N-Q 1 a_masterintmedinc.htm PUTNAM MASTER INTERMEDIATE INCOME TRUST a_masterintmedinc.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: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2017
Date of reporting period: December 31, 2016



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
12/31/16 (Unaudited)
MORTGAGE-BACKED SECURITIES (49.7%)(a)
Principal amount Value
Agency collateralized mortgage obligations (19.1%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 22.961%, 4/15/37 $56,067 $87,436
     IFB Ser. 2979, Class AS, 21.692%, 3/15/34 2,395 2,477
     IFB Ser. 3072, Class SM, 21.216%, 11/15/35 91,554 133,925
     IFB Ser. 3249, Class PS, 19.952%, 12/15/36 56,696 80,185
     Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,485,790 314,245
     Ser. 4000, Class PI, IO, 4.50%, 1/15/42 828,365 154,407
     Ser. 4546, Class TI, IO, 4.00%, 12/15/45 3,434,580 570,999
     Ser. 4462, IO, 4.00%, 4/15/45 1,377,146 262,140
     Ser. 4425, IO, 4.00%, 1/15/45 4,443,928 816,572
     Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,811,232 615,941
     Ser. 4193, Class PI, IO, 4.00%, 3/15/43 2,145,335 331,306
     Ser. 4062, Class DI, IO, 4.00%, 9/15/39 4,069,573 482,104
     Ser. 4604, Class QI, IO, 3.50%, 7/15/46 6,918,316 1,139,654
     Ser. 4580, Class ID, IO, 3.50%, 8/15/45 4,410,532 748,467
     Ser. 4501, Class BI, IO, 3.50%, 10/15/43 3,958,984 539,966
     Ser. 4122, Class AI, IO, 3.50%, 10/15/42 2,671,625 355,235
     Ser. 4122, Class CI, IO, 3.50%, 10/15/42 2,439,691 324,396
     Ser. 4105, Class HI, IO, 3.50%, 7/15/41 1,301,314 155,334
     Ser. 304, Class C37, IO, 3.50%, 12/15/27 1,521,371 182,912
     Ser. 4165, Class TI, IO, 3.00%, 12/15/42 5,486,013 595,781
     Ser. 4183, Class MI, IO, 3.00%, 2/15/42 2,360,493 249,032
     Ser. 4210, Class PI, IO, 3.00%, 12/15/41 1,501,179 112,471
     FRB Ser. 57, Class 1AX, IO, 0.373%, 7/25/43 1,739,048 18,608
     Ser. 3326, Class WF, zero %, 10/15/35 1,123 833
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 35.363%, 7/25/36 85,756 158,537
     IFB Ser. 07-53, Class SP, 21.428%, 6/25/37 78,672 117,095
     IFB Ser. 08-24, Class SP, 20.511%, 2/25/38 74,502 105,091
     IFB Ser. 05-75, Class GS, 17.982%, 8/25/35 60,813 80,188
     IFB Ser. 05-83, Class QP, 15.428%, 11/25/34 93,874 117,652
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 3,707,449 892,270
     Ser. 374, Class 6, IO, 5.50%, 8/25/36 134,266 30,277
     IFB Ser. 13-18, Class SB, IO, 5.394%, 10/25/41 1,295,075 174,576
     Ser. 12-132, Class PI, IO, 5.00%, 10/25/42 1,907,138 378,802
     Ser. 378, Class 19, IO, 5.00%, 6/25/35 418,381 76,878
     Ser. 15-16, Class MI, IO, 4.50%, 4/25/45 2,264,815 461,456
     Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 645,965 150,886
     Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 4,136,118 531,491
     Ser. 409, Class 81, IO, 4.50%, 11/25/40 2,033,225 396,276
     Ser. 409, Class 82, IO, 4.50%, 11/25/40 2,186,490 431,394
     Ser. 366, Class 22, IO, 4.50%, 10/25/35 94,491 5,033
     Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 2,586,027 390,673
     Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,664,143 276,597
     Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 1,632,576 257,131
     Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 1,299,100 218,898
     Ser. 12-96, Class PI, IO, 4.00%, 7/25/41 1,116,801 171,917
     Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 2,284,761 186,436
     Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 2,137,274 186,584
     Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,861,839 209,457
     Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 1,941,480 140,020
     Ser. 99-51, Class N, PO, zero %, 9/17/29 11,006 9,355
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.411%, 9/20/43 864,143 139,576
     Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 1,193,086 218,478
     Ser. 14-76, IO, 5.00%, 5/20/44 1,660,232 334,842
     Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 4,039,322 520,552
     Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 2,571,667 530,535
     Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 2,265,865 466,995
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,192,852 245,728
     Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 1,039,286 213,137
     Ser. 12-146, IO, 5.00%, 12/20/42 1,044,294 215,709
     Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 761,730 142,649
     Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 639,894 47,130
     Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 368,663 18,087
     Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 389,748 34,896
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 360,054 76,367
     Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,126,942 230,313
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 5,068,210 1,062,297
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 2,610,080 539,138
     Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 933,395 187,958
     IFB Ser. 14-119, Class SA, IO, 4.861%, 8/20/44 3,925,974 588,896
     Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,749,546 378,339
     Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 8,099,198 883,946
     Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 2,263,970 362,235
     Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 2,321,904 464,381
     Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 3,215,092 542,933
     Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 2,216,756 465,339
     Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 575,345 97,089
     Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 219,719 11,319
     Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 132,478 17,730
     Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 2,140,269 403,462
     Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 3,773,007 728,945
     Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 2,020,215 383,235
     Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 2,236,890 440,842
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,371,544 259,359
     Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,027,202 237,541
     Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 450,194 50,647
     Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 1,379,144 131,019
     Ser. 10-98, Class PI, IO, 4.50%, 10/20/37 240,853 6,474
     Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 5,970,966 1,022,289
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,609,508 569,395
     Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 3,819,672 645,750
     Ser. 15-40, IO, 4.00%, 3/20/45 2,847,993 588,111
     Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 3,486,384 627,131
     Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,158,524 220,877
     Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 5,353,792 712,590
     Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,026,083 174,085
     Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 904,983 176,676
     Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 3,011,913 558,409
     Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 2,242,962 401,913
     Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 2,314,657 444,646
     Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 3,428,562 471,427
     Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 3,253,158 463,705
     Ser. 13-76, IO, 3.50%, 5/20/43 3,800,061 629,366
     Ser. 13-28, IO, 3.50%, 2/20/43 1,193,181 184,384
     Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,838,834 299,951
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 2,533,120 392,634
     Ser. 13-14, IO, 3.50%, 12/20/42 6,164,860 849,086
     Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,918,842 311,812
     Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 2,285,757 440,923
     Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,710,839 556,497
     Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,422,607 307,583
     Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 4,647,877 658,604
     Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 2,643,651 330,721
     Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 2,416,901 318,306
     Ser. 16-H23, Class NI, IO, 2.826%, 10/20/66 12,095,334 1,687,299
     Ser. 16-H17, Class KI, IO, 2.432%, 7/20/66 3,397,139 425,811
     Ser. 15-H20, Class CI, IO, 2.405%, 8/20/65 5,392,521 645,587
     Ser. 15-H15, Class BI, IO, 2.383%, 6/20/65 3,281,557 388,710
     Ser. 15-H24, Class AI, IO, 2.364%, 9/20/65 4,802,586 519,640
     Ser. 15-H10, Class BI, IO, 2.239%, 4/20/65 3,333,610 380,302
     Ser. 16-H16, Class EI, IO, 2.169%, 6/20/66 4,844,801 599,786
     Ser. 16-H09, Class BI, IO, 2.153%, 4/20/66 6,144,339 727,041
     Ser. 16-H03, Class DI, IO, 2.038%, 12/20/65 5,165,176 518,315
     Ser. 16-H03, Class AI, IO, 2.028%, 1/20/66 4,686,825 541,113
     Ser. 16-H02, Class HI, IO, 1.852%, 1/20/66 6,272,375 641,037
     Ser. 15-H25, Class EI, IO, 1.834%, 10/20/65 4,686,846 455,561
     Ser. 16-H10, Class AI, IO, 1.833%, 4/20/66 12,371,407 1,091,158
     Ser. 15-H20, Class AI, IO, 1.828%, 8/20/65 5,010,687 495,557
     FRB Ser. 15-H08, Class CI, IO, 1.78%, 3/20/65 2,770,959 263,208
     Ser. 16-H06, Class DI, IO, 1.728%, 7/20/65 7,157,036 681,350
     Ser. 15-H23, Class BI, IO, 1.716%, 9/20/65 5,029,121 465,194
     Ser. 16-H14, IO, 1.66%, 6/20/66 5,274,728 445,715
     Ser. 13-H08, Class CI, IO, 1.66%, 2/20/63 5,160,978 345,786
     Ser. 16-H06, Class CI, IO, 1.609%, 2/20/66 6,549,478 548,191
     Ser. 14-H21, Class BI, IO, 1.534%, 10/20/64 7,256,835 527,572
     Ser. 15-H26, Class CI, IO, 0.609%, 8/20/65 15,193,058 350,960
     Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,903 2,434
51,211,712
Commercial mortgage-backed securities (18.2%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695%, 7/10/46 187,057 186,743
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.329%, 2/10/51 66,753,779 132,860
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.402%, 10/10/45 215,999 215,919
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 2,133,000 2,026,350
     Ser. 05-PWR7, Class D, 5.304%, 2/11/41 441,000 427,228
     Ser. 05-PWR7, Class B, 5.214%, 2/11/41 618,931 618,931
     Ser. 05-PWR9, Class C, 5.055%, 9/11/42 401,000 401,686
