N-Q 1 a_diversifiedinc.htm PUTNAM DIVERSIFIED INCOME TRUST a_diversifiedinc.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number: (811- 05635 )

Exact name of registrant as specified in charter: Putnam Diversified Income Trust

Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109

Name and address of agent for service: Beth S. Mazor, Vice President
One Post Office Square
Boston, Massachusetts 02109

Copy to: John W. Gerstmayr, Esq.
Ropes & Gray LLP
One International Place
Boston, Massachusetts 02110

Registrant’s telephone number, including area code: (617) 292-1000

Date of fiscal year end: September 30, 2006

Date of reporting period: June 30, 2006

Item 1. Schedule of Investments:

Putnam Diversified Income Trust       
 
The fund's portfolio       
6/30/06 (Unaudited)       
 
CORPORATE BONDS AND NOTES (25.2%)(a)       
    Principal amount  Value 
  
 
Basic Materials (2.1%)       
Chaparral Steel Co. company guaranty 10s, 2013    $3,133,000  $3,414,970 
Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014       
(Germany)  EUR  1,845,000  2,607,689 
Compass Minerals International, Inc. sr. disc. notes       
stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)    $1,715,000  1,560,650 
Compass Minerals International, Inc. sr. notes       
stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP)    5,065,000  4,811,750 
Covalence Specialty Materials Corp. 144A sr. sub.       
notes 10 1/4s, 2016    2,050,000  1,968,000 
Crystal US Holdings, LLC sr. disc. notes       
stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014       
(STP)    2,665,000  2,112,013 
Equistar Chemicals LP/Equistar Funding Corp. company       
guaranty 10 1/8s, 2008    4,059,000  4,292,393 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011       
(Canada)    4,625,000  4,960,313 
Huntsman, LLC company guaranty 11 5/8s, 2010    2,259,000  2,496,195 
Innophos, Inc. company guaranty 8 7/8s, 2014    1,720,000  1,694,200 
International Steel Group, Inc. sr. notes 6 1/2s, 2014    930,000  878,850 
JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland)       
(PIK)  EUR  1,107,587  1,432,335 
Lyondell Chemical Co. company guaranty 10 1/2s, 2013    $715,000  786,500 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    1,640,000  1,689,200 
MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012       
(Ireland)  EUR  3,045,000  4,231,726 
Nalco Co. sr. sub. notes 9s, 2013  EUR  505,000  675,342 
Nalco Co. sr. sub. notes 8 7/8s, 2013    $2,213,000  2,229,598 
Novelis, Inc. 144A sr. notes 7 3/4s, 2015    4,915,000  4,718,400 
PQ Corp. company guaranty 7 1/2s, 2013    895,000  841,300 
Rockwood Specialties Group, Inc. company guaranty 7       
5/8s, 2014  EUR  2,750,000  3,593,224 
Steel Dynamics, Inc. company guaranty 9 1/2s, 2009    $4,955,000  5,128,425 
Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK)    862,593  823,776 
Stone Container Corp. sr. notes 9 3/4s, 2011    865,000  889,869 
Stone Container Finance company guaranty 7 3/8s, 2014       
(Canada)    1,080,000  955,800 
United States Steel Corp. sr. notes 9 3/4s, 2010    943,000  1,004,295 
United States Steel, LLC sr. notes 10 3/4s, 2008    682,000  733,150 
      60,529,963 
 
Capital Goods (1.4%)       
Allied Waste North America, Inc. company guaranty Ser.       
B, 8 1/2s, 2008    5,158,000  5,338,530 
Blount, Inc. sr. sub. notes 8 7/8s, 2012    3,190,000  3,174,050 
Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008    2,115,000  2,104,425 
Crown Cork & Seal Co. Inc. debs. 8s, 2023    614,000  566,415 
Decrane Aircraft Holdings Co. company guaranty zero %,       
2008 (acquired 7/23/04, cost $1,281,482) (RES)    4,945,000  3,461,500 
L-3 Communications Corp. company guaranty 6 1/8s, 2013    10,381,000  9,887,903 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    3,094,000  2,885,155 
Legrand SA debs. 8 1/2s, 2025 (France)    4,999,000  5,711,358 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s,       
2012    256,000  275,840 
Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013    1,510,000  1,479,800 
Mueller Group, Inc. sr. sub. notes 10s, 2012    1,224,000  1,315,800 
Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012    2,368,000  2,465,680 
Owens-Illinois, Inc. debs. 7 1/2s, 2010    453,000  442,808 
Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)    1,681,000  1,722,075 
Terex Corp. company guaranty 9 1/4s, 2011    1,310,000  1,391,875 
      42,223,214 
 
