N-Q 1 a_globalincometrust.htm PUTNAM GLOBAL INCOME TRUST a_globalincometrust.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- 04524)   
 
Exact name of registrant as specified in charter:  Putnam Global Income Trust 
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
 
Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:  John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:  (617) 292-1000 
 
Date of fiscal year end: October 31, 2009   
 
Date of reporting period: July 31, 2009   

Item 1. Schedule of Investments:


Putnam Global Income Trust

The fund's portfolio
7/31/09 (Unaudited)

MORTGAGE-BACKED SECURITIES (37.5%)(a)       
    Principal amount  Value 
Asset Securitization Corp. Ser. 96-MD6, Class A7,       
8.335s, 2029    $94,924  $104,906 
Banc of America Commercial Mortgage, Inc.       
FRB Ser. 07-3, Class A3, 5.658s, 2049    90,000  77,589 
Ser. 07-2, Class A2, 5.634s, 2049    1,146,000  1,121,971 
Ser. 06-4, Class A2, 5.522s, 2046    748,000  756,803 
Ser. 04-3, Class A5, 5.389s, 2039    160,000  153,225 
Ser. 06-5, Class A2, 5.317s, 2047    858,000  825,277 
Ser. 05-6, Class A2, 5.165s, 2047    214,000  214,348 
Ser. 07-5, Class XW, IO, 0.439s, 2051    5,685,667  85,285 
Banc of America Commercial Mortgage, Inc. 144A       
Ser. 04-4, Class XC, IO, 0.367s, 2042    2,446,807  28,154 
Ser. 06-5, Class XC, IO, 0.114s, 2016    1,902,504  15,852 
Banc of America Funding Corp. FRB Ser. 06-D,       
Class 6A1, 5.925s, 2036    380,993  220,976 
Banc of America Structured Security Trust 144A Ser.       
02-X1, Class A3, 5.436s, 2033    27,507  27,617 
Bayview Commercial Asset Trust 144A       
Ser. 07-1, Class S, IO, 2.477s, 2037    1,244,931  65,981 
Ser. 07-CD1A, IO, 2.14s, 2021  CAD  11,888,438  495,995 
Ser. 06-CD1A, IO, 1.68s, 2023  CAD  8,797,103  367,022 
Ser. 07-5A, IO, 1.55s, 2037    $713,852  51,897 
FRB Ser. 06-CD1A, Class A1, 0.686s, 2023  CAD  1,661,474  1,226,986 
Bear Stearns Alternate Trust       
FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036    $460,950  216,749 
FRB Ser. 06-6, Class 2A1, 5.862s, 2036    238,511  116,800 
FRB Ser. 05-7, Class 23A1, 5.632s, 2035    247,409  155,698 
Bear Stearns Commercial Mortgage Securities, Inc.       
FRB Ser. 00-WF2, Class F, 8.191s, 2032    100,000  58,874 
Ser. 07-PW17, Class A3, 5.736s, 2050    1,047,000  973,710 
Ser. 05-PWR9, Class A2, 4.735s, 2042    143,000  142,888 
Bear Stearns Commercial Mortgage Securities, Inc. 144A       
Ser. 06-PW14, Class XW, IO, 0.687s, 2038    1,178,221  32,813 
Ser. 06-PW14, Class X1, IO, 0.112s, 2038    1,268,626  12,927 
Ser. 07-PW18, Class X1, IO, 0.095s, 2050    3,213,121  18,564 
Chase Commercial Mortgage Securities Corp. 144A Ser.       
98-1, Class F, 6.56s, 2030    362,000  380,189 
Citigroup Commercial Mortgage Trust       
Ser. 08-C7, Class A3, 6.095s, 2014    370,000  331,660 
Ser. 08-C7, Class A2A, 6.034s, 2049    200,000  177,472 
Citigroup Commercial Mortgage Trust 144A Ser. 06-C5,       
Class XC, IO, 0.097s, 2049    6,874,243  40,558 
Citigroup Mortgage Loan Trust, Inc.       
FRB Ser. 06-AR5, Class 2A5A, 6.197s, 2036    292,530  151,296 
FRB Ser. 05-10, Class 1A5A, 5.831s, 2035    98,250  56,985 
FRB Ser. 06-AR7, Class 2A2A, 5 5/8s, 2036    349,893  206,437 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A       
Ser. 07-CD5, Class XS, IO, 0.077s, 2044    1,709,806  8,341 
Ser. 07-CD4, Class XC, IO, 0.072s, 2049    7,983,164  34,328 
Commercial Mortgage Acceptance Corp. 144A Ser. 98-C1,       
Class F, 6.23s, 2031    157,000  141,044 
Commercial Mortgage Loan Trust Ser. 08-LS1, Class A4B,       
6.019s, 2017    199,000  158,129 
Countrywide Alternative Loan Trust       
Ser. 06-45T1, Class 2A2, 6s, 2037    451,815  270,171 
Ser. 06-J8, Class A4, 6s, 2037    288,012  172,222 
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047    142,574  116,721 
Countrywide Home Loans       
FRB Ser. 05-HYB7, Class 6A1, 5.667s, 2035    610,431  347,946 
FRB Ser. 06-HYB1, Class 1A1, 5.309s, 2036    74,250  36,492 
FRB Ser. 05-HYB4, Class 2A1, 4.887s, 2035    706,500  416,835 
Countrywide Home Loans 144A       
Ser. 06-R1, Class AS, IO, 5.565s, 2036    2,371,689  212,818 
FRB Ser. 06-R2, Class AS, IO, 5.406s, 2036    518,921  39,568 
Credit Suisse Mortgage Capital Certificates       
Ser. 07-3, Class 1A1A, 5.837s, 2037    159,305  89,211 
FRB Ser. 07-C4, Class A2, 5.81s, 2039    328,000  329,944 
Credit Suisse Mortgage Capital Certificates 144A       
Ser. 07-C2, Class AX, IO, 0.113s, 2049    10,855,612  54,278 
Ser. 06-C4, Class AX, IO, 0.11s, 2039    5,876,339  45,043 
CS First Boston Mortgage Securities Corp. Ser. 04-C2,       
Class A2, 5.416s, 2036    180,000  175,235 
CS First Boston Mortgage Securities Corp. 144A       
Ser. 98-C2, Class F, 6 3/4s, 2030    362,000  258,107 
Ser. 02-CP5, Class M, 5 1/4s, 2035    81,000  5,814 
Ser. 03-C3, Class AX, IO, 0.733s, 2038    1,338,628  45,822 
Ser. 03-CK2, Class AX, IO, 0.418s, 2036    2,111,299  44,126 
Ser. 04-C4, Class AX, IO, 0.396s, 2039    918,704  15,576 
CWCapital Cobalt Ser. 07-C2, Class A2, 5.334s, 2047    1,097,000  1,070,002 
DLJ Commercial Mortgage Corp.       
Ser. 99-CG2, Class B3, 6.1s, 2032    129,000  117,390 
Ser. 99-CG2, Class B4, 6.1s, 2032    219,000  175,200 
European Loan Conduit 144A FRB Ser. 22A, Class D,       
1.764s, 2014 (United Kingdom)  GBP  103,500  25,905 
European Prime Real Estate PLC 144A FRB Ser. 1-A,       
Class D, 1.764s, 2014 (United Kingdom)  GBP  180,378  15,049 
Fannie Mae       
IFB Ser. 07-75, Class JS, 50.08s, 2037    $140,225  215,791 
IFB Ser. 07-30, Class FS, 28.507s, 2037    75,890  98,687 
IFB Ser. 06-49, Class SE, 27.86s, 2036    134,569  178,095 


IFB Ser. 05-25, Class PS, 26.906s, 2035  76,877  100,343 
IFB Ser. 05-74, Class CP, 23.705s, 2035  90,655  114,524 
IFB Ser. 06-8, Class HP, 23.522s, 2036  142,537  180,923 
IFB Ser. 05-99, Class SA, 23.522s, 2035  104,993  131,326 
IFB Ser. 05-45, Class DC, 23.265s, 2035  121,957  157,475 
Ser. 02-T4, Class A4, 9 1/2s, 2041  259,407  297,183 
IFB Ser. 03-44, Class SI, IO, 7.715s, 2033  469,522  63,020 
IFB Ser. 07-W6, Class 6A2, IO, 7.515s, 2037  111,735  13,435 
Ser. 02-T4, Class A3, 7 1/2s, 2041  87,572  97,506 
Ser. 01-T12, Class A2, 7 1/2s, 2041  106,421  118,494 
Ser. 99-T2, Class A1, 7 1/2s, 2039  199,081  221,042 
Ser. 00-T6, Class A1, 7 1/2s, 2030  87,710  96,125 
IFB Ser. 04-17, Class ST, IO, 7.315s, 2034  44,688  7,127 
IFB Ser. 08-7, Class SA, IO, 7.265s, 2038  683,412  91,769 
IFB Ser. 07-W6, Class 5A2, IO, 7.005s, 2037  170,537  19,114 
Ser. 02-26, Class A1, 7s, 2048  75,765  82,821 
Ser. 02-14, Class A1, 7s, 2042  112,567  123,050 
IFB Ser. 07-W2, Class 3A2, IO, 6.995s, 2037  197,639  22,120 
IFB Ser. 06-125, Class SM, IO, 6.915s, 2037  314,405  34,673 
IFB Ser. 06-43, Class SU, IO, 6.915s, 2036  112,739  12,804 
IFB Ser. 06-24, Class QS, IO, 6.915s, 2036  250,317  37,435 
IFB Ser. 05-52, Class DC, IO, 6.915s, 2035  106,347  14,481 
IFB Ser. 06-79, Class DI, IO, 6.865s, 2036  405,681  53,131 
IFB Ser. 06-60, Class SI, IO, 6.865s, 2036  531,132  65,026 
IFB Ser. 06-60, Class UI, IO, 6.865s, 2036  91,385  12,425 
IFB Ser. 04-89, Class EI, IO, 6.865s, 2034  691,340  81,726 
IFB Ser. 04-24, Class CS, IO, 6.865s, 2034  261,939  37,486 
IFB Ser. 07-W7, Class 3A2, IO, 6.845s, 2037  295,294  32,341 
IFB Ser. 03-122, Class SA, IO, 6.815s, 2028  301,788  25,944 
IFB Ser. 03-122, Class SJ, IO, 6.815s, 2028  314,047  25,883 
IFB Ser. 04-60, Class SW, IO, 6.765s, 2034  492,287  68,234 
IFB Ser. 03-130, Class BS, IO, 6.765s, 2033  669,043  71,717 
IFB Ser. 05-65, Class KI, IO, 6.715s, 2035  337,471  42,815 
IFB Ser. 03-34, Class WS, IO, 6.715s, 2029  632,975  60,923 
IFB Ser. 08-20, Class SA, IO, 6.705s, 2038  155,805  16,466 
IFB Ser. 08-41, Class S, IO, 6.515s, 2036  482,833  51,170 
IFB Ser. 05-48, Class SM, IO, 6.515s, 2034  154,365  17,709 
IFB Ser. 07-54, Class CI, IO, 6.475s, 2037  164,343  18,556 
IFB Ser. 08-34, Class SM, IO, 6.465s, 2038  491,135  52,490 
IFB Ser. 07-58, Class SP, IO, 6.465s, 2037  182,221  24,827 
IFB Ser. 07-37, Class SB, IO, 6.465s, 2037  3,184,190  348,972 
IFB Ser. 07-28, Class SE, IO, 6.465s, 2037  155,004  17,375 
IFB Ser. 07-24, Class SD, IO, 6.465s, 2037  150,338  15,319 
IFB Ser. 06-79, Class SI, IO, 6.465s, 2036  160,554  17,936 
IFB Ser. 05-12, Class SC, IO, 6.465s, 2035  197,950  21,285 
IFB Ser. 05-17, Class ES, IO, 6.465s, 2035  208,229  23,798 
IFB Ser. 05-17, Class SY, IO, 6.465s, 2035  96,949  10,656 
IFB Ser. 05-18, Class SK, IO, 6.465s, 2035  113,555  11,041 
IFB Ser. 07-W5, Class 2A2, IO, 6.455s, 2037  89,256  9,218 
IFB Ser. 07-30, Class IE, IO, 6.455s, 2037  439,689  63,394 
IFB Ser. 06-123, Class CI, IO, 6.455s, 2037  349,792  40,142 
IFB Ser. 05-82, Class SY, IO, 6.445s, 2035  407,076  45,559 
IFB Ser. 05-45, Class EW, IO, 6.435s, 2035  655,196  77,352 
IFB Ser. 05-45, Class SR, IO, 6.435s, 2035  567,104  63,707 
IFB Ser. 06-126, Class CS, IO, 6.415s, 2037  240,053  25,829 
IFB Ser. 06-31, Class SX, IO, 6.415s, 2036  506,167  59,029 
IFB Ser. 06-33, Class JS, IO, 6.415s, 2036  218,644  23,365 
IFB Ser. 06-36, Class SP, IO, 6.415s, 2036  150,181  15,642 
IFB Ser. 06-23, Class SP, IO, 6.415s, 2036  443,813  54,824 
IFB Ser. 06-16, Class SM, IO, 6.415s, 2036  142,172  17,020 
IFB Ser. 05-95, Class CI, IO, 6.415s, 2035  243,796  29,653 
IFB Ser. 05-84, Class SG, IO, 6.415s, 2035  389,810  52,453 
IFB Ser. 05-57, Class NI, IO, 6.415s, 2035  79,376  9,196 
IFB Ser. 06-3, Class SB, IO, 6.415s, 2035  959,475  118,821 
IFB Ser. 05-54, Class SA, IO, 6.415s, 2035  390,676  41,758 
IFB Ser. 05-23, Class SG, IO, 6.415s, 2035  314,642  42,000 
IFB Ser. 05-29, Class SX, IO, 6.415s, 2035  269,483  28,928 
IFB Ser. 05-29, Class SY, IO, 6.415s, 2035  973,038  129,733 
IFB Ser. 05-17, Class SA, IO, 6.415s, 2035  279,947  31,304 
IFB Ser. 05-17, Class SE, IO, 6.415s, 2035  304,091  39,062 
IFB Ser. 05-57, Class DI, IO, 6.415s, 2035  644,791  70,004 
IFB Ser. 04-92, Class S, IO, 6.415s, 2034  843,083  92,933 
IFB Ser. 06-104, Class EI, IO, 6.405s, 2036  332,000  36,134 
IFB Ser. 05-83, Class QI, IO, 6.405s, 2035  75,134  10,069 
IFB Ser. 06-128, Class GS, IO, 6.395s, 2037  177,559  19,626 
IFB Ser. 05-73, Class SD, IO, 6.395s, 2035  582,305  81,118 
IFB Ser. 06-114, Class IS, IO, 6.365s, 2036  167,777  18,007 
IFB Ser. 06-116, Class LS, IO, 6.365s, 2036  71,661  8,226 
IFB Ser. 04-92, Class SQ, IO, 6.365s, 2034  359,710  42,944 
IFB Ser. 06-115, Class IE, IO, 6.355s, 2036  132,628  16,534 
IFB Ser. 06-117, Class SA, IO, 6.355s, 2036  200,001  21,399 
IFB Ser. 06-109, Class SH, IO, 6.335s, 2036  183,413  23,246 
IFB Ser. 06-111, Class SA, IO, 6.335s, 2036  1,161,531  135,400 
IFB Ser. 06-116, Class S, IO, 6.315s, 2036  534,557  57,033 
IFB Ser. 06-103, Class SB, IO, 6.315s, 2036  310,284  31,042 
IFB Ser. 06-43, Class SI, IO, 6.315s, 2036  736,379  77,636 
IFB Ser. 06-8, Class JH, IO, 6.315s, 2036  614,116  72,625 
IFB Ser. 06-8, Class PS, IO, 6.315s, 2036  403,048  55,002 
IFB Ser. 09-12, Class CI, IO, 6.315s, 2036  697,384  88,428 
IFB Ser. 05-122, Class SG, IO, 6.315s, 2035  146,077  17,475 
IFB Ser. 05-122, Class SW, IO, 6.315s, 2035  179,119  20,430 
IFB Ser. 06-101, Class SA, IO, 6.295s, 2036  627,184  65,152 
IFB Ser. 06-92, Class LI, IO, 6.295s, 2036  195,955  21,215 
IFB Ser. 06-17, Class SI, IO, 6.295s, 2036  292,939  30,791 
IFB Ser. 06-60, Class YI, IO, 6.285s, 2036  291,800  40,808 
IFB Ser. 06-95, Class SH, IO, 6.265s, 2036  613,991  57,763 
IFB Ser. 07-W7, Class 2A2, IO, 6.245s, 2037  569,529  56,907 
IFB Ser. 09-12, Class AI, IO, 6.215s, 2037  686,013  76,785 
IFB Ser. 07-15, Class NI, IO, 6.215s, 2022  251,647  24,969 