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.436%, 3/11/39 850,000 297,500
     FRB Ser. 06-PW14, Class XW, IO, 0.532%, 12/11/38 2,999,913 11,400
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.116%, 11/15/44 507,000 492,021
     FRB Ser. 07-CD5, Class XS, IO, 0.154%, 11/15/44 22,622,295 8,108
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.754%, 12/15/47 409,000 406,793
     FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 1,025,000 898,618
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 13-GC17, Class D, 5.104%, 11/10/46 600,000 562,270
     FRB Ser. 12-GC8, Class D, 4.876%, 9/10/45 998,000 929,837
     FRB Ser. 14-GC21, Class D, 4.835%, 5/10/47 807,000 658,431
     FRB Ser. 13-GC11, Class E, 4.456%, 4/10/46 396,000 279,814
COBALT CMBS Commercial Mortgage Trust Ser. 07-C2, Class AJFX, 5.568%, 4/15/47 835,000 835,501
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.812%, 12/10/49 962,000 954,734
     Ser. 06-C8, Class AJ, 5.377%, 12/10/46 846,000 845,746
COMM Mortgage Trust 144A
     FRB Ser. 13-CR9, Class D, 4.256%, 7/10/45 962,000 845,309
     Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 289,923
     Ser. 13-LC13, Class E, 3.719%, 8/10/46 574,000 382,571
     Ser. 14-CR18, Class E, 3.60%, 7/15/47 592,000 365,146
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.641%, 12/15/39 2,758,374 8,827
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 687,180 683,744
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.80%, 4/15/50 992,000 808,946
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.411%, 6/10/48 2,559,733 2,573,940
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.309%, 3/10/44 833,573 820,236
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 72,314 72,361
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 0.914%, 12/10/41 3,836,852 69,673
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46 407,000 369,027
     FRB Ser. 13-GC10, Class E, 4.41%, 2/10/46 393,000 288,383
     FRB Ser. 05-GG4, Class XC, IO, 0.918%, 7/10/39 659,219 989
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.32%, 11/10/46 662,000 518,015
     Ser. 11-GC3, Class E, 5.00%, 3/10/44 577,000 523,512
     FRB Ser. 14-GC18, Class D, 4.945%, 1/10/47 1,351,000 1,110,252
     FRB Ser. 14-GC26, Class D, 4.511%, 11/10/47 811,000 652,531
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C15, Class D, 5.046%, 11/15/45 1,147,000 1,070,294
     FRB Ser. 14-C18, Class D, 4.814%, 2/15/47 990,000 832,689
     FRB Ser. C14, Class D, 4.562%, 8/15/46 526,000 479,981
     FRB Ser. 14-C18, Class E, 4.314%, 2/15/47 407,000 276,597
     FRB Ser. 14-C25, Class D, 3.948%, 11/15/47 1,050,000 789,390
     Ser. 14-C25, Class E, 3.332%, 11/15/47 788,000 464,605
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.152%, 2/12/51 363,500 366,226
     FRB Ser. 06-LDP6, Class B, 5.653%, 4/15/43 58,751 58,751
     Ser. 06-LDP8, Class B, 5.52%, 5/15/45 285,219 287,287
     FRB Ser. 05-LDP2, Class E, 4.981%, 7/15/42 375,000 371,888
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.252%, 2/12/51 488,000 455,158
     FRB Ser. 07-CB20, Class C, 6.252%, 2/12/51 534,000 469,920
     FRB Ser. 11-C3, Class F, 5.619%, 2/15/46 410,000 412,665
     FRB Ser. 12-C6, Class E, 5.142%, 5/15/45 363,000 333,706
     FRB Ser. 12-C8, Class E, 4.66%, 10/15/45 345,000 305,297
     Ser. 13-C13, Class E, 3.986%, 1/15/46 763,000 508,463
     Ser. 13-C10, Class E, 3.50%, 12/15/47 943,000 667,738
     FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 541,000 353,381
     FRB Ser. 07-CB20, Class X1, IO, 0.346%, 2/12/51 37,894,313 65,792
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 181,667 187,172
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.546%, 3/15/39 1,620,386 1,590,004
     FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 1,219,000 362,214
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.485%, 9/15/39 2,649,903 15,108
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.243%, 4/20/48 443,000 369,077
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.263%, 2/12/51 184,000 188,122
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.263%, 2/12/51 304,000 307,283
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37 34,091 920
     FRB Ser. 07-C5, Class X, IO, 5.449%, 12/15/49 846,969 5,082
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147%, 12/12/49 93,324 93,175
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 14-C14, Class D, 4.83%, 2/15/47 534,000 468,745
     Ser. 14-C17, Class D, 4.698%, 8/15/47 923,000 734,109
     FRB Ser. 13-C11, Class F, 4.37%, 8/15/46 496,000 367,784
     FRB Ser. 13-C10, Class E, 4.084%, 7/15/46 1,064,000 844,922
     Ser. 14-C17, Class E, 3.50%, 8/15/47 723,000 436,981
     Ser. 15-C24, Class D, 3.257%, 5/15/48 484,000 326,635
     Ser. 14-C19, Class D, 3.25%, 12/15/47 550,000 415,174
Morgan Stanley Capital I Trust
     FRB Ser. 07-T27, Class AJ, 5.643%, 6/11/42 187,000 190,123
     Ser. 07-HQ11, Class C, 5.558%, 2/12/44 1,102,000 656,638
     Ser. 06-HQ10, Class B, 5.448%, 11/12/41 700,000 706,668
     FRB Ser. 06-HQ8, Class C, 5.419%, 3/12/44 550,000 550,000
     FRB Ser. 06-HQ8, Class D, 5.419%, 3/12/44 823,000 325,036
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.275%, 1/11/43 369,000 368,299
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39 522,746 513,075
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18 (Cayman Islands) 193,000 5,308
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 624,231 46,817
UBS-Barclays Commercial Mortgage Trust 144A
     Ser. 12-C2, Class F, 4.885%, 5/10/63 608,000 424,810
     FRB Ser. 13-C6, Class D, 4.346%, 4/10/46 126,000 111,976
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.104%, 6/15/45 1,920,000 1,247,424
     Ser. 07-C30, Class AJ, 5.413%, 12/15/43 615,000 615,000
     FRB Ser. 07-C34, IO, 0.294%, 5/15/46 13,228,059 25,133
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.777%, 10/15/45 462,000 344,144
     FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46 188,000 168,081
     Ser. 14-LC18, Class D, 3.957%, 12/15/47 756,000 583,611
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 13-C17, Class D, 5.124%, 12/15/46 549,000 518,150
     Ser. 12-C6, Class E, 5.00%, 4/15/45 534,000 411,127
     FRB Ser. 13-C16, Class D, 4.982%, 9/15/46 399,000 368,955
     FRB Ser. 14-C19, Class E, 4.97%, 3/15/47 946,000 674,876
     Ser. 12-C7, Class F, 4.50%, 6/15/45 2,524,000 1,794,816
     Ser. 14-C19, Class D, 4.234%, 3/15/47 867,000 700,353
     Ser. 13-C12, Class E, 3.50%, 3/15/48 510,000 376,686
48,583,316
Residential mortgage-backed securities (non-agency) (12.4%)
BCAP, LLC Trust 144A
     FRB Ser. 11-RR3, Class 3A6, 2.80%, 11/27/36 1,181,546 785,728
     FRB Ser. 12-RR5, Class 4A8, 0.754%, 6/26/35 167,912 161,370
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.681%, 4/25/34 323,208 321,019
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, Class M6, 5.321%, 9/25/34 43,061 24,214
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 5.056%, 7/25/25 (Bermuda) 484,000 491,260
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A1, 2.222%, 6/25/46 333,447 313,640
     FRB Ser. 05-38, Class A1, 2.067%, 9/25/35 465,499 438,873
     FRB Ser. 06-OA10, Class 1A1, 1.527%, 8/25/46 306,240 265,608
     FRB Ser. 06-OA7, Class 1A2, 1.507%, 6/25/46 823,049 716,053
     FRB Ser. 05-38, Class A3, 1.106%, 9/25/35 1,101,274 961,860
     FRB Ser. 05-59, Class 1A1, 1.069%, 11/20/35 594,033 509,864
     FRB Ser. 06-OA10, Class 4A1, 0.946%, 8/25/46 4,392,467 3,531,104
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 3.284%, 9/28/36 2,000,000 1,728,814
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, 12.256%, 1/25/25 986,838 1,200,989
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, 11.256%, 10/25/28 250,000 281,892
     Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, 11.256%, 5/25/28 412,883 467,864
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 10.756%, 7/25/28 899,812 977,225
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 10.106%, 4/25/28 663,921 710,736
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, 8.306%, 12/25/27 590,645 623,154
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, 5.906%, 11/25/28 490,000 531,616
     Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, 5.006%, 11/25/23 570,000 603,687
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, 13.506%, 10/25/28 300,000 376,736
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 13.006%, 9/25/28 1,030,000 1,263,592
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.506%, 10/25/28 570,000 674,268
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.506%, 8/25/28 800,000 955,757
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, 11.006%, 1/25/29 1,020,000 1,123,481
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 6.656%, 10/25/28 1,790,000 1,980,842
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.456%, 4/25/28 2,379,000 2,620,433
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.306%, 4/25/28 100,000 109,053
     Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, 6.006%, 10/25/23 350,000 385,312
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.756%, 7/25/25 1,316,000 1,417,023
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 5.756%, 7/25/25 720,000 775,594
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.306%, 2/25/25 333,932 352,131
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 5.006%, 4/25/29 260,000 267,904
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, 5.006%, 1/25/29 520,000 537,940
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.756%, 5/25/25 64,000 66,710
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.756%, 5/25/25 130,000 135,670
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 0.936%, 5/25/36 738,977 367,493
MortgageIT Trust FRB Ser. 05-3, Class M2, 1.286%, 8/25/35 233,136 204,925
Nomura Resecuritization Trust 144A FRB Ser. 15-4R, Class 1A14, 0.681%, 3/26/47 500,000 310,500
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, 0.876%, 8/25/36 505,879 411,659
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 2.748%, 9/25/35 175,970 171,553
     FRB Ser. 05-AR19, Class A1C3, 1.256%, 12/25/45 834,690 754,393
     FRB Ser. 05-AR13, Class A1C3, 1.246%, 10/25/45 2,049,668 1,781,938
     FRB Ser. 05-AR19, Class A1C4, 1.156%, 12/25/45 434,983 375,303
33,066,780
Total mortgage-backed securities (cost $134,294,958) $132,861,808

