Item 1. Schedule of Investments:

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Putnam Diversified Income Trust
The fund's portfolio
June 30, 2005 (Unaudited)
		-
	CORPORATE BONDS AND NOTES (26.4%)(a)
			Principal amount	Value
	Basic Materials (2.3%)
	ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg)		$6,520,000	$7,367,571
	Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013		3,133,000	3,156,498
	Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany)	EUR	1,845,000	2,412,042
	Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)		$1,715,000	1,432,025
	Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP)		5,065,000	4,406,550
	Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014 (STP)		2,665,000	1,878,825
	Equistar Chemicals LP notes 8 3/4s, 2009		2,520,000	2,652,300
	Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008		4,059,000	4,393,868
	Georgia-Pacific Corp. bonds 7 3/4s, 2029		755,000	848,431
	Georgia-Pacific Corp. bonds 7 1/4s, 2028		1,000,000	1,070,000
	Georgia-Pacific Corp. company guaranty 8 7/8s, 2010		715,000	811,525
	Georgia-Pacific Corp. debs. 7.7s, 2015		6,225,000	7,096,500
	Georgia-Pacific Corp. sr. notes 8s, 2024		2,950,000	3,392,500
	Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)		6,625,000	7,188,125
	Hercules, Inc. company guaranty 11 1/8s, 2007		1,508,000	1,702,155
	Huntsman Advanced Materials, LLC sec. FRN 10s, 2008		705,000	742,013
	Huntsman Advanced Materials, LLC sec. notes 11s, 2010		1,495,000	1,689,350
	Huntsman, LLC company guaranty 11 5/8s, 2010		2,259,000	2,645,854
	Huntsman, LLC company guaranty 11 1/2s, 2012		1,428,000	1,674,330
	Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014		1,720,000	1,754,400
	International Steel Group, Inc. sr. notes 6 1/2s, 2014		930,000	892,800
	Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012		1,480,000	1,487,400
	Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013		285,000	272,175
	JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK)	EUR	3,675,995	3,582,083
	MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)		$1,640,000	1,640,000
	MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland)	EUR	3,045,000	3,794,709
	Nalco Co. sr. sub. notes 9s, 2013	EUR	505,000	661,429
	Nalco Co. sr. sub. notes 8 7/8s, 2013		$9,340,000	10,017,150
	Novelis, Inc. 144A sr. notes 7 1/4s, 2015 (Canada)		6,915,000	6,940,931
	PQ Corp. 144A company guaranty 7 1/2s, 2013		1,690,000	1,660,425
	Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014	EUR	2,750,000	3,338,862
	Rockwood Specialties Group, Inc. 144A sub. notes 7 1/2s, 2014		$1,100,000	1,091,750
	Steel Dynamics, Inc. company guaranty 9 1/2s, 2009		4,955,000	5,277,075
	Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK)		862,593	853,967
	Stone Container Corp. sr. notes 9 3/4s, 2011		865,000	912,575
	Stone Container Corp. sr. notes 8 3/8s, 2012		60,000	60,600
	Stone Container Finance company guaranty 7 3/8s, 2014 (Canada)		1,080,000	1,015,200
	Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada)		1,000	815
	Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada)		50,000	36,750
	Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013		1,049,000	1,073,914
	United States Steel Corp. sr. notes 9 3/4s, 2010		1,682,000	1,816,560
	United States Steel, LLC sr. notes 10 3/4s, 2008		682,000	757,020
	WHX Corp. sr. notes 10 1/2s, 2005 (In default) (NON)(DEF)		1,065,000	1,049,025
				106,548,077
	Capital Goods (1.9%)
	Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008		5,158,000	5,428,795
	BE Aerospace, Inc. sr. sub. notes Ser. B, 8 7/8s, 2011		439,000	458,755
	BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008		3,851,000	3,851,000
	Blount, Inc. sr. sub. notes 8 7/8s, 2012		4,190,000	4,483,300
	Browning-Ferris Industries, Inc. debs. 7.4s, 2035		440,000	374,000
	Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008		2,115,000	2,096,494
	Crown Euro Holdings SA sec. notes 10 1/4s, 2011 (France)	EUR	585,000	801,971
	Crown Euro Holdings SA sec. sr. notes 10 7/8s, 2013 (France)		$9,740,000	11,444,500
	Decrane Aircraft Holdings Co. company guaranty zero %, 2008		8,500,000	3,230,000
	Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)		376,000	359,080
	L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015		9,135,000	8,860,950
	Legrand SA debs. 8 1/2s, 2025 (France)		7,999,000	9,678,790
	Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012		256,000	289,280
	Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011	EUR	1,120,000	1,495,403
	Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013		$1,510,000	1,577,950
	Mueller Group, Inc. sr. sub. notes 10s, 2012		1,885,000	1,979,250
	Owens-Brockway Glass company guaranty 8 7/8s, 2009		910,000	971,425
	Owens-Brockway Glass company guaranty 7 3/4s, 2011		2,830,000	3,006,875
	Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012		6,145,000	6,774,863
	Owens-Illinois, Inc. debs. 7.8s, 2018		485,000	509,250
	Sequa Corp. sr. notes 9s, 2009		6,191,000	6,810,100
	Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)		2,710,000	2,330,600
	Terex Corp. company guaranty 9 1/4s, 2011		1,310,000	1,421,350
	Terex Corp. company guaranty Ser. B, 10 3/8s, 2011		4,590,000	5,003,100
	Titan Corp. (The) company guaranty 8s, 2011		2,380,000	2,552,550
				85,789,631
	Communication Services (1.7%)
	Alamosa Delaware, Inc. company guaranty 11s, 2010		1,799,000	2,023,875
	Alamosa Delaware, Inc. company guaranty stepped-coupon zero % (12s, 7/31/05), 2009 (STP)		1,719,000	1,895,198
	American Cellular Corp. company guaranty 9 1/2s, 2009		1,350,000	1,373,625
	Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON)		3,367,254	101,018
	Cincinnati Bell Telephone Co. company guaranty 6.3s, 2028		1,105,000	994,500
	Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014		680,000	697,000
	Cincinnati Bell, Inc. sr. sub. notes 7 1/4s, 2023		2,845,000	2,695,638
	Cincinnati Bell, Inc. 144A sr. notes 7s, 2015		3,995,000	3,905,113
	Citizens Communications Co. sr. notes 6 1/4s, 2013		8,034,000	7,772,895
	Globix Corp. company guaranty 11s, 2008 (PIK)		780,744	731,948
	Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom)		3,600,000	3,798,000
	Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP)		6,035,000	4,737,475
	iPCS, Inc. sr. notes 11 1/2s, 2012		2,160,000	2,408,400
	IWO Escrow Co. 144A sec. FRN 6.891s, 2012		680,000	674,900
	Nextel Communications, Inc. sr. notes 5.95s, 2014		14,536,000	15,099,270
	Qwest Communications International, Inc. company guaranty 8s, 2014		3,595,000	3,401,769
	Qwest Corp. notes 8 7/8s, 2012		10,496,000	11,414,400
	Qwest Services Corp. sec. notes 14s, 2014		2,730,000	3,310,125
	Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)		1,265,000	1,527,488
	Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010		5,671,000	5,274,030
	SBA Communications Corp. sr. notes 8 1/2s, 2012		1,900,000	2,047,250
	SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP)		1,879,000	1,728,680
				77,612,597
	Consumer Cyclicals (5.7%)
	ArvinMeritor, Inc. notes 8 3/4s, 2012		5,145,000	5,363,663
	Autonation, Inc. company guaranty 9s, 2008		5,230,000	5,713,775
	Beazer Homes USA, Inc. company guaranty 8 3/8s, 2012		1,055,000	1,131,488
	Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012		3,415,000	3,696,738
	Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012		1,175,000	1,255,781
	Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014		1,325,000	1,358,125
	CanWest Media, Inc. company guaranty 8s, 2012 (Canada)		5,224,443	5,459,543
	Coinmach Corp. sr. notes 9s, 2010		4,969,000	5,118,070
	D.R. Horton, Inc. sr. notes 7 7/8s, 2011		3,650,000	4,078,875
	Dana Corp. notes 10 1/8s, 2010		1,015,000	1,057,896
	Dana Corp. notes 9s, 2011		4,105,000	4,597,600
	Dana Corp. notes 7s, 2029		530,000	463,011
	Dana Corp. notes 6 1/2s, 2009		1,865,000	1,830,255
	Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010		3,200,000	3,488,000
	Dex Media, Inc. notes 8s, 2013		4,025,000	4,276,563
	Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012		4,593,000	4,133,700
	FelCor Lodging LP company guaranty 9s, 2008 (R)		3,792,000	4,142,760
	General Motors Acceptance Corp. FRN 4.1s, 2007		2,320,000	2,238,737
	General Motors Acceptance Corp. FRN Ser. MTN, 4.13s, 2007		4,665,000	4,524,285
	Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011		6,060,000	5,893,350
	Harrah's Operating Co., Inc. company guaranty 8s, 2011		155,000	177,730
	HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R)		1,151,000	1,168,265
	Host Marriott LP company guaranty Ser. G, 9 1/4s, 2007 (R)		1,020,000	1,104,150
	Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)		5,515,000	5,721,813
	Interpublic Group of Companies, Inc. notes 6 1/4s, 2014		2,045,000	1,909,652
	JC Penney Co., Inc. debs. 7 1/8s, 2023		5,260,000	5,707,100
	JC Penney Co., Inc. notes 9s, 2012		2,260,000	2,683,750
	JC Penney Co., Inc. notes 8s, 2010		175,000	192,500
	John Q. Hammons Hotels LP/John Q. Hammons Hotels Finance Corp. III 1st mtge. Ser. B, 8 7/8s, 2012		3,100,000	3,394,500
	Jostens IH Corp. company guaranty 7 5/8s, 2012		4,956,000	4,894,050
	KB Home company guaranty 5 7/8s, 2015		1,995,000	1,979,343
	KB Home sr. notes 5 3/4s, 2014		2,850,000	2,824,629
	Levi Strauss & Co. sr. notes 12 1/4s, 2012		2,534,000	2,768,395
	Levi Strauss & Co. sr. notes 9 3/4s, 2015		5,326,000	5,286,055
	MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)		4,282,000	4,496,100
	Meritage Homes Corp. company guaranty 6 1/4s, 2015		1,680,000	1,562,400
	Meritage Homes Corp. sr. notes 7s, 2014		1,410,000	1,378,275
	Meritor Automotive, Inc. notes 6.8s, 2009		4,820,000	4,771,800
	MGM Mirage, Inc. company guaranty 8 1/2s, 2010		3,970,000	4,406,700
	MGM Mirage, Inc. company guaranty 6s, 2009		6,691,000	6,724,455
	Mirage Resorts, Inc. debs. 7 1/4s, 2017		1,395,000	1,436,850
	Movie Gallery, Inc. 144A sr. unsecd. notes 11s, 2012		3,308,000	3,473,400
	Owens Corning notes 7 1/2s, 2006 (In default) (NON)		3,686,000	2,690,780
	Oxford Industries, Inc. sr. notes 8 7/8s, 2011		2,940,000	3,145,800
	Park Place Entertainment Corp. sr. notes 7 1/2s, 2009		2,615,000	2,869,963
	Park Place Entertainment Corp. sr. notes 7s, 2013		3,265,000	3,624,150
	Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008		4,800,000	5,358,000
	Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012		2,992,000	3,111,680
	PRIMEDIA, Inc. sr. notes 8s, 2013		4,752,000	4,763,880
	R.H. Donnelley Corp. 144A sr. notes 6 7/8s, 2013		2,775,000	2,830,500
	R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012		2,985,000	3,470,063
	Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011		2,795,000	2,836,925
	Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009		3,175,000	3,615,531
	Russell Corp. company guaranty 9 1/4s, 2010		4,460,000	4,716,450
	Saks, Inc. company guaranty 7s, 2013		7,501,000	7,501,000
	Scientific Games Corp. 144A sr. sub. notes 6 1/4s, 2012		4,989,000	5,038,890
	Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014		5,165,000	5,216,650
	Standard Pacific Corp. sr. notes 7 3/4s, 2013		3,035,000	3,156,400
	Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 7/8s, 2012		4,880,000	5,502,200
	Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015		3,920,000	4,361,000
	Station Casinos, Inc. sr. notes 6s, 2012		3,250,000	3,298,750
	Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016		3,910,000	4,017,525
	Teksid Aluminum 144A company guaranty 11 3/8s, 2011 (Luxembourg)	EUR	625,000	618,868
	Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014		$3,370,000	3,386,850
	Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013		2,601,000	2,939,130
	THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014		4,655,000	4,329,150
	Toys R Us, Inc. notes 7 5/8s, 2011		2,945,000	2,702,038
	United Auto Group, Inc. company guaranty 9 5/8s, 2012		4,100,000	4,376,750
	Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009		5,840,000	5,548,000
	Vertis, Inc. 144A sub. notes 13 1/2s, 2009		5,055,000	3,772,294
	WCI Communities, Inc. company guaranty 10 5/8s, 2011		1,490,000	1,609,200
	William Carter Holdings Co. (The) company guaranty Ser. B, 10 7/8s, 2011		3,023,000	3,415,023
	WRC Media Corp. sr. sub. notes 12 3/4s, 2009		4,185,000	4,430,869
	Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A 1st mtge. 6 5/8s, 2014		4,605,000	4,478,363
				260,616,799
	Consumer Staples (3.3%)
	Affinity Group, Inc. sr. sub. notes 10 7/8s, 2012		3,515,000	3,400,763
	Affinity Group, Inc. sr. sub. notes 9s, 2012		4,155,000	4,206,938
	AMC Entertainment, Inc. sr. sub. notes 8s, 2014		4,360,000	3,869,500
	Archibald Candy Corp. company guaranty 10s, 2007 (In default) (F)(NON)(PIK)		762,800	162,476
	Brand Services, Inc. company guaranty 12s, 2012		4,700,000	5,029,000
	Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012		3,350,000	3,283,000
	Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 1/15/07), 2012 (STP)		3,070,000	1,772,925
	Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP)		3,435,000	2,275,688
	Charter Communications Holdings, LLC/Capital Corp. sr. notes 11 1/8s, 2011		2,875,000	2,149,063
	Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 3/4s, 2009		6,603,000	5,100,818
	Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011		6,807,000	4,935,075
	Church & Dwight Co., Inc. company guaranty 6s, 2012		3,512,000	3,547,120
	Cinemark USA, Inc. sr. sub. notes 9s, 2013		1,450,000	1,489,875
	Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP)		4,560,000	3,032,400
	Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012		2,520,000	2,690,100
	CSC Holdings, Inc. debs. 7 5/8s, 2018		5,994,000	5,784,210
	CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012		5,005,000	4,704,700
	Dean Foods Co. sr. notes 6 5/8s, 2009		6,920,000	7,231,400
	Del Monte Corp. sr. sub. notes 8 5/8s, 2012		3,605,000	3,965,500
	Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015		2,780,000	2,835,600
	Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default) (NON)		11,641,000	58,205
	Doane Pet Care Co. sr. sub. debs. 9 3/4s, 2007		5,730,000	5,572,425
	Echostar DBS Corp. company guaranty 6 5/8s, 2014		17,310,000	17,093,625
	Granite Broadcasting Corp. sec. notes 9 3/4s, 2010		3,785,000	3,520,050
	Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)		2,620,000	2,705,150
	Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)		3,150,000	3,110,625
	Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014 (Germany)		3,216,000	3,489,360
	Paxson Communications Corp. company guaranty 10 3/4s, 2008		2,500,000	2,462,500
	Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013		5,175,000	4,631,625
	Playtex Products, Inc. company guaranty 9 3/8s, 2011		5,134,000	5,403,535
	Playtex Products, Inc. sec. notes 8s, 2011		2,893,000	3,091,894
	Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012		3,465,000	3,594,938
	Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012		3,366,000	3,677,355
	Remington Arms Co., Inc. company guaranty 10 1/2s, 2011		5,810,000	5,490,450
	Sbarro, Inc. company guaranty 11s, 2009		5,071,000	5,096,355
	Scotts Co. (The) sr. sub. notes 6 5/8s, 2013		1,760,000	1,817,200
	Six Flags, Inc. sr. notes 9 5/8s, 2014		4,830,000	4,516,050
	Young Broadcasting, Inc. company guaranty 10s, 2011		3,474,000	3,300,300
	Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014		2,745,000	2,429,325
				152,527,118
	Energy (3.7%)
	Arch Western Finance, LLC sr. notes 6 3/4s, 2013		9,515,000	9,824,238
	Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands)		3,265,000	3,493,550
	CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)		3,264,000	3,255,840
	CHC Helicopter Corp. 144A sr. sub. notes 7 3/8s, 2014 (Canada)		2,465,000	2,458,838
	Chesapeake Energy Corp. sr. notes 7 1/2s, 2013		5,575,000	6,034,938
	Comstock Resources, Inc. sr. notes 6 7/8s, 2012		3,895,000	3,933,950
	Dresser, Inc. company guaranty 9 3/8s, 2011		5,260,000	5,536,150
	Exco Resources, Inc. company guaranty 7 1/4s, 2011		5,425,000	5,425,000
	Forest Oil Corp. sr. notes 8s, 2011		3,730,000	4,112,325
	Forest Oil Corp. sr. notes 8s, 2008		1,065,000	1,139,550
	Gazprom OAO 144A notes 9 5/8s, 2013 (Germany)		2,210,000	2,710,013
	Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)		4,610,000	4,391,025
	Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014		4,355,000	4,409,438
	Key Energy Services, Inc. sr. notes 6 3/8s, 2013		3,225,000	3,225,000
	Massey Energy Co. sr. notes 6 5/8s, 2010		5,565,000	5,731,950
	Nak Naftogaz Ukrainy bonds 8 1/8s, 2009 (Ukraine)		7,400,000	7,770,000
	Newfield Exploration Co. sr. notes 7 5/8s, 2011		3,940,000	4,314,300
	Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014		2,650,000	2,775,875
	Offshore Logistics, Inc. company guaranty 6 1/8s, 2013		3,232,000	3,118,880
	Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011		3,618,419	3,848,703
	Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014		2,625,000	2,733,281
	Peabody Energy Corp. sr. notes 5 7/8s, 2016		5,820,000	5,820,000
	Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)		5,988,250	6,583,482
	Pemex Project Funding Master Trust company guaranty 8 5/8s, 2022		4,295,000	5,229,163
	Pemex Project Funding Master Trust company guaranty Ser. REGS, 9 1/2s, 2027		9,008,000	11,632,030
	Pemex Project Funding Master Trust 144A notes 5 3/4s, 2015		7,695,000	7,660,373
	Petroleum Geo-Services notes 10s, 2010 (Norway)		4,290,000	4,804,800
	Petronas Capital, Ltd. company guaranty 7 7/8s, 2022 (Malaysia)		5,435,000	6,902,450
	Plains Exploration & Production Co. sr. notes 7 1/8s, 2014		3,505,000	3,750,350
	Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012		4,424,000	4,800,040
	Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011		4,365,000	4,637,813
	Pride International, Inc. sr. notes 7 3/8s, 2014		6,145,000	6,744,138
	Seabulk International, Inc. company guaranty 9 1/2s, 2013		4,065,000	4,568,044
	Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013		4,320,000	4,017,600
	Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012		1,240,000	1,339,200
	Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011		935,000	986,425
				169,718,752
	Financial (1.6%)
	Bosphorus Financial Services, Ltd. 144A sec. FRN 5.068s, 2012 (Cayman Islands)		13,230,000	13,226,375
	Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)		2,440,000	2,494,900
	Liberty Mutual Insurance 144A notes 7.697s, 2097		10,000,000	11,039,540
	UBS Luxembourg SA for Sberbank sub. notes 6.23s, 2015 (Luxembourg)		14,750,000	14,952,813
	VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)		13,530,000	13,699,125
	VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)		11,445,000	12,475,050
	Western Financial Bank sub. debs. 9 5/8s, 2012		3,360,000	3,645,600
				71,533,403
	Health Care (2.5%)
	AmerisourceBergen Corp. company guaranty 7 1/4s, 2012		2,582,000	2,843,428
	AmerisourceBergen Corp. sr. notes 8 1/8s, 2008		3,190,000	3,465,138
	Ardent Health Services, Inc. sr. sub. notes 10s, 2013		6,750,000	8,159,063
	Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012		1,203,000	1,224,053
	Coventry Health Care, Inc. sr. notes 5 7/8s, 2012		2,760,000	2,808,300
	DaVita, Inc. 144A sr. notes 6 5/8s, 2013		1,230,000	1,269,975
	DaVita, Inc. 144A sr. sub. notes 7 1/4s, 2015		2,460,000	2,527,650
	Extendicare Health Services, Inc. sr. sub. notes 6 7/8s, 2014		3,820,000	3,791,350
	HCA, Inc. debs. 7.19s, 2015		1,135,000	1,224,867
	HCA, Inc. notes 8.36s, 2024		1,930,000	2,158,406
	HCA, Inc. notes 7.69s, 2025		2,030,000	2,174,893
	HCA, Inc. notes 6 3/8s, 2015		2,185,000	2,267,173
	HCA, Inc. notes 6 1/4s, 2013		4,639,000	4,741,582
	HCA, Inc. notes 5 3/4s, 2014		1,985,000	1,976,234
	Healthsouth Corp. notes 7 5/8s, 2012		7,120,000	6,924,200
	Healthsouth Corp. sr. notes 8 3/8s, 2011		1,570,000	1,558,225
	Healthsouth Corp. sr. notes 7s, 2008		1,315,000	1,321,575
	MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012		3,295,000	3,113,775
	MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP)		5,150,000	2,678,000
	Omnicare, Inc. sr. sub. notes 6 1/8s, 2013		4,560,000	4,514,400
	PacifiCare Health Systems, Inc. company guaranty 10 3/4s, 2009		5,183,000	5,714,258
	Service Corp. International debs. 7 7/8s, 2013		465,000	501,038
	Service Corp. International notes Ser. *, 7.7s, 2009		1,725,000	1,845,750
	Service Corp. International 144A sr. notes 6 3/4s, 2016		3,737,000	3,821,083
	Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013		3,922,000	3,882,780
	Tenet Healthcare Corp. notes 7 3/8s, 2013		2,680,000	2,646,500
	Tenet Healthcare Corp. sr. notes 9 7/8s, 2014		8,505,000	9,121,613
	Triad Hospitals, Inc. sr. notes 7s, 2012		5,810,000	6,056,925
	Triad Hospitals, Inc. sr. sub. notes 7s, 2013		1,456,000	1,496,040
	Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada)		3,685,000	3,721,850
	US Oncology, Inc. company guaranty 9s, 2012		3,170,000	3,391,900
	Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014		4,221,000	4,558,680
	Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)		2,840,000	3,266,000
	Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)		1,350,000	1,356,750
	Ventas Realty LP/Capital Corp. 144A sr. notes 6 3/4s, 2010 (R)		1,339,000	1,389,279
				113,512,733
	Technology (0.7%)
	Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012		3,595,000	3,541,075
	Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014		8,583,000	9,226,725
	Iron Mountain, Inc. company guaranty 8 5/8s, 2013		4,833,000	5,002,155
	New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman Islands)		81,000	68,850
	SCG Holding Corp. 144A notes zero %, 2011		2,505,000	3,757,500
	Xerox Corp. notes Ser. MTN, 7.2s, 2016		1,165,000	1,258,200
	Xerox Corp. sr. notes 7 5/8s, 2013		7,475,000	8,044,969
				30,899,474
	Transportation (0.2%)
	American Airlines, Inc. pass-through certificates Ser. 01-1, 6.817s, 2011		3,485,000	3,310,750
	Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008		5,235,000	3,978,600
	NWA Trust sr. notes Ser. A, 9 1/4s, 2012		1,587,692	1,611,508
	Travelcenters of America, Inc. company guaranty 12 3/4s, 2009		930,000	1,013,700
				9,914,558
	Utilities & Power (2.8%)
	AES Corp. (The) sr. notes 8 7/8s, 2011		361,000	402,515
	AES Corp. (The) sr. notes 8 3/4s, 2008		196,000	210,700
	AES Corp. (The) 144A sec. notes 9s, 2015		4,036,000	4,520,320
	AES Corp. (The) 144A sec. notes 8 3/4s, 2013		3,250,000	3,623,750
	Allegheny Energy Supply 144A bonds 8 1/4s, 2012		3,152,000	3,530,240
	Allegheny Energy Supply 144A sec. notes 10 1/4s, 2007		2,195,000	2,414,500
	ANR Pipeline Co. debs. 9 5/8s, 2021		1,572,000	1,992,933
	CMS Energy Corp. sr. notes 8.9s, 2008		3,580,000	3,893,250
	CMS Energy Corp. sr. notes 7 3/4s, 2010		1,225,000	1,316,875
	Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015		3,195,000	3,149,896
	DPL, Inc. sr. notes 6 7/8s, 2011		4,275,000	4,617,000
	Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013		8,889,000	10,044,570
	El Paso Natural Gas Co. debs. 8 5/8s, 2022		1,315,000	1,533,824
	El Paso Production Holding Co. company guaranty 7 3/4s, 2013		5,263,000	5,618,253
	Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014		3,632,000	3,504,880
	Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034		5,601,000	6,273,120
	Mission Energy Holding Co. sec. notes 13 1/2s, 2008		4,402,000	5,227,375
	Monongahela Power Co. 1st mtge. 6.7s, 2014		2,885,000	3,256,444
	Northwest Pipeline Corp. company guaranty 8 1/8s, 2010		3,381,000	3,668,385
	Northwestern Corp. 144A sr. sec. notes 5 7/8s, 2014		2,525,000	2,588,125
	NRG Energy, Inc. 144A sr. sec. notes 8s, 2013		7,809,000	8,238,495
	Orion Power Holdings, Inc. sr. notes 12s, 2010		5,195,000	6,221,013
	PSEG Energy Holdings, Inc. notes 7 3/4s, 2007		3,895,000	4,021,588
	SEMCO Energy, Inc. sr. notes 7 3/4s, 2013		3,346,000	3,492,608
	Teco Energy, Inc. notes 7.2s, 2011		1,165,000	1,264,025
	Teco Energy, Inc. notes 7s, 2012		3,215,000	3,472,200
	Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015		221,000	234,260
	Tennessee Gas Pipeline Co. debs. 7s, 2028		520,000	530,828
	Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017		1,052,000	1,165,252
	Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, 2014		4,890,000	5,146,725
	Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026		745,000	820,431
	Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada)		4,309,000	4,438,270
	Utilicorp United, Inc. sr. notes 9.95s, 2011		2,715,000	2,945,775
	Veolia Environnement sr. unsub. notes Ser. EMTN, 5 3/8s, 2018 (France)	EUR	3,125,000	4,342,669
	Williams Cos., Inc. (The) notes 8 3/4s, 2032		$3,790,000	4,552,738
	Williams Cos., Inc. (The) notes 7 5/8s, 2019		3,475,000	3,909,375
	York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (F)(NON)		1,475,235	123,035
				126,306,242
	Total corporate bonds and notes (cost $1,179,846,968)			$1,204,979,384
	FOREIGN GOVERNMENT BONDS AND NOTES (18.9%)(a)
			Principal amount	Value
	Argentina (Republic of) notes 3.97s, 2033		$2,141,121	$1,970,901
	Brazil (Federal Republic of) bonds 10 1/2s, 2014		24,360,000	28,805,700
	Brazil (Federal Republic of) bonds 8 7/8s, 2019		17,760,000	18,736,800
	Brazil (Federal Republic of) bonds 8 1/4s, 2034		7,130,000	6,933,925
	Brazil (Federal Republic of) notes 11s, 2012		17,335,000	20,541,975
	Brazil (Federal Republic of) notes 8 3/4s, 2025		6,710,000	6,871,040
	Bulgaria (Republic of) 144A bonds 8 1/4s, 2015		7,073,000	8,851,860
	Canada (Government of) bonds 5 1/2s, 2010	CAD	9,650,000	8,655,447
	Canada (Government of) bonds Ser. WB60, 7 1/4s, 2007	CAD	8,915,000	7,871,701
	Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029	CAD	1,550,000	1,543,165
	China Development Bank notes 4 3/4s, 2014 (China)		$2,045,000	2,064,086
	Colombia (Republic of) bonds 10 3/8s, 2033		2,650,000	3,160,125
	Colombia (Republic of) notes 10s, 2012		12,795,000	14,874,188
	Dominican (Republic of) notes 9.04s, 2018		3,510,000	3,650,400
	Ecuador (Republic of) bonds stepped-coupon Ser. REGS, 8s (9s, 8/15/05), 2030 (STP)		5,775,000	4,851,000
	El Salvador (Republic of) notes 7.65s, 2035		5,680,000	5,623,200
	France (Government of) bonds 5 3/4s, 2032	EUR	17,480,000	28,692,336
	France (Government of) bonds 5 1/2s, 2010	EUR	22,675,000	31,428,060
	France (Government of) bonds 4s, 2013	EUR	32,000,000	41,660,568
	France (Government of) bonds 4s, 2009	EUR	6,430,000	8,289,443
	France (Government of) bonds 3 1/2s, 2015	EUR	122,324,000	152,663,471
	Germany (Federal Republic of) bonds 5s, 2012	EUR	9,780,000	13,413,236
	Germany (Federal Republic of) bonds Ser. 97, 6s, 2007	EUR	29,920,000	38,355,031
	Greece (Hellenic Republic of) bonds 3 1/2s, 2008	EUR	8,050,000	10,072,915
	Indonesia (Republic of) FRN 3.813s, 2006		$1,300,000	1,287,000
	Indonesia (Republic of) 144A notes 7 1/4s, 2015		14,965,000	15,039,825
	Indonosia (Republic of) 144A sr. notes 6 3/4s, 2014		915,000	908,138
	Ireland (Republic of) bonds 5s, 2013	EUR	49,300,000	68,313,006
	Peru (Republic of) bonds 8 3/8s, 2016		$9,155,000	10,267,333
	Philippines (Republic of) bonds 9 1/2s, 2030		2,570,000	2,622,685
	Philippines (Republic of) bonds 9 1/2s, 2024		17,470,000	18,780,250
	Philippines (Republic of) bonds 8 3/8s, 2011		5,025,000	5,213,438
	Philippines (Republic of) 144A sr. sub. notes 3.2s, 2005	JPY	580,000,000	5,240,365
	Russia (Federation of) unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP)		$33,065,000	36,867,475
	Russia (Federation of) 144A unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP)		12,391,875	13,816,941
	Russia (Ministry of Finance) debs. Ser. V, 3s, 2008		7,605,000	7,167,713
	South Africa (Republic of) notes 7 3/8s, 2012		8,725,000	9,990,125
	South Africa (Republic of) notes 6 1/2s, 2014		10,050,000	11,170,575
	Spain (Kingdom of) bonds 5s, 2012	EUR	15,000,000	20,645,078
	Sweden (Government of) bonds Ser. 3101, 4s, 2008	SEK	226,060,000	36,457,087
	Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014	SEK	215,045,000	35,727,435
	United Mexican States bonds Ser. MTN, 8.3s, 2031		$32,975,000	40,724,125
	United Mexican States notes 6 5/8s, 2015 (S)		24,960,000	27,368,640
	Uruguay (Republic of) notes 9 1/4s, 2017		1,405,000	1,496,325
	Venezuela (Republic of) bonds 9 1/4s, 2027		14,385,000	15,068,288
	Venezuela (Republic of) notes 10 3/4s, 2013		1,395,000	1,632,150
	Venezuela (Republic of) notes 7.65s, 2025		3,540,000	3,159,450
	Venezuela (Republic of) unsub. bonds 5 3/8s, 2010		6,315,000	5,872,950
	Total foreign government bonds and notes (cost $817,139,674)			$864,416,970
	U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (14.9%)(a)
			Principal amount	Value
	U.S. Government Agency Mortgage Obligations (14.9%)
	Federal Home Loan Mortgage Corporation Pass-Through Certificates
	6 1/2s, with due dates from December 1, 2023 to April 1, 2035		$70,613,941	$73,186,522
	5 1/2s, with due dates from March 1, 2014 to May 1, 2020		69,483,007	71,416,608
	Federal National Mortgage Association Pass-Through Certificates
	8s, April 1, 2027		4,154	4,511
	7s, with due dates from July 1, 2031 to April 1, 2034		64,622	68,307
	6 1/2s, with due dates from December 1, 2023 to March 1, 2035		8,697,171	9,042,223
	6 1/2s, with due dates from February 1, 2010 to November 1, 2017		77,631	80,618
	5 1/2s, with due dates from January 1, 2032 to July 1, 2035		146,291,071	148,507,224
	5 1/2s, with due dates from November 1, 2008 to May 1, 2020		27,134,660	27,906,730
	5 1/2s, TBA, July 1, 2035		48,600,000	49,260,659
	5s, with due dates from January 1, 2019 to February 1, 2020		730,775	740,052
	5s, TBA, July 1, 2035		4,000,000	3,999,688
	4 1/2s, with due dates from August 1, 2033 to June 1, 2034		14,646,062	14,343,953
	4 1/2s, TBA, July 1, 2020		282,940,000	281,657,942
	4s, May 1, 2019		855,944	839,628
	Total U.S. government and agency mortgage obligations (cost $677,675,482)			681,054,665
	U.S. TREASURY OBLIGATIONS (14.9%)(a)
			Principal amount	Value
	U.S. Treasury Bonds
	7 1/2s, November 15, 2016		$37,950,000	$49,767,865
	6 1/4s, May 15, 2030		225,772,000	294,138,584
	6 1/4s, August 15, 2023		77,090,000	96,097,503
	U.S. Treasury Notes
	4 3/8s, May 15, 2007		49,000	49,647
	4 1/4s, August 15, 2014		1,500,000	1,536,094
	4 1/4s, August 15, 2013		74,905,000	76,801,033
	3 5/8s, May 15, 2013		22,000,000	21,725,000
	3 1/4s, August 15, 2008		100,342,000	99,095,562
	U.S. Treasury Strip zero %, November 15, 2024		98,235,000	42,297,172
	Total U.S. treasury obligations (cost $622,830,883)			$681,508,460
	ASSET-BACKED SECURITIES (11.5%)(a)
			Principal amount	Value
	Aames Mortgage Trust 144A Ser. 03-1N, Class A, 7 1/2s, 2033		$39,917	$39,878
	ABSC NIMS Trust 144A Ser. 03-HE5, Class A, 7s, 2033		933,084	935,417
	Aegis Asset Backed Securities Trust 144A
	Ser. 04-1N, Class Note, 5s, 2034		264,353	264,353
	Ser. 04-2N, Class N1, 4 1/2s, 2034		952,633	950,698
	Ser. 04-4N, Class Note, 5s, 2034		787,645	787,645
	Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s, 2012		4,320,000	4,331,664
	Ameriquest Finance NIM Trust 144A Ser. 04-RN9, Class N2, 10s, 2034 (Cayman Islands)		1,770,000	1,628,400
	AQ Finance NIM Trust 144A Ser. 03-N9A, Class Note, 7.385s, 2033 (Cayman Islands)		101,058	101,310
	Arcap REIT, Inc. 144A
	Ser. 03-1A, Class E, 7.11s, 2038		2,906,000	3,101,247
	Ser. 04-1A, Class E, 6.42s, 2039		1,768,000	1,840,101
	Argent NIM Trust 144A Ser. 04-WN2, Class A, 4.55s, 2034 (Cayman Islands)		104,947	106,029
	Asset Backed Funding Corp. NIM Trust 144A
	Ser. 04-0PT1, Class N2, 6.9s, 2033 (Cayman Islands)		1,266,000	1,265,994
	Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)		827,777	827,777
	Ser. 04-AHL1, Class Note, 5.6s, 2033		345,968	345,955
	Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)		1,118,920	1,120,385
	Ser. 04-FF1, Class N2, 5s, 2034 (Cayman Islands)		118,000	108,759
	Ser. 04-HE1, Class N2, 8s, 2034		1,909,000	1,854,811
	Aviation Capital Group Trust 144A FRB Ser. 03-2A, Class G1, 3.96s, 2033		2,212,635	2,215,919
	Bank of America Alternative Loan Trust Ser. 03-11, Class 15, Interest only (IO), 0.351s, 2019		29,307,449	274,757
	Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4 1/4s, 2011		3,310,000	3,373,614
	Bayview Financial Acquisition Trust Ser. 03-F, Class A, IO, 4s, 2006		1,309,091	27,131
	Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s, 2006		94,392,277	1,597,552
	Bayview Financial Asset Trust 144A Ser. 03-Z, Class AIO1, IO, 0.426s, 2005		36,448,830	47,292
	Bear Stearns Asset Backed Securities NIM Trust 144A
	Ser. 04-FR1, Class A1, 5s, 2034 (Cayman Islands)		66,276	66,276
	Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)		1,199,327	1,193,143
	Ser. 04-HE5N, Class A1, 5s, 2034 (Cayman Islands)		794,311	794,311
	Ser. 04-HE5N, Class A2, 5s, 2034 (Cayman Islands)		617,000	616,036
	Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)		558,088	558,088
	Ser. 04-HE7N, Class A1, 5 1/4s, 2034		1,206,900	1,206,900
	Bear Stearns Asset Backed Securities, Inc. Ser. 04-FR3, Class M6, 6.564s, 2034		1,703,000	1,742,914
	Bombardier Capital Mortgage Securitization Corp.
	Ser. 00-A, Class A2, 7.575s, 2030		1,189,784	844,572
	Ser. 00-A, Class A4, 8.29s, 2030		4,439,183	3,594,351
	Ser. 99-B, Class A3, 7.18s, 2015		8,637,131	6,345,592
	Ser. 99-B, Class A4, 7.3s, 2016		5,830,931	4,349,589
	CARSS Finance Limited Partnership 144A FRN Ser. 04-A, Class B2, 4.17s, 2011		825,679	828,963
	CARSSX Finance, Ltd. 144A FRB Ser. 04-AA
	Class B3, 6.57s, 2011 (Cayman Islands)		1,018,712	1,027,467
	Class B4, 8.72s, 2011 (Cayman Islands)		845,742	857,701
	Chase Credit Card Master Trust FRB Ser. 03-3, Class C, 4.3s, 2010		3,730,000	3,811,083
	CHEC NIM Ltd., 144A Ser. 04-2
	Class N1, 4.45s, 2034 (Cayman Islands)		1,277,277	1,277,203
	Class N2, 8s, 2034 (Cayman Islands)		687,000	683,077
	Class N3, 8s, 2034 (Cayman Islands)		422,000	362,920
	Conseco Finance Securitizations Corp.
	FRB Ser. 01-4, Class M1, 4.61s, 2033		2,391,000	956,400
	Ser. 00-2, Class A4, 8.48s, 2030		1,658,709	1,657,057
	Ser. 00-4, Class A4, 7.73s, 2031		11,007,778	10,765,607
	Ser. 00-4, Class A5, 7.97s, 2032		1,762,000	1,517,128
	Ser. 00-4, Class A6, 8.31s, 2032		26,321,000	23,269,409
	Ser. 00-6, Class A5, 7.27s, 2032		722,000	690,220
	Ser. 00-6, Class M2, 8.2s, 2032		2,775,683	277,568
	Ser. 01-4, Class A4, 7.36s, 2033		2,000,000	2,052,372
	Ser. 01-1, Class A5, 6.99s, 2032		15,259,000	14,523,450
	Ser. 01-3, Class A3, 5.79s, 2033		104,000	105,985
	Ser. 01-3, Class A4, 6.91s, 2033		23,474,000	23,438,601
	Ser. 01-3, Class M2, 7.44s, 2033		1,900,000	313,500
	Ser. 01-4, Class B1, 9.4s, 2033		3,326,620	449,094
	Ser. 02-1, Class A, 6.681s, 2033		11,745,045	12,235,048
	Consumer Credit Reference IDX Securities 144A FRB Ser. 02-1A, Class A, 5.444s, 2007		4,668,000	4,740,573
	Countrywide Asset Backed Certificates 144A
	Ser. 04-1NIM, Class Note, 6s, 2034		294,914	295,946
	Ser. 04-6N, Class N1, 6 1/4s, 2035		6,394,794	6,418,774
	Ser. 04-BC1N, Class Note, 5 1/2s, 2035		993,170	993,791
	Countrywide Home Loans Ser. 05-2, Class 2X, IO, 0.983s, 2035		75,014,582	2,156,669
	Countrywide Home Loans 144A Ser. 03-R4, Class 1A, Principal only (PO), zero %, 2034		100,273	76,614
	Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)		3,427,000	3,474,635
	Dryden Leveraged Loan CDO 144A FRN Ser. 03-4A, Class D, 12.1s, 2015		1,365,000	1,409,363
	First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, 7.701s, 2039		13,100,002	13,777,518
	First Consumers Master Trust FRN Ser. 01-A, Class A, 3.53s, 2008		2,285,167	2,266,600
	First Franklin Mortgage Loan NIM Trust 144A
	Ser. 03-FF3A, Class A, 6 3/4s, 2033		116,220	116,650
	Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)		1,176,049	1,175,971
	Fort Point CDO, Ltd. FRN Ser. 03-2A, Class A2, 4.38s, 2038		1,229,000	1,242,150
	Fremont NIM Trust 144A
	Ser. 04-3, Class A, 4 1/2s, 2034		1,189,997	1,186,308
	Ser. 04-3, Class B, 7 1/2s, 2034		400,551	384,048
	Ser. 04-A, Class Note, 4 3/4s, 2034		672,654	670,300
	G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s, 2038 (Cayman Islands)		1,471,000	1,545,240
	G-Star, Ltd. 144A FRN Ser. 02-2A, Class BFL, 5.314s, 2037 (Cayman Islands)		614,000	642,839
