%)
Parker Hannifin Corp. 159,700 12,884,596
12,884,596
Medical technology (1.9%)
OraSure Technologies, Inc.(NON) 970,176 10,798,059
STAAR Surgical Co.(NON) 401,555 4,372,934
15,170,993
Oil and gas (4.4%)
Cabot Oil & Gas Corp. Class A 446,200 14,233,780
Compton Petroleum Corp. (Canada)(NON) 11,290 47,565
Plains Exploration & Production Co.(NON) 538,400 20,308,448
34,589,793
Pharmaceuticals (2.7%)
Biospecifics Technologies Corp.(NON) 127,031 2,416,130
Jazz Pharmaceuticals PLC (Ireland)(NON) 414,700 19,283,550
21,699,680
Real estate (0.5%)
CreXus Investment Corp.(R) 240,275 2,659,844
MFA Financial, Inc.(R) 202,600 1,487,084
4,146,928
Restaurants (1.2%)
AFC Enterprises(NON) 513,622 8,654,531
Famous Dave's of America, Inc.(NON) 59,800 619,528
9,274,059
Telecommunications (10.6%)
EchoStar Corp. Class A(NON) 3,200,014 83,936,367
83,936,367
Trucks and parts (0.8%)
Westport Innovations, Inc. (Canada)(NON)(S) 145,700 6,061,113
6,061,113
Total common stocks (cost $414,360,573) $473,665,811

CORPORATE BONDS AND NOTES (9.3%)(a)
Principal amount Value
Automotive (0.1%)
Navistar International Corp. sr. notes 8 1/4s, 2021 $450,000 $483,750
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 200,000 268,692
752,442
Banking (0.1%)
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/4s, 2017 $500,000 478,750
478,750
Broadcasting (—%)
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 300,000 311,250
311,250
Cable television (0.1%)
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 500,000 530,000
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 25,000 27,125
Virgin Media Finance PLC company guaranty sr. notes Ser. 1, 9 1/2s, 2016 (United Kingdom) 225,000 254,250
811,375
Chemicals (0.1%)
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 250,000 260,625
INEOS Group Holdings, Ltd. 144A company guaranty unsec. sub. notes 8 1/2s, 2016 (United Kingdom) 500,000 450,000
710,625
Coal (0.1%)
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 500,000 540,000
540,000
Commercial and consumer services (0.4%)
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 1,000,000 1,107,500
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 1,000,000 985,000
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 2,015,000 1,103,213
3,195,713
Computers (0.2%)
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 2,069,500 1,857,376
1,857,376
Consumer services (—%)
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 350,000 361,375
361,375
Containers (—%)
Reynolds Group DL Escrew, Inc./Reynolds Group Escrew, LLC 144A company guaranty sr. notes 8 3/4s, 2016 130,000 138,450
138,450
Electric utilities (0.2%)
AES Corp. (The) 144A sr. notes 7 3/8s, 2021 1,000,000 1,105,000
1,105,000
Electronics (0.3%)
Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s, 2017 1,000,000 1,080,000
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 670,000 730,300
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 700,000 764,750
2,575,050
Financial (0.1%)
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 500,000 536,250
536,250
Food (0.1%)
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 700,000 724,500
724,500
Forest products and packaging (—%)
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 70,000 99,750
99,750
Gaming and lottery (4.7%)
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 $1,070,000 826,575
Chester Downs & Marina, LLC 144A notes 9 1/4s, 2020 335,000 342,538
FireKeepers Development Authority 144A sr. sec. notes 13 7/8s, 2015 450,000 506,813
MTR Gaming Group, Inc. 144A notes 11 1/2s, 2019 37,500,000 34,312,500
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 1,000,000 1,082,500
37,070,926
Health-care services (0.1%)
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 500,000 565,625
565,625
Homebuilding (—%)
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 265,000 245,125
245,125
Investment banking/Brokerage (0.2%)
Jefferies Group, Inc. sr. unsec. notes 5 1/8s, 2018 2,000,000 1,800,000
1,800,000
Lodging/Tourism (—%)
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 77,000 85,181
85,181
Machinery (0.1%)
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 500,000 536,250
Terex Corp. sr. unsec. sub. notes 8s, 2017 500,000 505,000
1,041,250
Manufacturing (0.1%)
General Cable Corp. company guaranty sr. unsec. unsub. notes FRN 2.956s, 2015 20,000 19,050
RBS Global, Inc./Rexnord Corp. company guaranty unsec. sr. notes 8 1/2s, 2018 500,000 531,250
550,300
Media (—%)
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 335,000 283,075
283,075
Medical technology (0.2%)
Kinetics Concept/KCI USA 144A company guaranty notes 10 1/2s, 2018 1,335,000 1,361,700
1,361,700
Metals (0.1%)
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 400,000 428,000
428,000
Oil and gas (0.5%)
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 1,000,000 980,000
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 765,000 835,763
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 250,000 253,125
Plains Exploration & Production Co. company guaranty sr. unsec. notes 7 5/8s, 2018 500,000 535,000
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 785,000 847,800
SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s, 2016 200,000 215,000
3,666,688
Power producers (0.3%)
Calpine Corp. 144A sr. notes 7 1/4s, 2017 174,000 181,830
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) 1,300,000 796,250
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 2,000,000 1,750,000
2,728,080
Restaurants (0.1%)
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 1,000,000 1,090,000
1,090,000
Retail (0.1%)
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 1,000,000 992,500
992,500
Technology services (0.4%)
First Data Corp. company guaranty sr. unsec notes 12 5/8s, 2021 960,000 928,800
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 1,052,750 1,042,223
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 1,000,000 925,000
2,896,023
Telecommunications (0.5%)
Hughes Satellite Systems Corp. 144A sr. unsec. notes 7 5/8s, 2021 500,000 527,500
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 1,000,000 1,005,000
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 1,000,000 1,007,500
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 835,000 853,788
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 500,000 552,500
3,946,288
Telephone (0.1%)
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 500,000 530,000
530,000
Total corporate bonds and notes (cost $75,414,320) $73,478,667