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (35.9%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.8%)
Government National Mortgage Association Pass-Through Certificates 4.50%, TBA, 1/1/47 $2,000,000 $2,135,000
2,135,000
U.S. Government Agency Mortgage Obligations (35.1%)
Federal National Mortgage Association Pass-Through Certificates
     5.50%, TBA, 1/1/47 3,000,000 3,332,813
     4.50%, TBA, 1/1/47 1,000,000 1,075,000
     4.00%, TBA, 1/1/47 1,000,000 1,051,250
     3.50%, TBA, 1/1/47 72,000,000 73,800,000
     3.00%, TBA, 1/1/47 7,000,000 6,959,532
     2.50%, TBA, 1/1/47 8,000,000 7,618,750
93,837,345
Total U.S. government and agency mortgage obligations (cost $95,981,719) $95,972,345

CORPORATE BONDS AND NOTES (32.4%)(a)
Principal amount Value
Basic materials (3.4%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $159,000 $166,155
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 196,000 209,720
ArcelorMittal SA sr. unsec. unsub. bonds 10.85%, 6/1/19 (France) 256,000 299,520
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 86,000 94,170
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 300,000
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 228,000 243,249
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 93,000 110,670
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 254,000 253,365
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 291,000 288,818
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 392,000 449,820
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 80,000 80,400
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 490,000 503,475
Cemex SAB de CV 144A company guaranty sr. notes 6.50%, 12/10/19 (Mexico) 200,000 211,500
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 57,000 56,145
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 200,000 198,000
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 104,000 99,320
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 305,000 304,238
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 99,000 101,970
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 238,000 234,430
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 2/15/20 (Canada) 85,000 84,788
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) 16,000 14,880
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes 6.75%, 2/1/22 (Indonesia) 93,000 95,558
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 2/15/23 (Indonesia) 150,000 157,500
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 345,000 395,888
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. notes 7.375%, 12/15/23 45,000 47,277
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 80,000 83,150
Huntsman International, LLC company guaranty sr. unsec. notes 5.125%, 11/15/22 112,000 114,240
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 178,000 184,453
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 140,000 154,000
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 110,000 124,025
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 183,000 177,510
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 281,000 295,050
Mercer International, Inc. company guaranty sr. unsec. notes 7.00%, 12/1/19 (Canada) 50,000 51,625
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 80,000 82,000
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 140,000 145,600
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 25,000 25,250
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 420,000 443,100
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 20,000 21,850
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 26,000 28,795
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 45,000 48,150
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.25%, 4/1/23 110,000 114,400
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 60,000 61,650
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/22 54,000 55,485
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 45,000 46,463
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 159,000 184,440
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 125,000 130,313
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 53,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 20,950
Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26 55,000 54,794
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 66,000 66,165
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 59,000 55,755
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 250,000 237,500
Tronox Finance, LLC company guaranty sr. unsec. notes 6.375%, 8/15/20 120,000 112,200
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 85,000 79,263
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 135,000 139,388
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 115,000 118,163
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 55,000 48,950
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 260,000 273,000
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 220,000 246,400
9,077,933
Capital goods (2.0%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 265,000 263,675
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 218,000 241,163
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.375%, 9/15/24 120,000 117,900
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.00%, 3/15/22 190,000 190,000
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 280,000 294,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 185,000 191,475
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 255,000 256,275
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 70,000 74,025
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 105,000 109,200
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 67,000 68,173
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 175,000 185,063
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 235,000 257,398
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 364,000 355,355
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 234,000 241,020
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 337,000 388,393
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 270,000 263,925
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 235,000 239,700
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 95,000 96,900
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 402,000 418,080
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 144,000 153,090
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 17,000 16,681
Terex Corp. company guaranty sr. unsec. notes 6.00%, 5/15/21 58,000 59,305
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 345,000 360,525
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 175,000 183,094
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 235,000 239,113
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.50%, 4/29/22 150,000 154,688
5,418,216
Communication services (4.0%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 205,750
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 280,000 298,900
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 150,000 164,625
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 198,000 205,425
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 105,000 107,100
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 249,000 265,808
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 49,000 50,715
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 360,000 370,800
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 152,000 155,420
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 40,000 42,300
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 245,000 249,288
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 210,000 213,675
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 284,000 277,610
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 120,000 129,000
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 340,000 392,700
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 415,000 374,538
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 132,000 135,828
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 76,000 78,470
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 232,000 243,902
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 63,000 67,095
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 45,000 40,275
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 117,000 89,213
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,165
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 13,000 4,258
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) 57,000 17,813
Level 3 Communications, Inc. sr. unsec. unsub. notes 5.75%, 12/1/22 40,000 41,100
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 1/15/24 40,000 40,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 8/15/22 40,000 41,300
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 41,450
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 600,000 615,000
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 200,000 200,750
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 111,169
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 486,000 535,815
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 883,000 942,603
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 308,125
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 492,000 520,905
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 345,000 368,719
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 164,775
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 190,000 200,450
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, 8/15/24 (Luxembourg) EUR 295,000 343,698
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5.625%, 4/15/23 (Germany) EUR 84,000 94,646
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5.75%, 1/15/23 (Germany) EUR 90,720 101,993
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5.125%, 1/21/23 (Germany) EUR 190,350 211,857
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $363,000 372,529
Virgin Media Secured Finance PLC 144A sr. notes 6.00%, 4/15/21 (United Kingdom) GBP 136,727 175,256
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 $286,000 275,990
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 176,000 185,680
Wind Acquisition Finance SA 144A company guaranty sr. notes 4.00%, 7/15/20 (Luxembourg) EUR 125,000 134,147
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $371,000 331,118
10,546,148
Consumer cyclicals (5.1%)
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds 5.875%, 11/15/26 55,000 56,306
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 68,000 71,145
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 155,000 158,488
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 164,000 168,920
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 225,000 215,849
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 98,000 47,040
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 150,000 161,250
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 235,000 240,288
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 120,000 120,348
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 165,000 177,887
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 243,000 261,833
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 85,000 86,275
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 50,000 52,500
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 100,000 103,250
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 74,160
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 25,000 25,313
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 136,000 135,320
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 362,000 370,145
Dakota Merger Sub, Inc. 144A sr. notes 7.75%, 9/1/23 235,000 235,000
Dakota Merger Sub, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 95,000 92,388
Dollar Tree, Inc. company guaranty sr. unsec. unsub. notes 5.75%, 3/1/23 65,000 68,738
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 230,000 243,800
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 145,000 156,600
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5.25%, 4/15/23 (Italy) 200,000 203,660
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 125,000 120,190
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 4/10/22 136,000 134,495
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 175,000 183,750
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 70,000 73,003
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 80,000 79,400
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 260,000 203,329
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 $145,000 140,650
Hilton Domestic Operating Co., Inc. 144A sr. unsec. sub. notes 4.25%, 9/1/24 30,000 29,100
Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21 177,000 186,523
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 288,000 235,440
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5.875%, 3/15/21 122,000 126,270
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 290,000 295,075
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 265,000 268,313
JC Penney Corp., Inc. company guaranty sr. unsec. bonds 8.125%, 10/1/19 173,000 186,840
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 31,000 30,574
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 120,000 114,300
L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21 197,000 221,871
L Brands, Inc. company guaranty sr. unsec. sub. notes 5.625%, 2/15/22 85,000 90,844
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 55,000 56,650
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 140,000 144,900
Lear Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 25,000 26,281
Lear Corp. company guaranty sr. unsec. unsub. notes 5.375%, 3/15/24 55,000 57,544
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 89,000 91,225
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 159,000 160,988
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 75,000 75,188
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 80,000 82,600
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 40,000 40,500
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 234,000 237,510
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 175,000 194,688
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 28,000 29,610
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 147,000 163,538
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 232,000 234,900
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 425,000 300,688
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 95,000 70,538
Nexstar Escrow Corp. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 155,000 153,838
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 90,000 93,488
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 110,000 112,063
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 135,000 141,413
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 94,000 97,760
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 132,212
Penn National Gaming, Inc. sr. unsec. sub. notes 5.875%, 11/1/21 222,000 231,435
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 197,760
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 105,663
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 123,690
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 180,000 178,650
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 180,000 182,475
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 134,000 136,345
Ritchie Bros Auctioneers, Inc. 144A company guaranty sr. unsec. notes 5.375%, 1/15/25 (Canada) 50,000 51,000
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 195,000 198,900
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 155,000 158,100
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 530,000 527,350
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 50,000 42,500
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 150,000 160,875
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 360,000 368,100
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 117,000 122,411
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 1/15/21 295,000 301,638
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 105,000 108,938
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 10,000 10,613