	Granite Mortgages PLC FRB
	Ser. 02-1, Class 1C, 4.445s, 2042 (United Kingdom)		3,300,000	3,351,810
	Ser. 02-2, Class 1C, 4.395s, 2043 (United Kingdom)		370,000	375,920
	Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)	EUR	10,080,000	13,247,538
	Ser. 03-2, Class 3C, 6.489s, 2043 (United Kingdom)	GBP	7,560,000	14,025,958
	Green Tree Financial Corp.
	Ser. 94-4, Class B2, 8.6s, 2019		$2,813,202	2,125,321
	Ser. 94-6, Class B2, 9s, 2020		6,599,774	5,663,550
	Ser. 95-4, Class B1, 7.3s, 2025		2,737,142	2,699,507
	Ser. 95-8, Class B1, 7.3s, 2026		2,796,090	2,232,692
	Ser. 95-F, Class B2, 7.1s, 2021		1,237,741	1,242,770
	Ser. 96-8, Class M1, 7.85s, 2027		2,979,000	2,631,386
	Ser. 99-3, Class A5, 6.16s, 2031		574,017	582,807
	Ser. 99-5, Class A5, 7.86s, 2030		30,084,000	27,209,506
	Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, 7.45s, 2025		919,077	918,863
	Greenpoint Manufactured Housing
	Ser. 00-3, Class IA, 8.45s, 2031		16,996,843	16,702,849
	Ser. 99-5, Class A4, 7.59s, 2028		623,088	651,638
	GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011		9,693,000	9,562,692
	GSAMP Trust 144A
	Ser. 03-HE1N, Class Note, 7 1/4s, 2033		42,252	42,269
	Ser. 04-FM1N, Class Note, 5 1/4s, 2033		192,112	191,920
	Ser. 04-HE1N, Class N1, 5s, 2034		767,444	765,986
	Ser. 04-NIM1, Class N1, 5 1/2s, 2034		6,073,900	6,072,686
	Ser. 04-NIM1, Class N2, zero %, 2034		3,884,000	2,854,740
	Ser. 04-NIM2, Class N, 4 7/8s, 2034		6,393,669	6,364,258
	Ser. 04-SE2N, Class Note, 5 1/2s, 2034		632,757	632,251
	GSMPS Mortgage Loan Trust 144A Ser. 01-2, IO, 0.153s, 2032		2,190,161	10,266
	Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class E, 5.114s, 2030 (Cayman Islands)		2,377,000	2,363,640
	Holmes Financing PLC FRB
	Ser. 8, Class 2C, 3.861s, 2040 (United Kingdom)		1,938,000	1,947,085
	Ser. 4, Class 3C, 4.441s, 2040 (United Kingdom)		2,320,000	2,349,696
	Home Equity Asset Trust 144A
	Ser. 02-5N, Class A, 8s, 2033		281,007	281,007
	Ser. 03-7N, Class A, 5 1/4s, 2034		225,100	224,396
	Ser. 04-5N, Class A, 5 1/4s, 2034		449,233	449,233
	Ser. 05-6N, Class A, 5 1/4s, 2035		2,585,309	2,578,845
	LNR CDO, Ltd. 144A FRB
	Ser. 02-1A, Class FFL, 6.05s, 2037 (Cayman Islands)		7,500,000	7,505,250
	Ser. 03-1A, Class EFL, 6.3s, 2036 (Cayman Islands)		11,120,000	11,987,360
	Long Beach Asset Holdings Corp. NIM Trust 144A
	Ser. 04-2, Class N1, 4.94s, 2034		590,885	590,885
	Ser. 04-5, Class Note, 5s, 2034		1,142,059	1,144,572
	Long Beach Mortgage Loan Trust Ser. 04-3
	Class S1, IO, 4 1/2s, 2006		15,279,257	714,305
	Class S2, IO, 4 1/2s, 2006		6,833,740	319,477
	Lothian Mortgages PLC 144A FRN Ser. 3A, Class D, 5.731s, 2039 (United Kingdom)	GBP	6,500,000	11,649,300
	Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 6.564s, 2032		$6,357,565	3,115,207
	Master Asset Backed Securities NIM Trust 144A
	Ser. 04-CI5, Class N2, 9s, 2034		1,058,000	1,044,775
	Ser. 04-HE1A, Class Note, 5.191s, 2034		947,278	950,120
	MBNA Credit Card Master Note Trust FRN Ser. 03-C5, Class C5, 4.4s, 2010		3,730,000	3,801,506
	Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2034		128,850	128,850
	Merrill Lynch Mortgage Investors, Inc. 144A
	Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)		630,760	630,563
	Ser. 04-HE1N, Class N1, 5s, 2006		578,602	574,986
	Ser. 04-WM2N, Class N1, 4 1/2s, 2005		42,798	42,625
	Ser. 04-WM3N, Class N1, 4 1/2s, 2005		88,528	88,141
	Mid-State Trust Ser. 11, Class B, 8.221s, 2038		1,397,650	1,460,872
	Morgan Stanley ABS Capital I FRB Ser. 04-HE8, Class B3, 6.514s, 2034		1,597,000	1,645,918
	Morgan Stanley Auto Loan Trust 144A
	Ser. 04-HB1, Class D, 5 1/2s, 2011		154,000	153,197
	Ser. 04-HB2, Class E, 5s, 2012		1,297,000	1,249,424
	Morgan Stanley Dean Witter Capital I FRB
	Ser. 01-NC3, Class B1, 5.764s, 2031		985,893	986,075
	Ser. 01-NC4, Class B1, 5.814s, 2032		76,926	76,972
	N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, 6.32s, 2038 (Cayman Islands)		2,000,000	2,045,000
	Neon Capital, Ltd. 144A limited recourse sec. notes
	Ser. 94, 1.105s, 2013 (Cayman Islands) (F) (g)		2,649,208	3,368,789
	Ser. 95, 2.319s, 2013 (Cayman Islands) (F) (g)		2,028,770	781,606
	Ser. 96, 1.686s, 2013 (Cayman Islands) (F) (g)		4,330,907	2,865,934
	Ser. 96, 1.458s, 2013 (Cayman Islands) (F) (g)		20,169,472	4,304,004
	New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class Note, 6 1/2s, 2033		350,173	350,720
	Novastar NIM Trust 144A
	Ser. 04-N1, Class Note, 4.458s, 2034		166,831	166,831
	Ser. 04-N2, Class Note, 4.458s, 2034		72,849	72,849
	Oakwood Mortgage Investors, Inc.
	Ser. 01-C, Class A1, 5.16s, 2012		945,950	520,773
	Ser. 01-C, Class A2, 5.92s, 2017		10,557,487	6,268,529
	Ser. 01-C, Class A4, 7.405s, 2030		4,978,421	3,306,866
	Ser. 01-D, Class A4, 6.93s, 2031		199,890	156,384
	Ser. 01-E, Class A2, 5.05s, 2019		9,352,334	7,387,217
	Ser. 02-A, Class A2, 5.01s, 2020		894,006	738,972
	Ser. 02-B, Class A4, 7.09s, 2032		3,244,000	2,992,155
	Ser. 02-C, Class A1, 5.41s, 2032		15,605,305	13,884,258
	Ser. 99-B, Class A4, 6.99s, 2026		10,556,729	9,479,762
	Ser. 99-D, Class A1, 7.84s, 2029		9,458,066	8,941,088
	Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030		1,057,870	1,001,962
	Ocean Star PLC 144A FRB Ser. 04-A, Class E, 9 3/4s, 2018 (Ireland)		3,643,000	3,643,000
	Octagon Investment Parties VI, Ltd. FRN Ser. 03-6A, Class B2L, 11.39s, 2016		1,245,000	1,316,588
	Option One Mortgage Securities Corp. NIM Trust 144A Ser. 03-5, Class Note, 6.9s, 2033		6,946	6,981
	Park Place Securities NIM Trust 144A Ser. 04-WCW2, Class D, 7.387s, 2034 (Cayman Islands)		542,000	544,060
	Pass-Through Amortizing Credit Card Trust Ser. 02-1A, Class A4FL, 8.59s, 2012		219,760	220,223
	People's Choice Net Interest Margin Note 144A Ser. 04-2, Class B, 5s, 2034		774,000	701,244
	Permanent Financing PLC FRB
	Ser. 1, Class 3C, 4.579s, 2042 (United Kingdom)		2,390,000	2,412,944
	Ser. 3, Class 3C, 4.529s, 2042 (United Kingdom)		3,300,000	3,361,489
	Ser. 6, Class 3C, 5.54s, 2042 (United Kingdom)	GBP	6,492,000	11,679,175
	Providian Gateway Master Trust
	FRN Ser. 04-EA, Class E, 6.22s, 2011		$6,550,000	6,460,031
	Ser. 02, Class B, PO, zero %, 2006		10,606,000	10,325,157
	Providian Gateway Master Trust 144A FRN Ser. 04-BA, Class D, 4.62s, 2010		220,000	221,694
	Residential Asset Mortgage Products, Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s, 2005		11,035,637	1,581
	Residential Asset Securities Corp. 144A Ser. 04-N10B, Class A1, 5s, 2034		2,369,642	2,360,386
	Residential Mortgage Securities 144A FRB Ser. 20A, Class B1A, 5.766s, 2038 (United Kingdom)		950,000	1,681,308
	Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026		1,167,223	1,188,744
	SAIL Net Interest Margin Notes 144A
	Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)		1,071,604	1,080,820
	Ser. 03-12A, Class A, 7.35s, 2033 (Cayman Islands)		331,872	335,058
	Ser. 03-13A, Class A, 6 3/4s, 2033 (Cayman Islands)		125,569	126,436
	Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)		193,394	194,536
	Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)		57,370	57,691
	Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)		360,828	354,766
	Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)		276,198	277,634
	Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)		422,880	418,736
	Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)		118,722	119,493
	Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)		311,767	311,861
	Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)		628,920	622,756
	Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)		2,815,665	2,816,509
	Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)		1,796,045	1,796,405
	Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)		1,816,786	1,817,149
	Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)		120,000	119,520
	Ser. 04-5A, Class A, 4 1/2s, 2034 (Cayman Islands)		58,532	58,421
	Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)		339,402	339,062
	Ser. 04-7A, Class B, 6 3/4s, 2034 (Cayman Islands)		101,338	98,724
	Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)		1,222,195	1,222,562
	Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)		1,319,758	1,303,789
	Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)		1,230,513	1,227,191
	Sasco Net Interest Margin Trust 144A
	Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)		1,883,626	847,632
	Ser. 05-WF1A, Class A, 4 3/4s, 2035		3,206,775	3,214,150
	Saxon Net Interest Margin Trust 144A Ser. 03-A, Class A, 6.656s, 2033		1,217	1,217
	Sharps SP I, LLC Net Interest Margin Trust 144A
	Ser. 03-0P1N, Class NA, 4.45s, 2033		316,032	316,032
	Ser. 03-TC1N, Class N, 7.45s, 2033		51,602	51,602
	Ser. 04-HE2N, Class NA, 5.43s, 2034		512,846	511,564
	South Coast Funding 144A FRB Ser. 3A, Class A2, 4.43s, 2038 (Cayman Islands)		2,070,000	2,075,382
	Structured Asset Investment Loan Trust
	Ser. 03-BC1A, Class A, 7 3/4s, 2033 (Cayman Islands)		330,710	333,620
	Ser. 03-BC8, Class A, IO, 6s, 2005		1,319,327	12,050
	Ser. 04-1, Class A, IO, 6s, 2005		74,533,073	309,785
	Structured Asset Securities Corp. Ser. 98-RF3, Class A, IO, 6.1s, 2028		541,026	66,276
	TIAA Real Estate CD0, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman Islands)		3,688,000	3,621,917
	TIAA Real Estate CD0, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 (Cayman Islands)		2,403,000	2,327,286
	Wells Fargo Home Equity Trust Ser. 04-1, Class A, IO, 6s, 2005		1,283,918	18,116
	Wells Fargo Home Equity Trust 144A Ser. 04-2
	Class N1, 4.45s, 2034 (Cayman Islands)		3,946,865	3,946,631
	Class N2, 8s, 2034 (Cayman Islands)		1,608,000	1,559,760
	Whole Auto Loan Trust 144A
	Ser. 03-1, Class D, 6s, 2010		3,222,319	3,225,889
	Ser. 04-1, Class D, 5.6s, 2011		3,251,000	3,243,888
	Total asset-backed securities (cost $530,623,074)			$527,485,987
	SENIOR LOANS (7.7%)(a)(c)
			Principal amount	Value
	Basic Materials (0.6%)
	Graphic Packaging Corp. bank term loan FRN Ser. C, 5.5063s, 2010		$403,734	$409,453
	Hercules, Inc. bank term loan FRN Ser. B, 4.8715s, 2010		4,110,127	4,145,063
	Huntsman Corp. bank term loan FRN Ser. B, 6.12s, 2010		423,182	424,372
	Innophos, Inc. bank term loan FRN 5.3611s, 2010		1,939,701	1,950,209
	Koch Cellulose, LLC bank term loan FRN Ser. B, 5.09s, 2011		2,085,044	2,101,551
	Koch Cellulose, LLC bank term loan FRN Ser. C, 4.6s, 2011		501,881	505,854
	Mosaic Co. (The) bank term loan FRN Ser. B, 4.7679s, 2012		1,397,250	1,406,420
	Nalco Co. bank term loan FRN Ser. B, 5.0265s, 2010		1,915,592	1,944,027
	Novelis, Inc. bank term loan FRN 4.96s, 2012 (Canada)		237,149	239,520
	Novelis, Inc. bank term loan FRN Ser. B, 4.96s, 2012 (Canada)		411,890	416,009
	PQ Corp. bank term loan FRN Ser. B, 5 1/8s, 2012		1,596,000	1,607,970
	Rockwood Specialties Group, Inc. bank term loan FRN Ser. D, 5.43s, 2012		5,000,000	5,063,540
	SGL Carbon AG bank term loan FRN 5.9909s, 2009 (Germany)		1,175,438	1,181,315
	Smurfit-Stone Container Corp. bank term loan FRN 2.77s, 2010		271,070	274,572
	Smurfit-Stone Container Corp. bank term loan FRN Ser. B, 4.8535s, 2011		2,615,932	2,649,286
	Smurfit-Stone Container Corp. bank term loan FRN Ser. C, 4.9997s, 2011		804,902	815,165
	St. Mary's Cement Corp. bank term loan FRN Ser. B, 5.0925s, 2009		985,000	990,541
				26,124,867
	Capital Goods (1.0%)
	AGCO Corp. bank term loan FRN 4.8239s, 2008		1,369,750	1,374,030
	Allied Waste Industries, Inc. bank term loan FRN Ser. A, 2.01s, 2012		2,021,049	2,024,699
	Allied Waste Industries, Inc. bank term loan FRN Ser. B, 5.1489s, 2012		5,295,021	5,304,049
	Amsted Industries, Inc. bank term loan FRN 5.909s, 2010		1,445,151	1,459,603
	Ashtead Group PLC bank term loan FRN Ser. B, 5.5625s, 2009 (United Kingdom)		2,400,000	2,419,999
	Communications & Power, Inc. bank term loan FRN 5 3/8s, 2010		2,341,696	2,372,918
	Decrane Aircraft Holdings Co. bank term loan FRN 12s, 2008 (PIK)		2,273,196	2,273,196
	Enersys Capital, Inc. bank term loan FRN Ser. B, 5.2449s, 2011		1,498,116	1,516,842
	Flowserve Corp. bank term loan FRN Ser. C, 5.8349s, 2009		602,285	609,562
	Graham Corp. bank term loan FRN Ser. B, 5.6352s, 2011		997,494	1,010,586
	Hexcel Corp. bank term loan FRN Ser. B, 5.2392s, 2012		4,892,222	4,928,914
	Invensys, PLC bank term loan FRN Ser. B-1, 6.8813s, 2009 (United Kingdom)		804,146	816,208
	Mueller Group, Inc. bank term loan FRN 5.7789s, 2011		4,788,789	4,812,733
	Owens-Illinois, Inc. bank term loan FRN Ser. B, 5.87s, 2008		394,214	397,007
	Polypore, Inc. bank term loan FRN 5.35s, 2011		500,000	501,667
	Rexnord Corp. bank term loan FRN Ser. B, 5.543s, 2009		500,000	503,542
	Roper Industries, Inc. bank term loan FRN Ser. A, 4 1/4s, 2009		2,762,107	2,767,861
	Solo Cup Co. bank term loan FRN 5.078s, 2011		1,012,187	1,020,032
	Standard Aero Holdings, Inc. bank term loan FRN Ser. B, 5.3548s, 2012		830,769	841,154
	Terex Corp. bank term loan FRN 4.89s, 2009		1,240,565	1,253,488
	Terex Corp. bank term loan FRN Ser. C, 5.39s, 2009		5,145,966	5,203,858
	Titan Corp. (The) bank term loan FRN Ser. B, 5.7373s, 2009		800,000	804,334
	Transdigm, Inc. bank term loan FRN Ser. C, 5.3s, 2010		3,340,853	3,372,174
				47,588,456
	Communication Services (0.7%)
	Alaska Communications Systems Group, Inc. bank term loan FRN Ser. B, 5.0925s, 2012		1,000,000	1,006,500
	Consolidated Communications Holdings bank term loan FRN Ser. C, 5.6633s, 2012		3,209,375	3,225,422
	Consolidated Communications Holdings bank term loan FRN Ser. D, 5.064s, 2011		320,476	322,079
	Fairpoint Communications, Inc. bank term loan FRN Ser. B, 5.1725s, 2012		4,500,000	4,543,875
	Hawaiian Telecom Communications bank term loan FRN Ser. B, 7 1/4s, 2012		1,000,000	1,009,375
	Intelsat Bermuda, Ltd. bank term loan FRN Ser. B, 4.8425s, 2011 (Bermuda)		4,872,708	4,908,035
	Iowa Telecommunications Service bank term loan FRN Ser. B, 5.0838s, 2011		450,000	453,656
	PanAmSat Corp. bank term loan FRN Ser. B1, 5.31s, 2010		2,265,708	2,298,939
	Qwest Communications International, Inc. bank term loan FRN Ser. A, 7.39s, 2007		552,500	568,816
	SBA Communications Corp. bank term loan FRN Ser. C, 5.549s, 2008		3,479,215	3,496,611
	Syniverse Holdings, Inc. bank term loan FRN Ser. B, 5.0589s, 2012		3,396,424	3,396,424
	Valor Telecommunications Enterprises LLC/Finance Corp. bank term loan FRN Ser. B, 5.0747s, 2012		4,606,000	4,658,536
				29,888,268
	Consumer Cyclicals (1.6%)
	Adams Outdoor Advertising, LP bank term loan FRN Ser. B, 5.15s, 2012		1,389,579	1,405,792
	American Media Operations bank term loan FRN Ser. C, 5 7/8s, 2007		574,519	579,546
	Boise Cascade Corp. bank term loan FRN Ser. D, 4.9688s, 2011		1,825,490	1,847,294
	Coinmach Corp. bank term loan FRN Ser. B, 6 1/8s, 2009		1,063,996	1,075,966
	Corrections Corporation of America bank term loan FRN Ser. E, 4.9091s, 2008		48,426	48,789
	Custom Building Products bank term loan FRN Ser. B, 5.37s, 2011		798,000	800,993
	Dex Media West, LLC/Dex Media Finance Co. bank term loan FRN Ser. B, 4.7784s, 2010		3,007,519	3,028,403
	Federal Mogul Corp. bank term loan FRN Ser. A, 5.31s, 2006		525,000	466,594
	Federal Mogul Corp. bank term loan FRN Ser. B, 5.56s, 2006		975,000	870,188
	Goodyear Tire & Rubber Co. (The) bank term loan FRN 5.89s, 2010		1,295,000	1,292,225
	Hayes Lemmerz International, Inc. bank term loan FRN 6.4926s, 2009		1,007,600	1,013,898
	Jostens IH Corp. bank term loan FRN Ser. C, 5.19s, 2010		3,716,000	3,765,545
	Journal Register Co. bank term loan FRN Ser. B, 4.6613s, 2012		3,200,000	3,208,000
	Lamar Media Corp. bank term loan FRN Ser. D, 5.0622s, 2010		972,889	982,131
	Landsource, Inc. bank term loan FRN Ser. B, 5 5/8s, 2010		2,900,000	2,903,625
	Masonite International Corp. bank term loan FRN Ser. B, 5.2085s, 2013 (Canada)		2,827,404	2,821,122
	Masonite International Corp. bank term loan FRN 5.2085s, 2013 (Canada)		2,822,596	2,816,324
	Movie Gallery, Inc. bank term loan FRN Ser. B, 6.14s, 2011		2,900,000	2,929,000
	NCI Building Systems, Inc. bank term loan FRN Ser. B, 5.4146s, 2010		858,066	864,501
	Nortek Holdings, Inc. bank term loan FRN Ser. B, 5.34s, 2011		2,992,462	3,005,554
	Penn National Gaming, Inc. bank term loan FRN Ser. B, 5.12s, 2012		1,100,000	1,114,732
	PRIMEDIA, Inc. bank term loan FRN Ser. B, 5 7/8s, 2009		657,448	656,901
	R.H. Donnelley Finance Corp. bank term loan FRN Ser. A-3, 4.8571s, 2009		1,367,964	1,376,980
	R.H. Donnelley Finance Corp. bank term loan FRN Ser. D, 4.8023s, 2011		2,851,777	2,877,623
	Raycom Media, Inc. bank term loan FRN Ser. B, 5 1/8s, 2012		1,300,000	1,306,500
	Resorts International Hotel and Casino, Inc. bank term loan FRN Ser. B, 5.56s, 2012		5,596,211	5,663,365
	Sealy Mattress Co. bank term loan FRN Ser. D, 5.0005s, 2012		1,302,462	1,307,347
	TransWestern Publishing/TWP Cap bank term loan FRN 4.5625s, 2011		2,700,000	2,705,908
	TransWestern Publishing/TWP Cap bank term loan FRN Ser. B, 5.464s, 2011		961,775	963,879
	Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. B, 5.59s, 2012		1,125,000	1,136,250
	Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. DD, 5.62s, 2012 (U)		1,125,000	1,136,250
	TRW Automotive, Inc. bank term loan FRN Ser. B, 4 3/8s, 2010		3,877,470	3,885,085
	TRW Automotive, Inc. bank term loan FRN Ser. E, 4.9375s, 2010		1,496,250	1,498,120
	Venetian Casino Resort, LLC bank term loan FRN Ser. B, 4.81s, 2011		6,571,282	6,631,127
	Venetian Casino Resort, LLC bank term loan FRN Ser. DD, 4.314s, 2011 (U)		1,354,904	1,363,372
	William Carter Holdings Co. (The) bank term loan FRN Ser. B, 4.87s, 2012		800,000	810,000
	WRC Media Corp. bank term loan FRN 8.0644s, 2009		1,127,500	1,124,681
				71,283,610
	Consumer Staples (1.6%)
	Affinity Group Holdings bank term loan FRN Ser. B1, 6.1842s, 2009		242,532	244,351
	Affinity Group Holdings bank term loan FRN Ser. B2, 6.12s, 2009		606,330	610,877
	AMF Bowling Worldwide bank term loan FRN Ser. B, 6.1484s, 2009		715,802	718,934
	Century Cable Holdings bank term loan FRN 8s, 2009		6,280,000	6,203,742
	Charter PLC bank term loan FRN Ser. B, 6.4398s, 2011 (United Kingdom)		4,898,788	4,863,796