SENIOR LOANS (0.9%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3 3/8s, 2015 $680,000 $612,486
Dynegy, Inc. bank term loan FRN 9 1/4s, 2016 997,500 1,014,600
INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 245,000 253,575
INEOS U.S. Finance, LLC bank term loan FRN Ser. B2, 7.501s, 2013 244,696 253,261
Lightsquared LP bank term loan FRN 12s, 2014(PIK) 9,276,593 4,383,190
Sabre, Inc. bank term loan FRN 2.333s, 2014 1,000,000 892,000
Total senior loans (cost $9,286,744) $7,409,112

PREFERRED STOCKS (0.6%)(a)
Shares Value
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. 1,000 $805,219
Strategic Hotels & Resorts Ser. A, $2.13 cum. pfd.(NON)(R) 125,733 3,676,433
Total preferred stocks (cost $3,029,472) $4,481,652

CONVERTIBLE PREFERRED STOCKS (0.3%)(a)
Shares Value
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 97,508 $2,279,250
Total convertible preferred stocks (cost $1,360,496) $2,279,250

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) $1,000,000 $846,250
Total convertible bonds and notes (cost $764,657) $846,250

SHORT-TERM INVESTMENTS (29.9%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 0.17%(d) 18,900,600 $18,900,600
Putnam Money Market Liquidity Fund 0.08%(e) 170,599,525 170,599,525
U.S. Treasury Bills with an effective yield of 0.135%, April 5, 2012(SEGSH) $6,900,000 6,899,448
U.S. Treasury Bills with an effective yield of 0.110%, October 18, 2012(SEGSH) 5,000,000 4,996,660
U.S. Treasury Bills with an effective yield of 0.013%, February 16, 2012(SEGSH) 4,000,000 3,999,978
U.S. Treasury Bills with an effective yield of 0.010%, February 9, 2012(SEGSH) 2,000,000 1,999,996
U.S. Treasury Bills with effective yields ranging from 0.119% to 0.151%, May 3, 2012(SEG)(SEGSH) 30,000,000 29,995,770
Total short-term investments (cost $237,383,987) $237,391,977

TOTAL INVESTMENTS
Total investments (cost $741,600,249)(b) $799,552,719













FUTURES CONTRACTS OUTSTANDING at 1/31/12 (Unaudited)


Number of             Expiration Unrealized
contracts Value             date depreciation
U.S. Treasury Note 10 yr (Short) 38 $5,025,500             Mar-12 $(92,423)
Total $(92,423)












Securities sold short at 1/31/12 (Unaudited)

INVESTMENT COMPANIES (0.7%)(a) Shares Value
Consumer Discretionary Select Sector SPDR Fund 130,300 $5,383,996