Communication Services (1.5%)       
American Cellular Corp. company guaranty 9 1/2s, 2009    1,350,000  1,380,375 
Cincinnati Bell Telephone company guaranty 6.3s, 2028    1,105,000  955,825 
Cincinnati Bell, Inc. company guaranty 7s, 2015    3,374,000  3,179,995 
Citizens Communications Co. sr. notes 6 1/4s, 2013    6,819,000  6,443,955 
Inmarsat Finance PLC company guaranty 7 5/8s, 2012       
(United Kingdom)    1,561,000  1,600,025 
Inmarsat Finance PLC company guaranty stepped-coupon       
zero % (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP)    6,814,000  5,800,418 
iPCS, Inc. sr. notes 11 1/2s, 2012    2,160,000  2,408,400 
IWO Holdings, Inc. sec. FRN 9.257s, 2012    680,000  703,800 
Qwest Communications International, Inc. company       
guaranty 7 1/2s, 2014    3,595,000  3,505,125 
Qwest Corp. debs. 7 1/4s, 2025    1,375,000  1,285,625 
Qwest Corp. notes 8 7/8s, 2012    8,725,000  9,204,875 
Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)    1,265,000  1,457,913 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010    5,671,000  5,649,734 
      43,576,065 
 
Consumer Cyclicals (4.6%)       
Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012    2,415,000  2,532,731 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012    1,175,000  1,185,281 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014    1,325,000  1,257,094 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)    2,106,443  2,085,379 
Dex Media West, LLC/Dex Media Finance Co. sr. notes       
Ser. B, 8 1/2s, 2010    217,000  225,138 
Dex Media, Inc. notes 8s, 2013    913,000  917,565 
FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)    3,792,000  4,019,520 
Ford Motor Credit Corp. notes 7 7/8s, 2010    1,100,000  1,014,741 
Ford Motor Credit Corp. notes 7 3/8s, 2009    1,634,000  1,510,695 

Ford Motor Credit Corp. 144A sr. unsecd. notes 9 3/4s,     
2010  1,978,000  1,927,334 
General Motors Acceptance Corp. FRN 6.457s, 2007  2,320,000  2,302,600 
General Motors Acceptance Corp. FRN Ser. MTN, 6.039s,     
2007  4,665,000  4,632,979 
General Motors Acceptance Corp. notes 7 3/4s, 2010  418,000  415,844 
General Motors Acceptance Corp. notes 6 7/8s, 2012  311,000  293,015 
General Motors Acceptance Corp. notes 6 3/4s, 2014  1,668,000  1,549,272 
General Motors Acceptance Corp. sr. unsub. notes     
5.85s, 2009  160,000  153,377 
Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015  1,086,000  1,037,130 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)  4,015,000  3,979,869 
Jostens IH Corp. company guaranty 7 5/8s, 2012  4,956,000  4,807,320 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  3,326,000  3,326,000 
Levi Strauss & Co. 144A sr. notes 8 7/8s, 2016  1,320,000  1,260,600 
Meritor Automotive, Inc. notes 6.8s, 2009  491,000  475,043 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  2,757,000  2,863,834 
MGM Mirage, Inc. company guaranty 6s, 2009  7,904,000  7,686,640 
Mirage Resorts, Inc. debs. 7 1/4s, 2017  1,395,000  1,335,713 
Movie Gallery, Inc. sr. unsecd. notes 11s, 2012  1,319,000  982,655 
Owens Corning notes 7 1/2s, 2005 (In default)     
(NON)(DEF)  3,686,000  3,206,820 
Oxford Industries, Inc. sr. notes 8 7/8s, 2011  2,940,000  2,940,000 
Park Place Entertainment Corp. sr. notes 7s, 2013  3,265,000  3,323,244 
Park Place Entertainment Corp. sr. sub. notes 7 7/8s,     
2010  2,300,000  2,386,250 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,     
2012  1,956,000  1,960,890 
PRIMEDIA, Inc. sr. notes 8s, 2013  4,752,000  4,253,040 
R.H. Donnelley Corp. sr. notes 6 7/8s, 2013  2,222,000  2,044,240 
R.H. Donnelley Corp. 144A sr. disc. notes Ser. A-2, 6     
7/8s, 2013  553,000  500,465 
Reader's Digest Association, Inc. (The) sr. notes 6     
1/2s, 2011  2,795,000  2,697,175 
Resorts International Hotel and Casino, Inc. company     
guaranty 11 1/2s, 2009  3,175,000  3,429,000 
Scientific Games Corp. company guaranty 6 1/4s, 2012  4,989,000  4,664,715 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  5,165,000  5,165,000 
Standard Pacific Corp. sr. notes 7 3/4s, 2013  1,774,000  1,676,430 
Starwood Hotels & Resorts Worldwide, Inc. company     
guaranty 7 7/8s, 2012  4,880,000  5,093,500 
Starwood Hotels & Resorts Worldwide, Inc. debs. 7     
3/8s, 2015  3,920,000  3,949,400 
Station Casinos, Inc. sr. notes 6s, 2012  3,250,000  3,042,813 
Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016  2,910,000  2,713,575 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014  2,769,000  2,762,078 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,     
2013  2,601,000  2,851,346 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.     
notes 8 1/2s, 2014  4,655,000  4,503,713 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,     
2015  677,000  650,766 
United Auto Group, Inc. company guaranty 9 5/8s, 2012  4,100,000  4,284,500 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  5,840,000  5,737,800 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009  5,055,000  4,246,200 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st     
mtge. 6 5/8s, 2014  2,605,000  2,455,213 
    134,315,542 
 