	Cinemark, Inc. bank term loan FRN Ser. C, 5.1786s, 2011		2,824,375	2,857,327
	Constellation Brands, Inc. bank term loan FRN Ser. B, 4.9913s, 2011		4,740,506	4,781,985
	DirecTV Holdings, LLC bank term loan FRN Ser. B, 4.59s, 2013		3,733,333	3,744,223
	Dole Food Co., Inc. bank term loan FRN Ser. B, 5.4367s, 2012		1,674,553	1,685,019
	Domino's, Inc. bank term loan FRN 4 7/8s, 2010		1,696,650	1,716,798
	Emmis Communications Corp. bank term loan FRN Ser. B, 4.84s, 2010		797,995	803,758
	Freedom Communications, Inc. bank term loan FRN Ser. B, 6 1/2s, 2012		1,862,903	1,865,698
	Frontier Vision bank term loan FRN Ser. B, 7.275s, 2006		150,000	150,094
	Insight Midwest LP/Insight Capital, Inc. bank term loan FRN 5 3/4s, 2009		1,668,875	1,684,312
	Itron, Inc. bank term loan FRN 5.0138s, 2010		230,338	231,202
	Jean Coutu Group, Inc. bank term loan FRN Ser. B, 5.4997s, 2011		4,473,731	4,535,245
	Loews Cineplex Entertainment Corp. bank term loan FRN Ser. B, 5.4137s, 2011		3,459,405	3,467,334
	Mediacom Communications Corp. bank term loan FRN Ser. B, 5.2607s, 2012		2,238,750	2,259,389
	MGM Studios, Inc. bank term loan FRN Ser. B, 5.38s, 2011		4,400,000	4,412,650
	Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 7 3/4s, 2010		4,085,000	4,033,206
	Pinnacle Foods Holding Corp. bank term loan FRN 6.3489s, 2010		2,225,606	2,232,561
	Prestige Brands, Inc. bank term loan FRN Ser. B, 5.3847s, 2011		1,994,962	2,013,250
	Regal Cinemas, Inc. bank term loan FRN Ser. B, 4.8425s, 2010		5,074,307	5,114,481
	Roundy's bank term loan FRN Ser. B, 5.0753s, 2009		567,110	571,363
	Six Flags, Inc. bank term loan FRN Ser. B, 5.8897s, 2009		3,011,359	3,042,099
	Sun Media Corp. bank term loan FRN Ser. B, 5.19s, 2009 (Canada)		385,865	389,884
	Universal City Development bank term loan FRN Ser. B, 5.2221s, 2011		6,069,500	6,120,077
	Warner Music Group bank term loan FRN Ser. B, 4.9267s, 2011		1,934,307	1,945,187
	Young Broadcasting, Inc. bank term loan FRN Ser. B, 5.6381s, 2012		2,200,000	2,218,333
				74,517,175
	Energy (0.3%)
	Belden and Blake Corp. bank term loan FRN 5.7583s, 2011		1,696,250	1,696,250
	Dresser, Inc. bank term loan FRN 6.91s, 2010		1,230,000	1,251,525
	Dresser, Inc. bank term loan FRN Ser. C, 5.6s, 2009		464,223	469,252
	Dresser-Rand Group, Inc. bank term loan FRN Ser. B, 5.368s, 2011		1,240,510	1,257,180
	Kerr-McGee Corp. bank term loan FRN Ser. B, 5.79s, 2011		2,200,000	2,232,388
	Magellan Midstream Holdings bank term loan FRN Ser. B, 5.09s, 2011		2,470,072	2,470,072
	Trico Marine Services, Inc. bank term loan FRN 8.3s, 2010		1,874,536	1,874,536
	Universal Compression, Inc. bank term loan FRN Ser. B, 4.85s, 2012		2,942,625	2,976,651
				14,227,854
	Financial (0.3%)
	Fidelity National Information Solutions bank term loan FRN Ser. B, 4.84s, 2013		4,393,750	4,373,156
	General Growth Properties, Inc. bank term loan FRN Ser. B, 5.34s, 2008 (R)		4,619,280	4,651,260
	Hilb, Rogal & Hamilton Co. bank term loan FRN Ser. B, 5 3/8s, 2011		2,045,304	2,059,366
	Maguire Properties, Inc. bank term loan FRN Ser. B, 4.84s, 2010 (R)		4,877,778	4,902,167
				15,985,949
	Health Care (0.9%)
	Alderwoods Group, Inc. bank term loan FRN 5.2763s, 2009 (Canada)		700,000	707,875
	Beverly Enterprises, Inc. bank term loan FRN 5.6486s, 2008		3,057,876	3,065,520
	Community Health Systems, Inc. bank term loan FRN Ser. B, 4.64s, 2011		5,383,330	5,436,044
	Concentra bank term loan FRN 6.0085s, 2009		1,449,877	1,460,751
	DaVita, Inc. bank term loan FRN Ser. B, 5.37s, 2012		3,900,000	3,947,533
	Express Scripts, Inc. bank term loan FRN Ser. B, 4.7679s, 2010		4,723,558	4,758,985
	Fisher Scientific International, Inc. bank term loan FRN Ser. B, 4.5925s, 2011		811,800	817,128
	Hanger Orthopedic Group, Inc. bank term loan FRN 6.5925s, 2009		786,000	791,895
	Healthsouth Corp. bank term loan FRN 5.59s, 2010		2,737,500	2,767,443
	Healthsouth Corp. bank term loan FRN 2.87s, 2010		738,690	746,770
	IASIS Healthcare Corp. bank term loan FRN Ser. B, 5.3699s, 2011		1,196,977	1,209,589
	Kinetic Concepts, Inc. bank term loan FRN Ser. B, 4.85s, 2011		1,450,953	1,463,649
	LifePoint, Inc. bank term loan FRN Ser. B, 4.715s, 2012		4,702,500	4,703,676
	Stewart Enterprises, Inc. bank term loan FRN Ser. B, 4.6399s, 2011		682,323	685,734
	Vanguard Health Systems bank term loan FRN Ser. B, 6.34s, 2011		997,487	1,011,826
	Veterinary Centers of America bank term loan FRN Ser. B, 4 3/4s, 2011		900,000	902,250
	VWR International, Inc. bank term loan FRN Ser. B, 5.65s, 2011		1,975,287	1,987,632
	Warner Chilcott Corp. bank term loan FRN Ser. B, 5.9013s, 2012		1,663,834	1,665,914
	Warner Chilcott Corp. bank term loan FRN Ser. B, 5.901s, 2012 (U)		16,562	16,607
	Warner Chilcott Corp. bank term loan FRN Ser. C, 5.84s, 2012		670,444	671,282
	Warner Chilcott Corp. bank term loan FRN Ser. D, 5.84s, 2012		309,726	313,598
	Warner Chilcott Corp. bank term loan FRN Ser. DD, 5.314s, 2012 (U)		82,808	82,911
				39,214,612
	Technology (0.3%)
	AMI Semiconductor, Inc. bank term loan FRN 4.5813s, 2012		3,990,000	4,004,963
	Iron Mountain, Inc. bank term loan FRN Ser. C, 4.6875s, 2011		990,000	995,445
	ON Semiconductor Corp. bank term loan FRN Ser. G, 6 1/8s, 2011		1,994,987	2,015,562
	Seagate Technology Hdd Holdings bank term loan FRN 5 1/8s, 2007 (Cayman Islands)		2,131,911	2,155,006
	Seagate Technology Hdd Holdings bank term loan FRN Ser. B, 5 1/8s, 2007 (Cayman Islands)		852,705	861,942
	UGS Corp. bank term loan FRN Ser. C, 5.09s, 2012		4,043,098	4,078,475
				14,111,393
	Transportation (0.1%)
	Kansas City Southern Railway Co. bank term loan FRN Ser. B, 4.8099s, 2008		2,985,000	3,020,447
	Pacer International, Inc. bank term loan FRN 5.2297s, 2010		752,500	758,144
	Rail America, Inc. bank term loan FRN Ser. B, 5.3125s, 2011		890,449	901,579
	Rail America, Inc. bank term loan FRN Ser. B, 5.3125s, 2011		105,261	106,576
				4,786,746
	Utilities & Power (0.3%)
	Dynegy, Inc. bank term loan FRN Ser. B, 7.09s, 2010		811,800	815,047
	El Paso Corp. bank term loan FRN Ser. B, 5 7/8s, 2009		6,105,840	6,140,185
	El Paso Corp. bank term loan FRN Ser. C, 5.62s, 2009		1,725,000	1,733,625
	NRG Energy, Inc. bank term loan FRN 2.9925s, 2011		1,203,125	1,211,396
	NRG Energy, Inc. bank term loan FRN Ser. B, 5.2532s, 2011		1,539,141	1,549,722
	Williams Cos., Inc. (The) bank term loan FRN Ser. C, 5.59s, 2007		1,820,532	1,836,462
				13,286,437
	Total senior loans (cost $351,438,033)			$351,015,367
	COLLATERALIZED MORTGAGE OBLIGATIONS (6.2%)(a)
			Principal amount	Value
	Banc of America Commercial Mortgage, Inc. 144A Ser. 01-1
	Class J, 6 1/8s, 2036		$1,170,000	$1,171,211
	Class K, 6 1/8s, 2036		2,633,000	2,015,043
	Banc of America Large Loan 144A
	FRB Ser. 02-FL2A, Class L1, 6.16s, 2014		1,090,000	1,090,061
	FRB Ser. 02-FL2A, Class K1, 5.66s, 2014		399,575	400,512
	FRB Ser. 05-BOCA, Class M, 5.32s, 2016		1,097,000	1,102,396
	FRB Ser. 05-BOCA, Class L, 4.92s, 2016		1,052,000	1,055,703
	FRB Ser. 05-BOCA, Class K, 4.57s, 2016		655,000	657,312
	FRB Ser. 05-BOCA, Class J, 4.32s, 2016		212,000	212,449
	FRB Ser. 05-BOCA, Class H, 4.17s, 2016		504,000	505,069
	Ser. 03-BBA2, Class X1A, IO, 0.718s, 2015		8,356,931	23,971
	Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2, Class F, 8.453s, 2032		1,174,000	1,403,031
	Bear Stearns Commercial Mortgage Securitization Corp. 144A Ser. 04-ESA, Class K, 5.716s, 2016		3,000,000	3,000,000
	Broadgate Financing PLC FRB Ser. D, 5.766s, 2023 (United Kingdom)	GBP	3,114,350	5,566,468
	Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO, 0.915s, 2017		$116,039,071	2,302,650
	Commercial Mortgage Pass-Through Certificates 144A Ser. 01-FL4A, Class D, 4.07s, 2013		5,555,000	5,555,000
	Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2033		3,310,500	3,447,058
	Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1, Class B, 7s, 2033		14,703,000	15,647,873
	CS First Boston Mortgage Securities Corp. 144A
	FRB Ser. 03-TF2A, Class L, 7.22s, 2014		2,934,000	2,925,515
	FRB Ser. 05-TFLA, Class L, 5.07s, 2020		4,911,000	4,910,985
	FRB Ser. 05-TFLA, Class K, 4.52s, 2020		1,310,000	1,309,996
	Ser. 98-C1, Class F, 6s, 2040		7,396,000	6,047,502
	Ser. 02-CP5, Class M, 5 1/4s, 2035		2,599,000	1,991,094
	Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.061s, 2031		213,599,109	4,856,043
	DLJ Commercial Mortgage Corp. Ser. 98-CF2
	Class B4, 6.04s, 2031		2,235,111	2,245,380
	Class B5, 5.95s, 2031		7,128,872	5,147,651
	DLJ Mortgage Acceptance Corp. 144A Ser. 97-CF1
	Class B2, 8.16s, 2030		1,974,000	1,184,400
	Class B1, 7.91s, 2030		1,948,000	2,077,555
	European Loan Conduit FRN Ser. 6X, Class E, 6.683s, 2010 (United Kingdom)	GBP	2,643,178	4,782,105
	European Loan Conduit 144A FRN Ser. 6A, Class F, 7.183s, 2010 (United Kingdom)	GBP	984,468	1,785,537
	Fannie Mae
	IFB Ser. 98-51, Class SG, IO, 24.12s, 2022		$605,085	300,513
	IFB Ser. 02-36, Class SJ, 11.839s, 2029		1,845,617	1,908,379
	IFB Ser. 96-40, Class SD, IO, 11.615s, 2022		179,727	3,595
	IFB Ser. 03-87, Class SP, 9.585s, 2032		233,486	235,711
	IFB Ser. 02-36, Class QH, IO, 4.736s, 2029		3,998,855	117,658
	Ser. 92-15, Class L, IO, 10.38s, 2022		3,362	31,493
	Ser. 03-W6, Class PT1, 9.43s, 2042		167,599	182,748
	Ser. 04-W8, Class 3A, 7 1/2s, 2044		4,160,351	4,467,161
	Ser. 04-T2, Class 1A4, 7 1/2s, 2043		3,446,644	3,705,620
	Ser. 03-W4, Class 4A, 7 1/2s, 2042		1,166,970	1,245,576
	Ser. 03-W3, Class 1A3, 7 1/2s, 2042		2,227,325	2,383,839
	Ser. 02-T19, Class A3, 7 1/2s, 2042		392,406	419,959
	Ser. 03-W2, Class 1A3, 7 1/2s, 2042		414,089	443,404
	Ser. 02-W6, Class 2A, 7 1/2s, 2042		542,093	579,211
	Ser. 02-T12, Class A3, 7 1/2s, 2042		569,133	608,124
	Ser. 02-W1, Class 2A, 7 1/2s, 2042		6,374	6,775
	Ser. 02-14, Class A2, 7 1/2s, 2042		25,111	26,833
	Ser. 01-T10, Class A2, 7 1/2s, 2041		2,379,668	2,537,315
	Ser. 02-T4, Class A3, 7 1/2s, 2041		687,781	733,575
	Ser. 01-T8, Class A1, 7 1/2s, 2041		39,731	42,298
	Ser. 01-T7, Class A1, 7 1/2s, 2041		10,155,493	10,801,427
	Ser. 01-T3, Class A1, 7 1/2s, 2040		1,473,236	1,567,856
	Ser. 01-T1, Class A1, 7 1/2s, 2040		4,656,015	4,967,040
	Ser. 99-T2, Class A1, 7 1/2s, 2039		1,799,103	1,923,806
	Ser. 00-T6, Class A1, 7 1/2s, 2030		882,845	938,997
	Ser. 02-W7, Class A5, 7 1/2s, 2029		1,952,858	2,089,054
	Ser. 01-T4, Class A1, 7 1/2s, 2028		11,648,764	12,515,458
	Ser. 02-W3, Class A5, 7 1/2s, 2028		12,516	13,374
	Ser. 93-80, Class S, FRN, 6.791s, 2023		392,347	391,311
	Ser. 98-T2, Class A4, IO, 6 1/2s, 2036		330,013	20,197
	Ser. 04-78, Class HI, IO, 6s, 2034		1,296,727	240,705
	Ser. 03-135, IO, 6s, 2033		450,651	66,753
	Ser. 03-58, Class ID, IO, 6s, 2033		6,030,548	931,117
	Ser. 03-22, IO, 6s, 2033		5,252,962	811,689
	Ser. 03-26, Class IG, IO, 6s, 2033		5,161,315	671,148
	Ser. 328, Class 2, IO, 6s, 2032		1,201,840	196,650
	Ser. 322, Class 2, IO, 6s, 2032		4,681,478	773,069
	Ser. 318, Class 2, IO, 6s, 2032		5,942,735	979,488
	Ser. 350, Class 2, IO, 5 1/2s, 2034		9,961,493	1,713,614
	Ser. 338, Class 2, IO, 5 1/2s, 2033		34,772,995	6,111,361
	Ser. 333, Class 2, IO, 5 1/2s, 2033		10,507,342	1,851,455
	Ser. 329, Class 2, IO, 5 1/2s, 2033		31,575,045	5,535,411
	Ser. 331, Class 1, IO, 5 1/2s, 2032		758,388	119,684
	Ser. 03-30, Class PI, IO, 5 1/2s, 2029		4,172,925	291,412
	Ser. 03-86, Class IB, IO, 5 1/2s, 2028		3,126,491	107,473
	Ser. 03-8, Class IP, IO, 5 1/2s, 2028		210,707	8,574
	Ser. 03-37, Class IC, IO, 5 1/2s, 2027		16,392,486	1,385,673
	Ser. 03-6, Class IB, IO, 5 1/2s, 2022		2,824,297	18,571
	Ser. 03-118, Class S, IO, 4.786s, 2033		11,853,849	1,177,976
	Ser. 343, Class 25, IO, 4 1/2s, 2018		606,656	82,952
	Ser. 03-W10, Class 3, IO, 1.942s, 2043		2,093,970	97,500
	Ser. 03-W10, Class 1A, IO, 1.468s, 2043		58,558,631	1,134,573
	Ser. 03-W10, Class 3A, IO, 1.448s, 2043		71,533,365	1,475,376
	Ser. 03-W17, Class 12, IO, 1.156s, 2033		35,288,300	1,003,127
	Ser. 01-T1, Class 1, IO, 0.819s, 2040		1,866,426	30,913
	Ser. 00-T6, IO, 0.763s, 2030		33,369,118	479,681
	Ser. 02-T18, IO, 0.521s, 2042		96,259,288	1,144,077
	Ser. 02-W8, Class 1, IO, 0.364s, 2042		50,152,382	438,833
	Ser. 352, Class 1, PO, zero %, 2034		1,622,932	1,359,345
	Ser. 99-51, Class N, PO, zero %, 2029		706,878	605,595
	Federal Home Loan Mortgage Corp. Structured Pass-Through Securities
	Ser. 212, IO, 6s, 2031		242,278	38,278
	Ser. T-58, Class 4A, 7 1/2s, 2043		76,503	81,698
	Ser. T-42, Class A5, 7 1/2s, 2042		986,752	1,053,812
	Ser. T-41, Class 3A, 7 1/2s, 2032		1,910,634	2,035,837
	Ser. T-57, Class 1AX, IO, 0.448s, 2043		29,243,900	282,258
	FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.511s, 2020		60,338,268	3,891,333
	First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035		3,121,100	2,045,296
	Freddie Mac
	IFB Ser. 2771, Class SV, 15.955s, 2034		447,989	538,201
	IFB Ser. 2763, Class SC, 15.72s, 2032		8,018,334	9,133,192
	IFB Ser. 2828, Class GI, IO, 4.28s, 2034		616,731	77,745
	IFB Ser. 2869, Class JS, IO, 4.03s, 2034		1,615,089	141,885
	IFB Ser. 2882, Class SL, IO, 3.98s, 2034		320,968	32,678
	IFB Ser. 2737, Class SQ, IO, 3.88s, 2034		566,999	38,646
	Ser. 2728, IO, 6s, 2032		1,581,022	186,758
	Ser. 216, IO, 6s, 2032		16,992,541	2,715,767
	Ser. 226, IO, 5 1/2s, 2034		7,995,779	1,438,716
	Ser. 223, IO, 5 1/2s, 2032		1,942,664	324,170
	Ser. 2515, Class IG, IO, 5 1/2s, 2032		10,684,436	2,090,590
	Ser. 2626, Class IK, IO, 5 1/2s, 2030		5,857,770	847,152
	Ser. 2590, Class IH, IO, 5 1/2s, 2028		5,463,961	846,914
	Ser. 2833, Class IK, IO, 5 1/2s, 2023		2,661,572	301,022
	Ser. 2553, Class IJ, IO, 5 1/2s, 2020		713,717	6,746
	Ser. 2852, Class WI, IO, 5s, 2019		293,370	48,773
	Ser. 2852, Class VS, IO, 3.74s, 2034		3,785,937	95,284
	Ser. 2696, PO, zero %, 2033		417,038	346,106
	Ser. 215, PO, zero %, 2031		902,785	822,036
	Ser. 2235, PO, zero %, 2030		1,961,736	1,719,585
	Ser. 2191, Class MO, PO, zero %, 2027		419,011	400,988
	Ser. 1208, Class F, PO, zero %, 2022		683,905	563,529
	GE Capital Commercial Mortgage Corp. 144A Ser. 00-1
	Class G, 6.131s, 2033		4,588,975	4,226,803
	Class H, 6.131s, 2033		2,837,147	1,830,736
	GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036		4,134,628	3,346,671
	Government National Mortgage Association
	IFB Ser. 04-86, Class SW, IO, 3.49s, 2034		856,015	53,879
	Ser. 97-13, Class PI, IO, 8s, 2027		426,589	86,186
	Ser. 96-16, Class S, IO, 5 1/4s, 2010		7,405,416	508,651
	Ser. 01-43, Class SJ, IO, 4.34s, 2029		498,829	1,715
	Ser. 99-31, Class MP, PO, zero %, 2029		87,685	77,864
	Ser. 98-2, Class EA, PO, zero %, 2028		641,118	548,556
	GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A, Class L, 6.47s, 2015		1,843,461	1,853,830
	LB Commercial Conduit Mortgage Trust 144A
	Ser. 99-C1, Class G, 6.41s, 2031		1,960,723	1,910,776
	Ser. 98-C4, Class J, 5.6s, 2035		7,070,000	5,234,286
	Lehman Brothers Floating Rate Commercial Mortgage Trust 144A FRB Ser. 03-LLFA, Class L, 6.966s, 2014		4,196,208	4,074,088
	Mach One Commercial Mortgage Trust 144A Ser. 04-1A
	Class J, 5.45s, 2040		4,511,500	3,799,176
	Class K, 5.45s, 2040		1,653,000	1,376,316
	Class L, 5.45s, 2040		752,500	562,288
	Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.53s, 2028		39,716,482	1,619,688
	Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1, Class X, IO, 8.054s, 2037		8,368,680	3,560,939
	Morgan Stanley Capital I 144A
	Ser. 96-C1, Class E, 7.345s, 2028		275,000	279,287
	Ser. 04-RR, Class F7, 6s, 2039		13,869,752	10,013,543
	Mortgage Capital Funding, Inc.
	FRB Ser. 98-MC2, Class E, 7.10s, 2030		2,378,284	2,552,070
	Ser. 97-MC2, Class X, IO, 1.465s, 2012		25,512,447	521,851
	Permanent Financing PLC FRB Ser. 8, Class 2C, 3.818s, 2042 (United Kingdom)		973,000	973,000
	PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2010		880,000	845,918
	Quick Star PLC FRN Class 1-D, 5.831s, 2011 (United Kingdom)	GBP	3,180,032	5,699,253
	QUIZNOS 144A Ser. 05-1, 7.3s, 2025		$5,090,408	5,108,493
	Salomon Brothers Mortgage Securities VII 144A Ser. 03-CDCA, Class X3CD, IO, 1.06s, 2015		19,319,045	329,254
	Starwood Asset Receivables Trust 144A FRB Ser. 03-1A
	Class F, 4.414s, 2022		2,468,179	2,469,660
	Class E, 4.364s, 2022		3,131,502	3,133,381
	STRIPS 144A
	Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)		1,339,000	1,133,704
	Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)		1,590,000	1,213,170
	Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)		1,438,000	1,217,525
	Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)		1,371,000	1,059,205
	Titan Europe PLC 144A FRN Ser. 04-2A
	Class D, 3.044s, 2014 (Ireland)	EUR	2,846,000	3,445,083
	Class C, 2.634s, 2014 (Ireland)	EUR	3,577,000	4,329,959
	Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 6.52s, 2018		$3,292,000	3,259,541
	Total collateralized mortgage obligations (cost $297,122,269)			$284,873,012
	BRADY BONDS (0.5%)(a)
			Principal amount	Value
	Brazil (Federal Republic of) FRB Ser. 18 YR, 4.313s, 2012		$8,461,874	$8,134,399
	Brazil (Federal Republic of) FRB Ser. RG, 4.313s, 2012		5,089,477	4,892,514
	Peru (Republic of) coll. FLIRB Ser. 20YR, 4 1/2s, 2017		5,588,550	5,225,294
	Peru (Republic of) FRB Ser. 20 YR, 5s, 2017		4,925,750	4,654,834
	Total brady bonds (cost $20,778,488)			$22,907,041
	CONVERTIBLE BONDS AND NOTES (0.1%)(a)
			Principal amount	Value
	Lear Corp. cv. company guaranty zero %, 2022		$4,318,000	$1,937,703
	WCI Communities, Inc. cv. sr. sub. notes 4s, 2023		1,950,000	2,500,875
	Total convertible bonds and notes (cost $4,279,164)			$4,438,578
	SHORT-TERM INVESTMENTS (6.3%)(a)
			Principal amount/Shares	Value
	Putnam Prime Money Market Fund (e)		259,400,181	$259,400,181
	Short-term investments held as collateral for loaned securities with yields ranging from 2.30% to 3.59% and due dates ranging from July 1, 2005 to August 17, 2005 (d)		$25,588,056	25,578,180
	U.S. Treasury Bill zero %, August 04, 2005 (SEG)		5,400,000	5,384,644
	Total short-term investments (cost $290,363,005)			$290,363,005
	TOTAL INVESTMENTS
	Total investments (cost $4,792,097,040) (b)			$4,913,042,469