Total securities sold short (proceeds $4,950,510) $5,383,996












Key to holding's currency abbreviations
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
SPDR S&P Depository Receipts
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 May 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $793,683,433.
(b) The aggregate identified cost on a tax basis is $741,600,249, resulting in gross unrealized appreciation and depreciation of $81,234,512 and $23,282,042, respectively, or net unrealized appreciation of $57,952,470.
(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.
(RES) Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $859,893, or 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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.
(SEGSH) This security, in part or in entirety, was segregated for securities sold short at the close of the reporting period.
(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.
(d) The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. At the close of the reporting period, the value of securities loaned amounted to $18,637,482.
The fund received cash collateral of $18,900,600, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $42,377 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $447,048,533 and $379,931,169, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(S) Security on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $10,409,496 to cover certain derivatives contracts and securities sold short.
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.
Security valuation: Investments (including securities sold short, if any) 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. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price (ask price for securities sold short, if any) and is generally categorized as a Level 2 security.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. 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.
Futures contracts: The fund uses futures contracts to hedge interest rate risk and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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”.
The fund had an average number of contracts of approximately 40 on futures contracts for the reporting period.
Short sale of securities: The fund may engage in short sales of securities to realize appreciation when a security that the fund does not own declines in value. A short sale is a transaction in which the fund sells a security it does not own to a third party by borrowing the security in anticipation of purchasing the same security at the market price on a later date to close out the borrow and thus the short position. The price the fund pays at the later date may be more or less than the price at which the fund sold the security. If the price of the security sold short increases between the short sale and when the fund closes out the short sale, the fund will incur a loss, which is theoretically unlimited. The fund will realize a gain, which is limited to the price at which the fund sold the security short, if the security declines in value between those dates. Dividends on securities sold short are recorded as dividend expense. While the short position is open, the fund will post cash or liquid assets at least equal in value to the market value of the securities sold short. The fund will also post collateral representing an additional 2%-5% of the market value of the securities sold short. This additional collateral will be in the form of a loan from the custodian. All collateral is marked-to-market daily. The fund may also be required to pledge on the books of the fund additional assets for the benefit of the security and cash lender. The fund is subject to risk of loss if the lender of the security were to fail to perform its obligations under the contract.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $42,884,401 $— $—
    Capital goods 36,201,826 — —
    Communication services 159,757,427 — —
    Consumer cyclicals 27,892,299 859,893 —
    Consumer staples 10,856,734 — —
    Energy 34,589,793 349,506 —
    Financials 46,171,780 — —
    Health care 83,284,442 — —
    Transportation 30,817,710 — —
Total common stocks 472,456,412 1,209,399 —
Convertible bonds and notes — 846,250 —
Convertible preferred stocks — 2,279,250 —
Corporate bonds and notes — 73,478,667 —
Preferred stocks 3,676,433 805,219 —
Senior loans — 7,409,112 —
Short-term investments 170,599,525 66,792,452 —
Totals by level $646,732,370 $152,820,349 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Futures contracts $(92,423) $— $—
Securities sold short (5,383,996) — —
Totals by level $(5,476,419) $— $—


Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Interest rate contracts $— $92,423
Total $— $92,423


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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: April 30, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Equity Spectrum Fund

The fund's portfolio
1/31/12 (Unaudited)
COMMON STOCKS (77.6%)(a)
Shares Value
Aerospace and defense (2.6%)
Northrop Grumman Corp. 176,937 $10,271,193
10,271,193
Airlines (5.5%)
United Continental Holdings, Inc.(NON) 928,600 21,450,660
21,450,660
Biotechnology (6.7%)
Biospecifics Technologies Corp.(NON) 143,852 2,736,065
Cubist Pharmaceuticals, Inc.(NON)(S) 575,731 23,501,339
26,237,404
Chemicals (7.2%)
LyondellBasell Industries NV Class A (Netherlands) 381,200 16,429,720
OM Group, Inc.(NON)(S) 90,600 2,457,978
W.R. Grace & Co.(NON) 169,000 9,048,260
27,935,958
Communications equipment (12.0%)
EchoStar Corp. Class A(NON) 1,781,964 46,740,916
46,740,916
Diversified financial services (5.6%)
Bank of America Corp. 1,983,300 14,140,929
JPMorgan Chase & Co. 202,100 7,538,330
21,679,259
Health-care equipment and supplies (2.5%)
OraSure Technologies, Inc.(NON) 560,630 6,239,812
STAAR Surgical Co.(NON) 346,427 3,772,590
10,012,402
Health-care providers and services (1.0%)
Lincare Holdings, Inc. 148,200 3,807,258
3,807,258
Hotels, restaurants, and leisure (3.0%)
AFC Enterprises(NON) 396,905 6,687,849
Famous Dave's of America, Inc.(NON) 132,200 1,369,592
Lakes Entertainment, Inc.(NON) 349,075 712,113
MTR Gaming Group, Inc.(NON) 1,165,790 2,786,238
11,555,792
Life sciences tools and services (1.4%)
Sequenom, Inc.(NON)(S) 1,277,309 5,505,202
5,505,202
Machinery (3.9%)
Parker Hannifin Corp. 95,100 7,672,668
Timken Co. 72,000 3,515,760
Westport Innovations, Inc. (Canada)(NON)(S) 92,300 3,839,680
15,028,108
Media (12.9%)
DISH Network Corp. Class A 1,703,532 47,562,613
Rentrak Corp.(NON) 152,700 2,612,697
50,175,310
Oil, gas, and consumable fuels (4.9%)
Cabot Oil & Gas Corp. Class A 223,600 7,132,840
Plains Exploration & Production Co.(NON) 319,300 12,043,996
19,176,836
Pharmaceuticals (4.1%)
Jazz Pharmaceuticals PLC (Ireland)(NON) 262,900 12,224,851
ViroPharma, Inc.(NON) 125,800 3,747,582
15,972,433
Specialty retail (4.3%)
Select Comfort Corp.(NON)(S) 678,972 17,028,618
17,028,618
Total common stocks (cost $260,941,243) $302,577,349