Consumer Staples (3.7%)     
Affinity Group, Inc. sr. sub. notes 9s, 2012  4,155,000  4,134,225 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  4,360,000  3,994,850 
Archibald Candy Corp. company guaranty 10s, 2007 (In     
default) (F)(NON)  574,508  30,019 
Avis Budget Care Rental LLC 144A sr. notes 7 3/4s, 2016  1,280,000  1,232,000 
Brand Services, Inc. company guaranty 12s, 2012  4,700,000  5,311,000 
Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012  1,352,000  1,333,410 
CCH I Holdings, LLC company guaranty stepped-coupon     
zero % (12 1/8s, 11/15/07), 2015 (STP)  1,493,000  791,290 
CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010  556,000  557,390 
CCH I, LLC secd. notes 11s, 2015  8,838,000  7,733,250 
CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s,     
2010  1,671,000  1,666,823 
Church & Dwight Co., Inc. company guaranty 6s, 2012  3,512,000  3,248,600 
Cinemark USA, Inc. sr. sub. notes 9s, 2013  987,000  1,036,350 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %     
(9 3/4s, 3/15/09), 2014 (STP)  4,560,000  3,534,000 
Constellation Brands, Inc. sr. sub. notes Ser. B, 8     
1/8s, 2012  2,520,000  2,601,900 
CSC Holdings, Inc. debs. 7 5/8s, 2018  2,753,000  2,725,470 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011  1,998,000  1,998,000 
CSC Holdings, Inc. 144A sr. notes 7 1/4s, 2012  5,005,000  4,829,825 
Dean Foods Co. company guaranty 7s, 2016  1,186,000  1,147,455 
Dean Foods Co. sr. notes 6 5/8s, 2009  1,899,000  1,884,758 
Del Monte Corp. company guaranty 6 3/4s, 2015  1,780,000  1,650,950 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  3,605,000  3,713,150 
Echostar DBS Corp. company guaranty 6 5/8s, 2014  15,810,000  14,861,400 
Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)  3,863,000  3,747,110 
Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014     
(Canada)  1,907,000  1,754,440 
Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s,     
2013  4,175,000  4,101,938 
Playtex Products, Inc. company guaranty 9 3/8s, 2011  1,869,000  1,946,096 
Playtex Products, Inc. sec. notes 8s, 2011  2,893,000  2,994,255 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  3,465,000  3,395,700 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,     
2012  3,366,000  3,534,300 
Remington Arms Co., Inc. company guaranty 10 1/2s, 2011  2,184,000  1,878,240 
Sbarro, Inc. company guaranty 11s, 2009  5,071,000  5,166,081 
Scotts Co. (The) sr. sub. notes 6 5/8s, 2013  1,760,000  1,689,600 
Six Flags, Inc. sr. notes 9 5/8s, 2014  2,043,000  1,859,130 
Young Broadcasting, Inc. company guaranty 10s, 2011  2,774,000  2,468,860 
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014  2,745,000  2,292,075 
    106,843,940 