Putnam Diversified Income Trust
FORWARD CURRENCY CONTRACTS TO BUY at 6/30/05 (aggregate face value $556,668,564) (Unaudited)
				Unrealized
		Aggregate	Delivery	appreciation/
	Value	face value	date	(depreciation)
Australian Dollar	$263,071,210	$264,360,415	7/20/05	$(1,289,205)
British Pound	64,021,088	64,880,388	9/21/05	(859,300)
Canadian Dollar	18,419,058	17,879,748	7/20/05	539,310
Danish Krone	6,356,326	6,457,532	9/21/05	(101,206)
Euro	35,046,653	35,236,310	9/21/05	(189,657)
Japanese Yen	104,916,502	110,081,802	8/17/05	(5,165,300)
Korean Won	933,633	963,999	8/17/05	(30,366)
Norwegian Krone	14,988,790	15,298,823	9/21/05	(310,033)
Polish Zloty	4,039,466	4,048,075	9/21/05	(8,609)
Singapore Dollar	37,587	38,324	8/17/05	(737)
Swiss Franc	23,191,634	23,645,919	9/21/05	(454,285)
Taiwan Dollar	13,463,469	13,777,229	8/17/05	(313,760)
Total forward currency contracts to buy				$(8,183,148)

Putnam Diversified Income Trust
FORWARD CURRENCY CONTRACTS TO SELL at 6/30/05 (aggregate face value $903,180,674) (Unaudited)
				Unrealized
		Aggregate	Delivery	appreciation/
	Value	face value	date	(depreciation)
Australian Dollar	$26,185,709	$26,132,741	7/20/05	$(52,968)
British Pound	27,507,130	27,939,848	9/21/05	432,718
Canadian Dollar	157,840,587	156,471,131	7/20/05	(1,369,456)
Euro	475,203,407	480,975,494	9/21/05	5,772,087
Japanese Yen	34,577,407	35,188,029	8/17/05	610,622
New Zealand Dollar	228,917	240,628	7/20/05	11,711
Swedish Krona	135,091,081	141,139,278	9/21/05	6,048,197
Swiss Franc	34,817,149	35,093,525	9/21/05	276,376
Total forward currency contracts to sell				$11,729,287