IFB Ser. 07-109, Class XI, IO, 6.165s, 2037  171,760  22,368 
IFB Ser. 07-W8, Class 2A2, IO, 6.165s, 2037  394,729  38,936 
IFB Ser. 06-79, Class SH, IO, 6.165s, 2036  339,481  35,558 
IFB Ser. 07-30, Class OI, IO, 6.155s, 2037  706,537  80,835 
IFB Ser. 07-89, Class SA, IO, 6.145s, 2037  566,022  57,044 
IFB Ser. 07-W2, Class 1A2, IO, 6.145s, 2037  193,159  18,991 
IFB Ser. 07-54, Class IA, IO, 6 1/8s, 2037  191,430  19,869 
IFB Ser. 07-54, Class IB, IO, 6 1/8s, 2037  191,430  19,869 
IFB Ser. 07-54, Class IC, IO, 6 1/8s, 2037  191,430  19,869 
IFB Ser. 07-54, Class ID, IO, 6 1/8s, 2037  191,430  19,869 
IFB Ser. 07-54, Class IE, IO, 6 1/8s, 2037  191,430  19,869 
IFB Ser. 07-54, Class IF, IO, 6 1/8s, 2037  284,410  29,957 
IFB Ser. 07-54, Class NI, IO, 6 1/8s, 2037  179,810  17,146 
IFB Ser. 07-54, Class UI, IO, 6 1/8s, 2037  236,655  27,466 
IFB Ser. 07-15, Class CI, IO, 6.095s, 2037  650,791  68,737 
IFB Ser. 06-124, Class SC, IO, 6.095s, 2037  344,003  32,595 
IFB Ser. 06-115, Class JI, IO, 6.095s, 2036  458,724  49,804 
IFB Ser. 07-109, Class PI, IO, 6.065s, 2037  251,055  23,299 
IFB Ser. 09-43, Class SB, IO, 6.045s, 2039  659,097  80,592 
IFB Ser. 06-123, Class LI, IO, 6.035s, 2037  314,099  32,374 
IFB Ser. 07-81, Class IS, IO, 6.015s, 2037  367,904  36,897 
Ser. 383, Class 98, IO, 6s, 2022  57,545  7,248 
IFB Ser. 07-116, Class BI, IO, 5.965s, 2037  787,462  75,155 
IFB Ser. 07-39, Class AI, IO, 5.835s, 2037  331,145  31,025 
IFB Ser. 07-32, Class SD, IO, 5.825s, 2037  226,662  21,418 
IFB Ser. 07-30, Class UI, IO, 5.815s, 2037  186,117  18,578 
IFB Ser. 07-1, Class CI, IO, 5.815s, 2037  210,839  19,663 
IFB Ser. 09-12, Class DI, IO, 5.745s, 2037  654,440  67,879 
IFB Ser. 05-58, Class IK, IO, 5.715s, 2035  332,164  35,908 
IFB Ser. 04-46, Class PJ, IO, 5.715s, 2034  252,783  28,092 
Ser. 06-W3, Class 1AS, IO, 5.673s, 2046  676,815  60,913 
IFB Ser. 07-75, Class ID, IO, 5.585s, 2037  205,890  18,461 
Ser. 383, Class 18, IO, 5 1/2s, 2038  153,552  21,497 
Ser. 383, Class 19, IO, 5 1/2s, 2038  139,717  19,560 
Ser. 383, Class 6, IO, 5 1/2s, 2037  118,361  16,001 
Ser. 383, Class 7, IO, 5 1/2s, 2037  117,089  16,392 
Ser. 383, Class 20, IO, 5 1/2s, 2037  87,820  12,295 
Ser. 383, Class 95, IO, 5 1/2s, 2022  64,437  8,100 
IFB Ser. 09-3, Class SE, IO, 5.215s, 2037  351,535  28,158 
Ser. 385, Class 3, IO, 5s, 2038  107,172  15,808 
Ser. 03-W10, Class 1, IO, 1.881s, 2043  823,224  39,707 
Ser. 03-W8, Class 12, IO, 1.637s, 2042  1,760,067  82,483 
Ser. 03-W17, Class 12, IO, 1.144s, 2033  850,090  24,537 
Ser. 02-T18, IO, 0.513s, 2042  4,844,218  50,687 
Ser. 02-T4, IO, 0.45s, 2041  272,408  2,410 
Ser. 02-26, IO, 0.225s, 2048  12,718,212  83,597 
Ser. 07-64, Class LO, PO, zero %, 2037  106,848  91,486 
Ser. 06-37, Class ON, PO, zero %, 2036  81,489  70,756 
Ser. 05-50, Class LO, PO, zero %, 2035  34,490  30,527 
Ser. 04-38, Class AO, PO, zero %, 2034  341,438  263,492 
Ser. 08-37, Class DO, PO, zero %, 2033  79,661  52,920 
Ser. 04-61, Class JO, PO, zero %, 2032  45,873  40,000 
Ser. 326, Class 1, PO, zero %, 2032  68,795  61,124 
Ser. 318, Class 1, PO, zero %, 2032  25,859  23,076 
Ser. 04-61, Class CO, PO, zero %, 2031  149,486  134,702 
Ser. 314, Class 1, PO, zero %, 2031  122,743  109,673 
FRB Ser. 06-115, Class SN, zero %, 2036  98,695  86,031 
FRB Ser. 05-65, Class ER, zero %, 2035  88,070  80,160 
FRB Ser. 05-57, Class UL, zero %, 2035  65,780  65,231 
FRB Ser. 05-51, Class FV, zero %, 2035  112,811  107,415 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities IFB Ser. T-56, Class 2ASI, IO,     
7.815s, 2043  128,401  16,130 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E,     
7.746s, 2039  13,553  13,417 
First Horizon Alternative Mortgage Securities FRB Ser.     
05-AA10, Class 2A1, 5.724s, 2035  140,227  79,929 
First Union-Lehman Brothers Commercial Mortgage Trust     
II     
Ser. 97-C2, Class F, 7 1/2s, 2029  209,000  178,369 
Ser. 97-C2, Class G, 7 1/2s, 2029  119,000  97,580 
First Union-Lehman Brothers-Bank of America 144A Ser.     
98-C2, Class G, 7s, 2035  285,000  213,750 
Freddie Mac     
IFB Ser. 3182, Class PS, 27.447s, 2032  262,708  359,923 
IFB Ser. 3182, Class SP, 27.447s, 2032  76,474  101,329 
IFB Ser. 3211, Class SI, IO, 26.454s, 2036  97,012  51,558 
IFB Ser. 3408, Class EK, 24.634s, 2037  91,509  109,825 
IFB Ser. 2976, Class KL, 23.327s, 2035  171,256  215,479 
IFB Ser. 3065, Class DC, 18.996s, 2035  148,297  177,041 
IFB Ser. 3105, Class SI, IO, 18.87s, 2036  90,402  36,442 
IFB Ser. 2990, Class LB, 16.209s, 2034  174,095  195,240 
IFB Ser. 3031, Class BS, 16.005s, 2035  193,880  229,169 
IFB Ser. 3489, Class SD, IO, 7.512s, 2032  174,310  22,139 
IFB Ser. 2828, Class GI, IO, 7.212s, 2034  276,285  39,024 
IFB Ser. 3184, Class SP, IO, 7.062s, 2033  245,971  24,668 
IFB Ser. 3110, Class SP, IO, 7.012s, 2035  329,583  49,655 
IFB Ser. 2927, Class SI, IO, 7s, 2035  222,598  28,594 
IFB Ser. 3156, Class PS, IO, 6.962s, 2036  348,416  49,872 
IFB Ser. 2869, Class JS, IO, 6.962s, 2034  528,051  41,378 
IFB Ser. 3149, Class LS, IO, 6.912s, 2036  577,745  90,949 
IFB Ser. 3119, Class PI, IO, 6.912s, 2036  580,562  90,632 
IFB Ser. 2882, Class NS, IO, 6.912s, 2034  357,986  41,741 
IFB Ser. 2882, Class LS, IO, 6.912s, 2034  256,034  29,923 
IFB Ser. 3200, Class SB, IO, 6.862s, 2036  361,504  38,970 
IFB Ser. 3149, Class SE, IO, 6.862s, 2036  192,131  27,978 
IFB Ser. 3157, Class SA, IO, 6.862s, 2036  477,197  67,700 
IFB Ser. 3203, Class SH, IO, 6.852s, 2036  144,948  16,962 
IFB Ser. 2835, Class AI, IO, 6.812s, 2034  219,768  28,807 


IFB Ser. 2815, Class PT, IO, 6.762s, 2032  263,835  28,492 
IFB Ser. 2594, Class SE, IO, 6.762s, 2030  193,452  16,877 
IFB Ser. 2828, Class TI, IO, 6.762s, 2030  118,287  11,914 
IFB Ser. 3397, Class GS, IO, 6.712s, 2037  146,478  17,270 
IFB Ser. 3287, Class SD, IO, 6.462s, 2037  226,810  25,354 
IFB Ser. 3281, Class BI, IO, 6.462s, 2037  107,192  11,845 
IFB Ser. 3281, Class CI, IO, 6.462s, 2037  245,635  26,632 
IFB Ser. 3249, Class SI, IO, 6.462s, 2036  81,182  10,830 
IFB Ser. 3028, Class ES, IO, 6.462s, 2035  635,574  77,607 
IFB Ser. 2922, Class SE, IO, 6.462s, 2035  314,364  34,571 
IFB Ser. 3316, Class SA, IO, 6.442s, 2037  410,754  45,971 
IFB Ser. 2981, Class AS, IO, 6.432s, 2035  257,795  23,478 
IFB Ser. 3287, Class SE, IO, 6.412s, 2037  409,080  52,988 
IFB Ser. 3136, Class NS, IO, 6.412s, 2036  147,988  16,753 
IFB Ser. 3122, Class DS, IO, 6.412s, 2036  266,856  31,682 
IFB Ser. 3123, Class LI, IO, 6.412s, 2036  231,399  30,461 
IFB Ser. 3118, Class SD, IO, 6.412s, 2036  521,924  55,108 
IFB Ser. 3107, Class DC, IO, 6.412s, 2035  255,524  31,622 
IFB Ser. 3001, Class IH, IO, 6.412s, 2035  532,975  61,441 
IFB Ser. 2950, Class SM, IO, 6.412s, 2016  335,143  33,328 
IFB Ser. 3256, Class S, IO, 6.402s, 2036  267,425  28,329 
IFB Ser. 3031, Class BI, IO, 6.402s, 2035  135,950  19,313 
IFB Ser. 3244, Class SB, IO, 6.372s, 2036  151,314  16,523 
IFB Ser. 3249, Class SM, IO, 6.362s, 2036  348,624  38,913 
IFB Ser. 3236, Class IS, IO, 6.362s, 2036  275,148  29,585 
IFB Ser. 3240, Class SM, IO, 6.362s, 2036  349,968  38,604 
IFB Ser. 3147, Class SD, IO, 6.362s, 2036  545,174  56,242 
IFB Ser. 3067, Class SI, IO, 6.362s, 2035  688,194  86,291 
IFB Ser. 3033, Class SG, IO, 6.362s, 2035  132,120  13,564 
IFB Ser. 3114, Class TS, IO, 6.362s, 2030  799,527  96,887 
IFB Ser. 3128, Class JI, IO, 6.342s, 2036  141,948  14,574 
IFB Ser. 2990, Class LI, IO, 6.342s, 2034  266,029  33,572 
IFB Ser. 3240, Class S, IO, 6.332s, 2036  522,927  57,783 
IFB Ser. 3065, Class DI, IO, 6.332s, 2035  101,630  12,670 
IFB Ser. 3210, Class S, IO, 6.312s, 2036  102,189  9,518 
IFB Ser. 3145, Class GI, IO, 6.312s, 2036  119,195  13,422 
IFB Ser. 3114, Class GI, IO, 6.312s, 2036  137,852  18,116 
IFB Ser. 3114, Class IP, IO, 6.312s, 2036  612,350  63,121 
IFB Ser. 3218, Class AS, IO, 6.292s, 2036  189,961  19,325 
IFB Ser. 3221, Class SI, IO, 6.292s, 2036  216,585  22,206 
IFB Ser. 3072, Class SG, IO, 6.292s, 2035  1,249,003  154,758 
IFB Ser. 3153, Class UI, IO, 6.282s, 2036  443,763  65,230 
IFB Ser. 3424, Class XI, IO, 6.282s, 2036  567,645  58,089 
IFB Ser. 3485, Class SI, IO, 6.262s, 2036  180,009  23,021 
IFB Ser. 3153, Class QI, IO, 6.262s, 2036  270,440  38,202 
IFB Ser. 3346, Class SC, IO, 6.262s, 2033  2,718,309  325,816 
IFB Ser. 3346, Class SB, IO, 6.262s, 2033  330,224  39,518 
IFB Ser. 3201, Class SG, IO, 6.212s, 2036  293,633  30,570 
IFB Ser. 3203, Class SE, IO, 6.212s, 2036  251,215  25,933 
IFB Ser. 3238, Class LI, IO, 6.202s, 2036  269,889  28,697 
IFB Ser. 3171, Class PS, IO, 6.197s, 2036  244,027  26,365 
IFB Ser. 3171, Class ST, IO, 6.197s, 2036  418,556  45,453 
IFB Ser. 3510, Class CI, IO, 6.192s, 2037  631,273  67,755 
IFB Ser. 3510, Class DI, IO, 6.192s, 2035  394,053  43,744 
IFB Ser. 3181, Class PS, IO, 6.182s, 2036  161,436  20,281 
IFB Ser. 3284, Class BI, IO, 6.162s, 2037  174,744  17,579 
IFB Ser. 3281, Class AI, IO, 6.142s, 2037  449,321  46,267 
IFB Ser. 3261, Class SA, IO, 6.142s, 2037  230,612  24,613 
IFB Ser. 3311, Class EI, IO, 6.122s, 2037  199,814  21,201 
IFB Ser. 3311, Class IA, IO, 6.122s, 2037  264,704  28,350 
IFB Ser. 3311, Class IB, IO, 6.122s, 2037  264,704  28,350 
IFB Ser. 3311, Class IC, IO, 6.122s, 2037  264,704  28,350 
IFB Ser. 3311, Class ID, IO, 6.122s, 2037  264,704  28,350 
IFB Ser. 3311, Class IE, IO, 6.122s, 2037  382,350  40,950 
IFB Ser. 3311, Class PI, IO, 6.122s, 2037  398,037  44,824 
IFB Ser. 3510, Class AS, IO, 6.122s, 2037  1,368,539  156,917 
IFB Ser. 3265, Class SC, IO, 6.122s, 2037  186,577  19,111 
IFB Ser. 3240, Class GS, IO, 6.092s, 2036  321,010  33,131 
IFB Ser. 3257, Class SI, IO, 6.032s, 2036  134,206  13,479 
IFB Ser. 3225, Class EY, IO, 6.002s, 2036  1,427,852  135,103 
IFB Ser. 3225, Class JY, IO, 6.002s, 2036  590,060  60,068 
IFB Ser. 3502, Class DS, IO, 5.862s, 2039  214,260  21,006 
IFB Ser. 3339, Class TI, IO, 5.852s, 2037  310,183  30,078 
IFB Ser. 3284, Class CI, IO, 5.832s, 2037  492,371  48,415 
IFB Ser. 3309, Class SG, IO, 5.782s, 2037  546,368  50,368 
IFB Ser. 2965, Class SA, IO, 5.762s, 2032  269,060  26,241 
IFB Ser. 3510, Class BI, IO, 5.742s, 2037  561,143  56,760 
IFB Ser. 3397, Class SQ, IO, 5.682s, 2037  945,873  83,303 
IFB Ser. 248, IO, 5 1/2s, 2037  547,905  83,213 
IFB Ser. 3424, Class UI, IO, 5.472s, 2037  398,880  32,366 
Ser. 3327, Class IF, IO, zero %, 2037  89,585  1,598 
Ser. 3300, PO, zero %, 2037  67,017  56,671 
Ser. 242, PO, zero %, 2036  1,049,201  933,621 
Ser. 3078, PO, zero %, 2035  74,841  68,836 
Ser. 2971, Class KO, PO, zero %, 2035  23,587  23,033 
Ser. 2587, Class CO, PO, zero %, 2032  69,484  63,034 
Ser. 201, PO, zero %, 2029  75,177  67,556 
FRB Ser. 3241, Class FH, zero %, 2036  6,552  6,541 
FRB Ser. 3130, Class JF, zero %, 2036  34,568  33,147 
FRB Ser. 3326, Class WF, zero %, 2035  200,802  184,824 
FRB Ser. 3251, Class TP, zero %, 2035  91,067  87,366 
FRB Ser. 3003, Class XF, zero %, 2035  175,068  160,997 
FRB Ser. 2980, Class BU, zero %, 2035  7,354  7,326 
FRB Ser. 2963, Class TW, zero %, 2035  29,627  27,209 
GE Capital Commercial Mortgage Corp. 144A     
FRB Ser. 00-1, Class F, 7.516s, 2033  41,000  32,206 
Ser. 07-C1, Class XC, IO, 0.089s, 2019  16,454,684  50,763 
Government National Mortgage Association     
Ser. 07-17, Class CI, IO, 7 1/2s, 2037  163,922  28,199 