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 45,000 47,363
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 220,000 226,050
Standard Industries, Inc./NJ 144A sr. unsec. notes 5.125%, 2/15/21 20,000 20,850
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6.375%, 6/1/21 183,000 182,543
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 326,000 334,150
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 70,000 70,175
Tempur Sealy International, Inc. company guaranty sr. unsec. unsub. bonds 5.50%, 6/15/26 80,000 80,400
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 185,000 188,006
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 216,700
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 123,615
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 97,213
13,738,100
Consumer staples (1.4%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 340,000 355,300
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 125,000 127,813
Ashtead Capital, Inc. 144A company guaranty notes 6.50%, 7/15/22 455,000 476,613
Ashtead Capital, Inc. 144A company guaranty notes 5.625%, 10/1/24 200,000 209,000
BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19 138,000 134,550
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 105,000 107,100
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 482,000 495,255
Constellation Brands, Inc. company guaranty sr. unsec. notes 4.25%, 5/1/23 50,000 51,625
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 145,000 152,613
JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%, 2/1/20 (Brazil) 67,000 68,675
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 131,950
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 132,763
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 110,000 108,831
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 75,000 75,188
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 95,000 96,425
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 86,000 85,785
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 140,000 144,900
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 73,000 74,825
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 240,000 241,200
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 240,000 258,000
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9.75%, 2/1/19(PIK) 40,520 28,769
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5.375%, 10/1/22 195,000 213,525
3,770,705
Energy (7.2%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 110,000 113,850
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 78,000 79,853
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 90,000 90,900
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 196,320
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 125,000 110,313
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 18,000 16,245
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 316,000 281,240
CHC Helicopter SA company guaranty sr. notes 9.25%, 10/15/20 (Canada) (In default)(NON) 90,000 42,750
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. notes 5.875%, 3/31/25 185,000 188,757
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 177,000 190,939
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 35,000 35,700
Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 255,000 263,606
Concho Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/25 80,000 79,841
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/22 88,000 91,190
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 432,000 398,520
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 35,000 31,500
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 185,000 200,263
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/31/25 160,000 160,912
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/24 65,000 63,700
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 128,000 136,640
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 393,000 361,560
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 99,000 106,395
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9.25%, 4/23/19 (Russia) 647,000 735,154
Halcon Resources Corp. 144A company guaranty notes 8.625%, 2/1/20 155,000 161,588
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 227,000 236,648
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 189,000 195,851
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 140,000 141,050
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 47,000 42,535
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.50%, 3/15/21 (Canada) 92,000 85,100
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 329,000 345,450
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 170,000 173,332
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 86,000 88,150
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 278,000 284,950
Parsley Energy, LLC/Parsley Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 1/15/25 55,000 55,187
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 950,091
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 198,918
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 1,038,000 1,119,743
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 2,398,000 2,302,080
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.375%, 1/27/21 (Brazil) 625,000 611,250
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 4.875%, 3/17/20 (Brazil) 1,045,000 1,033,192
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) 727,000 279,895
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,535,000 1,684,663
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 2,285,000 2,081,635
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 6,000 5,610
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 60,000 63,300
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 270,000 282,825
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 84,000 81,900
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 26,000 25,545
Sabine Pass Liquefaction, LLC sr. notes 6.25%, 3/15/22 100,000 109,375
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 315,000 337,838
Sabine Pass Liquefaction, LLC sr. notes 5.625%, 4/15/23 100,000 106,250
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 120,000 121,050
Samson Investment Co. company guaranty sr. unsec. notes 9.75%, 2/15/20 (In default)(NON) 415,000 21,788
SandRidge Energy, Inc. escrow company guaranty notes 8.75%, 6/1/20(F) 166,000 332
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 122,000 129,320
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 211,000 215,220
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 91,000 85,768
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 39,000 39,683
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 235,000 237,938
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 95,000 94,050
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 45,000 44,663
Tervita Corp. 144A sr. unsec. notes 10.875%, 2/15/18 (Canada) (In default)(NON) 45,000 900
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 55,000 56,169
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6.75%, 7/15/22 (In default)(NON) 30,000 9,000
Whiting Petroleum Corp. company guaranty sr. unsec. sub. notes 6.50%, 10/1/18 120,000 119,400
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 7/15/22 145,000 149,558
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4.875%, 5/15/23 203,000 205,284
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 48,000 53,640
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 199,000 213,925
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 279,000 285,975
19,143,764
Financials (3.7%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 336,000 324,240
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 9/15/20 565,000 633,506
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 95,000 94,763
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 77,337
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 110,000 113,300
CIT Group, Inc. sr. unsec. unsub. notes 5.375%, 5/15/20 135,000 143,438
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 130,000 135,525
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 165,000 174,075
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 294,000 293,633
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 344,000 347,440
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 125,000 69,375
E*Trade Financial Corp. sr. unsec. unsub. notes 4.625%, 9/15/23 160,000 163,200
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 160,000 159,200
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 68,000 67,830
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 205,000 216,564
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 80,000 81,700
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 215,000 213,388
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 16,256
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 55,000 55,206
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 80,000 82,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 213,000 215,663
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 77,000 80,273
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 92,000 95,910
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6.75%, 6/15/21 245,000 246,531
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7.75%, 5/29/18 (Russia) 2,750,000 2,914,556
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, 2/7/22 (Russia) 325,000 352,625
Sberbank of Russia Via SB Capital SA 144A sr. unsec. unsub. notes 4.95%, 2/7/17 (Russia) 500,000 501,275
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 60,000 65,250
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 55,000 55,413
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 185,000 184,075
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 70,000 61,075
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 156,000 160,680
USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21 199,000 202,980
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, 5/29/18 (Russia) 979,000 1,028,302
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 215,000
Wayne Merger Sub, LLC 144A sr. unsec. notes 8.25%, 8/1/23 91,000 93,958
9,936,342
Health care (2.2%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6.125%, 3/15/21 195,000 201,094
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5.125%, 7/1/22 85,000 84,469
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 192,000 192,000
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 175,000 184,406
Centene Corp. sr. unsec. unsub. notes 5.625%, 2/15/21 55,000 57,827
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 42,000 41,003
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 131,300
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 303,000 210,585
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 274,000 87,680
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 30,000 25,350
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 5/15/22 240,000 213,000
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) 208,000 219,960
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 165,000 140,250
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 400,000 350,500
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 158,000 162,740
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 113,000 116,814
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 398,000 434,815
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 62,425
HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 50,000 50,125
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 171,200
Kinetic Concepts, Inc./KCI USA, Inc. 144A notes 9.625%, 10/1/21 93,000 98,348
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 143,000 127,985
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5.25%, 12/1/23 70,000 72,100
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 121,800
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 130,000 131,726
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 249,000 258,960
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 519,165
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 96,000 97,680
Tenet Healthcare Corp. company guaranty sr. bonds 4.375%, 10/1/21 98,000 97,143
Tenet Healthcare Corp. company guaranty sr. FRN 4.463%, 6/15/20 170,000 171,275
Tenet Healthcare Corp. company guaranty sr. notes 6.25%, 11/1/18 355,000 375,413
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 231,000 241,973
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 160,000 120,200
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 202,000 152,510
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 35,000 27,125
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 85,000 63,750
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 149,000 125,905
5,940,601
Technology (1.7%)
Avaya, Inc. 144A company guaranty notes 10.50%, 3/1/21 54,000 23,220
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 466,000 407,750
Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc. company guaranty sr. unsec. notes 5.75%, 4/15/23 161,000 168,044
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 261,000 276,660
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 503,000 558,420
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 195,000 206,844
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 200,000 213,000
First Data Corp. 144A notes 5.75%, 1/15/24 190,000 196,057
First Data Corp. 144A sr. notes 5.375%, 8/15/23 165,000 171,188
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 193,000 204,281
Infor Software Parent LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 324,000 333,720
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 228,000 237,690
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 57,000 59,708
Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) 185,000 196,563
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 185,000 192,863
Micron Technology, Inc. 144A sr. notes 7.50%, 9/15/23 39,000 43,193
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 204,000 229,500
Techem Energy Metering Service GmbH & Co. KG 144A company guaranty sr. unsec. sub. notes 7.875%, 10/1/20 (Germany) EUR 200,000 219,023
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6.875%, 4/30/21 (Germany) EUR 265,000 294,484
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 $217,000 235,988
4,468,196
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 205,000 196,800
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 385,000 398,475
595,275
Utilities and power (1.5%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 665,000 661,675
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 70,000 69,300
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 135,000 150,525
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95%, 6/1/26 60,000 65,211
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 340,000 328,100
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 45,000 47,025
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 36,663
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6.875%, 7/30/19 (Brazil) 350,000 365,087
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 20,000 19,100
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 428,000 435,490
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 72,000 66,420
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8.625%, 1/15/22 247,000 302,126
Energy Transfer Equity LP company guaranty sr. notes 7.50%, 10/15/20 185,000 206,275
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 90,000 92,925
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 142,000 96,915
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 45,000 46,913
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 138,000 143,865
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.625%, 1/15/27 176,000 166,320
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/26 122,000 121,390
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 90,075
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 170,000 187,010
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.50%, 4/15/23 120,000 123,900
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 199,000 201,488
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 90,000 900
4,024,698
Total corporate bonds and notes (cost $86,619,788) $86,659,978