Putnam Diversified Income Trust
FUTURES CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
				Unrealized
	Number of		Expiration	appreciation/
	contracts	Value	date	(depreciation)
Euro 90 day (Long)	50	$11,999,375	Jun-06	$(7,500)
Euro 90 day (Long)	18	4,320,450	Mar-06	(6,525)
Euro 90 day (Long)	2,230	536,036,250	Sep-05	(553,982)
Euro 90 day (Short)	2,158	518,081,850	Dec-05	505,243
Euro-Bobl 5 yr (Long)	465	65,091,726	Sep-05	370,089
Euro-Bund 10 yr (Short)	1,123	167,884,833	Sep-05	(1,288,329)
Interest Rate Swap 10 yr (Long)	149	16,818,375	Sep-05	18,560
Japanese Government Bond 10 yr - Mini (Long)	265	33,790,550	Sep-05	111,463
Japanese Government Bond 10 yr - TSE  (Short)	52	66,273,129	Sep-05	(194,091)
U.K. Gilt 10 yr (Long)	153	31,306,192	Sep-05	309,398
U.S. Treasury Bond 20 yr (Short)	2,004	237,975,000	Sep-05	(4,675,220)
U.S. Treasury Note 10 yr (Long)	1,512	171,564,750	Sep-05	1,046,788
U.S. Treasury Note 5 yr (Short)	670	72,956,719	Sep-05	(262,239)
U.S. Treasury Note 2 yr (Short)	726	150,781,125	Sep-05	(147,814)
Total futures contracts outstanding				$(4,774,159)