Energy (4.9%)     
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  5,575,000  5,338,063 
Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012     
(Cayman Islands)  3,265,000  3,305,813 
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014     
(Canada)  5,729,000  5,499,840 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  5,575,000  5,588,938 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  3,895,000  3,636,956 
Dresser, Inc. company guaranty 9 7/8s, 2011  5,260,000  5,338,900 
EXCO Resources, Inc. company guaranty 7 1/4s, 2011  5,425,000  5,208,000 
Forest Oil Corp. sr. notes 8s, 2011  3,730,000  3,813,925 
Forest Oil Corp. sr. notes 8s, 2008  1,065,000  1,086,300 
Gazprom OAO 144A notes 9 5/8s, 2013 (Germany)  9,320,000  10,683,050 
Harvest Operations Corp. sr. notes 7 7/8s, 2011     
(Canada)  4,610,000  4,379,500 
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6     
1/8s, 2014  4,355,000  4,039,263 
Massey Energy Co. sr. notes 6 5/8s, 2010  5,565,000  5,481,525 
Newfield Exploration Co. sr. notes 7 5/8s, 2011  3,940,000  4,028,650 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014  2,650,000  2,524,125 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  3,232,000  2,981,520 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  3,176,215  3,218,599 
Pacific Energy Partners/Pacific Energy Finance Corp.     
sr. notes 7 1/8s, 2014  2,625,000  2,651,250 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  5,820,000  5,339,850 
Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)  4,579,250  4,883,953 
Pemex Project Funding Master Trust company guaranty     
10s, 2027  9,008,000  10,764,560 
Pemex Project Funding Master Trust company guaranty 8     
5/8s, 2022  4,295,000  4,767,450 
Pemex Project Funding Master Trust company guaranty 5     
3/4s, 2015  7,695,000  7,087,095 
Pemex Project Funding Master Trust 144A company     
guaranty 5 3/4s, 2015  8,432,000  7,765,872 
PetroHawk Energy Corp 144A sr. notes 9 1/8s, 2013  3,805,000  3,785,975 
Plains Exploration & Production Co. sr. notes 7 1/8s,     
2014  3,200,000  3,152,000 
Plains Exploration & Production Co. sr. sub. notes 8     
3/4s, 2012  4,424,000  4,634,140 
Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011  4,365,000  4,495,950 
Pride International, Inc. sr. notes 7 3/8s, 2014  3,145,000  3,160,725 
Seabulk International, Inc. company guaranty 9 1/2s,     
2013  4,065,000  4,491,825 
    143,133,612 
 
Financial (1.5%)     
Bosphorus Financial Services, Ltd. 144A sec. FRN     
7.205s, 2012 (Cayman Islands)  10,299,000  10,338,816 
Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)  2,440,000  2,464,400 
Liberty Mutual Insurance 144A notes 7.697s, 2097  10,000,000  9,465,880 
UBS Luxembourg SA for Sberbank unsec. sub. notes     
stepped-coupon 6.23s (7.429s, 2/11/10), 2015     
(Luxembourg) (STP)  2,850,000  2,760,225 
VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)  7,596,000  7,182,018 
VTB Capital SA sr. notes 6 1/4s, 2035 (Luxembourg)  3,035,000  2,869,593 
VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)  7,265,000  7,455,706 
    42,536,638 
 
Health Care (2.0%)     
Community Health Systems, Inc. sr. sub. notes 6 1/2s,     
2012  1,203,000  1,141,346 
DaVita, Inc. company guaranty 6 5/8s, 2013  1,230,000  1,168,500 
HCA, Inc. debs. 7.19s, 2015  1,554,000  1,497,713 
HCA, Inc. notes 8.36s, 2024  1,930,000  1,931,540 
HCA, Inc. notes 6 3/8s, 2015  1,766,000  1,636,286 
HCA, Inc. notes 6 1/4s, 2013  4,639,000  4,331,759 
HCA, Inc. notes 5 3/4s, 2014  1,985,000  1,774,967 
MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012  3,295,000  3,080,825 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  4,560,000  4,218,000 
Service Corporation International debs. 7 7/8s, 2013  465,000  469,069 
Service Corporation International notes Ser. *, 7.7s,     
2009  1,725,000  1,733,625 
Service Corporation International sr. notes 6 3/4s,     
2016  3,737,000  3,438,040 
Stewart Enterprises, Inc. sr. notes 7 3/4s, 2013  3,922,000  3,569,020 
Tenet Healthcare Corp. notes 7 3/8s, 2013  2,680,000  2,445,500 
Tenet Healthcare Corp. sr. notes 9 7/8s, 2014  4,435,000  4,435,000 
Triad Hospitals, Inc. sr. notes 7s, 2012  5,810,000  5,780,950 
Triad Hospitals, Inc. sr. sub. notes 7s, 2013  1,456,000  1,415,960 
US Oncology, Inc. company guaranty 9s, 2012  3,170,000  3,296,800 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,     
2014  4,221,000  4,210,448 
Ventas Realty LP/Capital Corp. company guaranty 9s,     
2012 (R)  2,840,000  3,109,800 
Ventas Realty LP/Capital Corp. company guaranty 6     
3/4s, 2010 (R)  1,339,000  1,325,610 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014     
(R)  1,350,000  1,309,500 
    57,320,258 
 