PREFERRED STOCKS (0.2%)(a)
Shares Value
Strategic Hotels & Resorts Ser. A, $2.13 cum. pfd.(NON)(R) 33,185 $970,329
Total preferred stocks (cost $797,767) $970,329

SHORT-TERM INVESTMENTS (28.6%)(a)
Principal amount/shares Value
U.S. Treasury bills with effective yields ranging from 0.119% to 0.151%, May 3, 2012(SEGSH) $20,000,000 $19,997,180
U.S. Treasury bills with an effective yield of 0.135%, April 5, 2012(SEGSH) 9,640,000 9,639,229
Putnam Cash Collateral Pool, LLC 0.17%(d) 27,943,450 27,943,450
Putnam Money Market Liquidity Fund 0.08%(e) 53,814,210 53,814,210
Total short-term investments (cost $111,388,369) $111,394,069

TOTAL INVESTMENTS
Total investments (cost $373,127,379)(b) $414,941,747













Securities sold short at 1/31/12 (Unaudited)

INVESTMENT COMPANIES (0.8%)(a) Shares Value
Consumer Discretionary Select Sector SPDR Fund 77,800 $3,214,696

Total securities sold short (proceeds $2,955,869) $3,214,696












Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
SPDR S&P Depository Receipts
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 May 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $390,112,340.
(b) The aggregate identified cost on a tax basis is $373,127,379, resulting in gross unrealized appreciation and depreciation of $51,821,574 and $10,007,206, respectively, or net unrealized appreciation of $41,814,368.
(NON) Non-income-producing security.
(SEGSH) This security, in part or in entirety, was segregated for securities sold short at the close of the reporting period.
(d) The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. At the close of the reporting period, the value of securities loaned amounted to $26,989,205.
The fund received cash collateral of $27,943,450, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged by Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $15,788 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $221,333,979 and $220,983,199, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(S) Security on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $3,214,696 to cover securities sold short.
Security valuation: Investments (including securities sold short, if any) 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. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price (ask price for securities sold short, if any) and is generally categorized as a Level 2 security.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. 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.
Short sale of securities: The fund may engage in short sales of securities to realize appreciation when a security that the fund does not own declines in value. A short sale is a transaction in which the fund sells a security it does not own to a third party by borrowing the security in anticipation of purchasing the same security at the market price on a later date to close out the borrow and thus the short position. The price the fund pays at the later date may be more or less than the price at which the fund sold the security. If the price of the security sold short increases between the short sale and when the fund closes out the short sale, the fund will incur a loss, which is theoretically unlimited. The fund will realize a gain, which is limited to the price at which the fund sold the security short, if the security declines in value between those dates. Dividends on securities sold short are recorded as dividend expense. While the short position is open, the fund will post cash or liquid assets at least equal in value to the market value of the securities sold short. The fund will also post collateral representing an additional 2%-5% of the market value of the securities sold short. This additional collateral will be in the form of a loan from the custodian. All collateral is marked-to-market daily. The fund may also be required to pledge on the books of the fund additional assets for the benefit of the security and cash lender. The fund is subject to risk of loss if the lender of the security were to fail to perform its obligations under the contract.