IFB Ser. 08-47, Class S, IO, 7.413s, 2038  346,787  39,345 
IFB Ser. 05-68, Class PU, IO, 7.011s, 2032  277,056  28,492 
IFB Ser. 04-59, Class SC, IO, 6.913s, 2034  123,343  15,343 
IFB Ser. 04-26, Class IS, IO, 6.913s, 2034  209,825  17,556 
IFB Ser. 05-68, Class SN, IO, 6.913s, 2034  1,125,522  116,446 
IFB Ser. 07-47, Class SA, IO, 6.813s, 2036  325,895  32,170 
IFB Ser. 04-47, Class SY, IO, 6.773s, 2034  591,351  62,583 
IFB Ser. 04-96, Class KS, IO, 6.711s, 2034  510,076  63,581 
IFB Ser. 06-16, Class GS, IO, 6.701s, 2036  61,537  6,855 
IFB Ser. 04-5, Class PS, IO, 6.661s, 2033  320,000  45,539 
IFB Ser. 07-35, Class NY, IO, 6.613s, 2035  326,397  31,104 
IFB Ser. 07-36, Class SW, IO, 6.611s, 2035  246,715  14,777 
IFB Ser. 07-22, Class S, IO, 6.511s, 2037  170,506  18,605 
IFB Ser. 05-84, Class AS, IO, 6.511s, 2035  459,587  47,790 
IFB Ser. 05-77, Class CS, IO, 6.511s, 2032  543,610  47,545 
IFB Ser. 07-51, Class SJ, IO, 6.461s, 2037  210,956  21,543 
IFB Ser. 04-104, Class IS, IO, 6.461s, 2034  130,165  13,030 
IFB Ser. 07-53, Class SY, IO, 6.446s, 2037  604,776  61,091 
IFB Ser. 07-58, Class PS, IO, 6.411s, 2037  758,273  66,874 
IFB Ser. 04-88, Class S, IO, 6.411s, 2032  256,062  18,420 
IFB Ser. 07-37, Class SU, IO, 6.403s, 2037  192,870  23,087 
IFB Ser. 07-37, Class YS, IO, 6.383s, 2037  147,771  15,984 
IFB Ser. 07-59, Class PS, IO, 6.381s, 2037  164,710  13,067 
IFB Ser. 07-59, Class SP, IO, 6.381s, 2037  89,032  7,312 
IFB Ser. 07-16, Class KU, IO, 6.361s, 2037  4,660,520  486,418 
IFB Ser. 08-6, Class TI, IO, 6.313s, 2032  998,565  77,963 
IFB Ser. 04-22, Class SE, IO, 6.311s, 2034  315,857  29,414 
IFB Ser. 04-22, Class SG, IO, 6.311s, 2034  909,777  118,844 
IFB Ser. 08-6, Class ST, IO, 6.311s, 2032  2,338,023  218,909 
IFB Ser. 07-17, Class AI, IO, 6.263s, 2037  657,844  85,178 
IFB Ser. 09-13, Class SD, IO, 6.263s, 2033  1,105,713  86,575 
IFB Ser. 07-78, Class SA, IO, 6.243s, 2037  546,579  51,724 
IFB Ser. 08-2, Class SM, IO, 6.213s, 2038  801,947  73,983 
IFB Ser. 07-9, Class AI, IO, 6.213s, 2037  237,387  22,554 
IFB Ser. 06-26, Class S, IO, 6.211s, 2036  1,685,859  162,569 
IFB Ser. 06-38, Class SW, IO, 6.211s, 2036  3,357,508  289,484 
IFB Ser. 06-23, Class S, IO, 6.211s, 2036  5,977,323  569,639 
IFB Ser. 08-9, Class SK, IO, 6.191s, 2038  811,628  79,442 
IFB Ser. 09-35, Class SP, IO, 6.113s, 2037  714,740  80,001 
IFB Ser. 05-71, Class SA, IO, 6.073s, 2035  573,751  58,565 
IFB Ser. 05-65, Class SI, IO, 6.061s, 2035  130,755  13,261 
IFB Ser. 05-92, Class SP, IO, 6.011s, 2035  7,377,639  644,953 
IFB Ser. 06-16, Class SX, IO, 6.001s, 2036  581,566  56,307 
IFB Ser. 05-66, Class S, IO, 5.963s, 2035  4,780,304  577,891 
IFB Ser. 07-17, Class IB, IO, 5.961s, 2037  129,965  15,844 
IFB Ser. 06-10, Class SM, IO, 5.961s, 2036  1,243,097  119,225 
IFB Ser. 06-14, Class S, IO, 5.961s, 2036  219,355  19,164 
IFB Ser. 05-57, Class PS, IO, 5.961s, 2035  397,332  38,071 
IFB Ser. 06-11, Class ST, IO, 5.951s, 2036  136,214  12,618 
IFB Ser. 07-25, Class KS, IO, 5.913s, 2037  275,560  22,888 
IFB Ser. 07-21, Class S, IO, 5.913s, 2037  310,374  26,083 
IFB Ser. 07-7, Class JI, IO, 5.911s, 2037  391,436  37,038 
IFB Ser. 07-17, Class SI, IO, 5.901s, 2037  952,869  102,319 
IFB Ser. 07-31, Class AI, IO, 5.893s, 2037  212,241  23,490 
IFB Ser. 05-17, Class S, IO, 5.891s, 2035  318,368  32,942 
IFB Ser. 07-62, Class S, IO, 5.863s, 2037  352,833  32,764 
IFB Ser. 07-43, Class SC, IO, 5.813s, 2037  200,243  17,519 
IFB Ser. 05-3, Class SN, IO, 5.811s, 2035  849,792  82,302 
IFB Ser. 04-87, Class SD, IO, 5.811s, 2034  33,614  3,109 
IFB Ser. 07-28, Class SB, IO, 5.761s, 2037  573,191  54,144 
IFB Ser. 04-89, Class HS, IO, 5.711s, 2034  172,608  15,669 
IFB Ser. 04-41, Class SG, IO, 5.711s, 2034  730,612  39,955 
FRB Ser. 07-49, Class UF, zero %, 2037  16,987  16,071 
FRB Ser. 07-33, Class TB, zero %, 2037  44,390  44,251 
FRB Ser. 07-35, Class UF, zero %, 2037  40,030  37,722 
Greenwich Capital Commercial Funding Corp. Ser.     
05-GG5, Class A2, 5.117s, 2037  155,000  156,471 
GS Mortgage Securities Corp. II     
FRB Ser. 07-GG10, Class A3, 5.805s, 2045  170,000  149,197 
Ser. 06-GG6, Class A2, 5.506s, 2038  272,000  272,845 
GS Mortgage Securities Corp. II 144A     
Ser. 98-C1, Class F, 6s, 2030  99,000  91,080 
Ser. 06-GG8, Class X, IO, 0.666s, 2039  2,040,657  41,481 
Ser. 03-C1, Class X1, IO, 0.29s, 2040  4,765,829  84,876 
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,     
6.066s, 2037  627,171  357,487 
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,     
0.395s, 2037 (F)  426,177  213,089 
IndyMac Indx Mortgage Loan Trust     
FRB Ser. 06-AR25, Class 5A1, 5.973s, 2036  109,502  54,686 
FRB Ser. 07-AR15, Class 1A1, 5.912s, 2037  360,822  198,452 
FRB Ser. 07-AR9, Class 2A1, 5.861s, 2037  371,548  193,205 
FRB Ser. 05-AR31, Class 3A1, 5.472s, 2036  730,464  416,364 
FRB Ser. 07-AR11, Class 1A1, 5.182s, 2037  338,751  179,538 
FRB Ser. 05-AR5, Class 4A1, 5.139s, 2035  309,457  183,602 
JPMorgan Alternative Loan Trust     
FRB Ser. 06-A3, Class 2A1, 6.054s, 2036  263,864  135,914 
FRB Ser. 06-A1, Class 5A1, 5.935s, 2036  255,297  155,731 
FRB Ser. 06-A6, Class 1A1, 0.445s, 2036  161,458  75,774 
JPMorgan Chase Commercial Mortgage Securities Corp.     
FRB Ser. 07-LD12, Class A3, 5.99s, 2051  72,000  64,623 
Ser. 07-CB20, Class A3, 5.863s, 2051  422,000  395,641 
Ser. 06-CB15, Class A4, 5.814s, 2043  317,000  267,064 
FRB Ser. 07-LD11, Class A3, 5.798s, 2049  213,000  198,118 
Ser. 07-CB20, Class A4, 5.794s, 2051  96,000  74,418 
Ser. 05-LDP2, Class AM, 4.78s, 2042  50,000  36,011 
Ser. 06-LDP8, Class X, IO, 0.573s, 2045  2,711,378  53,656 
Ser. 06-CB17, Class X, IO, 0.512s, 2043  2,410,457  50,443 
Ser. 07-LDPX, Class X, IO, 0.347s, 2049  4,776,416  51,452 


Ser. 06-CB16, Class X1, IO, 0.102s, 2045    3,082,994  25,626 
JPMorgan Chase Commercial Mortgage Securities Corp.       
144A Ser. 07-CB20, Class X1, IO, 0.092s, 2051    8,311,676  57,956 
LB Commercial Conduit Mortgage Trust 144A Ser. 98-C4,       
Class J, 5.6s, 2035    119,000  71,727 
LB-UBS Commercial Mortgage Trust       
Ser. 04-C7, Class A6, 4.786s, 2029    128,000  120,962 
Ser. 07-C2, Class XW, IO, 0.547s, 2040    1,052,575  21,977 
LB-UBS Commercial Mortgage Trust 144A       
Ser. 06-C7, Class XW, IO, 0.718s, 2038    1,742,642  43,838 
Ser. 03-C5, Class XCL, IO, 0.235s, 2037    1,220,253  20,153 
Ser. 05-C2, Class XCL, IO, 0.176s, 2040    5,829,897  38,477 
Ser. 06-C7, Class XCL, IO, 0.117s, 2038    3,194,677  31,091 
Ser. 07-C2, Class XCL, IO, 0.103s, 2040    9,048,158  65,649 
Ser. 06-C1, Class XCL, IO, 0.098s, 2041    12,201,311  74,950 
Lehman Brothers Floating Rate Commercial Mortgage       
Trust 144A FRB Ser. 04-LLFA, Class H, 1.238s, 2017    66,000  45,377 
Mach One Commercial Mortgage Trust 144A Ser. 04-1A,       
Class H, 6.692s, 2040    156,000  10,920 
MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,       
6 1/4s, 2036    200,428  126,019 
Merrill Lynch Capital Funding Corp. Ser. 06-4,       
Class XC, IO, 0.148s, 2049    6,000,896  56,698 
Merrill Lynch Floating Trust 144A FRB Ser. 06-1,       
Class TM, 0.788s, 2022    270,899  176,084 
Merrill Lynch Mortgage Investors, Inc.       
FRB Ser. 98-C3, Class E, 6.794s, 2030    49,000  29,132 
FRB Ser. 05-A9, Class 3A1, 5.273s, 2035    299,296  232,337 
Merrill Lynch Mortgage Trust       
FRB Ser. 07-C1, Class A3, 5.829s, 2050    118,000  101,348 
FRB Ser. 07-C1, Class A4, 5.829s, 2050    127,000  95,410 
Merrill Lynch/Countrywide Commercial Mortgage Trust       
FRB Ser. 07-8, Class A3, 5.957s, 2049    503,000  381,597 
FRB Ser. 07-8, Class A2, 5.92s, 2049    138,000  130,052 
Mezz Cap Commercial Mortgage Trust Ser. 07-C5,       
Class X, 4.521s, 2017    215,732  17,259 
Morgan Stanley Capital I       
Ser. 98-CF1, Class E, 7.35s, 2032    256,000  151,752 
FRB Ser. 08-T29, Class A3, 6.28s, 2043    69,000  65,889 
FRB Ser. 06-IQ11, Class A4, 5.771s, 2042    317,000  273,028 
Ser. 06-T21, Class A2, 5.09s, 2052    295,000  294,966 
Ser. 05-HQ6, Class A4A, 4.989s, 2042    183,000  173,619 
Ser. 04-HQ4, Class A7, 4.97s, 2040    151,000  144,892 
Morgan Stanley Capital I 144A       
FRB Ser. 04-RR, Class F7, 6s, 2039    360,000  18,000 
Ser. 07-HQ13, Class X1, IO, 0.668s, 2044    4,950,614  97,082 
Ser. 05-HQ5, Class X1, IO, 0.144s, 2042    1,916,122  8,431 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,       
Class 2A1, 4.609s, 2035    291,174  155,633 
Mortgage Capital Funding, Inc. FRB Ser. 98-MC2,       
Class E, 7.094s, 2030    78,000  52,260 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,       
Class PT, 9.087s, 2034    31,001  28,799 
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,       
Class J, 6 5/8s, 2010    100,000  35,179 
Residential Asset Securitization Trust Ser. 07-A5,       
Class 2A3, 6s, 2037    409,854  245,913 
Salomon Brothers Mortgage Securities VII 144A Ser.       
02-KEY2, Class X1, IO, 0.557s, 2036    648,291  21,653 
Structured Adjustable Rate Mortgage Loan Trust       
FRB Ser. 07-8, Class 1A2, 6 1/4s, 2037    648,100  356,455 
FRB Ser. 06-9, Class 1A1, 5.025s, 2036    117,117  61,490 
Structured Asset Securities Corp.       
IFB Ser. 07-4, Class 1A3, IO, 5.965s, 2037    1,464,387  141,863 
Ser. 07-4, Class 1A4, IO, 1s, 2037    1,464,387  43,287 
Structured Asset Securities Corp. 144A Ser. 07-RF1,       
Class 1A, IO, 5.429s, 2037    884,383  74,065 
Titan Europe PLC 144A       
FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (United       
Kingdom)  GBP  46,127  46,181 
FRB Ser. 05-CT1A, Class D, 1.964s, 2014 (United       
Kingdom)  GBP  102,358  57,780 
Ursus EPC 144A FRB Ser. 1-A, Class D, 6.938s, 2012       
(Ireland)  GBP  54,698  22,817 
Wachovia Bank Commercial Mortgage Trust       
FRB Ser. 07-C33, Class A3, 5.902s, 2051    $395,000  346,865 
Ser. 07-C31, Class A2, 5.421s, 2047    903,000  880,331 
Ser. 07-C30, Class A3, 5.246s, 2043    4,090,000  3,911,908 
Ser. 04-C15, Class A4, 4.803s, 2041    226,000  206,936 
Ser. 07-C34, IO, 0.358s, 2046    2,286,890  34,530 
Wachovia Bank Commercial Mortgage Trust 144A       
FRB Ser. 05-WL5A, Class L, 3.588s, 2018    100,000  30,000 
Ser. 07-C31, IO, 0.261s, 2047    8,188,031  75,610 
Ser. 06-C27, Class XC, IO, 0.099s, 2045    3,517,109  17,909 
WAMU Commercial Mortgage Securities Trust 144A       
Ser. 05-C1A, Class G, 5.72s, 2036    87,000  21,944 
Ser. 06-SL1, Class X, IO, 0.935s, 2043    424,205  13,549 
Ser. 07-SL2, Class X, IO, 0.849s, 2049    1,316,278  36,922 
WAMU Mortgage Pass-Through Certificates 144A Ser.       
04-RP1, Class 1S, IO, 5.288s, 2034    502,549  46,502 
Total mortgage-backed securities (cost $49,290,584)      $50,057,839 
 