Technology (0.6%)     
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  2,334,000  2,380,680 
Freescale Semiconductor, Inc. sr. notes Ser. B, 7     
1/8s, 2014  3,312,000  3,345,120 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  4,833,000  4,857,165 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011     
(Cayman Islands)  81,000  66,420 
SunGard Data Systems, Inc. 144A sr. unsecd. notes 9     
1/8s, 2013  1,906,000  1,977,475 
Xerox Corp. sr. notes 7 5/8s, 2013  4,077,000  4,107,578 

      16,734,438 
 
Transportation (0.2%)       
CalAir, LLC/CalAir Capital Corp. company guaranty 8       
1/8s, 2008    5,235,000  5,077,950 
 
Utilities & Power (2.7%)       
AES Corp. (The) sr. notes 8 7/8s, 2011    361,000  379,050 
AES Corp. (The) sr. notes 8 3/4s, 2008    196,000  202,370 
AES Corp. (The) 144A sec. notes 9s, 2015    4,036,000  4,338,700 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013    3,250,000  3,477,500 
ANR Pipeline Co. debs. 9 5/8s, 2021    1,572,000  1,833,496 
Centrais Electricas Brasileirass SA 144A sr. notes 7       
3/4s, 2015 (Brazil)    2,743,000  2,746,566 
CMS Energy Corp. sr. notes 8.9s, 2008    1,200,000  1,248,000 
CMS Energy Corp. sr. notes 7 3/4s, 2010    1,225,000  1,243,375 
Colorado Interstate Gas Co. debs. 6.85s, 2037    2,495,000  2,503,862 
Colorado Interstate Gas Co. sr. notes 5.95s, 2015    700,000  636,145 
Edison Mission Energy 144A sr. notes 7 3/4s, 2016    634,000  622,905 
Edison Mission Energy 144A sr. notes 7 1/2s, 2013    760,000  744,800 
El Paso Natural Gas Co. debs. 8 5/8s, 2022    1,315,000  1,421,669 
El Paso Production Holding Co. company guaranty 7       
3/4s, 2013    5,263,000  5,302,473 
Ferrellgas LP/Finance sr. notes 6 3/4s, 2014    3,632,000  3,441,320 
Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034    5,601,000  5,937,060 
Mission Energy Holding Co. sec. notes 13 1/2s, 2008    4,402,000  4,908,230 
Monongahela Power Co. 1st mtge. 6.7s, 2014    2,885,000  2,985,489 
Northwestern Corp. sec. notes 5 7/8s, 2014    2,525,000  2,473,785 
Orion Power Holdings, Inc. sr. notes 12s, 2010    5,195,000  5,870,350 
SEMCO Energy, Inc. sr. notes 7 3/4s, 2013    3,346,000  3,356,229 
Teco Energy, Inc. notes 7.2s, 2011    1,165,000  1,172,281 
Teco Energy, Inc. notes 7s, 2012    1,500,000  1,492,500 
Teco Energy, Inc. sr. notes 6 3/4s, 2015    221,000  214,923 
Tennessee Gas Pipeline Co. debs. 7s, 2028    520,000  481,478 
Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017    1,052,000  1,052,663 
Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026    3,235,000  3,150,081 
Utilicorp Canada Finance Corp. company guaranty 7       
3/4s, 2011 (Canada)    4,309,000  4,459,815 
Utilicorp United, Inc. sr. notes 9.95s, 2011    61,000  68,663 
Veolia Environnement sr. unsub. notes Ser. EMTN, 5       
3/8s, 2018 (France)  EUR  3,125,000  4,077,216 
Williams Cos., Inc. (The) notes 8 3/4s, 2032    $640,000  696,000 
Williams Cos., Inc. (The) notes 7 5/8s, 2019    3,475,000  3,527,125 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010    949,000  925,275 
York Power Funding 144A notes 12s, 2007 (Cayman       
Islands) (In default) (F)(NON)    1,327,347  110,701 
      77,102,095 
 
      $729,393,715 
Total corporate bonds and notes (cost $740,686,241)       
 