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.5%)(a)
Principal amount Value
Argentina (Republic of) 144A sr. unsec. notes 7.50%, 4/22/26 (Argentina) $727,000 $761,584
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.875%, 1/22/21 (Brazil) 420,000 432,600
Brazil (Federal Republic of) sr. unsec. unsub. notes 10.00%, 1/1/17 (Brazil) (units) BRL 2,850 918,397
Buenos Aires (Province of) 144A sr. unsec. notes 9.125%, 3/16/24 (Argentina) $2,291,000 2,490,031
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 1,399,000 1,602,135
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,067,000 1,096,343
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.375%, 3/24/21 (Croatia) 265,000 288,188
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.25%, 4/27/17 (Croatia) 225,000 227,924
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.00%, 1/26/24 (Croatia) 200,000 217,000
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 699,625
Egypt (Government of) 144A sr. unsec. notes 5.875%, 6/11/25 (Egypt) 638,000 578,755
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 410,000 315,088
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 335,000 272,356
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 1,373,000 1,128,164
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece)(STP) EUR 5,003,761 4,183,272
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 3,020,822 2,571,529
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) $200,000 206,500
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 546,000
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 208,000
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 750,000 1,271,250
Ukraine (Government of) 144A unsec. notes 7.75%, 9/1/27 (Ukraine) 168,000 156,008
Total foreign government and agency bonds and notes (cost $21,398,719) $20,170,749

SENIOR LOANS (2.2%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5.00%, 7/2/22 $232,551 $214,529
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, 4.25%, 4/28/22 49,873 49,624
Asurion, LLC bank term loan FRN 8.50%, 3/3/21 139,000 140,668
Avaya, Inc. bank term loan FRN Ser. B6, 6.50%, 3/31/18 136,799 118,844
Avaya, Inc. bank term loan FRN Ser. B7, 6.25%, 5/29/20 219,132 189,549
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.25%, 3/1/17 (In default)(NON) 501,414 552,809
Caesars Growth Properties Holdings, LLC bank term loan FRN 6.25%, 5/8/21 392,786 395,609
Casella Waste Systems, Inc. bank term loan FRN Ser. B, 4.00%, 10/17/23 440,000 443,850
Chesapeake Energy Corp. bank term loan FRN 8.50%, 8/23/21 280,000 304,383
Cortes NP Intermediate Holding II Corp. bank term loan FRN Ser. B, 6.00%, 11/30/23 75,000 75,500
CPG International, Inc. bank term loan FRN Ser. B, 4.75%, 9/30/20 36,820 37,073
DPx Holdings BV bank term loan FRN Ser. B, 4.25%, 3/11/21 117,000 117,682
EP Energy, LLC bank term loan FRN 9.75%, 6/30/21 7,000 7,306
Forterra Finance, LLC bank term loan FRN 4.50%, 10/25/23 100,000 101,000
Gates Global, LLC/Gates Global Co. bank term loan FRN 4.25%, 7/6/21 113,171 113,153
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 207,067 180,407
iHeartCommunications, Inc. bank term loan FRN Ser. D, 7.356%, 1/30/19 323,000 261,899
Inception Merger Sub, Inc. bank term loan FRN Ser. B, 5.00%, 10/26/23 58,000 58,625
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4.75%, 7/1/22 262,338 264,961
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term loan FRN Ser. B , 6.00%, 1/6/22 270,000 272,100
Krono's, Inc. bank term loan FRN 9.25%, 11/1/24 95,000 97,716
Krono's, Inc. bank term loan FRN 5.00%, 11/1/23 158,000 159,284
MEG Energy Corp. bank term loan FRN Ser. B, 3.75%, 3/31/20 233,707 225,381
Navistar, Inc. bank term loan FRN Ser. B, 6.50%, 8/7/20 163,350 165,351
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4.25%, 10/25/20 188,434 163,766
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4.75%, 6/30/21 78,000 77,293
Petco Animal Supplies, Inc. bank term loan FRN Ser. B1, 5.00%, 1/26/23 148,875 149,847
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4.25%, 9/7/23 184,538 186,106
Reynolds Group Holdings, Inc. bank term loan FRN 4.25%, 2/5/23 144,638 146,117
Solenis International LP bank term loan FRN 7.75%, 7/31/22 38,000 37,288
Solenis International LP bank term loan FRN 4.25%, 7/31/21 174,554 174,663
Talbots, Inc. (The) bank term loan FRN 9.50%, 3/19/21 59,961 54,415
Talbots, Inc. (The) bank term loan FRN 5.50%, 3/19/20 117,849 114,411
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. C2, 5.25%, 12/11/19 49,705 49,581
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 5.25%, 8/5/20 100,734 100,411
Total senior loans (cost $5,859,312) $5,801,201

PURCHASED SWAP OPTIONS OUTSTANDING (0.2%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
1.4019/3 month USD-LIBOR-BBA/Jan-19   Jan-17/1.4019   $24,653,000 $3,205
Citibank, N.A.
2.226/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.226 12,326,500 35,500
2.11875/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.11875 12,326,500 6,656
Credit Suisse International
1.95275/3 month USD-LIBOR-BBA/Jan-27 Jan-17/1.95275 12,326,500 370
Goldman Sachs International
2.462/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.462 18,489,800 270,321
2.4775/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.4775 12,326,500 202,155
2.2125/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.2125 12,326,500 26,872
1.1735/3 month USD-LIBOR-BBA/Jan-18 Jan-17/1.1735 49,306,000 2,465
JPMorgan Chase Bank N.A.
2.2095/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.2095 12,326,500 30,200
Total purchased swap options outstanding (cost $532,629) $577,744

PURCHASED OPTIONS OUTSTANDING (0.6%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Jan-17/$95.39 $15,000,000 $45,750
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/100.77 5,250,000 289,538
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/100.58 5,250,000 279,668
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/100.02 5,250,000 250,163
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.83 5,250,000 240,293
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Jan-17/99.46 61,000,000 233,020
USD/JPY (Call) May-17/JPY118.00 5,278,800 132,287
Total purchased options outstanding (cost $897,865) $1,470,719

COMMON STOCKS (0.1%)(a)
Shares Value
Halcon Resources Corp.(NON) 11,307 $105,607
Milagro Oil & Gas, Inc. (Units)(F) 73 5,913
SandRidge Energy, Inc.(NON) 1,590 37,445
Seventy Seven Energy, Inc.(NON) 31 1,395
Texas Competitive Electric Holdings Co., Inc. (Rights)(F) 9,820 12,766
Tribune Media Co. Class 1C(F) 40,066 10,017
Vistra Energy Corp. 9,820 152,210
Total common stocks (cost $424,968) $325,353

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
Navistar International Corp. cv. sr. unsec. sub. bonds 4.50%, 10/15/18 $69,000 $68,008
SandRidge Energy, Inc. cv. company guaranty sr. unsec. sub. notes zero %, 10/4/20 37,499 46,710
Total convertible bonds and notes (cost $96,216) $114,718

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 3,071 $7,063
Seventy Seven Energy, Inc. 8/1/21 23.82 172 3,526
Total warrants (cost $688) $10,589