CORPORATE BONDS AND NOTES (23.9%)(a)       
    Principal amount  Value 
 
Basic materials (1.1%)       
ArcelorMittal sr. unsec. unsub. 9.85s, 2019       


(Luxembourg)  $65,000  $74,728 
Bemis Co., Inc. sr. unsec. unsub. notes 6.8s, 2019  25,000  27,348 
Dow Chemical Co. (The) sr. unsec. notes 7.6s, 2014  454,000  493,325 
Dow Chemical Co. (The) Pass Through Trust 144A company     
guaranty 4.027s, 2009  165,000  164,122 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes     
8 3/8s, 2017  50,000  53,000 
International Paper Co. sr. unsec. notes 9 3/8s, 2019  143,000  165,165 
International Paper Co. sr. unsec. notes 7.4s, 2014  122,000  129,313 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,     
2016  60,000  63,872 
Nalco Co. 144A sr. notes 8 1/4s, 2017  26,000  27,040 
Potash Corp. of Saskatchewan, Inc. sr. unsec. notes     
6 1/2s, 2019 (Canada)  59,000  65,624 
Potash Corp. of Saskatchewan, Inc. sr. unsec. notes     
5 1/4s, 2014 (Canada)  16,000  16,926 
Rio Tinto Finance USA, Ltd. company guaranty sr.     
unsec. notes 8.95s, 2014 (Australia)  72,000  83,664 
Sealed Air Corp. 144A sr. notes 7 7/8s, 2017  55,000  58,083 
Teck Resources, Ltd. 144A sr. sec. notes 10 3/4s, 2019     
(Canada)  21,000  24,439 
Teck Resources, Ltd. 144A sr. sec. notes 10 1/4s, 2016     
(Canada)  31,000  35,108 
Teck Resources, Ltd. 144A sr. sec. notes 9 3/4s, 2014     
(Canada)  26,000  28,925 
    1,510,682 
 
Capital goods (0.4%)     
Allied Waste North America, Inc. sec. notes Ser. B,     
5 3/4s, 2011  35,000  36,269 
Allied Waste North America, Inc. sr. unsec. notes     
6 3/8s, 2011  55,000  56,925 
Boeing Co. (The) sr. unsec. unsub. notes 5 7/8s, 2040  30,000  30,798 
Bombardier, Inc. 144A unsec. notes 6 3/4s, 2012     
(Canada)  250,000  241,250 
Eaton Corp. notes 5.6s, 2018  65,000  64,768 
United Technologies Corp. sr. unsec. notes 6 1/8s, 2038  110,000  123,408 
    553,418 
 
 
Communication services (1.9%)     
American Tower Corp. 144A sr. unsec. notes 7 1/4s, 2019  49,000  48,265 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031  31,000  40,475 
AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011  385,000  417,141 
AT&T, Inc. sr. unsec. unsub. bonds 5 1/2s, 2018  85,000  90,013 
Comcast Cable Communications company guaranty sr.     
unsub. notes 8 7/8s, 2017  20,000  24,204 
Comcast Corp. company guaranty 5.9s, 2016  155,000  165,901 
Comcast Corp. company guaranty sr. unsec. notes 6.55s,     
2039  10,000  10,881 
Comcast Corp. company guaranty sr. unsec. unsub. notes     
6.95s, 2037  75,000  85,189 
Cox Communications, Inc. 144A bonds 8 3/8s, 2039  220,000  269,910 
Cox Communications, Inc. 144A notes 5 7/8s, 2016  30,000  30,486 
Rogers Communications Inc. company guaranty notes     
6.8s, 2018 (Canada)  80,000  91,604 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)  105,000  116,670 
Telecom Italia Capital SA company guaranty sr. unsec.     
notes 7.175s, 2019 (Italy)  55,000  61,270 
Telefonica Emisones SAU company guaranty 6.221s, 2017     
(Spain)  155,000  172,028 
Telefonica Europe BV company guaranty 7 3/4s, 2010     
(Spain)  150,000  159,033 
Time Warner Cable, Inc. company guaranty sr. notes     
7.3s, 2038  105,000  119,394 
Time Warner Cable, Inc. company guaranty sr. unsec.     
6 3/4s, 2018  45,000  49,747 
Time Warner Cable, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2014  25,000  28,331 
Time Warner Cable, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2039  15,000  16,226 
Verizon Communications, Inc. sr. unsec. notes 7.35s,     
2039  68,000  82,076 
Verizon Communications, Inc. sr. unsec. unsub. notes     
8 3/4s, 2018  77,000  98,405 
Verizon Global Funding Corp. notes 7 3/4s, 2030  110,000  131,210 
Verizon Wireless, Inc. 144A notes 5.55s, 2014  220,000  239,260 
    2,547,719 
 
Conglomerates (--%)     
Tyco International Finance SA company guaranty sr.     
unsec. unsub. notes 8 1/2s, 2019  30,000  34,410 
    34,410 
 
Consumer cyclicals (2.7%)     
Corrections Corporation of America company guaranty     
sr. notes 7 3/4s, 2017  62,000  62,000 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011  175,000  175,875 
DaimlerChrysler NA Holding Corp. company guaranty     
unsec. notes 7.2s, 2009 (Germany)  40,000  40,108 
DaimlerChrysler NA Holding Corp. company guaranty     
unsec. unsub. notes Ser. MTN, 5 3/4s, 2011 (Germany)  315,000  324,790 
Macy's Retail Holdings, Inc. company guaranty sr.     
unsec. notes 6 5/8s, 2011  65,000  65,995 
Mohawk Industries, Inc. sr. unsec. notes 6 5/8s, 2016  575,000  533,068 
News America, Inc. 144A company guaranty notes 6.9s,     


2019  245,000  272,157 
Pulte Homes, Inc. company guaranty 7 7/8s, 2011  168,000  172,620 
Starwood Hotels & Resorts Worldwide, Inc. company     
guaranty 7 7/8s, 2012  1,740,000  1,740,000 
Time Warner, Inc. company guaranty sr. unsec. notes     
FRN 1.15s, 2009  40,000  39,892 
Time Warner, Inc. debs. 9 1/8s, 2013  125,000  144,725 
Whirlpool Corp. sr. unsec. notes 8.6s, 2014  15,000  16,101 
    3,587,331 
 
Consumer staples (2.7%)     
Altria Group, Inc. company guaranty sr. unsec. unsub.     
notes 8 1/2s, 2013  70,000  81,161 
Anheuser-Busch InBev Worldwide, Inc. 144A company     
guaranty sr. notes 8.2s, 2039  50,000  62,889 
Cadbury Schweppes US Finance LLC 144A company guaranty     
sr. unsec. notes 5 1/8s, 2013 (United Kingdom)  560,000  554,090 
Campbell Soup Co. debs. 8 7/8s, 2021  50,000  65,211 
Coca-Cola Co. (The) sr. unsec. unsub. notes 4 7/8s,     
2019  50,000  52,439 
ConAgra Foods, Inc. unsec. notes 7 7/8s, 2010  7,000  7,472 
CVS Caremark, Corp. notes 6.6s, 2019  80,000  89,663 
CVS Caremark, Corp. 144A pass-through certificates     
6.117s, 2013  56,832  59,019 
Diageo Capital PLC company guaranty 5 3/4s, 2017     
(United Kingdom)  105,000  112,293 
H.J. Heinz Co. sr. unsec. notes 5.35s, 2013  55,000  58,594 
Kellogg Co. sr. unsec. notes 4.45s, 2016  10,000  10,246 
McDonald's Corp. sr. unsec. notes 5.7s, 2039  150,000  153,246 
Reynolds American, Inc. company guaranty 7 1/4s, 2013  1,705,000  1,800,211 
SABMiller PLC 144A notes 6 1/2s, 2018 (United Kingdom)  135,000  143,452 
Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011  75,000  79,194 
Tesco PLC 144A sr. unsec. unsub. notes 6.15s, 2037     
(United Kingdom)  160,000  162,835 
WPP Finance UK company guaranty sr. unsec. notes 8s,     
2014 (United Kingdom)  100,000  106,607 
    3,598,622 
 
Energy (1.2%)     
Amerada Hess Corp. unsub. notes 6.65s, 2011  100,000  107,396 
ConocoPhillips notes 6 1/2s, 2039  85,000  96,789 
Devon Energy Corp. sr. notes 6.3s, 2019  20,000  21,938 
EnCana Corp. sr. unsec. notes 6 1/2s, 2019 (Canada)  10,000  11,271 
EOG Resources, Inc. notes 6 7/8s, 2018  105,000  122,243 
Halliburton Co. sr. unsec. notes 7.45s, 2039  90,000  111,518 
Husky Energy, Inc. sr. notes 5.9s, 2014 (Canada)  30,000  32,205 
Kerr-McGee Corp. sec. notes 6.95s, 2024  50,000  50,458 
Nexen, Inc. sr. unsec. unsub. notes 7 1/2s, 2039     
(Canada)  55,000  58,308 
Petro-Canada sr. unsec. unsub. notes 6.05s, 2018     
(Canada)  30,000  30,921 
Petrobras International Finance Co. company guaranty     
sr. unsec. notes 7 7/8s, 2019 (Brazil)  110,000  120,725 
Ras Laffan Liquefied Natural Gas Co., Ltd. 144A     
company guaranty sr. notes 4 1/2s, 2012 (Qatar)  250,000  253,523 
Weatherford International, Ltd. company guaranty sr.     
unsec. notes 9 7/8s, 2039 (China)  175,000  227,465 
Williams Cos., Inc. (The) 144A sr. unsec. notes     
8 3/4s, 2020  90,000  101,700 
XTO Energy, Inc. sr. unsec. notes 6 3/4s, 2037  85,000  95,092 
XTO Energy, Inc. sr. unsec. notes 5 1/2s, 2018  55,000  57,342 
XTO Energy, Inc. sr. unsec. unsub. notes 6 1/2s, 2018  65,000  72,213 
    1,571,107 
 
Financials (5.5%)     
Aflac, Inc. sr. notes 8 1/2s, 2019  35,000  39,327 
American Express Co. sr. unsec. notes 8 1/8s, 2019  275,000  303,844 
American International Group, Inc. sr. unsec. Ser.     
MTN, 5.85s, 2018  230,000  118,450 
Bank of America Corp. sr. unsec. unsub. notes 6 1/2s,     
2016  190,000  193,286 
BankAmerica Capital III bank guaranty jr. unsec. FRN     
Ser. *, 1.079s, 2027  160,000  83,306 
Barclays Bank PLC sr. unsec. unsub. notes 6 3/4s, 2019  100,000  108,568 
Barclays Bank PLC 144A sub. notes 10.179s, 2021  264,000  308,927 
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,     
2012  115,000  127,466 
Bear Stearns Cos., Inc. (The) sr. unsec. notes 7 1/4s,     
2018  230,000  257,836 
Bosphorus Financial Services, Ltd. 144A sr. notes FRN     
2.683s, 2012  189,063  165,236 
Capital One Financial Corp. sr. unsec. unsub. notes     
FRN Ser. MTN, 0.93s, 2009  60,000  59,907 
Chubb Corp. (The) sr. notes 6 1/2s, 2038  40,000  43,832 
Citigroup, Inc. sr. unsec. notes 8 1/2s, 2019  5,000  5,324 
Citigroup, Inc. sr. unsec. unsub. notes 6 1/8s, 2017  395,000  363,249 
Citigroup, Inc. sr. unsec. unsub. notes 5 1/4s, 2012  135,000  133,825 
Citigroup, Inc. sr. unsec. unsub. notes FRN 1.07s, 2010  135,000  131,447 
Citigroup, Inc. sub. notes 5s, 2014  110,000  98,448 
Deutsche Bank AG/London notes 4 7/8s, 2013 (United     
Kingdom)  330,000  344,767 
Duke Realty LP sr. unsec. notes 6 1/4s, 2013  40,000  37,739 
Fleet Capital Trust V bank guaranty FRN 1.613s, 2028  135,000  71,394 
General Electric Capital Corp. sr. unsec. FRN Ser.     
MTN, 1.156s, 2016  145,000  116,782 
General Electric Capital Corp. sr. unsec. notes Ser.     