Putnam Diversified Income Trust
TBA SALE COMMITMENTS OUTSTANDING at 6/30/05 (proceeds receivable $100,051,764) (Unaudited)
	Principal	Settlement
Agency	amount	date	Value
FHLMC, 5 1/2s, July 1, 2020	$69,483,000	7/19/05	$71,290,642
FNMA, 5 1/2s, July 1, 2020	24,400,000	7/19/05	25,040,500
FNMA, 5s, July 1, 2035	4,000,000	7/14/05	3,999,688
Total TBA sale commitments outstanding			$100,330,830

Putnam Diversified Income Trust
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
			Unrealized
	Notional	Termination	appreciation/
	amount	date	(depreciation)
Agreement with Bank of America, N.A. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 1.97375% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.	$132,900,000	1/26/06	$986,895
Agreement with Bank of America, N.A. dated December 2, 2003 to pay semi-annually the notional amount multiplied by 2.444% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.	44,236,000	12/5/05	260,612
Agreement with Bank of America, N.A. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 4.35% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.	42,000,000	1/27/14	(698,419)
Agreement with Credit Suisse First Boston International dated May 18, 2005 to pay semi-annually the notional amount multiplied by 4.6325% and receive quarterly the notional amount multiplied by the three month GBP-LIBOR-BBA.	GBP 160,000,000	5/18/07	(1,305,903)
Agreement with Credit Suisse First Boston International dated July 7, 2004 to pay semi-annually the notional amount multiplied by 4.945% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.	$42,918,600	7/9/14	(2,709,037)
Agreement with Credit Suisse First Boston International dated July 7, 2004 to receive semi-annually the notional amount multiplied by 2.931% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.	37,886,000	7/9/06	(105,351)
Agreement with Deutsche Bank AG dated July 31, 2002 to pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and receive semi-annually the notional amount multiplied by 5.7756%.	21,693,259	8/2/22	3,529,704
Agreement with Deutsche Bank AG dated July 31, 2002 to receive semi-annually the notional amount multiplied by the three month USD-LIBOR-BBA and pay quarterly the notional amount multiplied by 5.86%.	24,344,349	8/2/32	(5,035,804)
Agreement with Goldman Sachs Capital Markets, L.P. dated July 30, 2002 to pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and receive semi-annually the notional amount multiplied by 5.845%.	43,565,000	8/1/22	7,456,655
Agreement with Goldman Sachs Capital Markets, L.P. dated July 30, 2002 to receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and pay semi-annually the notional amount multiplied by 5.919%.	48,888,992	8/1/32	(10,543,709)
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8, 2002 to pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and receive semi-annually the notional amount multiplied by 5.601%.	21,693,259	8/12/22	3,035,476
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8, 2002 to receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and pay semi-annually the notional amount multiplied by 5.689%.	24,344,349	8/12/32	(4,331,526)
Agreement with JPMorgan Chase Bank, N.A. dated May 6, 2005 to pay semi-annually the notional amount multiplied by 4.062% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.	210,000,000	5/10/07	(541,496)
Agreement with JPMorgan Chase Bank, N.A. dated May 6, 2005 to receive semi-annually the notional amount multiplied by 4.687% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.	113,000,000	5/10/15	3,256,956
Agreement with JPMorgan Chase Bank, N.A. dated May 6, 2005 to pay semi-annually the notional amount multiplied by 5.062% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.	49,000,000	5/10/35	(3,348,663)
Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 1.955% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	132,900,000	1/26/06	1,002,812
Agreement with Lehman Brothers Special Financing, Inc. dated December 9, 2003 to receive semi-annually the notional amount multiplied by 4.641% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	68,727,000	12/15/13	1,809,502
Agreement with Lehman Brothers Special Financing, Inc. dated January 22, 2004 to pay semi-annually the notional amount multiplied by 4.3375% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	42,000,000	1/26/14	(716,105)
Agreement with Lehman Brothers Special Financing, Inc. dated July 19, 2002 to receive semi-annually the notional amount multiplied by 5.114% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA adjusted by a specified spread.	35,000,000	7/23/12	2,477,841
Agreement with Lehman Brothers Special Financing, Inc. dated July 31, 2002 to receive semi-annually the notional amount multiplied by 5.7756% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	21,693,259	8/2/22	3,589,626
Agreement with Lehman Brothers Special Financing, Inc. dated July 31, 2002 to pay semi-annually the notional amount multiplied by 5.152% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	21,082,941	8/2/12	(1,539,337)
Agreement with Merrill Lynch Capital Services, Inc. dated February 16, 2005 to receive semi-annually the notional amount multiplied by the six month EURIBOR and pay annually the notional amount multiplied by 2.5645%.	EUR 337,100,000	2/19/07	(3,460,069)
Agreement with Merrill Lynch Capital Services, Inc. dated June 9, 2005 to pay semi-annually the notional amount multiplied by the six month JPY-LIBOR-BBA and receive semi-annually the notional amount multiplied by 1.7275%.	JPY 9,500,000,000	6/14/20	621,944
Agreement with Merrill Lynch Capital Services, Inc. dated September 27, 2002 to receive semi-annually the notional amount multiplied by the six month JPY-LIBOR-BBA and pay semi-annually the notional amount multiplied by 0.399%.	JPY 16,727,000,000	10/1/07	(992,913)
Agreement with Merrill Lynch Capital Services, Inc. dated July 30, 2002 to pay quarterly the notional amount multiplied by the three month LIBOR-BBA and receive semi-annually the notional amount multiplied by 5.845%.	$43,565,000	8/1/22	7,684,888
Agreement with Merrill Lynch Capital Services, Inc. dated July 30, 2002 to receive quarterly the notional amount multiplied by the three month LIBOR-BBA and pay semi-annually the notional amount multiplied by 5.204%.	42,339,343	8/1/12	(3,192,463)
Agreement with Merrill Lynch Capital Services, Inc. dated October 27, 2000 to receive semi-annually the notional amount multiplied by 6.74% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.	33,300,000	10/31/05	542,759
Agreement with Merrill Lynch Capital Services, Inc. dated August 8, 2002 to pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and receive semi-annually the notional amount multiplied by 5.601%.	21,693,259	8/12/22	3,147,231
Agreement with Merrill Lynch Capital Services, Inc. dated August 8, 2002 to receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA and pay semi-annually the notional amount multiplied by 4.94%.	21,082,941	8/13/12	(1,229,190)
Agreement with Morgan Stanley Capital Services, Inc. dated May 15, 2002 to receive semi-annually the notional amount multiplied by 5.7775% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	15,000,000	5/17/12	1,424,148
Agreement with Morgan Stanley Capital Services, Inc. dated September 28, 2000 to pay semi-annually the notional amount multiplied by 6.94% and receive quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.	2,000,000	10/2/10	(279,037)
Agreement with UBS AG dated April 4, 2005 to pay quarterly the notional amount multiplied by 2.61% and receive semi-annually the notional amount multiplied by the six month EUR-EURIBOR-Telerate.	EUR 542,000,000	4/6/07	(5,902,167)
Total interest rate swap contracts outstanding			$(5,104,140)