SHORT-TERM INVESTMENTS (8.2%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.69%(AFF) Shares 1,902,021 $1,902,021
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(P) Shares 180,000 180,000
U.S. Treasury Bills 0.441%, 2/16/17(SEGSF)(SEGCCS) $3,694,000 3,692,013
U.S. Treasury Bills 0.445%, 2/9/17(SEGSF)(SEGCCS) 3,641,000 3,639,325
U.S. Treasury Bills 0.472%, 2/2/17(SEGSF) 258,000 257,909
U.S. Treasury Bills 0.385%, 1/26/17 (SEGCCS) 4,056,000 4,054,909
U.S. Treasury Bills 0.387%, 1/19/17(SEGSF)(SEGCCS) 987,000 986,818
U.S. Treasury Bills 0.466%, 1/12/17(SEGSF)(SEGCCS) 7,115,000 7,114,289
Total short-term investments (cost $21,826,876) $21,827,284

TOTAL INVESTMENTS
Total investments (cost $367,933,738)(b) $365,792,488













FORWARD CURRENCY CONTRACTS at 12/31/16 (aggregate face value $86,371,361) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 1/18/17 $1,572,396 $1,661,966 $(89,570)
British Pound Sell 3/16/17 945,432 965,755 20,323
Canadian Dollar Buy 1/18/17 1,629,705 1,625,816 3,889
Chinese Yuan (Offshore) Sell 2/16/17 2,579,916 2,631,572 51,656
Euro Sell 3/16/17 347,443 349,417 1,974
Hong Kong Dollar Sell 2/16/17 1,649,174 1,650,249 1,075
Japanese Yen Buy 2/16/17 1,359,283 1,349,239 10,044
Japanese Yen Sell 2/16/17 1,325,952 1,421,354 95,402
New Zealand Dollar Sell 1/18/17 395,451 354,257 (41,194)
Norwegian Krone Sell 3/16/17 1,487,802 1,529,036 41,234
Swedish Krona Buy 3/16/17 39,118 38,825 293
Barclays Bank PLC
Australian Dollar Buy 1/18/17 124,727 185,224 (60,497)
British Pound Sell 3/16/17 1,000,741 1,029,359 28,618
Canadian Dollar Buy 1/18/17 652,418 684,418 (32,000)
Euro Sell 3/16/17 1,938,671 1,907,520 (31,151)
New Zealand Dollar Sell 1/18/17 1,336,411 1,333,931 (2,480)
Swiss Franc Buy 3/16/17 39,851 40,230 (379)
Citibank, N.A.
Australian Dollar Buy 1/18/17 314,379 331,514 (17,135)
Brazilian Real Buy 1/3/17 891,695 858,639 33,056
Brazilian Real Sell 1/3/17 891,695 866,931 (24,764)
Brazilian Real Sell 4/3/17 870,182 837,987 (32,195)
British Pound Sell 3/16/17 137,407 141,132 3,725
Canadian Dollar Buy 1/18/17 99,971 100,650 (679)
Chinese Yuan (Offshore) Sell 2/16/17 1,283,719 1,317,082 33,363
Euro Sell 3/16/17 1,321,110 1,317,054 (4,056)
Japanese Yen Sell 2/16/17 1,279,466 1,318,428 38,962
Mexican Peso Buy 1/18/17 329,325 328,869 456
New Zealand Dollar Sell 1/18/17 1,189,202 1,189,297 95
South African Rand Buy 1/18/17 8,861 8,837 24
Credit Suisse International
Canadian Dollar Buy 1/18/17 1,273,624 1,298,511 (24,887)
Hong Kong Dollar Sell 2/16/17 1,001,451 1,001,958 507
Swedish Krona Buy 3/16/17 1,356,329 1,346,143 10,186
Goldman Sachs International
Australian Dollar Sell 1/18/17 1,075,292 1,067,657 (7,635)
Canadian Dollar Buy 1/18/17 554,981 567,493 (12,512)
Euro Sell 3/16/17 1,323,962 1,299,029 (24,933)
Japanese Yen Sell 2/16/17 1,441,834 1,645,509 203,675
New Taiwan Dollar Sell 2/16/17 1,302,887 1,316,354 13,467
New Zealand Dollar Sell 1/18/17 2,000,381 2,083,367 82,986
Norwegian Krone Sell 3/16/17 345,764 399,136 53,372
Russian Ruble Buy 3/16/17 1,391,589 1,325,168 66,421
South Korean Won Sell 2/16/17 1,250,280 1,290,746 40,466
HSBC Bank USA, National Association
Australian Dollar Buy 1/18/17 38,882 41,217 (2,335)
Canadian Dollar Buy 1/18/17 1,319,438 1,332,424 (12,986)
Euro Sell 3/16/17 664,147 657,736 (6,411)
Hong Kong Dollar Sell 2/16/17 1,308,693 1,309,370 677
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/18/17 1,538,707 1,701,846 (163,139)
British Pound Sell 3/16/17 198,765 204,452 5,687
Canadian Dollar Buy 1/18/17 1,799,626 1,824,019 (24,393)
Chinese Yuan (Offshore) Sell 2/16/17 1,296,183 1,314,599 18,416
Euro Sell 3/16/17 3,387,075 3,451,745 64,670
Hong Kong Dollar Sell 2/16/17 1,337,702 1,338,392 690
Japanese Yen Sell 2/16/17 803,273 972,643 169,370
New Taiwan Dollar Sell 2/16/17 1,302,887 1,308,423 5,536
New Zealand Dollar Sell 1/18/17 1,846,922 1,825,099 (21,823)
Norwegian Krone Sell 3/16/17 801,071 827,585 26,514
South Korean Won Sell 2/16/17 1,250,280 1,296,397 46,117
Swedish Krona Buy 3/16/17 1,312,141 1,307,644 4,497
Swiss Franc Buy 3/16/17 83,647 83,724 (77)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/18/17 1,247,702 1,323,440 (75,738)
British Pound Sell 3/16/17 979,630 1,006,428 26,798
Canadian Dollar Buy 1/18/17 1,327,781 1,337,863 (10,082)
Euro Sell 3/16/17 843,203 828,974 (14,229)
New Zealand Dollar Sell 1/18/17 2,576,789 2,626,120 49,331
Swedish Krona Buy 3/16/17 1,349,539 1,333,152 16,387
State Street Bank and Trust Co.
Australian Dollar Sell 1/18/17 932,314 912,787 (19,527)
British Pound Sell 3/16/17 399,630 410,668 11,038
Canadian Dollar Buy 1/18/17 1,322,715 1,343,503 (20,788)
Euro Sell 3/16/17 2,523,588 2,528,031 4,443
Japanese Yen Buy 2/16/17 558,104 574,692 (16,588)
New Zealand Dollar Sell 1/18/17 1,213,505 1,243,067 29,562
Swedish Krona Buy 3/16/17 1,421,735 1,372,486 49,249
UBS AG
Australian Dollar Buy 1/18/17 35,276 37,381 (2,105)
British Pound Sell 3/16/17 1,651,485 1,695,936 44,451
Euro Sell 3/16/17 1,527,527 1,516,623 (10,904)
New Zealand Dollar Sell 1/18/17 1,242,183 1,256,911 14,728
WestPac Banking Corp.
Australian Dollar Sell 1/18/17 384,208 371,534 (12,674)
Canadian Dollar Sell 1/18/17 495,535 493,930 (1,605)
Euro Sell 3/16/17 1,328,716 1,344,861 16,145
Total $618,104












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/16 (premiums $1,702,258) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
(2.0514)/3 month USD-LIBOR-BBA/Jan-19 Jan-17/2.0514 $24,653,000 $1,479

Citibank, N.A.
(1.95275)/3 month USD-LIBOR-BBA/Jan-27 Jan-17/1.95275 12,326,500 370
2.776/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.776 12,326,500 1,479
2.28475/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.28475 12,326,500 96,763

Credit Suisse International
2.73/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.73 12,326,500 863

Goldman Sachs International
(1.52275)/3 month USD-LIBOR-BBA/Jan-18 Jan-17/1.52275 49,306,000 493
2.7625/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.7625 12,326,500 986
2.6875/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.6875 12,326,500 7,519
2.657/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.657 18,489,800 7,951
(2.242)/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.242 18,489,800 61,571
(2.2675)/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.2675 12,326,500 61,632
(2.3725)/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.3725 12,326,500 120,800
(2.352)/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.352 18,489,800 144,775

JPMorgan Chase Bank N.A.
2.762/3 month USD-LIBOR-BBA/Jan-27 Jan-17/2.762 12,326,500 1,726
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 6,568,000 396,510
Total $904,917












WRITTEN OPTIONS OUTSTANDING at 12/31/16 (premiums $795,968) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/$100.02 $5,250,000 $250,163
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.83 5,250,000 240,290
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.27 5,250,000 210,788
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.27 5,250,000 210,788
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.08 5,250,000 200,918
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.08 5,250,000 200,918
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/98.52 5,250,000 171,413
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/98.33 5,250,000 161,595
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/95.39 15,000,000 66,150
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Jan-17/99.46 61,000,000 247,050
USD/JPY (Call) May-17/JPY125.00 5,278,800 44,711
Total $2,004,784