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 discretionary $78,759,720 $— $—
    Energy 19,176,836 — —
    Financials 21,679,259 — —
    Health care 61,534,699 — —
    Industrials 46,749,961 — —
    Information technology 46,740,916 — —
    Materials 27,935,958 — —
Total common stocks 302,577,349 — —
Preferred stocks 970,329 — —
Short-term investments 53,814,210 57,579,859 —
Totals by level $357,361,888 $57,579,859 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Securities sold short $(3,214,696) $— $—
Totals by level $(3,214,696) $— $—


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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: October 31, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Global Sector Fund

The fund's portfolios
1/31/12 (Unaudited)
Shares Value
Global Sector Funds (99.5%)(a)
Putnam Global Consumer Fund (Class Y) 40,594 $559,798
Putnam Global Financials Fund (Class Y) 46,375 482,762
Putnam Global Health Care Fund (Class Y) 6,518 276,870
Putnam Global Industrials Fund (Class Y) 22,617 299,679
Putnam Global Natural Resources Fund (Class Y) 24,737 509,083
Putnam Global Technology Fund (Class Y) 21,369 321,606
Putnam Global Telecommunications Fund (Class Y) 8,689 109,658
Putnam Global Utilities Fund (Class Y) 10,211 101,804
Total Global Sector Funds (cost $2,803,690) $2,661,260

Fixed Income Funds (0.5%)(a)
Putnam Money Market Fund (Class A) 13,300 $13,300
Total Fixed Income Funds (cost $13,300) $13,300

Total Investments (cost $2,816,990)(b) $2,674,560













Key to holding's abbreviations
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
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 November 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $2,675,138.
(b) The aggregate identified cost on a tax basis is $2,838,097, resulting in gross unrealized appreciation and depreciation of $43,254 and $206,791, respectively, or net unrealized depreciation of $163,537.
Security valuation: The price of each fund’s shares is based on its net asset value (NAV), which is in turn based on the NAVs of the underlying Putnam Funds in which it invests, which are classified as Level 1. The NAVs of the underlying Putnam Funds are determined based on the policies contained in each of the underlying Putnam Fund's financial statements. The NAV per share of each class equals the total value of its assets, less its liabilities, divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day the exchange is open.












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
Global sector funds $2,661,260 $—$—
Fixed income funds 13,300 ——
Totals by level $2,674,560 $— $—


Transactions with affiliated issuers
Putnam Global Sector Fund
AffiliatesMarket value at beginning of reporting periodPurchase costSale proceedsInvestment incomeCapital gain distributionsMarket value at end of reporting period
Putnam Global Consumer Fund$491,198$137,519$39,159$8,569$36,896$559,798
Putnam Global Financials Fund429,784105,26061,3917,4073,126482,762
Putnam Global Health Care Fund230,02875,96618,0926,65421,238276,870
Putnam Global Industrials Fund248,42965,91917,9286,9238,649299,679
Putnam Global Natural Resources Fund423,779106,56429,59313,178—509,083
Putnam Global Technology Fund292,35364,12627,5184,33110,010321,606
Putnam Global Telecommunications Fund108,21023,16517,4363,9371,444109,658
Putnam Global Utilities Fund98,71518,51512,4522,193—101,804
Putnam Money Market Fund6,2909,6162,606——13,300
Totals $2,328,786$606,650$226,175$53,192$81,363$2,674,560
Market values are shown for those securities affiliated at period end.
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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012




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: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds 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: April 30, 2012
Date of reporting period: January 31, 2012



Item 1. Schedule of Investments:













Putnam Multi-Cap Core Fund

The fund's portfolio
1/31/12 (Unaudited)
COMMON STOCKS (98.2%)(a)
Shares Value
Aerospace and defense (3.6%)
Embraer SA ADR (Brazil) 1,252 $34,330
General Dynamics Corp. 368 25,451
Honeywell International, Inc. 897 52,062
L-3 Communications Holdings, Inc. 728 51,491
Northrop Grumman Corp. 652 37,849
Precision Castparts Corp. 155 25,370
United Technologies Corp. 420 32,907
259,460
Air freight and logistics (0.3%)
United Parcel Service, Inc. Class B 276 20,879
20,879
Airlines (0.9%)
Southwest Airlines Co. 1,848 17,704
Spirit Airlines, Inc.(NON) 2,951 49,547
67,251
Auto components (1.0%)
American Axle & Manufacturing Holdings, Inc.(NON) 1,436 17,318
Autoliv, Inc. (Sweden) 520 32,807
Johnson Controls, Inc. 567 18,014
68,139
Automobiles (0.2%)
Ford Motor Co.(NON) 1,356 16,842
16,842
Beverages (2.3%)
Coca-Cola Co. (The) 452 30,524
Coca-Cola Enterprises, Inc. 2,805 75,146
Constellation Brands, Inc. Class A(NON) 759 15,863
Dr. Pepper Snapple Group, Inc. 418 16,227
PepsiCo, Inc. 405 26,596
164,356
Biotechnology (2.2%)
Amgen, Inc. 250 16,978
Biogen Idec, Inc.(NON) 293 34,551
Celgene Corp.(NON) 345 25,082
Cubist Pharmaceuticals, Inc.(NON) 779 31,799
Medicines Co. (The)(NON) 926 18,631
Verastem, Inc. 2,622 28,842
155,883
Building products (0.4%)
Fortune Brands Home & Security, Inc.(NON) 1,651 30,659
30,659
Capital markets (3.4%)
Ameriprise Financial, Inc. 276 14,780
Apollo Global Management, LLC. Class A 1,838 27,349
Bank of New York Mellon Corp. (The) 1,640 33,013
Goldman Sachs Group, Inc. (The) 393 43,808
Manning & Napier, Inc.(NON) 1,045 13,846
Morgan Stanley 1,835 34,223
Och-Ziff Capital Management Group Class A 3,065 30,435
State Street Corp. 1,139 44,626
242,080
Chemicals (2.9%)
Celanese Corp. Ser. A 506 24,647
Dow Chemical Co. (The) 1,513 50,701
E.I. du Pont de Nemours & Co. 741 37,709
Huntsman Corp. 1,964 25,002
LyondellBasell Industries NV Class A (Netherlands) 966 41,635
Monsanto Co. 369 30,276
209,970
Commercial banks (2.1%)
Bancorp, Inc. (The)(NON) 2,637 21,149
PNC Financial Services Group, Inc. 582 34,291
UMB Financial Corp. 547 21,103
Wells Fargo & Co. 2,641 77,144
153,687
Commercial services and supplies (0.2%)
Republic Services, Inc. 599 17,539
17,539
Communications equipment (2.4%)
Cisco Systems, Inc. 2,082 40,870
Juniper Networks, Inc.(NON) 712 14,902
Motorola Solutions, Inc. 280 12,995
Nokia Corp. ADR (Finland) 5,520 27,821
Polycom, Inc.(NON) 698 13,925
Qualcomm, Inc. 715 42,056
Sycamore Networks, Inc.(NON) 859 16,682
169,251
Computers and peripherals (3.5%)
Apple, Inc.(NON) 303 138,313
EMC Corp.(NON) 1,614 41,577
Hewlett-Packard Co. 1,410 39,452
SanDisk Corp.(NON) 717 32,896
252,238
Consumer finance (1.7%)
Capital One Financial Corp. 1,836 83,997
Discover Financial Services 1,287 34,981
118,978
Diversified financial services (2.6%)
Bank of America Corp. 1,321 9,419
Citigroup, Inc. 1,125 34,560
CME Group, Inc. 157 37,603
JPMorgan Chase & Co. 2,105 78,517
Nasdaq OMX Group, Inc. (The)(NON) 1,088 26,961
187,060
Diversified telecommunication services (2.1%)
AT&T, Inc. 1,067 31,380
CenturyLink, Inc. 799 29,587
Iridium Communications, Inc.(NON) 2,539 20,287
Verizon Communications, Inc. 1,836 69,144
150,398
Electric utilities (1.2%)
CenterPoint Energy, Inc. 826 15,256
Edison International 687 28,194
Entergy Corp. 603 41,836
85,286
Electrical equipment (0.2%)
GrafTech International, Ltd.(NON) 1,054 17,307
17,307
Electronic equipment, instruments, and components (1.1%)
Corning, Inc. 821 10,566
Jabil Circuit, Inc. 1,292 29,277
KEMET Corp.(NON) 1,291 11,864
TE Connectivity, Ltd. (Switzerland) 785 26,769
78,476
Energy equipment and services (2.8%)
Baker Hughes, Inc. 789 38,764
Cameron International Corp.(NON) 509 27,079
Diamond Offshore Drilling, Inc. 557 34,701
Schlumberger, Ltd. 774 58,182
Transocean, Ltd. (Switzerland) 847 40,063
198,789
Food and staples retail (2.2%)
Chefs' Warehouse, Inc. (The)(NON) 2,023 42,746
CVS Caremark Corp. 646 26,971
Safeway, Inc. 1,109 24,376
Walgreen Co. 654 21,817
Wal-Mart Stores, Inc. 749 45,959
161,869
Food products (0.9%)
Mead Johnson Nutrition Co. Class A 326 24,153
Post Holdings, Inc.(NON)(WIS) 808 21,743
Sara Lee Corp. 872 16,699
62,595
Health-care equipment and supplies (1.8%)
Baxter International, Inc. 721 40,001
Covidien PLC (Ireland) 602 31,003
Medtronic, Inc. 1,150 44,356
St. Jude Medical, Inc. 258 10,761
126,121
Health-care providers and services (3.0%)
Aetna, Inc. 1,651 72,149
AmerisourceBergen Corp. 682 26,578
CIGNA Corp. 655 29,364
Health Management Associates, Inc. Class A(NON) 3,004 19,256
McKesson Corp. 272 22,228
UnitedHealth Group, Inc. 401 20,768
WellPoint, Inc. 404 25,985
216,328
Hotels, restaurants, and leisure (1.5%)
Carnival Corp. 614 18,543
McDonald's Corp. 329 32,587
Red Robin Gourmet Burgers, Inc.(NON) 1,020 31,324
Wyndham Worldwide Corp. 729 28,985
111,439
Household durables (0.7%)