Putnam Diversified Income Trust
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
	Notional	Termination	Unrealized
	amount	date	appreciation
Agreement with Lehman Brothers Special Financing, Inc. dated October 9, 2003 to receive/(pay) semi-annually the notional amount multiplied by the total rate of return of the Lehman Brothers U.S. High Yield Index and pay semi-annually the notional amount multiplied by the six month USD-LIBOR adjusted by a specified spread.	$11,383,152	5/1/06	$327,785

Putnam Diversified Income Trust
CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
		Unrealized
	Notional	appreciation/
	amount	(depreciation)
Agreement with Bank of America, N.A. effective April 13, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.	$6,435,000	$77,733
Agreement with Bank of America, N.A. effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.	12,870,000	171,062
Agreement with Citigroup Financial Products, Inc. effective April 15, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 180 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.	16,200,000	560,520
Agreement with Citigroup Financial Products, Inc. effective April 28, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 201 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.	16,200,000	705,632
Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.	15,801,390	(132,573)
Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 677.5 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.	15,961,000	(132,654)
Agreement with Citigroup Financial Products, Inc. effective June 14, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 619 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.	9,557,000	(474,877)
Agreement with Deutsche Bank AG effective April 15, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 180 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund make a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.	16,200,000	529,663
Agreement with Goldman Sachs Capital Markets, L.P. effective April 1, 2005, maturing on December 20, 2009, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 138 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index 25-35% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index 25-35% tranche.	6,546,000	184,608
Agreement with Goldman Sachs Capital Markets, L.P. effective April 13, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.	6,435,000	38,032
Agreement with Goldman Sachs Capital Markets, L.P. effective June 17, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 640 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.	15,961,000	(605,937)
Agreement with Goldman Sachs Capital Markets, L.P. effective June 22, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 656 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.	15,879,000	(428,896)
Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 90 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index.	29,930,000	(374,682)
Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 500 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.	5,986,000	320,469
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.5% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	1,064,556	64,477
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.35% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	8,516,444	409,820
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.433% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	3,193,667	133,815
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.4625% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	4,258,222	190,632
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.475% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	2,129,110	66,742
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	8,516,444	201,643
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.6% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.	1,064,556	10,568
Agreement with JPMorgan Chase Bank, N.A. effective June 22, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.	15,720,210	3,297
Agreement with JPMorgan Chase Bank, N.A. effective June 23, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.	15,732,090	(55,608)
Agreement with Lehman Brothers Special Financing, Inc. effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.	6,435,000	89,053
Agreement with Lehman Brothers Special Financing, Inc. effective April 18, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 194 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.	4,000,000	169,007
Agreement with Lehman Brothers Special Financing, Inc. effective June 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.	9,461,430	(33,205)
Agreement with Lehman Brothers Special Financing, Inc. effective June 17, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.	15,801,390	(36,194)
Agreement with Lehman Brothers Special Financing, Inc. effective March 24, 2005, maturing on December 20, 2009, to receive quarterly 116 basis points times the notional amount.  Upon a credit default event of any reference entity within the DJ IG CDX Series 3 Index that the counterparties agree advances within the 25-35 Loss Basket of the Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX Series 3 Index.	6,546,000	139,280
Agreement with Merrill Lynch International effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.	8,118,000	107,599
Agreement with Morgan Stanley Capital Services, Inc. effective June 23, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 660 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.	15,891,000	(323,429)
Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 90 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index.	150,675,000	(1,621,217)
Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 500 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.	30,135,000	1,600,075
Total credit default contracts outstanding		$1,554,455

	NOTES
(a)	Percentages indicated are based on net assets of $4,573,638,881.
(b)	The aggregate identified cost on a tax basis is $4,796,010,118, resulting in gross unrealized appreciation and depreciation of $197,544,096 and $80,511,745, respectively, or net unrealized appreciation of $117,032,351.
(c)	Senior loans are exempt from registration under the Security 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 rate shown for senior loans are the current interest rates at June 30, 2005.  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.
(DEF)	Security is in default of principal and interest.
(NON)	Non-income-producing security.
(S)	Securities on loan, in part or in entirety, at June 30, 2005.
(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.
(SEG)	This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at June 30, 2005.
(R)	Real Estate Investment Trust.
(d)	The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income.  The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned.  The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day.  The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral.  Income from securities lending is included in investment income on the statement of operations.  At June 30, 2005, the value of securities loaned amounted to $25,051,617.  The fund received cash collateral of $25,578,180 which is pooled with collateral of other Putnam funds into 27 issuers of high-grade, short-term investments.
(e)	Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC.  Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund.  Income distributions earned by the fund totaled $6,952,108 for the period ended June 30, 2005.  During the period ended June 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $2,101,162,239 and $2,189,780,975, respectively.
(F)	Security is valued at fair value following procedures approved by the Trustees.
(g)	The notes are secured by debt and equity securities and equity participation agreements held by Neon Capital, Ltd.
(U)	A portion of the position represents unfunded loan commitments, which could be extended at the option of the borrower, pursuant to the loan agreements.  The total market value of the unfunded loan commitments at June 30, 2005 was 0.06% of net assets.
	At June 30, 2005, liquid assets totaling $492,771,994 have been designated as collateral for open forward commitments and open swap contracts.
	144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
	TBA after the name of a security represents to be announced securities.
	FLIRB represents Front Loaded Interest Reduction Bond.
	The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at June 30, 2005.
	The rates shown on Inverse Floating Rate Bonds (IFB), which are securities paying interest rates that vary inversely to changes in the market interest rates, are the current interest rates at June 30, 2005.
	DIVERSIFICATION BY COUNTRY
	Distribution of investments by country of issue at June 30, 2005: (as a percentage of Portfolio Value)
	Brazil	1.9%
	Canada	1.5
	Cayman Islands	2.4
	France	5.9
	Germany	1.3
	Ireland	1.8
	Luxembourg	1.0
	Mexico	1.4
	Philippines	0.7
	Russia	1.2
	Sweden	1.5
	United Kingdom	2.1
	United States	73.6
	Venezuela	0.5
	Other	3.2
	Total	100.0%
	Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price.  Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees.  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.  Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign securities taking into account multiple factors, including movements in the U.S. securities markets.  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 are translated into U.S. dollars at the current exchange rate.
	Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.
	Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
	Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date.  These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments).  The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates.  The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss.  When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities.  Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Futures and options contracts The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase.  The fund may also write options on securities it owns or in which it may invest to increase its current returns.
	The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.  Realized gains and losses on purchased options are included in realized gains and losses on investment securities.  If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds.  If a written put option is exercised, the premium originally received is recorded as a reduction to cost of investments.
	Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade.  The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract.  Such receipts or payments are known as “variation margin.”  Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options.  Options traded over-the-counter are valued using prices supplied by dealers.  Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount.  To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty.  Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss.  Payments received or made are recorded as realized gains or loss.  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. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates.  Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss.  Payments received or made are recorded as realized gains or loss.  The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform.  Risk of loss may exceed amounts recognized on the statement of assets and liabilities.  Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event.  An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books.  An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books.  Periodic payments received or paid by the fund are recorded as realized gains or losses.  The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss.  Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. 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, 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 comparable publicly traded securities or that the counterparty may default on its obligation to perform.  Risks of loss may exceed amounts recognized on the statement of assets and liabilities.  Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	TBA purchase commitments The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time.  Although the unit price has been established, the principal value has not been finalized.  However, the amount of the commitments will not significantly differ from the principal amount.  The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns.  Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above.  The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
	Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
	TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements.  Proceeds of TBA sale commitments are not received until the contractual settlement date.  During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
	Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above.  The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss.  If the TBA sale commitment is closed through the acquisition of an offsetting 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 sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
	Dollar rolls To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold.  The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase.  The fund will also be able to earn interest on the cash proceeds that are received from the initial sale.  The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.
	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:

----------------------

A separate certification for each principal executive officer and

principal financial officer of the registrant as required by Rule 30a-2

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.

NAME OF REGISTRANT

By (Signature and Title):

/s/ Michael T. Healy

--------------------------

Michael T. Healy

Principal Accounting Officer

Date: August 29, 2005

Pursuant to the requirements of the Securities Exchange Act of 1934

and the Investment Company Act of  1940, this report has been signed

below by the following persons on behalf of the registrant and in

the capacities and on the dates indicated.

By (Signature and Title):

/s/ Charles E. Porter

---------------------------

Charles E. Porter

Principal Executive Officer

Date: August 29, 2005

By (Signature and Title):

/s/ Steven D. Krichmar

---------------------------

Steven D. Krichmar

Principal Financial Officer

Date: August 29, 2005