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/16 (Unaudited)
Counterparty Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount (payable) (depreciation)
Barclays Bank PLC
     (0.625)/6 month JPY-LIBOR-BBA/Feb-37 (Purchased) Feb-17/0.625 $725,900,000 $(59,295) $45,961
     (0.66)/6 month JPY-LIBOR-BBA/Feb-37 (Purchased) Feb-17/0.66 725,900,000 (59,062) 27,452
Total $(118,357) $73,413












TBA SALE COMMITMENTS OUTSTANDING at 12/31/16 (proceeds receivable $27,188,008) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3.00%, 1/1/47 $20,000,000       1/18/17 $19,884,376
Federal National Mortgage Association, 2.50%, 1/1/47 8,000,000       1/18/17 7,618,750
Total $27,503,126















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/16 (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)
JPMorgan Chase Bank N.A.
MXN 37,435,000 $—      1/1/26 1 month MXN-TIIE-BANXICO 6.16% $(207,468)
MXN 40,660,000 —      10/6/21 1 month MXN-TIIE-BANXICO 5.93% (132,360)
MXN 16,432,000 —      10/8/21 1 month MXN-TIIE-BANXICO 5.895% (54,721)
MXN 17,033,000 —      10/26/21 1 month MXN-TIIE-BANXICO 6.09% (50,930)
Total$—     $(445,479)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/16 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$306,249 (E) $(10)     4/24/47 3 month USD-LIBOR-BBA 1.92% $(46,248)
5,956,000 (E) 16,268      3/15/27 3 month USD-LIBOR-BBA 2.50% 84,923
34,227,000 (E) 57,379      3/15/22 3 month USD-LIBOR-BBA 2.15% 252,439
7,383,000 (E) 33,321      3/15/47 3 month USD-LIBOR-BBA 2.704% 199,468
134,365,400 (E) (224,736)     3/15/27 2.4885% 3 month USD-LIBOR-BBA (1,633,020)
35,986,200 (E) (39,977)     3/15/22 2.132% 3 month USD-LIBOR-BBA (213,971)
172,136,600 (E) (50,766)     3/15/19 1.6065% 3 month USD-LIBOR-BBA (213,608)
AUD 5,383,000 (E) 2,563      3/22/22 2.70% 6 month AUD-BBR-BBSW (537)
AUD 2,434,000 (E) 737      3/22/27 3.10% 6 month AUD-BBR-BBSW (9,885)
CAD 3,025,000 (E) (26)     9/8/26 3 month CAD-BA-CDOR 1.58% (80,312)
CAD 3,025,000 (E) (26)     9/8/26 3 month CAD-BA-CDOR 1.6275% (75,459)
CAD 5,118,000 (E) (44)     10/19/26 1.8475% 3 month CAD-BA-CDOR 92,782
CAD 69,000 (E) (118)     3/15/22 3 month CAD-BA-CDOR 1.60% 117
CAD 8,059,000 (E) (2,904)     3/15/27 2.07% 3 month CAD-BA-CDOR (63,341)
CHF 21,000 (E) 16      3/15/22 6 month CHF-LIBOR-BBA 0.25% (17)
CHF 1,492,000 (E) 2,061      3/15/27 0.25% 6 month CHF-LIBOR-BBA (8,409)
EUR 71,635,000 (E) 83,323      3/15/22 0.20% 6 month EUR-EURIBOR-REUTERS (247,109)
EUR 2,624,000 (E) (6,089)     3/15/27 0.40% 6 month EUR-EURIBOR-REUTERS 77,126
EUR 8,572,000 (E) (126,183)     3/15/27 0.82% 6 month EUR-EURIBOR-REUTERS (230,728)
GBP 3,310,000 (E) (50)     9/8/26 1.075% 6 month GBP-LIBOR-BBA 97,363
GBP 3,121,000 (E) (43)     10/19/26 6 month GBP-LIBOR-BBA 1.386% (37,537)
GBP 19,127,000 (E) (22,860)     3/15/22 1.06% 6 month GBP-LIBOR-BBA (208,226)
GBP 7,345,000 (E) 32,194      3/15/27 1.50% 6 month GBP-LIBOR-BBA (179,505)
JPY 511,900,000 (30)     2/19/20 6 month JPY-LIBOR-BBA 1.3975% 212,333
JPY 173,567,000 (E) (51)     2/22/37 6 month JPY-LIBOR-BBA 0.56% (31,518)
MXN 13,775,000 (10)     12/3/26 7.715% 1 month MXN-TIIE-BANXICO 8,845
NOK 24,268,000 (E) 2,232      3/15/22 1.65% 6 month NOK-NIBOR-NIBR (7,599)
NOK 6,000 (E) (1)     3/15/27 6 month NOK-NIBOR-NIBR 2.05% 4
NZD 3,493,000 (E) (3,280)     3/15/27 3 month NZD-BBR-FRA 3.70% 27,448
NZD 18,313,000 (E) 3,936      3/15/22 3 month NZD-BBR-FRA 3.18% 27,955
SEK 75,642,000 (E) 3,069      3/15/22 0.35% 3 month SEK-STIBOR-SIDE (4,263)
SEK 282,000 (E) 4      3/15/27 1.25% 3 month SEK-STIBOR-SIDE (282)
ZAR 15,958,000 (15)     10/11/26 8.32625% 3 month ZAR-JIBAR-SAFEX (2,731)
Total$(240,116)    $(2,213,502)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/16 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$316,763 $—      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $48
118,196 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 314
296,738 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (3,123)
281,111 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 748
33,978 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (216)
148,497 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 146
701,462 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,865
553,451 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (205)
332,880 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 2,833
426,526 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 224
256,907 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 135
325,660 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 171
509,115 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,237)
73,030 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (464)
1,223,595 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,275
1,023,873 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 325
2,052,294 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 652
177,074 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 19
1,095,235 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (3,031)
9,038,906 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (12,329)
5,503,030 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 30,806
EUR 2,881,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco 4,913
EUR 1,441,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco 3,595
EUR 2,049,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco 6,212
GBP 2,120,000 —      11/3/26 3.4531% GBP Non-revised UK Retail Price Index (24,193)
Citibank, N.A.
$561,607 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (766)
1,203,615 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,642)
112,418 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (153)
Credit Suisse International
481,446 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (657)
372,364 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 2,084
717,701 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 376
763,092 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 795
845,900 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 881
746,797 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 391
277,901 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (88)
237,300 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (63)
625,189 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (68)
209,121 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (23)
382,392 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (42)
2,726,949 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,568)
704,844 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (664)
697,711 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (401)
1,342,965 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 427
Deutsche Bank AG
372,364 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 2,084
Goldman Sachs International
409,600 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (4,311)
167,983 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,068)
786,319 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 118
786,319 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 118
255,861 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 1,432
96,116 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 538
721,228 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (489)
22,101 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (233)
188,405 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (1,983)
496,635 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,647)
198,052 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (2,084)
396,104 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (4,169)
12,614 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (80)
58,308 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (19)
180,597 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 1,011
350,488 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 1,962
216,669 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 1,213
16,663 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 93
44,404 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 249
1,834,518 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 275
1,598,046 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 240
374,725 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (119)
1,215,892 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,267
1,694,905 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (449)
1,339,281 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (355)
619,580 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (164)
699,478 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (659)
779,449 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 85
3,700,135 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,485)
1,215,305 —      1/12/44 (3.00%) 1 month USD-LIBOR Synthetic TRS Index 3.00% 30 year Fannie Mae pools 2,914
3,485,663 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,107
EUR 10,371,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (20,852)
EUR 3,424,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (6,884)
EUR 2,881,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 16,195
EUR 2,881,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 12,677
EUR 2,882,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco 21,148
EUR 1,717,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco 26,095
GBP 1,060,000 —      11/10/26 3.56% GBP Non-revised UK Retail Price Index 5,252
GBP 1,060,000 —      11/18/26 3.52% GBP Non-revised UK Retail Price Index (1,254)
JPMorgan Chase Bank N.A.
$2,405,354 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (764)
1,375,596 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (437)
2,107,125 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (669)
1,305,786 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (415)
1,215,892 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,267
EUR 1,441,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco 4,987
EUR 1,441,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco 6,398
EUR 1,837,000 —      1/27/21 (0.755%) Eurostat Eurozone HICP excluding tobacco 27,416
EUR 1,511,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco 22,965
JPMorgan Securities LLC
$1,705,200 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,338)
260,179 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 28
Total$—     $108,509