Newell Rubbermaid, Inc. 1,396 25,784
SodaStream International, Ltd. (Israel)(NON) 630 24,060
49,844
Household products (1.2%)
Colgate-Palmolive Co. 389 35,290
Energizer Holdings, Inc.(NON) 270 20,822
Procter & Gamble Co. (The) 476 30,007
86,119
Independent power producers and energy traders (0.9%)
AES Corp. (The)(NON) 2,877 36,711
Constellation Energy Group, Inc. 732 26,667
63,378
Industrial conglomerates (2.7%)
General Electric Co. 6,376 119,295
Tyco International, Ltd. 1,423 72,502
191,797
Insurance (3.4%)
ACE, Ltd. 440 30,624
Assurant, Inc. 585 23,166
Brown & Brown, Inc. 953 21,709
Hartford Financial Services Group, Inc. (The) 1,229 21,532
MetLife, Inc. 1,761 62,216
Prudential Financial, Inc. 962 55,065
RenaissanceRe Holdings, Ltd. 276 20,178
Transatlantic Holdings, Inc. 246 13,641
248,131
Internet and catalog retail (1.1%)
Amazon.com, Inc.(NON) 88 17,111
Expedia, Inc. 599 19,390
Priceline.com, Inc.(NON) 78 41,299
77,800
Internet software and services (1.2%)
Baidu, Inc. ADR (China)(NON) 159 20,276
eBay, Inc.(NON) 916 28,946
Google, Inc. Class A(NON) 67 38,867
88,089
IT Services (3.0%)
Accenture PLC Class A 748 42,890
Alliance Data Systems Corp.(NON) 276 30,581
Camelot Information Systems, Inc. ADS (China)(NON) 1,833 4,656
IBM Corp. 453 87,248
MasterCard, Inc. Class A 46 16,356
Unisys Corp.(NON) 403 8,451
Western Union Co. (The) 1,375 26,263
216,445
Leisure equipment and products (0.3%)
Hasbro, Inc. 591 20,632
20,632
Life sciences tools and services (0.6%)
Agilent Technologies, Inc.(NON) 828 35,165
Thermo Fisher Scientific, Inc.(NON) 160 8,464
43,629
Machinery (1.8%)
Caterpillar, Inc. 437 47,685
CNH Global NV (Netherlands)(NON) 397 16,571
Parker Hannifin Corp. 699 56,395
Timken Co. 253 12,354
133,005
Media (3.4%)
Comcast Corp. Class A 1,045 27,787
DIRECTV Class A(NON) 636 28,626
DISH Network Corp. Class A 907 25,323
Interpublic Group of Companies, Inc. (The) 3,986 41,175
McGraw-Hill Cos., Inc. (The) 460 21,160
News Corp. Class A 2,041 38,432
Time Warner Cable, Inc. 276 20,347
Walt Disney Co. (The) 1,086 42,245
245,095
Metals and mining (2.2%)
Cliffs Natural Resources, Inc. 470 33,958
Dia Bras Exploration, Inc. (Canada)(NON) 4,710 14,656
Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia) 952 43,992
Teck Resources Limited Class B (Canada) 756 31,994
U.S Silica Holdings, Inc.(NON) 2,000 34,000
158,600
Multiline retail (0.7%)
Macy's, Inc. 634 21,359
Target Corp. 616 31,299
52,658
Multi-utilities (0.6%)
Ameren Corp. 1,382 43,726
43,726
Oil, gas, and consumable fuels (8.0%)
American Midstream Partners LP 2,333 48,993
Apache Corp. 379 37,476
Chevron Corp. 849 87,515
EXCO Resources, Inc. 2,017 15,854
Exxon Mobil Corp. 1,030 86,252
Hess Corp. 315 17,735
Kodiak Oil & Gas Corp.(NON) 2,000 18,140
LRR Energy LP(NON) 3,150 58,527
Marathon Oil Corp. 1,257 39,457
Noble Energy, Inc. 227 22,852
Occidental Petroleum Corp. 826 82,410
Oiltanking Partners LP (Units) 470 13,658
SandRidge Permiam Trust 2,000 45,640
Scorpio Tankers, Inc. (Monaco)(NON) 737 4,252
578,761
Paper and forest products (0.4%)
International Paper Co. 998 31,078
31,078
Personal products (0.2%)
Avon Products, Inc. 878 15,602
15,602
Pharmaceuticals (4.7%)
Abbott Laboratories 442 23,934
Jazz Pharmaceuticals PLC (Ireland)(NON) 679 31,574
Johnson & Johnson 1,154 76,060
Merck & Co., Inc. 2,153 82,374
Pfizer, Inc. 5,719 122,387
336,329
Professional services (0.4%)
Equifax, Inc. 691 26,928
26,928
Real estate investment trusts (REITs) (0.5%)
CreXus Investment Corp. 1,085 12,011
Weyerhaeuser Co. 1,066 21,341
33,352
Road and rail (1.2%)
CSX Corp. 1,065 24,016
Hertz Global Holdings, Inc.(NON) 2,690 36,584
Union Pacific Corp. 243 27,777
88,377
Semiconductors and semiconductor equipment (2.8%)
Advanced Micro Devices, Inc.(NON) 5,083 34,107
Intel Corp. 1,672 44,174
KLA-Tencor Corp. 539 27,559
Novellus Systems, Inc.(NON) 925 43,614
Texas Instruments, Inc. 865 28,009
Xilinx, Inc. 603 21,618
199,081
Software (3.3%)
Adobe Systems, Inc.(NON) 1,548 47,911
CA, Inc. 690 17,788
Microsoft Corp. 3,266 96,445
Oracle Corp. 2,745 77,409
239,553
Specialty retail (3.4%)
ANN, Inc.(NON) 1,209 29,330
Bed Bath & Beyond, Inc.(NON) 498 30,229
Best Buy Co., Inc. 817 19,567
Express, Inc.(NON) 1,204 26,055
Foot Locker, Inc. 1,100 28,864
GNC Holdings, Inc. Class A(NON) 929 25,557
Home Depot, Inc. (The) 636 28,232
Limited Brands, Inc. 604 25,283
Lowe's Cos., Inc. 576 15,454
O'Reilly Automotive, Inc.(NON) 168 13,694
242,265
Textiles, apparel, and luxury goods (0.8%)
Coach, Inc. 784 54,919
54,919
Thrifts and mortgage finance (0.4%)
United Financial Bancorp, Inc. 1,615 26,066
26,066
Tobacco (1.4%)
Lorillard, Inc. 278 29,854
Philip Morris International, Inc. 982 73,424
103,278
Trading companies and distributors (0.2%)
Air Lease Corp.(NON) 699 17,657
17,657
Transportation infrastructure (0.2%)
Fraport AG (Germany) 268 16,078
16,078
Total common stocks (cost $6,534,354) $7,071,152