FOREIGN GOVERNMENT BONDS AND NOTES (21.1%)(a)       
    Principal amount  Value 
  
Argentina (Republic of) FRB 5.59s, 2012    $32,235,000  $29,787,648 
Barbados (Government of) 144A bonds 6 5/8s, 2035    2,651,000  2,392,528 
Brazil (Federal Republic of) bonds 10 1/2s, 2014    1,775,000  2,137,100 
Brazil (Federal Republic of) bonds 8 7/8s, 2019    8,000,000  8,800,000 
Brazil (Federal Republic of) bonds 5.502s, 2016    6,220,000  2,815,520 
Brazil (Federal Republic of) notes 11s, 2012    12,685,000  15,126,863 
Brazil (Federal Republic of) notes 8 3/4s, 2025    9,026,000  9,906,035 
Canada (Government of) bonds 5 1/2s, 2010  CAD  9,650,000  8,994,689 
Canada (Government of) bonds Ser. WB60, 7 1/4s, 2007  CAD  8,915,000  8,214,982 
Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029  CAD  1,550,000  1,608,693 
Colombia (Republic of) notes 10s, 2012    $9,334,000  10,491,416 
Colombia (Republic of) notes 0.005s, 2015    2,005,000,000  876,987 
El Salvador (Republic of) notes 7.65s, 2035    1,480,000  1,417,100 
El Salvador (Republic of) 144A bonds 7 3/4s, 2023    2,925,000  3,042,000 
France (Government of) bonds 5 3/4s, 2032  EUR  17,480,000  27,220,083 
France (Government of) bonds 5 1/2s, 2010  EUR  22,675,000  30,917,822 
France (Government of) bonds 4s, 2013  EUR  32,000,000  41,055,192 
France (Government of) bonds 4s, 2009  EUR  6,430,000  8,290,631 
France (Government of) bonds Ser. OATe, 3s, 2012  EUR  24,351,525  33,518,245 
Germany (Federal Republic of) bonds Ser. 2, 5s, 2012  EUR  9,780,000  13,178,931 
Ireland (Republic of) bonds 5s, 2013  EUR  49,300,000  66,934,131 
Japan (Government of) bonds Ser. 239, 0.2s, 2007  JPY  16,750,000,000  145,472,913 
Japan (Government of) 10yr bonds Ser. 244, 1s, 2012  JPY  23,000,000  193,532 
Peru (Republic of) bonds 7.35s, 2025    $2,870,000  2,740,850 
Philippines (Republic of) bonds 9 1/2s, 2024    11,312,000  12,612,880 
Russia (Federation of) unsub. stepped-coupon 5s (7       
1/2s, 3/31/07), 2030 (STP)    26,814,975  28,423,874 
Russia (Ministry of Finance) debs. Ser. V, 3s, 2008    7,605,000  7,177,599 
South Africa (Republic of) notes 7 3/8s, 2012    5,995,000  6,189,838 
South Africa (Republic of) notes 6 1/2s, 2014    8,050,000  8,001,700 
Spain (Kingdom of) bonds 5s, 2012  EUR  15,000,000  20,266,974 
Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014  SEK  215,045,000  35,373,998 
United Mexican States bonds Ser. MTN, 8.3s, 2031    $7,775,000  8,902,375 
Venezuela (Republic of) notes 10 3/4s, 2013    5,710,000  6,817,740 
 
      $608,900,869 
Total foreign government bonds and notes (cost $588,839,865)       
 
COLLATERALIZED MORTGAGE OBLIGATIONS (16.3%)(a)       
    Principal amount  Value 
  
Amresco Commercial Mortgage Funding I Ser. 97-C1,       
Class G, 7s, 2029    $1,758,000  $1,762,266 
Banc of America Commercial Mortgage, Inc. 144A       
Ser. 01-1, Class J, 6 1/8s, 2036    1,170,000  1,153,589 
Ser. 01-1, Class K, 6 1/8s, 2036    2,633,000  1,985,626 
Banc of America Large Loan 144A       
FRB Ser. 02-FL2A, Class L1, 8.337s, 2014    1,090,000  1,087,830 
FRB Ser. 02-FL2A, Class K1, 7.837s, 2014    399,575  398,940 
FRB Ser. 05-BOCA, Class M, 7.299s, 2016    2,249,000  2,247,940 