MTN, 6 7/8s, 2039    150,000  146,446 
General Electric Capital Corp. 144A sub. notes FRN       
4 5/8s, 2066  EUR  90,000  73,312 
Genworth Financial, Inc. sr. unsec. Ser. MTN, 6.515s,       
2018    $540,000  351,000 
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019    55,000  64,225 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037    30,000  30,122 
Health Care Property Investors, Inc. sr. unsec. notes       
6s, 2017    60,000  53,165 
HSBC Holdings PLC sub. notes 6 1/2s, 2037 (United       
Kingdom)    320,000  301,536 
JPMorgan Chase & Co. notes 6.4s, 2038    30,000  32,635 
JPMorgan Chase & Co. sr. unsec. unsub. notes 6.3s, 2019    80,000  86,910 
Liberty Mutual Group 144A company guaranty jr. sub.       
notes FRB 10 3/4s, 2058    190,000  164,570 
Marsh & McLennan Cos., Inc. sr. unsec. notes 6 1/4s,       
2012    140,000  144,005 
Marsh & McLennan Cos., Inc. sr. unsec. notes 5 3/8s,       
2014    75,000  73,865 
Massachusetts Mutual Life Insurance Co. 144A notes       
8 7/8s, 2039    110,000  117,949 
Merrill Lynch & Co., Inc. jr. sub. bonds 7 3/4s, 2038    80,000  80,209 
Merrill Lynch & Co., Inc. notes 5.45s, 2013    101,000  102,101 
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 0.704s,       
2011    35,000  33,368 
MetLife Capital Trust X 144A collateral trust FRB       
9 1/4s, 2068    300,000  288,374 
Morgan Stanley & Co. sr. unsec. notes Ser. MTN,       
5 3/4s, 2016    100,000  101,129 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015    35,000  31,544 
Prudential Financial, Inc. sr. notes 7 3/8s, 2019    15,000  15,895 
Prudential Financial, Inc. sr. notes 6.2s, 2015    15,000  15,415 
Prudential Financial, Inc. sr. unsec. unsub. notes       
Ser. MTNB, 5.1s, 2014    170,000  162,715 
RSHB Capital SA for OJSC Russian Agricultural Bank       
144A notes 9s, 2014 (Russia)    215,000  229,126 
Simon Property Group LP sr. unsec. notes 6 3/4s,       
2014 (R)    43,000  44,662 
Simon Property Group LP sr. unsec. notes 6 1/8s, 2018       
(R)    80,000  77,218 
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010    90,000  81,939 
VTB Capital SA 144A notes 6 7/8s, 2018 (Russia)    459,000  422,854 
VTB Capital SA 144A sec. notes 6.609s, 2012 (Russia)    450,000  435,506 
Wachovia Corp. sr. unsec. notes 5 3/4s, 2017    130,000  132,085 
Wachovia Corp. sr. unsec. notes Ser. MTN, 5 1/2s, 2013    105,000  110,037 
Wachovia Corp. sr. unsec. notes FRN Ser. MTNE, 0.818s,       
2012    35,000  33,609 
Wells Fargo Capital XV jr. sub. unsec. company       
guaranty FRN 9 3/4s, 2049    105,000  106,575 
      7,257,061 
 
Government (3.9%)       
European Investment Bank supranational bank bonds sr.       
unsec. 3 1/2s, 2014 (Supra-Nation)  CHF  700,000  710,301 
Norddeutsche Landesbank Girozentrale bonds Ser. 7,       
5 3/4s, 2010 (Germany)  EUR  1,500,000  2,244,810 
Oester Postspark Bawag foreign government guaranty       
Ser. EMTN, 3 1/4s, 2011 (Austria)  CHF  2,375,000  2,289,178 
      5,244,289 
 
Health care (0.9%)       
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037    $200,000  193,104 
Eli Lilly & Co. sr. unsec. unsub. notes 5.95s, 2037    45,000  49,280 
Express Scripts, Inc. sr. unsec. notes 7 1/4s, 2019    26,000  30,067 
Express Scripts, Inc. sr. unsec. notes 6 1/4s, 2014    64,000  69,830 
GlaxoSmith Kline Capital, Inc. company guaranty sr.       
notes 5.65s, 2018    175,000  189,977 
Merck & Co., Inc. sr. unsec. unsub. notes 5.85s, 2039    15,000  16,357 
Merck & Co., Inc. sr. unsec. unsub. notes 5s, 2019    15,000  15,776 
Novartis Securities Investment, Ltd. company guaranty       
sr. unsec. notes 5 1/8s, 2019    160,000  167,659 
Pfizer, Inc. sr. unsec. notes 7.2s, 2039    141,000  177,053 
Pfizer, Inc. sr. unsec. notes 6.2s, 2019    44,000  49,963 
Roche Holdings, Inc. 144A company guaranty sr. unsec.       
notes 7s, 2039    90,000  109,351 
UnitedHealth Group, Inc. sr. unsec. notes 5.8s, 2036    85,000  75,492 
WellPoint, Inc. notes 7s, 2019    80,000  85,138 
      1,229,047 
 
Technology (0.3%)       
Dell, Inc. sr. unsec. notes 5 7/8s, 2019    5,000  5,199 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty       
6.8s, 2017    60,000  61,907 
Fiserv, Inc. sr. unsec. unsub. notes company guaranty       
6 1/8s, 2012    53,000  56,545 
Lexmark International Inc, sr. unsec. notes 5.9s, 2013    105,000  104,447 
Xerox Corp. sr. notes 8 1/4s, 2014    58,000  62,572 
Xerox Corp. sr. unsec. notes 6.35s, 2018    115,000  114,978 
      405,648 
 
Transportation (0.2%)       
Burlington Northern Santa Fe Corp. sr. unsec. notes       
7s, 2014    10,000  10,968 
Burlington Northern Santa Fe Corp. sr. unsec. notes       
5 3/4s, 2018    45,000  47,658 


Union Pacific Corp. sr. unsec. notes 6 1/8s, 2020    110,000  118,160 
United AirLines, Inc. pass-through certificates Ser.       
07-A, 6.636s, 2022    45,513  33,224 
      210,010 
 
 
Utilities and power (3.1%)       
Ameren Corp. sr. unsec. notes 8 7/8s, 2014    63,000  67,956 
American Water Capital Corp. sr. unsec. bonds 6.085s,       
2017    40,000  39,830 
Atmos Energy Corp. sr. unsec. sub. notes 8 1/2s, 2019    85,000  103,471 
Beaver Valley II Funding debs. 9s, 2017    84,000  82,927 
Bruce Mansfield Unit pass-through certificates 6.85s,       
2034    109,094  104,974 
Commonwealth Edison Co. 1st mtge. sec. bonds 5.8s, 2018    70,000  75,392 
Consumers Energy Co. 1st mtge. sec. bond 6 1/8s, 2019    120,000  129,712 
Dominion Resources, Inc. sr. unsec. unsub. notes Ser.       
07-A, 6s, 2017    215,000  230,209 
Duke Energy Corp. sr. unsec. notes 6 1/4s, 2018    90,000  94,994 
El Paso Natural Gas Co. sr. unsec. unsub. bonds Ser.       
*, 8 3/8s, 2032    105,000  123,785 
Electricite de France 144A notes 6.95s, 2039 (France)    200,000  243,148 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011    85,000  90,671 
Fortum OYJ sr. unsec. notes Ser. 14, Class EMTN,       
4 1/2s, 2016 (Finland)  EUR  255,000  374,045 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,       
2016    $20,000  19,650 
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018    125,000  124,971 
National Fuel Gas Co. notes 5 1/4s, 2013    40,000  39,341 
Nevada Power Co. notes 6 1/2s, 2018    195,000  212,276 
Oncor Electric Delivery Co. sec. bonds 5.95s, 2013    165,000  177,559 
Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018    30,000  38,000 
Power Receivable Finance, LLC 144A sr. notes 6.29s,       
2012    108,858  107,471 
Public Service Co. of Colorado 1st mtge. sec. bond       
5.8s, 2018    70,000  77,480 
Spectra Energy Capital, LLC company guaranty sr.       
unsec. notes 5.9s, 2013    140,000  147,226 
Spectra Energy Capital, LLC company guaranty sr.       
unsec. unsub. notes 6.2s, 2018    75,000  79,137 
Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s,       
2019    190,000  218,983 
Union Electric Co. 1st mtge. sr. sec. bond 6.7s, 2019    45,000  48,602 
Veolia Environnement sr. unsub. notes Ser. EMTN,       
5 3/8s, 2018 (France)  EUR  505,000  744,137 
West Penn Power Co. 144A 1st mtge. 5.95s, 2017    $170,000  164,017 
Westar Energy, Inc. 1st mtge. sec. bonds 8 5/8s, 2018    145,000  172,417 
      4,132,381 
Total corporate bonds and notes (cost $29,359,601)      $31,881,725 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (20.4%)(a)       
    Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations (0.3%)       
Government National Mortgage Association Pass-Through       
Certificates       
6 1/2s, with due dates from August 20, 2037 to       
October 20, 2037    $409,428  $436,121 
      436,121 
 
U.S. Government Agency Mortgage Obligations (20.1%)       
Federal Home Loan Mortgage Corporation Pass-Through       
Certificates       
6s, with due dates from July 1, 2021 to       
September 1, 2021    95,844  101,976 
5 1/2s, June 1, 2035    106,254  111,144 
5 1/2s, April 1, 2020    117,057  123,765 
Federal National Mortgage Association Pass-Through       
Certificates       
7s, with due dates from March 1, 2033 to April 1, 2035    338,758  371,535 
6 1/2s, TBA, August 1, 2039    2,000,000  2,138,750 
6 1/2s, with due dates from September 1, 2036 to       
November 1, 2037    361,406  387,229 
6s, July 1, 2037    38,919  40,906 
6s, with due dates from May 1, 2021 to October 1, 2021    266,233  283,516 
5 1/2s, with due dates from February 1, 2018 to       
March 1, 2021    236,617  250,704 
5s, May 1, 2037    761,046  780,073 
5s, July 1, 2035 (i)    1,524,228  1,573,978 
5s, with due dates from May 1, 2020 to March 1, 2021    41,475  43,585 
4 1/2s, TBA, August 1, 2039    20,000,000  20,109,376 
4s, with due dates from May 1, 2019 to       
September 1, 2020    526,626  544,022 
      26,860,559 
Total U.S. government and agency mortgage obligations (cost $26,858,090)      $27,296,680 
 
U.S. TREASURY OBLIGATIONS (2.0%)(a)       
    Principal amount  Value 
U.S. Treasury Bonds 6 1/4s, May 15, 2030    $646,000  $818,805 
U.S. Treasury Notes 4 1/2s, February 28, 2011 (i)    260,000  279,716 
U.S. Treasury Notes 3 5/8s, May 15, 2013 (i)    1,415,000  1,510,131 
Total U.S. treasury obligations (cost $2,538,415)      $2,608,652 


FOREIGN GOVERNMENT BONDS AND NOTES (11.2%)(a)       
    Principal amount/Units  Value 
Abu Dhabi (Emirate of) 144A notes 5 1/2s, 2014    $325,000  $340,792 
Austria (Republic of) notes Ser. EMTN, 3 3/8s, 2012  CHF  2,900,000  2,862,861 
Brazil (Federal Republic of) notes zero %, 2012  BRL  837  443,112 
Brazil (Federal Republic of) sr. notes 5 7/8s, 2019    $100,000  102,400 
Canada (Government of) bonds 5 3/4s, 2033  CAD  750,000  872,986 
Denmark (Kingdom of) bonds 6s, 2009  DKK  9,640,000  1,868,916 
France (Government of) bonds 4s, 2013  EUR  63  95 
Italy (Republic of) sr. unsec. unsub. notes Ser. EMTN,       
3 1/8s, 2010  CHF  1,900,000  1,813,822 
Japan (Government of) 30 yr bonds Ser. 23, 2 1/2s, 2036  JPY  106,000,000  1,167,599 
Netherlands (Government of) bonds 5s, 2012  EUR  2,500,000  3,874,312 
Poland (Government of) sr. unsec. unsub. bonds 6 3/8s,       
2019    $75,000  78,505 
Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014  SEK  3,585,000  587,158 
United Kingdom bonds 4 1/4s, 2036  GBP  610,000  976,318 
Total foreign government bonds and notes (cost $12,552,585)      $14,988,876 
 
ASSET-BACKED SECURITIES (5.9%)(a)       
    Principal amount  Value 
Ace Securities Corp. FRB Ser. 06-OP2, Class A2C,       
0.435s, 2036    $56,000  $16,505 
BankAmerica Manufactured Housing Contract Trust Ser.       
97-2, Class M, 6.9s, 2028    19,000  25,520 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014    82,000  78,464 
Bear Stearns Asset Backed Securities, Inc. FRB Ser.       
04-FR3, Class M6, 3.535s, 2034    15,989  4,661 
Bombardier Capital Mortgage Securitization Corp.       
Ser. 00-A, Class A4, 8.29s, 2030    239,256  127,580 
Ser. 00-A, Class A2, 7.575s, 2030    51,064  26,844 
Ser. 99-B, Class A-5, 7.44s, 2020    146,034  74,477 
Ser. 99-B, Class A4, 7.3s, 2016    144,791  71,452 
Ser. 99-B, Class A3, 7.18s, 2015    231,168  115,964 
Conseco Finance Securitizations Corp.       
Ser. 02-2, Class A, IO, 8 1/2s, 2033    249,805  15,787 
Ser. 00-4, Class A6, 8.31s, 2032    655,924  475,066 
Ser. 00-5, Class A7, 8.2s, 2032    192,000  146,017 
Ser. 00-1, Class A5, 8.06s, 2031    118,635  80,905 
Ser. 00-4, Class A5, 7.97s, 2032    40,779  28,829 
Ser. 00-5, Class A6, 7.96s, 2032    83,701  63,834 
Ser. 01-4, Class A4, 7.36s, 2033    214,345  188,644 
Ser. 00-6, Class A5, 7.27s, 2031    28,483  24,383 
Ser. 01-1, Class A5, 6.99s, 2032    324,187  272,536 
FRB Ser. 02-1, Class M1A, 2.359s, 2033    418,000  144,974 
Countrywide Asset Backed Certificates FRB Ser. 04-6,       
Class 2A5, 0.675s, 2034    77,380  58,786 
CS First Boston Mortgage Securities Corp. 144A Ser.       
04-FR1N, Class A, 5s, 2034 (In default) (NON)    11,121  1 
First Franklin Mortgage Loan Asset Backed Certificates       
FRB Ser. 06-FF7, Class 2A3, 0.435s, 2036    87,000  34,510 
Fremont Home Loan Trust FRB Ser. 05-E, Class 2A4,       
0.615s, 2036    124,000  47,774 
Granite Mortgages PLC       
FRB Ser. 03-2, Class 3C, 2.498s, 2043 (F)  GBP  217,605  43,321 
FRB Ser. 03-2, Class 2C1, 3.519s, 2043 (F)  EUR  455,000  77,362 
Green Tree Financial Corp.       
Ser. 94-6, Class B2, 9s, 2020    $197,860  179,064 
Ser. 94-4, Class B2, 8.6s, 2019    80,451  46,809 
Ser. 99-5, Class A5, 7.86s, 2030    1,031,560  812,359 
Ser. 95-4, Class B1, 7.3s, 2025    84,541  56,006 
Ser. 97-6, Class M1, 7.21s, 2029    14,000  6,554 
Ser. 96-1, Class M1, 7s, 2027    116,475  87,766 
Ser. 93-3, Class B, 6.85s, 2018    4,077  2,872 
Ser. 98-3, Class A6, 6.76s, 2030    225,451  185,684 
Ser. 99-3, Class A7, 6.74s, 2031    239,349  221,849 
Ser. 99-1, Class A6, 6.37s, 2025    22,000  20,360 
Ser. 99-1, Class A5, 6.11s, 2023    14,723  14,600 
Greenpoint Manufactured Housing Ser. 00-3, Class IA,       
8.45s, 2031    868,292  705,126 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011    45,069  44,619 
Guggenheim Structured Real Estate Funding, Ltd. 144A       
FRB Ser. 05-1A, Class E, 2.085s, 2030    56,488  1,695 
High Income Trust Securities 144A FRB Ser. 03-1A,       
Class A, 1.474s, 2036    145,583  53,866 
Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,       
0.615s, 2036    63,000  22,699 
Lehman XS Trust       
Ser. 07-6, Class 3A6, 6 1/2s, 2037    1,020,821  610,198 
FRB Ser. 07-6, Class 2A1, 0.495s, 2037    517,412  177,944 
LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 3.035s,       
2037    300,000  45,000 
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,       
5.53s, 2012 (F)    362,866  157,847 
Long Beach Mortgage Loan Trust FRB Ser. 06-4,       
Class 2A4, 0.545s, 2036    59,000  15,855 
Marriott Vacation Club Owner Trust 144A Ser. 04-1A,       
Class C, 5.265s, 2026    11,682  8,886 
Merrill Lynch Mortgage Investors, Inc. Ser. 04-WMC3,       
Class B3, 5s, 2035    9,884  412 
Morgan Stanley ABS Capital I FRB Ser. 04-HE8,       
Class B3, 3.485s, 2034    16,317  1,343 
Novastar Home Equity Loan       
FRB Ser. 06-1, Class A2C, 0.445s, 2036    74,000  41,699 
FRB Ser. 06-2, Class A2C, 0.435s, 2036    74,000  41,427 
Oakwood Mortgage Investors, Inc.       
Ser. 96-C, Class B1, 7.96s, 2027    81,137  38,540 