INVESTMENT COMPANIES (1.1%)(a)
Shares Value
Market Vectors Semiconductor ETF(NON) 1,200 $40,224
SPDR S&P Homebuilders ETF 1,970 36,741
Total investment Companies (cost $70,681) $76,965

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
Unisys Corp. Ser. A, 6.25% cv. pfd. 61 $3,904
Total convertible preferred stocks (cost $6,100) $3,904

SHORT-TERM INVESTMENTS (2.4%)(a)
Shares Value
Putnam Money Market Liquidity Fund 0.08%(e) 175,188 $175,188
Total short-term investments (cost $175,188) $175,188

TOTAL INVESTMENTS
Total investments (cost $6,786,323)(b) $7,327,209













Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
ASC 820 Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures 
ETF Exchange Traded Fund
Putnam Management Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC
SPDR S&P Depository Receipts
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 May 1, 2011 through January 31, 2012 (the reporting period).
(a) Percentages indicated are based on net assets of $7,198,836.
(b) The aggregate identified cost on a tax basis is $6,787,251, resulting in gross unrealized appreciation and depreciation of $788,748 and $248,790, respectively, or net unrealized appreciation of $539,958.
(WIS) When-issued security
(NON) Non-income-producing security.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $74 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $1,002,268 and $1,212,565, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
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. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in other open-end investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. 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. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. 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.












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 discretionary $939,633 $— $—
    Consumer staples 593,819 — —
    Energy 777,550 — —
    Financials 1,009,354 — —
    Health care 878,290 — —
    Industrials 870,859 16,078 —
    Information technology 1,243,133 — —
    Materials 399,648 — —
    Telecommunication services 150,398 — —
    Utilities 192,390 — —
Total common stocks 7,055,074 16,078 —
Convertible preferred stocks — 3,904 —
Investment companies 76,965 — —
Short-term investments 175,188 — —
Totals by level $7,307,227 $19,982 $—


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 Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 30, 2012

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: March 30, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 30, 2012