FRB Ser. 05-ESHA, Class K, 6.984s, 2020    4,239,000  4,238,966 
FRB Ser. 05-BOCA, Class L, 6.899s, 2016    1,052,000  1,051,448 
FRB Ser. 06-LAQ, Class M, 6.995s, 2021    1,587,000  1,592,101 
FRB Ser. 06-LAQ, Class L, 6.895s, 2021    1,556,000  1,556,000 
FRB Ser. 05-BOCA, Class K, 6.549s, 2016    1,235,000  1,234,298 
FRB Ser. 05-BOCA, Class J, 6.299s, 2016    212,000  211,873 
FRB Ser. 05-BOCA, Class H, 6.149s, 2016    504,000  503,689 
Ser. 03-BBA2, Class X1A, Interest Only (IO), 0.169s,       
2015    3,068,059  589 
Bear Stearns Commercial Mortgage Securities, Inc. 144A       
FRB Ser. 05-LXR1, Class J, 6.849s, 2018    2,480,000  2,480,000 
Bear Stearns Commercial Mortgage Securitization Corp.       
Ser. 00-WF2, Class F, 8.455s, 2032    1,174,000  1,284,356 
Broadgate Financing PLC sec. FRB Ser. D, 5.553s, 2023       
(United Kingdom)  GBP  3,051,750  5,627,235 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,       
0.917s, 2017    $113,638,327  1,407,162 
Commercial Mortgage Pass-Through Certificates 144A FRB       
Ser. 01-FL5A, Class G, 5.963s, 2013 (acquired 9/26/05,       
cost $5,752,095) (RES)    5,781,000  5,752,095 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,       
Class B, 7s, 2033    14,703,000  14,705,647 
CS First Boston Mortgage Securities Corp. 144A       
FRB Ser. 05-TFLA, Class L, 7.049s, 2020    4,911,000  4,910,966 
Ser. 1998-C2, Class F, 6 3/4s, 2030    8,998,000  9,330,893 
FRB Ser. 05-TFLA, Class K, 6.499s, 2020    2,413,000  2,412,986 
Ser. 98-C1, Class F, 6s, 2040    7,396,000  7,132,259 
Ser. 02-CP5, Class M, 5 1/4s, 2035    2,599,000  2,296,373 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1,       
Class X, IO, 0.985s, 2031    171,307,026  3,051,492 
DLJ Commercial Mortgage Corp.       
Ser. 98-CF2, Class B4, 6.04s, 2031    2,235,111  2,198,267 
Ser. 98-CF2, Class B5, 5.95s, 2031    7,128,872  6,386,568 
DLJ Mortgage Acceptance Corp. 144A       
Ser. 97-CF1, Class B2, 8.16s, 2030    1,974,000  1,579,200 
Ser. 97-CF1, Class B1, 7.91s, 2030    1,948,000  1,967,955 
European Loan Conduit FRB Ser. 6X, Class E, 6.402s,       
2010 (United Kingdom)  GBP  2,516,232  4,660,248 
European Loan Conduit 144A       
FRB Ser. 6A, Class F, 6.902s, 2010 (United Kingdom)  GBP  937,187  1,736,086 
FRB Ser. 22A, Class D, 5.502s, 2014 (Ireland)  GBP  2,461,000  4,551,127 
European Prime Real Estate PLC 144A FRB Ser. 1-A,       
Class D, 5.514s, 2014 (United Kingdom)  GBP  2,260,771  4,180,007 
Fannie Mae       
Ser. 03-W6, Class PT1, 9.679s, 2042    $117,676  124,073 
Ser. 06-20, Class IP, IO, 8s, 2030    2,637,961  558,160 
Ser. 04-W8, Class 3A, 7 1/2s, 2044    3,069,740  3,181,184 
Ser. 04-W2, Class 5A, 7 1/2s, 2044    9,254,648  9,587,540 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043    2,590,312  2,682,637 
Ser. 03-W4, Class 4A, 7 1/2s, 2042    807,941  833,415 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042    1,606,234  1,660,083 
Ser. 02-T19, Class A3, 7 1/2s, 2042    1,506,481  1,557,076 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042    297,229  307,221 
Ser. 02-W6, Class 2A, 7 1/2s, 2042    388,581  401,008 
Ser. 02-T12, Class A3, 7 1/2s, 2042    396,551  409,042 
Ser. 02-W1, Class 2A, 7 1/2s, 2042    1,303,552  1,341,667 
Ser. 02-14, Class A2, 7 1/2s, 2042    18,268  18,851 
Ser. 01-T10, Class A2, 7 1/2s, 2041    1,701,621  1,753,328 
Ser. 02-T4, Class A3, 7 1/2s, 2041    490,087  505,089 
Ser. 01-T8, Class A1, 7 1/2s, 2041    28,150  28,967 
Ser. 01-T7, Class A1, 7 1/2s, 2041    7,299,448  7,507,022 
Ser. 01-T3, Class A1, 7 1/2s, 2040    1,069,694  1,100,755 
Ser. 01-T1, Class A1, 7 1/2s, 2040    3,454,897  3,559,843 
Ser. 99-T2, Class A1, 7 1/2s, 2039    1,318,022  1,364,397 
Ser. 00-T6, Class A1, 7 1/2s, 2030    648,270  666,705 
Ser. 02-W7, Class A5, 7 1/2s, 2029    1,368,747  1,413,804 
Ser. 01-T4, Class A1, 7 1/2s, 2028    8,467,623  8,781,378 
Ser. 02-W3, Class A5, 7 1/2s, 2028    8,800  9,081 
Ser. 01-T10, Class A1, 7s, 2041    7,566,209  7,712,970 
Ser. 98-T2, Class A4, IO, 6 1/2s, 2036    226,266  2,254 
IFB Ser. 06-42, Class PS, 6.338s, 2036    3,527,683  3,298,383 
Ser. 04-78, Class HI, IO, 6s, 2034    1,075,401  201,302 
Ser. 03-86, Class IB, IO, 5 1/2s, 2028    1,296,332  42,131 
IFB Ser. 05-74, Class CS, 5.383s, 2035    3,881,888  3,645,775 
IFB Ser. 05-74, Class CP, 5.234s, 2035    3,404,480  3,196,094 
IFB Ser. 05-76, Class SA, 5.234s, 2034    4,821,456  4,474,703 
IFB Ser. 06-27, Class SP, 5.051s, 2036    3,685,000  3,415,303 
IFB Ser. 06-8, Class HP, 5.051s, 2036    4,736,913  4,367,074 
IFB Ser. 06-8, Class WK, 5.051s, 2036    7,112,483  6,506,899 
IFB Ser. 05-106, Class US, 5.051s, 2035    7,972,549  7,468,068 
IFB Ser. 05-99, Class SA, 5.051s, 2035    4,050,709  3,759,678 
IFB Ser. 05-114, Class SP, 4.943s, 2036    2,104,709  1,893,580 
IFB Ser. 05-95, Class CP, 4.081s, 2035    594,468  547,621 
IFB Ser. 05-95, Class OP, 3.915s, 2035    2,011,000  1,666,122 
IFB Ser. 05-83, Class QP, 3.556s, 2034    1,295,200  1,111,657 
IFB Ser. 02-36, Class QH, IO, 2.728s, 2029    1,484,423  21,605 
IFB Ser. 03-66, Class SA, IO, 2.328s, 2033    8,158,658  564,742 
IFB Ser. 03-48, Class S, IO, 2.228s, 2033    3,275,191  222,615 
IFB Ser. 05-56, Class TP, 2.183s, 2033    1,303,741  1,093,819 
Ser. 03-W10, Class 3, IO, 1.931s, 2043    1,522,740  69,853 
IFB Ser. 05-113, Class DI, IO, 1.908s, 2036    262,680  13,490 
IFB Ser. 04-51, Class S0, IO, 1.728s, 2034    2,074,624  92,710 
IFB Ser. 05-105, Class S, IO, 1.378s, 2035    5,431,603  242,725 
IFB Ser. 05-95, Class CI, IO, 1.378s, 2035    8,549,704  419,756 
IFB Ser. 05-84, Class SG, IO, 1.378s, 2035    14,359,698  695,541 
IFB Ser. 05-87, Class SG, IO, 1.378s, 2035    18,976,259  800,870 
IFB Ser. 05-69, Class AS, IO, 1.378s, 2035    3,727,592  178,808 
IFB Ser. 05-104, Class NI, IO, 1.378s, 2035    2,480,215  135,968 
IFB Ser. 04-92, Class S, IO, 1.378s, 2034    11,618,262  528,282 
IFB Ser. 05-104, Class SI, IO, 1.378s, 2033    18,850,799  890,868 
IFB Ser. 05-83, Class QI, IO, 1.368s, 2035    2,146,131  119,969 
IFB Ser. 05-92, Class SC, IO, 1.358s, 2035    20,106,463  964,826 
IFB Ser. 06-20, Class PI, IO, 1.358s, 2030    21,830,761  668,822 
IFB Ser. 05-83, Class SL, IO, 1.348s, 2035    41,606,787  1,754,326 
IFB Ser. 06-20, Class IG, IO, 1.328s, 2036    45,343,356  1,803,096 