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/16 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $4,375 $64,000 5/11/63 300 bp $770
  CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp 556
  CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp 1,528
  CMBX NA BBB- Index BBB-/P 16,587 291,000 5/11/63 300 bp 199
Credit Suisse International
  CMBX NA BB Index — (72,135) 514,000 1/17/47 (500 bp) (4,170)
  CMBX NA BB Index — (47,639) 2,699,000 5/11/63 (500 bp) 307,085
  CMBX NA BB Index — (88,569) 541,000 1/17/47 (500 bp) (17,034)
  CMBX NA BB Index — (1,359) 140,000 1/17/47 (500 bp) 17,153
  CMBX NA BBB- Index BBB-/P 3,573 73,000 5/11/63 300 bp (538)
  CMBX NA BBB- Index BBB-/P 73,145 1,491,000 5/11/63 300 bp (10,823)
  CMBX NA BBB- Index BBB-/P 68,630 1,045,000 1/17/47 300 bp 9,779
  CMBX NA BBB- Index BBB-/P 1,356,338 18,350,000 1/17/47 300 bp 322,927
Goldman Sachs International
  CMBX NA BB Index — (125,419) 1,226,000 5/11/63 (500 bp) 35,712
  CMBX NA BB Index — (32,233) 213,000 1/17/47 (500 bp) (4,068)
  CMBX NA BB Index — (8,913) 61,000 5/11/63 (500 bp) (895)
  CMBX NA BB Index — (75,236) 445,000 1/17/47 (500 bp) (16,395)
  CMBX NA BBB- Index BBB-/P 13,442 271,000 5/11/63 300 bp (1,820)
  CMBX NA BBB- Index BBB-/P 13,211 271,000 5/11/63 300 bp (2,051)
  CMBX NA BBB- Index BBB-/P 14,449 277,000 5/11/63 300 bp (1,151)
  CMBX NA BBB- Index BBB-/P 37,011 765,000 5/11/63 300 bp (6,071)
  CMBX NA BBB- Index — (14,964) 184,000 1/17/47 (300 bp) (4,601)
  CMBX NA BBB- Index BBB-/P 51,111 600,000 1/17/47 300 bp 17,321
  CMBX NA BBB- Index BBB-/P 56,109 805,000 1/17/47 300 bp 10,774
  CMBX NA BBB- Index BBB-/P 90,359 1,040,000 1/17/47 300 bp 31,790
  CMBX NA BBB- Index BBB-/P 241,628 3,269,000 1/17/47 300 bp 57,529
JPMorgan Securities LLC
  CMBX NA BB Index — (83,798) 596,000 5/11/63 (500 bp) (5,467)
  CMBX NA BB Index — (53,936) 372,000 5/11/63 (500 bp) (5,045)
  CMBX NA BB Index — (37,251) 259,000 5/11/63 (500 bp) (3,211)
  CMBX NA BB Index — (15,954) 120,000 5/11/63 (500 bp) (183)
  CMBX NA BBB- Index BBB-/P 56,090 1,014,000 5/11/63 300 bp (1,015)
  CMBX NA BBB- Index BBB-/P 90,887 1,159,000 5/11/63 300 bp 25,616
  CMBX NA BBB- Index — (118,261) 1,284,000 1/17/47 (300 bp) (45,954)
  CMBX NA BBB- Index — (42,678) 513,000 1/17/47 (300 bp) (13,787)
  CMBX NA BBB- Index — (18,115) 229,000 1/17/47 (300 bp) (5,218)
  CMBX NA BBB- Index BBB-/P 24,161 296,000 1/17/47 300 bp 7,491
Total$1,400,552$696,733
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2016. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2016 through December 31, 2016 (the reporting period). Within the following notes to the portfolio, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $267,367,889.
(b) The aggregate identified cost on a tax basis is $376,244,510, resulting in gross unrealized appreciation and depreciation of $4,030,792 and $14,482,814, respectively, or net unrealized depreciation of $10,452,022.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* 9,455,363 24,843,187 32,396,529 6,350 1,902,021
Totals $9,455,363 $24,843,187 $32,396,529 $6,350 $1,902,021
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $122,735,607 to cover certain derivative contracts, and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 86.8 %
Greece 2.3
Russia 2.0
Brazil 1.9
Argentina 1.6
Mexico 1.2
Canada 1.1
Indonesia 0.6
Other 2.5
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA 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 and par amount have been established, the actual securities have not been specified. 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.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. 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.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $464,867 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, 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 or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $1,910,425 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,897,002 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $10,017
    Energy 144,447 — 5,913
    Utilities and power 152,210 12,766 —
Total common stocks 296,657 12,766 15,930
Convertible bonds and notes — 114,718 —
Corporate bonds and notes — 86,659,644 334
Foreign government and agency bonds and notes 20,170,749
Mortgage-backed securities — 132,861,808 —
Purchased options outstanding — 1,470,719 —
Purchased swap options outstanding — 577,744 —
Senior loans — 5,801,201 —
U.S. government and agency mortgage obligations — 95,972,345 —
Warrants 7,063 3,526 —
Short-term investments 2,082,021 19,745,263 —
Totals by level $2,385,741 $363,390,483 $16,264



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $618,104 $—
Written options outstanding — (2,004,784) —
Written swap options outstanding — (904,917) —
Forward premium swap option contracts — 73,413 —
TBA sale commitments — (27,503,126) —
Interest rate swap contracts — (2,418,865) —
Total return swap contracts — 108,509 —
Credit default contracts — (703,819) —
Totals by level $— $(32,735,485) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $1,070,382 $1,774,201
Foreign exchange contracts 1,571,862 866,182
Equity contracts 10,589 —
Interest rate contracts 3,187,479 6,373,236
Total $5,840,312 $9,013,619


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$91,800,000
Purchased currency option contracts (contract amount)$4,000,000
Purchased swap option contracts (contract amount)$1,241,000,000
Written TBA commitment option contracts (contract amount)$107,500,000
Written currency option contracts (contract amount)$4,000,000
Written swap option contracts (contract amount)$279,000,000
Futures contracts (number of contracts)30
Forward currency contracts (contract amount)$201,300,000
OTC interest rate swap contracts (notional)$4,800,000
Centrally cleared interest rate swap contracts (notional)$556,700,000
OTC total return swap contracts (notional)$117,600,000
OTC credit default contracts (notional)$40,100,000
Warrants (number of warrants)3,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#   $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—    — 
  Centrally cleared interest rate swap contracts§   —  —  7,044,970  —  —  —  —  —  —  —  —  —  —  —    7,044,970 
  OTC Total return swap contracts*#   —  54,281  —  —  4,954  2,084  93,989  —  63,033  28  —  —  —  —    218,369 
  OTC Credit default contracts*#   —  —  —  —  512,736  —  266,518  —  —  291,128  —  —  —  —    1,070,382 
  Centrally cleared credit default contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Forward currency contracts#   225,890  28,618  —  109,681  10,693  —  460,387  677  341,497  —  92,516  94,292  59,179  16,145    1,439,575 
  Forward premium swap option contracts#   —  73,413  —  —  —  —  —  —  —  —  —  —  —  —    73,413 
  Purchased swap options#   3,205  —  —  42,156  370  —  501,813  —  30,200  —  —  —  —  —    577,744 
  Purchased options#   —  —  —  —  —  —  —  —  1,470,719  —  —  —  —  —    1,470,719 
                                     
  Total Assets   $229,095  $156,312  $7,044,970  $151,837  $528,753  $2,084  $1,322,707  $677  $1,905,449  $291,156  $92,516  $94,292  $59,179  $16,145    $11,895,172 
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#   —  —  —  —  —  —  —  —  445,479  —  —  —  —  —    445,479 
  Centrally cleared interest rate swap contracts§   —  —  7,550,884  —  —  —    —  —  —  —  —  —  —    7,550,884 
  OTC Total return swap contracts*#   —  46,798  —  2,561  4,574  —  52,304  —  2,285  1,338  —  —  —  —    109,860 
  OTC Credit default contracts*#   43,815  —  —  —  1,180,341  —  410,999  —  —  139,046  —  —  —  —    1,774,201 
  Centrally cleared credit default contracts§   —  —  1,882  —  —  —  —  —  —  —  —  —  —  —    1,882 
  Forward currency contracts#   130,764  126,507  —  78,829  24,887  —  45,080  21,732  209,432  —  100,049  56,903  13,009  14,279    821,471 
  Forward premium swap option contracts#   —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Written swap options#   1,479  —  —  98,612  863  —  405,727  —  398,236  —  —  —  —  —    904,917 
  Written options#   —  —  —  —  —  —  —  —  2,004,784  —  —  —  —  —    2,004,784 
                                     
  Total Liabilities   $176,058  $173,305  $7,552,766  $180,002  $1,210,665  $—  $914,110  $21,732  $3,060,216  $140,384  $100,049  $56,903  $13,009  $14,279    $13,613,478 
                                     
  Total Financial and Derivative Net Assets   $53,037  $(16,993) $(507,796) $(28,165) $(681,912) $2,084  $408,597  $(21,055) $(1,154,767) $150,772  $(7,533) $37,389  $46,170  $1,866    $(1,718,306)
  Total collateral received (pledged)##†   $—  $(16,993) $—  $(28,165) $(609,695) $—  $408,597  $—  $(1,154,767) $150,772  $—  $—  $—  $—     
  Net amount   $53,037  $—  $(507,796) $—  $(72,217) $2,084  $—  $(21,055) $—  $—  $(7,533) $37,389  $46,170  $1,866     
                                     
* Excludes premiums, if any.
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.
                                     
# Covered by master netting agreement.
                                     
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                     
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 28, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: February 28, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: February 28, 2017