Ser. 99-D, Class A1, 7.84s, 2029    192,319  132,700 
Ser. 00-A, Class A2, 7.765s, 2017    28,847  15,070 
Ser. 00-D, Class A4, 7.4s, 2030    309,000  196,488 
Ser. 02-B, Class A4, 7.09s, 2032    78,579  60,999 
Ser. 01-D, Class A4, 6.93s, 2031    167,875  115,203 
Ser. 98-A, Class M, 6.825s, 2028    12,000  5,554 
Ser. 01-E, Class A4, 6.81s, 2031    10,693  8,583 
Ser. 01-C, Class A2, 5.92s, 2017    96,248  39,917 
Ser. 01-D, Class A3, 5.9s, 2022    57,358  28,311 
Ser. 02-C, Class A1, 5.41s, 2032    249,670  164,158 
Ser. 01-E, Class A2, 5.05s, 2019    245,353  173,111 
Ser. 02-A, Class A2, 5.01s, 2020    123,831  63,641 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B,       
Class A4, 7.21s, 2030    51,360  42,509 
People's Financial Realty Mortgage Securities Trust       
FRB Ser. 06-1, Class 1A2, 0.415s, 2036    114,000  39,175 
Pillar Funding PLC 144A FRB Ser. 04-2A, Class C,       
1.509s, 2011 (United Kingdom)    100,000  95,000 
SAIL Net Interest Margin Notes 144A Ser. 04-4A,       
Class B, 7 1/2s, 2034 (In default) (NON)    30,709  -- 
Securitized Asset Backed Receivables, LLC       
FRB Ser. 07-BR5, Class A2A, 0.415s, 2037    118,839  77,840 
FRB Ser. 07-BR4, Class A2A, 3/8s, 2037    107,267  65,301 
SG Mortgage Securities Trust FRB Ser. 06-OPT2,       
Class A3D, PO, 0.495s, 2036    125,000  37,770 
Soundview Home Equity Loan Trust       
FRB Ser. 06-OPT3, Class 2A3, 0.455s, 2036    59,000  36,467 
FRB Ser. 06-3, Class A3, 0.445s, 2036    25,000  10,194 
Structured Asset Investment Loan Trust FRB Ser.       
06-BNC2, Class A6, 0.545s, 2036    59,000  1,282 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,       
1.004s, 2015    370,293  259,205 
TIAA Real Estate CDO, Ltd. 144A FRB Ser. 02-1A,       
Class III, 7.6s, 2037    188,000  22,560 
WAMU Asset-Backed Certificates FRB Ser. 07-HE2,       
Class 2A1, 0.395s, 2037    648,212  388,992 
Total asset-backed securities (cost $12,182,784)      $7,925,305 
 
PURCHASED OPTIONS OUTSTANDING (2.1%)(a)       
  Expiration date/  Contract   
  strike price  amount  Value 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to pay a fixed rate of 5.03%       
versus the three month USD-LIBOR-BBA maturing       
February 16, 2020.  Feb-10/5.03  $6,600,000  $99,792 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to pay a fixed rate of 5.355%       
versus the three month USD-LIBOR-BBA maturing       
November 12, 2019.  Nov-09/5.355  9,000,000  34,740 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to receive a fixed rate       
of 4.23% versus the three month USD-LIBOR-BBA maturing       
June 9, 2020.  Jun-10/4.23  8,258,000  438,665 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to receive a fixed rate       
of 4.235% versus the three month USD-LIBOR-BBA maturing       
June 11, 2020.  Jun-10/4.235  8,258,000  440,482 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to receive a fixed rate       
of 5.03% versus the three month USD-LIBOR-BBA maturing       
February 16, 2020.  Feb-10/5.03  6,600,000  669,108 
Option on an interest rate swap with JPMorgan Chase       
Bank, N.A. for the right to receive a fixed rate       
of 5.355% versus the three month USD-LIBOR-BBA maturing       
November 12, 2019.  Nov-09/5.355  9,000,000  1,158,750 
Total purchased options outstanding (cost $1,846,505)      $2,841,537 
 
SENIOR LOANS (0.4%)(a)(c)       
    Principal amount  Value 
Affinion Group, Inc. bank term loan FRN Ser. B, 2.81s,       
2013    $26,736  $25,319 
Allison Transmission, Inc. bank term loan FRN Ser. B,       
3.059s, 2014    26,038  22,425 
Aramark Corp. bank term loan FRN 2.096s, 2014    1,613  1,528 
Aramark Corp. bank term loan FRN Ser. B, 2.473s, 2014    25,387  24,054 
Charter Communications, Inc. bank term loan FRN       
6 1/4s, 2014    26,595  24,820 
Energy Future Holdings Corp. bank term loan FRN       
Ser. B2, 3.802s, 2014    26,594  20,488 
First Data Corp. bank term loan FRN Ser. B1, 3.036s,       
2014    26,594  22,339 
Freescale Semiconductor, Inc. bank term loan FRN       
Ser. B, 2.059s, 2013    17,605  12,946 
Harrah's Operating Co., Inc. bank term loan FRN       
Ser. B2, 3.504s, 2015    23,631  18,905 
Hawker Beechcraft Acquisition Co., LLC bank term loan       
FRN 2.598s, 2014    1,068  722 
Hawker Beechcraft Acquisition Co., LLC bank term loan       
FRN Ser. B, 2.388s, 2014    18,755  12,671 
Intelsat Corp. bank term loan FRN Ser. B2, 2.804s, 2011    8,862  8,419 
Intelsat Corp. bank term loan FRN Ser. B2-A, 2.804s,       
2013    8,865  8,422 
Intelsat Corp. bank term loan FRN Ser. B2-C, 2.804s,       
2013    8,862  8,419 
Level 3 Communications, Inc. bank term loan FRN       
2.698s, 2014    27,000  23,113 


MetroPCS Wireless, Inc. bank term loan FRN 3.045s, 2013  26,590  25,393 
National Bedding Co. bank term loan FRN 2.313s, 2011  11,818  10,164 
Navistar Financial Corp. bank term loan FRN 3.496s,     
2012  7,200  6,672 
Navistar International Corp. bank term loan FRN 3.56s,     
2012  19,800  18,348 
Nielsen Finance LLC/Nielsen Finance Co. bank term loan     
FRN Ser. TA, 2.3s, 2013  8,245  7,650 
Nielsen Finance LLC/Nielsen Finance Co. bank term loan     
FRN Ser. TB, 4.05s, 2016  17,216  16,157 
NRG Energy, Inc. bank term loan FRN 2.016s, 2014  15,910  15,075 
NRG Energy, Inc. bank term loan FRN 0.498s, 2014  8,528  8,081 
Polypore, Inc. bank term loan FRN Ser. B, 2.57s, 2014  26,593  24,931 
Spectrum Brands, Inc. bank term loan FRN 3.926s, 2013     
(In default) (NON)  1,723  1,565 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,     
6 1/4s, 2013 (In default) (NON)  24,978  22,688 
Sun Healthcare Group, Inc. bank term loan FRN 0.498s,     
2014  4,502  4,012 
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,     
2.677s, 2014  30,274  26,982 
SunGard Data Systems, Inc. bank term loan FRN 2.454s,     
2014  1,224  1,156 
SunGard Data Systems, Inc. bank term loan FRN Ser. B,     
4.341s, 2016  25,367  24,238 
Travelport bank term loan FRN Ser. B, 2.914s, 2013  10,786  9,077 
Travelport bank term loan FRN Ser. DD, 2.81s, 2013  15,969  13,534 
TW Telecom, Inc. bank term loan FRN Ser. B, 2.31s, 2013  26,591  25,565 
Univision Communications, Inc. bank term loan FRN     
Ser. B, 2.56s, 2014  27,000  21,713 
Wesco Aircraft Hardware Corp. bank term loan FRN     
2.56s, 2013  27,000  24,106 
West Corp. bank term loan FRN 2.668s, 2013  26,659  25,226 
Total senior loans (cost $583,474)    $566,923 
 
MUNICIPAL BONDS AND NOTES (0.2%)(a)     
  Principal amount  Value 
CA State G.O. Bonds (Build America Bonds), 7 1/2s,     
4/1/34  $100,000  $103,306 
Tobacco Settlement Fin. Auth. of WVA Rev. Bonds,     
Ser. A, 7.467s, 6/1/47  165,000  111,865 
Total municipal bonds and notes (cost $265,727)    $215,171 
 
SHORT-TERM INVESTMENTS (18.9%)(a)     
  Principal amount/shares  Value 
Putnam Money Market Liquidity Fund (e)  21,277,838  $21,277,838 
SSgA Prime Money Market Fund (i)  $2,560,000  2,560,000 
U.S. Treasury Bills for an effective yield of zero %, December 17, 2009 (i)  115,000  114,908 
U.S. Treasury Bills with effective yields ranging from     
0.45% to 0.48%, November 19, 2009 (SEG)  176,000  175,664 
U.S. Treasury Cash Management Bills with effective     
yields ranging from 0.31% to 0.47%, April 1, 2010     
(SEG) (SEGSF)  1,100,000  1,096,514 
Total short-term investments (cost $25,225,173)    $25,224,924 
 
 
TOTAL INVESTMENTS     
Total investments (cost $160,702,938) (b)    $163,607,632 


FORWARD CURRENCY CONTRACTS TO BUY at 7/31/09 (aggregate face value $80,926,273) (Unaudited)   
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $8,248,565  $7,839,660  8/19/09  $408,905 
British Pound  4,189,345  4,113,774  8/19/09  75,571 
Canadian Dollar  158,086  155,503  8/19/09  2,583 
Czech Koruna  175,140  168,713  8/19/09  6,427 
Euro  35,575,891  35,366,947  8/19/09  208,944 
Hungarian Forint  160,645  152,210  8/19/09  8,435 
Japanese Yen  25,024,439  25,042,020  8/19/09  (17,581) 
Malaysian Ringgit  276,787  274,767  8/19/09  2,020 
Mexican Peso  344,512  342,323  8/19/09  2,189 
Norwegian Krone  4,116,457  3,890,960  8/19/09  225,497 
Polish Zloty  863,279  797,528  8/19/09  65,751 
Singapore Dollar  237,420  234,458  8/19/09  2,962 
South African Rand  515,425  498,780  8/19/09  16,645 
South Korean Won  1,019,901  984,347  8/19/09  35,554 
Swedish Krona  729,045  670,123  8/19/09  58,922 
Taiwan Dollar  396,837  394,160  8/19/09  2,677 
Total        $1,105,501 


FORWARD CURRENCY CONTRACTS TO SELL at 7/31/09 (aggregate face value $26,514,717) (Unaudited)   
    Aggregate  Delivery  Unrealized 
  Value  face value  date  depreciation 
Australian Dollar  $858,939  $817,505  8/19/09  $(41,434) 
Brazilian Real  423,342  397,990  8/19/09  (25,352) 
British Pound  1,475,014  1,449,680  8/19/09  (25,334) 
Canadian Dollar  2,159,486  2,012,598  8/19/09  (146,888) 
Czech Koruna  420,441  405,698  8/19/09  (14,743) 
Danish Krone  1,284,762  1,260,518  8/19/09  (24,244) 
Euro  5,344,808  5,304,156  8/19/09  (40,652) 
Polish Zloty  205,977  192,051  8/19/09  (13,926) 
South African Rand  215,698  209,081  8/19/09  (6,617) 
Swedish Krona  2,278,988  2,106,157  8/19/09  (172,831) 
Swiss Franc  12,534,140  12,359,283  8/19/09  (174,857) 
Total        $(686,878) 


FUTURES CONTRACTS OUTSTANDING at 7/31/09 (Unaudited)    
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury Bond 10 yr (Long)  5  $2,954,715  Sep-09  $920 
Canadian Government Bond 10 yr (Long)  1  111,673  Sep-09  (866) 
Euro-Bobl 5 yr (Long)  50  8,276,268  Sep-09  1,142 
Euro-Bund 10 yr (Short)  61  10,609,071  Sep-09  (70,150) 
Euro-Buxl 30 yr Bond (Long)  12  1,676,260  Sep-09  111,115 
Euro-Dollar 90 day (Short)  58  14,428,225  Sep-09  (282,104) 
Euro-Dollar 90 day (Short)  80  19,858,000  Dec-09  (505,013) 
Euro-Dollar 90 day (Short)  3  742,613  Mar-10  (20,221) 
Euro-Euribor Interest Rate 90 day (Long)  17  5,927,668  Dec-10  17,487 
Euro-Euribor Interest Rate 90 day (Long)  20  7,000,447  Sep-10  31,514 
Euro-Euribor Interest Rate 90 day (Short)  17  6,000,954  Dec-09  (56,656) 
Euro-Euribor Interest Rate 90 day (Short)  20  7,067,427  Sep-09  (57,344) 
Euro-Schatz 2 yr (Short)  248  38,226,426  Sep-09  (111,771) 
Japanese Government Bond 10 yr (Short)  2  2,914,539  Sep-09  1,257 
Japanese Government Bond 10 yr Mini (Long)  31  4,515,573  Sep-09  48,709 
U.K. Gilt 10 yr (Long)  8  1,567,416  Sep-09  16,796 
U.S. Treasury Bond 20 yr (Long)  68  8,092,000  Sep-09  90,438 
U.S. Treasury Note 2 yr (Long)  14  3,032,094  Sep-09  (148) 
U.S. Treasury Note 5 yr (Short)  51  5,884,523  Sep-09  9,352 
U.S. Treasury Note 10 yr (Long)  96  11,259,000  Sep-09  (43,608) 
Total        $(819,151) 


WRITTEN OPTIONS OUTSTANDING at 7/31/09 (premiums received $6,818,923) (Unaudited)  
  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a       
fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021.  $6,909,000  Jul-11/4.52  $442,660 
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a       
fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021.  3,454,500  Jul-11/4.5475  225,441 
Option on an interest rate swap with Citibank, N.A. for the obligation to receive       
a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021.  6,909,000  Jul-11/4.52  431,882 
Option on an interest rate swap with Citibank, N.A. for the obligation to receive       
a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  3,454,500  Jul-11/4.5475  212,624 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 4.40% versus the three month USD-LIBOR-BBA maturing       
November 9, 2019.  14,966,000  Nov-09/4.40  896,313 
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       
July 26, 2021.  7,367,000  Jul-11/4.46  453,144 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  7,367,000  Jul-11/4.525  473,551 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing       
July 27, 2021.  11,050,500  Jul-11/4.745  819,615 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing       
May 14, 2022.  3,954,500  May-12/5.51  432,899 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 4.40% versus the three month USD-LIBOR-BBA maturing       
November 9, 2019.  14,966,000  Nov-09/4.40  225,538 
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       
July 26, 2021.  7,367,000  Jul-11/4.46  476,350 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing       
July 26, 2021.  7,367,000  Jul-11/4.525  459,259 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing       
July 27, 2021.  11,050,500  Jul-11/4.745  610,761 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.23% versus the three month USD-LIBOR-BBA maturing       
June 9, 2020.  8,258,000  Jun-10/5.23  169,537 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.235% versus the three month USD-LIBOR-BBA maturing       
June 11, 2020.  8,258,000  Jun-10/5.235  169,867 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing       
May 14, 2022.  3,954,500  May-12/5.51  176,766 
Total      $6,676,207 


TBA SALE COMMITMENTS OUTSTANDING at 7/31/09 (proceeds receivable $18,973,750) (Unaudited)  
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 4 1/2s, August 1, 2039  $19,000,000  8/13/09  $19,103,907 


INTEREST RATE SWAP CONTRACTS OUTSTANDING at 7/31/09 (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.            
  $4,142,000    $--  5/23/10  3 month USD-LIBOR-BBA  3.155%  $101,379 
  5,900,000    --  7/18/13  4.14688%  3 month USD-LIBOR-BBA  (370,208) 
  48,160,000    --  9/10/10  3 month USD-LIBOR-BBA  3.22969%  1,819,038 
  6,774,000    --  9/18/38  4.36125%  3 month USD-LIBOR-BBA  (327,001) 
  83,132,000    --  9/18/10  3 month USD-LIBOR-BBA  2.86667%  2,682,785 
  3,364,000    (14,175)  10/8/38  3 month USD-LIBOR-BBA  4.30%  105,623 
  885,000    (805)  10/20/10  3.00%  3 month USD-LIBOR-BBA  (30,361) 
  8,981,000    --  10/26/12  4.6165%  3 month USD-LIBOR-BBA  (789,198) 
  4,436,000    --  5/19/10  3.2925%  3 month USD-LIBOR-BBA  (113,730) 
  6,373,000    --  7/22/10  3 month USD-LIBOR-BBA  3.5375%  176,048 
  2,580,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (316,755) 
Barclays Bank PLC               
  9,735,000    --  12/9/20  3 month USD-LIBOR-BBA  2.91875%  (820,906) 
Citibank, N.A.               
JPY  222,000,000    --  9/11/16  1.8675%  6 month JPY-LIBOR-BBA  (122,628) 
EUR  903,000  (E)  --  6/12/24  6 month EUR-EURIBOR-REUTERS  5.1275%  4,388 
EUR  1,032,000  (E)  --  6/20/24  6 month EUR-EURIBOR-REUTERS  5.135%  5,280 
  $2,207,000    --  7/17/19  3.8675%  3 month USD-LIBOR-BBA  (27,786) 
  7,783,000    --  7/28/19  3.895%  3 month USD-LIBOR-BBA  (106,929) 
MXN  12,100,000    --  7/18/13  1 month MXN-TIIE-BANXICO  9.175%  72,043 
MXN  3,630,000    --  7/22/13  1 month MXN-TIIE-BANXICO  9.21%  21,364 
  $1,730,000    --  9/16/10  3.175%  3 month USD-LIBOR-BBA  (63,730) 
  27,682,000    --  9/17/13  3 month USD-LIBOR-BBA  3.4975%  1,325,151 
  6,548,000    --  9/18/38  4.45155%  3 month USD-LIBOR-BBA  (419,312) 
  40,458,000    --  9/18/10  3 month USD-LIBOR-BBA  2.92486%  1,341,035 
  23,214,000    --  2/24/16  2.77%  3 month USD-LIBOR-BBA  468,003 
  7,224,000    --  3/27/14  3 month USD-LIBOR-BBA  2.335%  (87,688) 
MXN  6,500,000    --  3/28/13  1 month MXN-TIIE-BANXICO  6.9425%  2,463 
  $1,938,000    --  4/6/39  3.295%  3 month USD-LIBOR-BBA  272,912 
  4,552,000    --  5/11/39  3.8425%  3 month USD-LIBOR-BBA  228,962 
Citibank, N.A., London            
JPY  530,000,000    --  2/10/16  6 month JPY-LIBOR-BBA  1.755%  260,384 
Credit Suisse International            
  $16,626,000    --  9/18/10  3 month USD-LIBOR-BBA  2.91916%  549,577 
  3,527,000    --  9/23/10  3 month USD-LIBOR-BBA  3.32%  136,888 
  9,069,000    --  10/9/10  3 month USD-LIBOR-BBA  2.81%  280,766 
  20,955,000    14,701  10/31/13  3.80%  3 month USD-LIBOR-BBA  (1,178,100) 
  11,200,000    --  7/30/19  3 month USD-LIBOR-BBA  3.87%  129,250 
  4,740,000    (50,663)  12/10/38  2.69%  3 month USD-LIBOR-BBA  1,138,120 
  13,660,000    89,944  12/10/28  3 month USD-LIBOR-BBA  2.81%  (2,277,171) 
  6,050,000    --  6/30/38  2.71%  3 month USD-LIBOR-BBA  1,488,164 
  12,386,000    --  1/22/14  2.03719%  3 month USD-LIBOR-BBA  354,871 
  3,215,000    --  2/5/14  2.475%  3 month USD-LIBOR-BBA  4,836 
  1,047,000    --  2/5/29  3 month USD-LIBOR-BBA  3.35%  (93,870) 
CHF  8,430,000    --  11/17/11  2.5125%  6 month CHF-LIBOR-BBA  (415,068) 
  $1,730,000    --  4/28/39  3.50375%  3 month USD-LIBOR-BBA  183,301 
SEK  19,790,000  (E)  --  6/8/11  2.11%  3 month SEK-STIBOR-SIDE  (1,673) 
SEK  19,790,000  (E)  --  6/8/12  3 month SEK-STIBOR-SIDE  3.275%  (2,661) 
SEK  6,600,000  (E)  --  6/8/11  2.22%  3 month SEK-STIBOR-SIDE  (1,537) 
SEK  6,600,000  (E)  --  6/8/12  3 month SEK-STIBOR-SIDE  3.37%  (64) 
  $3,000,000    --  6/23/19  3 month USD-LIBOR-BBA  4.054%  92,809 
Deutsche Bank AG               
  10,402,000    --  4/21/14  2.51%  3 month USD-LIBOR-BBA  64,510 
  89,940,000    --  5/12/11  1.43%  3 month USD-LIBOR-BBA  (272,399) 
  2,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.195%  89,037 
  8,038,000    --  7/27/19  3.755%  3 month USD-LIBOR-BBA  (15,250) 
  2,724,000    --  7/28/19  3.895%  3 month USD-LIBOR-BBA  (37,425) 
  2,298,000    --  9/23/38  4.75%  3 month USD-LIBOR-BBA  (265,548) 
  47,500,000    --  11/25/13  3 month USD-LIBOR-BBA  2.95409%  760,623 
  7,586,000    --  11/28/13  3 month USD-LIBOR-BBA  2.8725%  93,296 
  2,083,000    --  12/16/28  3 month USD-LIBOR-BBA  2.845%  (351,884) 
  3,822,000    --  12/19/10  3 month USD-LIBOR-BBA  1.53429%  29,817 
  2,000,000    --  12/22/13  2.008%  3 month USD-LIBOR-BBA  54,322 
  1,345,000    --  12/24/13  2.165%  3 month USD-LIBOR-BBA  27,665 
  6,046,000    --  12/30/13  2.15633%  3 month USD-LIBOR-BBA  129,350 
  4,679,000    --  1/9/14  3 month USD-LIBOR-BBA  2.165%  (102,846) 
  3,116,000    --  1/22/29  3 month USD-LIBOR-BBA  2.8875%  (516,815) 
  2,477,000    --  1/22/14  2.055%  3 month USD-LIBOR-BBA  69,100 
  5,244,000    --  1/28/29  3 month USD-LIBOR-BBA  3.1785%  (663,843) 
  12,620,000    --  1/30/11  3 month USD-LIBOR-BBA  1.45%  62,380 
  52,041,000    --  2/3/14  2.44%  3 month USD-LIBOR-BBA  151,945 
  21,426,000    --  2/3/24  3 month USD-LIBOR-BBA  3.27%  (1,493,303) 
  3,306,000    --  2/5/29  3 month USD-LIBOR-BBA  3.324%  (308,594) 
  9,251,000    --  2/5/14  2.44661%  3 month USD-LIBOR-BBA  26,393 
  28,569,000    --  2/6/14  2.5529%  3 month USD-LIBOR-BBA  (61,042) 
  10,509,000    --  2/6/29  3 month USD-LIBOR-BBA  3.42575%  (830,320) 
  1,000,000    --  2/6/14  2.5675%  3 month USD-LIBOR-BBA  (2,838) 
  18,943,000    --  2/10/14  2.5825%  3 month USD-LIBOR-BBA  (62,488) 
  6,027,000    --  2/10/29  3 month USD-LIBOR-BBA  3.4725%  (437,703) 
  6,549,000    --  2/25/14  2.4675%  3 month USD-LIBOR-BBA  19,438 
  1,000,000    --  3/10/16  3 month USD-LIBOR-BBA  2.845%  (16,936) 
  153,000,000    --  3/16/11  1.6725%  3 month USD-LIBOR-BBA  (1,975,851) 
  75,000,000    --  3/16/16  3 month USD-LIBOR-BBA  2.85%  (1,289,274) 
  19,000,000    --  3/16/29  3.29%  3 month USD-LIBOR-BBA  1,913,876 
  46,139,000    --  3/20/11  3 month USD-LIBOR-BBA  1.43%  366,677 
  19,600,000    --  3/23/11  3 month USD-LIBOR-BBA  1.45%  160,381 
  63,000,000    --  3/30/14  2.36%  3 month USD-LIBOR-BBA  713,090 
  29,000,000    --  3/30/21  3 month USD-LIBOR-BBA  3.125%  (1,785,172) 
Goldman Sachs International            
  3,393,000    --  5/30/28  5.014%  3 month USD-LIBOR-BBA  (440,403) 
JPY  139,000,000    --  6/10/16  1.953%  6 month JPY-LIBOR-BBA  (80,989) 
  $1,123,000    --  7/31/14  3 month USD-LIBOR-BBA  3.075%  10,120 
AUD  4,550,000  (E)  --  2/14/12  3 month AUD-BBR-BBSW  4.39%  (54,142) 
GBP  4,340,000    --  4/7/11  2.2%  6 month GBP-LIBOR-BBA  (37,861) 
GBP  4,350,000    --  4/7/14  6 month GBP-LIBOR-BBA  3.26%  (69,814) 
JPMorgan Chase Bank, N.A.            
  $809,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (129,559) 
  6,839,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  254,739 


  18,147,000    --  3/26/10  3 month USD-LIBOR-BBA  2.33375%  337,217 
  3,922,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  206,264 
  6,903,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  169,295 
  4,186,000    --  5/28/11  3 month USD-LIBOR-BBA  1.3375%  3,693 
  6,004,000  (E)  --  6/9/20  4.73%  3 month USD-LIBOR-BBA  (294,376) 
  1,000,000    --  6/9/19  3 month USD-LIBOR-BBA  4.207%  45,546 
  15,327,000    --  6/9/11  3 month USD-LIBOR-BBA  1.7675%  135,826 
  5,578,000    --  6/10/11  3 month USD-LIBOR-BBA  1.81%  53,578 
  5,103,000    --  7/22/10  3 month USD-LIBOR-BBA  3.565%  142,328 
  18,666,000    --  7/28/10  3 month USD-LIBOR-BBA  3.5141%  508,594 
CAD  4,100,000    --  6/9/12  6 month CAD-BA-CDOR  1.95%  9,939 
CAD  1,310,000    --  6/9/14  2.725%  6 month CAD-BA-CDOR  (7,020) 
  $6,004,000  (E)  --  6/11/20  4.735%  3 month USD-LIBOR-BBA  (295,637) 
CAD  6,530,000    --  6/9/10  0.57%  1 month CAD-BA-CDOR  (2,423) 
EUR  2,100,000  (E)  --  6/17/24  6 month EUR-EURIBOR-REUTERS  5.195%  16,280 
  $7,407,000    --  6/16/19  4.09%  3 month USD-LIBOR-BBA  (257,502) 
  4,446,000    --  6/19/19  3 month USD-LIBOR-BBA  3.8725%  70,599 
AUD  1,520,000    --  6/26/19  6 month AUD-BBR-BBSW  6.05%  391 
CAD  1,520,000    --  6/25/19  3.626%  6 month CAD-BA-CDOR  (16,389) 
JPY  153,840,000    --  9/18/15  1.19%  6 month JPY-LIBOR-BBA  (15,883) 
  $4,340,000    --  9/23/38  4.70763%  3 month USD-LIBOR-BBA  (469,394) 
  2,297,000    --  10/22/10  3 month USD-LIBOR-BBA  2.78%  69,036 
  2,802,000    --  10/23/13  3 month USD-LIBOR-BBA  3.535%  129,137 
EUR  11,390,000    --  11/4/18  6 month EUR-EURIBOR-REUTERS  4.318%  1,577,339 
JPY  1,650,000,000    --  11/10/15  6 month JPY-LIBOR-BBA  1.3225%  280,587 
EUR  5,690,000  (E)  --  7/27/24  6 month EUR-EURIBOR-REUTERS  5.1355%  27,246 
JPY  89,500,000  (E)  --  7/28/29  6 month JPY-LIBOR-BBA  2.67%  (7,904) 
JPY  120,300,000  (E)  --  7/28/39  2.40%  6 month JPY-LIBOR-BBA  7,324 
  $8,900,000    --  7/30/11  1.46%  3 month USD-LIBOR-BBA  (1,186) 
  5,815,000  (E)  --  8/3/14  3 month USD-LIBOR-BBA  3.061%  45,706 
EUR  15,200,000    --  12/11/13  6 month EUR-EURIBOR-REUTERS  3.536%  1,227,663 
PLN  2,820,000    --  1/26/11  6 month PLN-WIBOR-WIBO  4.177%  13,527 
  $7,700,000  (E)  --  8/4/14  3 month USD-LIBOR-BBA  2.89%  -- 
JPY  730,000,000    --  6/6/13  1.83%  6 month JPY-LIBOR-BBA  (312,127) 
  $2,310,000    --  1/27/24  3.1%  3 month USD-LIBOR-BBA  235,563 
AUD  3,640,000  (E)  --  1/27/12  3 month AUD-BBR-BBSW  4.21%  (46,401) 
  $1,155,000    --  2/3/24  3 month USD-LIBOR-BBA  3.2825%  (78,799) 
  22,000,000    --  3/3/11  3 month USD-LIBOR-BBA  1.68283%  301,687 
  2,105,000    --  3/6/39  3.48%  3 month USD-LIBOR-BBA  222,535 
CAD  2,050,000    --  3/16/11  0.98%  3 month CAD-BA-CDOR  9 
CAD  450,000    --  3/16/19  3 month CAD-BA-CDOR  2.7%  (24,371) 
CAD  2,110,000    --  3/17/13  1.56%  3 month CAD-BA-CDOR  42,308 
CAD  670,000    --  3/17/24  3 month CAD-BA-CDOR  3.46%  (44,459) 
  $18,953,000    --  3/23/16  3 month USD-LIBOR-BBA  2.6125%  (627,988) 
  17,000,000    --  3/24/11  3 month USD-LIBOR-BBA  1.4625%  142,553 
  1,500,000    --  4/1/24  3 month USD-LIBOR-BBA  3.17%  (128,906) 
  12,400,000    --  4/3/11  3 month USD-LIBOR-BBA  1.365%  73,667 
  4,620,000    --  4/3/13  1.963%  3 month USD-LIBOR-BBA  45,133 
  26,580,000    --  4/3/14  2.203%  3 month USD-LIBOR-BBA  508,537 
  14,520,000    --  4/9/11  3 month USD-LIBOR-BBA  1.5025%  122,854 
  581,000    --  4/9/19  3 month USD-LIBOR-BBA  3.1125%  (23,409) 
GBP  2,210,000    --  4/20/14  6 month GBP-LIBOR-BBA  3.17875%  (52,911) 
AUD  4,404,000  (E)  --  4/22/11  3 month AUD-BBR-BBSW  4.05%  (29,269) 
AUD  4,404,000    --  4/22/10  3%  3 month AUD-BBR-BBSW  11,813 
Merrill Lynch Capital Services, Inc.          
JPY  139,000,000    --  6/10/16  1.99625%  6 month JPY-LIBOR-BBA  (85,303) 
Merrill Lynch Derivative Products AG        
JPY  69,500,000    --  6/11/17  2.05625%  6 month JPY-LIBOR-BBA  (45,205) 
Morgan Stanley Capital Services, Inc.          
  $1,400,000    --  7/30/19  3 month USD-LIBOR-BBA  3.87%  16,156 
UBS AG               
  6,088,000    209,069  11/10/38  4.45%  3 month USD-LIBOR-BBA  (130,828) 
  26,508,000    673,401  11/10/18  4.45%  3 month USD-LIBOR-BBA  (1,182,180) 
  1,899,000    24,983  11/24/38  3.3%  3 month USD-LIBOR-BBA  298,691 
  518,000    (164)  11/24/10  3 month USD-LIBOR-BBA  2.05%  8,260 
  58,630,000    --  11/24/10  3 month USD-LIBOR-BBA  2.05%  953,367 
Total              $3,253,902 

(E) See Interest rate swap contracts note regarding extended effective dates.


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 7/31/09 (Unaudited)     
      Fixed payments  Total return  Unrealized 
Swap counterparty /    Termination  received (paid) by  received by  appreciation/ 
Notional amount    date  fund per annum  or paid by fund  (depreciation) 
Deutsche Bank AG           
EUR  1,242,000  3/27/14  1.785%  Eurostat  $8,850 
        Eurozone HICP   
        excluding tobacco   
Goldman Sachs International           
EUR  2,070,000  4/30/13  2.375%  French Consumer  140,004 
        Price Index   
        excluding tobacco   
EUR  2,070,000  4/30/13  (2.41%)  Eurostat  (118,293) 
        Eurozone HICP   
        excluding tobacco   
EUR  2,070,000  5/6/13  2.34%  French Consumer  135,905 
        Price Index   
        excluding tobacco   
EUR  2,070,000  5/6/13  (2.385%)  Eurostat  (115,343) 
        Eurozone HICP   
        excluding tobacco   
  $1,570,000  7/9/14  (1.70%)  USA Non Revised  (1,413) 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
  1,256,000  7/13/14  (1.60%)  USA Non Revised  4,810 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
EUR  1,640,000  4/23/14  1.60%  Eurostat  (20,216) 
        Eurozone HICP   
        excluding tobacco   
EUR  1,242,000  4/14/14  1.835%  Eurostat  (1,540) 
        Eurozone HICP   
        excluding tobacco   
  $4,700,000  5/18/10  (0.25%)  USA Non Revised  54,285 
        Consumer Price   
        Index- Urban   
        (CPI-U)   
Total          $87,049 


CREDIT DEFAULT CONTRACTS OUTSTANDING at 7/31/09 (Unaudited)      
    Upfront      Fixed payments   
    premium    Termi-  received  Unrealized 
Swap counterparty /    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Bank of America, N.A.             
DJ ABX CMBX BBB Index  -  $166  $242,000  10/12/52  (134 bp)  $196,701 
Financial Security             
Assurance Holdings,             
Ltd, 6.4%, 12/15/66  Baa1  --  25,000  12/20/12  95 bp  (6,941) 
Marsh & Mclennan Co.             
Inc., 5 3/8%, 7/15/14  -  --  140,000  3/20/12  (95 bp)  (2,554) 
Barclays Bank PLC             
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  AAA  35,635  214,652  7/25/45  18 bp  7,199 
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  AAA  28,196  160,989  7/25/45  18 bp  6,869 
DJ ABX HE PEN AAA             
Series 7 Version 1 Index  A-  170,919  290,000  8/25/37  9 bp  (6,848) 
DJ CDX NA IG Series 12             
Version 1 Index  -  (69,015)  1,830,000  6/20/14  (100 bp)  (62,044) 
Citibank, N.A.             
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  AA  50,822  245,797  5/25/46  11 bp  (24,634) 
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  AAA  16,938  91,096  7/25/45  18 bp  4,870 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA  20,322  113,826  5/25/46  11 bp  (14,621) 
Marsh & Mclennan Co.             
Inc., 5 3/8%, 7/15/14  -  --  75,000  9/20/14  (105 bp)  (2,433) 
Mohawk Industries,             
Inc., 7.2%, 4/15/12  -  --  575,000  3/20/16  (140 bp)  6,644 
Sara Lee Corp., 6 1/8%,             
11/1/32  -  --  75,000  9/20/11  (43 bp)  (482) 
Credit Suisse International             
DJ ABX HE AAA Series 7             
Version 2 Index  BB  26,085  47,000  1/25/38  76 bp  (6,255) 
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  AAA  82,741  441,607  7/25/45  18 bp  24,239 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA  345,423  776,983  5/25/46  11 bp  106,900 
DJ ABX HE PEN AAA             
Series 7 Version 1 Index  A-  217,906  367,000  8/25/37  9 bp  (7,799) 
DJ CMB NA CMBX AAA Index  -  (680,516)  4,344,000  2/17/51  (35 bp)  198,891 
DJ CMB NA CMBX AAA Index  -  (147,332)  1,089,000  2/17/51  (35 bp)  73,127 
General Electric             
Capital Corp., 5 5/8%,             
9/15/17  Aa2  --  135,000  12/20/13  530 bp  14,853 
Liberty Mutual             
Insurance, 7 7/8%,             
10/15/26  -  --  15,000  12/20/13  (210 bp)  (396) 
Deutsche Bank AG             
Cadbury Schweppes US             
Finance LLC, 5 1/8%,             
10/1/13  -  --  560,000  12/20/13  (86 bp)  (13,449) 
DJ ABX HE PEN AAA             
Series 6 Version 1 Index  AAA  12,099  60,731  7/25/45  18 bp  4,053 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA  67,668  184,760  5/25/46  11 bp  10,886 
DJ CDX NA IG Series 12             
Version 1 Index  -  (125,440)  3,251,000  6/20/14  (100 bp)  (113,057) 
General Electric             
Capital Corp., 6%,             
6/15/12  Aa2  --  275,000  9/20/13  109 bp  (15,246) 
Genworth Financial             
Inc., 5 3/4%, 6/15/14  -  --  515,000  6/20/18  (143 bp)  176,835 
India Government Bond,             
5 7/8%, 1/2/10  BBB-/F  --  370,000  1/11/10  170 bp  3,242 
Korea Monetary STAB             
Bond, 5.15%, 2/12/10  A2  --  480,000  2/19/10  115 bp  2,950 
Korea Monetary STAB             
Bond, 5.45%, 1/23/10  AA/F  --  695,000  2/1/10  101 bp  1,642 
Reynolds American,             
Inc., 7 5/8%, 6/1/16  -  --  1,705,000  6/20/13  (105 bp)  50,708 
Goldman Sachs International             
DJ ABX HE AAA Index  BB  24,677  105,000  1/25/38  76 bp  (47,501) 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA  49,499  117,950  5/25/46  11 bp  13,290 
DJ CDX NA CMBX AAA Index  AAA  4,389  120,000  3/15/49  7 bp  (10,310) 
DJ CMB NA CMBX AAA Index  -  (143,720)  1,729,000  2/17/51  (35 bp)  206,302 
JPMorgan Chase Bank, N.A.             
DJ ABX HE PEN AAA             


Series 6 Version 2 Index  AA  56,224  264,768  5/25/46  11 bp  (25,056) 
DJ ABX HE PEN AAA             
Series 6 Version 2 Index  AA  68,955  185,585  5/25/46  11 bp  11,983 
DJ CMBX NA AAA Series 4             
Version 1 Index  AAA  1,958,739  5,016,000  2/17/51  35 bp  949,520 
Lexmark International,             
Inc., 5.9%, 6/1/13  -  --  105,000  6/20/13  (113 bp)  1,055 
Merrill Lynch Capital Services, Inc.        
Bombardier, Inc,             
6 3/4%, 5/1/12  -  --  250,000  6/20/12  (150 bp)  23,808 
D.R. Horton Inc.,             
7 7/8%, 8/15/11  -  --  170,000  9/20/11  (426 bp)  (8,618) 
Pulte Homes Inc.,             
5.25%, 1/15/14  -  --  159,000  9/20/11  (482 bp)  (10,501) 
Morgan Stanley Capital Services, Inc.        
DJ CDX NA IG Series 12             
Version 1 Index  -  (427,814)  10,530,000  6/20/14  (100 bp)  (387,706) 
DJ CMB NA CMBX AAA Index  AAA  214,166  1,973,500  2/17/51  35 bp  (186,537) 
UBS AG             
Starwood Hotels &             
Resorts Worldwide,             
Inc., 7 7/8%, 5/1/12  -  --  1,740,000  6/20/12  (195 bp)  58,331 
 
Total            $1,201,910 

* Payments related to the reference 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 July 31, 2009. Securities rated by Fitch are indicated by "/F."


Key to holding's currency abbreviations 
 
AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
CHF  Swiss Franc 
DKK  Danish Krone 
EUR  Euro 
GBP  British Pound 
JPY  Japanese Yen 
MXN  Mexican Peso 
PLN  Polish Zloty 
SEK  Swedish Krona 
USD / $  United States Dollar 
 
 
Key to holding's abbreviations 
 
EMTN  Euro Medium Term Notes 
FRB  Floating Rate Bonds 
FRN  Floating Rate Notes 
G.O. Bonds  General Obligation Bonds 
IFB  Inverse Floating Rate Bonds 
IO  Interest Only 
MTN  Medium Term Notes 
MTNA  Medium Term Notes Class A 
MTNB  Medium Term Notes Class B 
MTNE  Medium Term Notes Class E 
PO  Principal Only 
TBA  To Be Announced Commitments 
 
 
NOTES 

(a) Percentages indicated are based on net assets of $133,502,009.

(b) The aggregate identified cost on a tax basis is $162,181,852, resulting in gross unrealized appreciation and depreciation of $13,135,720 and $11,709,940, respectively, or net unrealized appreciation of $1,425,780.

(NON) Non-income-producing security.

(SEG) These securities, in part or in entirety, were pledged and segregated with the broker to cover margin requirements for futures contracts at July 31, 2009.

(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at July 31, 2009.

(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 July 31, 2009. 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 Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. 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 $8,683 for the period ended July 31, 2009. During the period ended July 31, 2009, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $38,407,710 and $17,129,872, 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 a Level 2 or Level 3 for SFAS 157 disclosures based on the securities valuation inputs.

(i) Securities purchased with cash or received, that were pledged to the fund for collateral on certain derivative contracts.

(R) Real Estate Investment Trust.

At July 31, 2009, liquid assets totaling $47,551,365 have been designated as collateral for open forward commitments, swap contracts and futures 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 July 31, 2009.

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 July 31, 2009.

DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of risk at July 31, 2009 (as a percentage of Portfolio Value):   
 
United States  82.9% 
Austria  3.3 
Netherlands  2.5 
United Kingdom  1.9 
Germany  1.7 
Italy  1.2 
Denmark  1.2 
Canada  1.0 
Japan  0.7 
Russia  0.7 
France  0.6 
Supra-Nation  0.5 
Other  1.8 
Total  100.0% 

Security valuation: Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value 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).

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 which 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. 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 and options contracts: The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.


The potential risk to the fund is that the change in value of futures and 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, interest or exchange rates moving 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. 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.

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.” 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 at period end are indicative of the volume of activity during the period.

Forward currency contracts: The fund may buy and sell 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 protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. 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. 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. 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 contracts at period end are indicative of the volume of activity during the period.

Total return swap contracts: The fund may enter 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 help enhance the fund's return and manage the fund’s exposure to credit risk. 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 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 contracts at period end are indicative of the volume of activity during the period.

Interest rate swap contracts: The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to 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 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 contracts at period end are indicative of the volume of activity during the period.

Credit default contracts: The fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. 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. Outstanding contracts at period end are indicative of the volume of activity during the period.

Master agreements: The fund is a party to ISDA (International Swap 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 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 July 31, 2009, the fund had net unrealized losses of $7,468,602 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $158,850.

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 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.

Dollar rolls: To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.

On September 15, 2008, the fund terminated its outstanding derivatives contracts with Lehman Brothers Special Financing, Inc. (“LBSF”) in connection with the bankruptcy filing of LBSF’s parent company, Lehman Brothers Holdings, Inc. On September 26, 2008, the fund entered into receivable purchase agreements (“Agreements”) with other registered investment companies (each a “Purchaser”) managed by Putnam Management. Under the Agreements, the fund sold to the Purchasers the fund’s right to receive, in the aggregate, $290,270 in net payments from LBSF in connection with certain terminated derivatives transactions (the “Receivable”), in each case in exchange for an initial payment plus (or minus) additional amounts based on the applicable Purchaser’s ultimate realized gain (or loss) on the Receivable. The Agreements are valued at fair value following procedures approved by the Trustees. All remaining payments under the agreement will be recorded as realized gain or loss.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund’s net asset value, it does require additional disclosures about fair value measurements. SFAS 157 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 July 31, 2009:

      Valuation inputs   
Investments in securities:    Level 1  Level 2  Level 3 
Asset-backed securities    $--  $7,646,775  $278,530 
Corporate bonds and notes    --  31,881,725  -- 
Foreign government bonds and notes    --  14,988,876  -- 
Mortgage-backed securities    --  50,057,839  -- 
Municipal bonds and notes    --  215,171  -- 
Purchased options outstanding    --  2,841,537  -- 
Senior loans    --  566,923  -- 
U.S. Government and agency mortgage obligations    --  27,296,680  -- 
U.S Treasury obligations    --  2,608,652  -- 
Short-term investments    23,837,838  1,387,086  -- 
  Totals by level  $23,837,838  $139,491,264  $278,530 
 
    Level 1  Level 2  Level 3 
Other financial instruments:    $(819,151)  $(23,622,653)  $74,807 

Other financial instruments include futures, written options, TBA sale commitments, swaps, forward contracts and receivable purchase agreement.

The following is a reconciliation of Level 3 assets as of July 31, 2009:

        Change in net    Net   
  Balance  Accrued    unrealized  Net  transfers in  Balance 
  as of October  discounts/  Realized  appreciation/  purchases/  and/or out  as of July 
Investments in securities:  31, 2008  premiums  gain/(loss)  (depreciation) †  sales  of Level 3  31, 2009 
 
Asset-backed securities  $582,941  $--  $(44,235)  $(31,299)  $(7,106)  $(221,771)  $278,530 
Mortgage-backed securities  $500,598  --  (4,949)  2,640  (6,615)  (491,674)  -- 
Totals:  $1,083,539  $--  $(49,184)  $(28,659)  $(13,721)  $(713,445)  $278,530 
        Change in net    Net   
  Balance  Accrued    unrealized  Net  transfers in  Balance 
  as of October  discounts/  Realized  appreciation/  purchases/  and/or out  as of July 
  31, 2008 ††  premiums  gain/(loss)  (depreciation)  sales  of Level 3  31, 2009 †† 
Other financial instruments:  $74,807  $--  $--  $--  $--  $--  $74,807 

† Includes $(75,688) related to Level 3 securities still held at period end.

†† Includes amount receivable under receivable purchase agreement.

Other financial instruments include futures, written options, TBA sale commitments, swaps, forward contracts and receivable purchase agreement.

Market Values of Derivative Instruments as of July 31, 2009

  Asset derivatives  Liability derivatives 
Derivatives not accounted for as hedging instruments under Statement 133  Market value  Market value 
Credit contracts  $2,045,953  $2,701,775 
Foreign exchange contracts  1,127,825  709,202 
Interest rate contracts  29,856,587  32,115,748 
Total  $33,030,365  $35,526,725 

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 Global Income Trust

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: September 29, 2009

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/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: September 29, 2009

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: September 29, 2009