IFB Ser. 06-8, Class NS, IO, 1.308s, 2036  21,674,101  1,025,070 
IFB Ser. 06-45, Class SM, IO, 1.278s, 2036  10,827,760  456,823 
IFB Ser. 06-20, Class IB, IO, 1.268s, 2036  19,433,000  739,578 
IFB Ser. 05-95, Class OI, IO, 1.268s, 2035  1,203,002  65,681 
IFB Ser. 06-42, Class CI, IO, 1.228s, 2036  34,100,756  1,454,046 
IFB Ser. 03-112, Class SA, IO, 1.178s, 2028  7,062,203  186,992 
Ser. 03-W17, Class 12, IO, 1.154s, 2033  25,988,722  759,311 
Ser. 03-W10, Class 1A, IO, 1.11s, 2043  41,603,074  586,532 
Ser. 03-W10, Class 3A, IO, 1.087s, 2043  51,319,046  811,939 
Ser. 01-T1, Class 1, IO, 0.84s, 2040  1,383,678  17,945 
IFB Ser. 05-67, Class BS, IO, 0.828s, 2035  10,696,608  312,542 
IFB Ser. 05-74, Class SE, IO, 0.778s, 2035  5,716,115  127,003 
Ser. 00-T6, IO, 0.753s, 2030  24,571,977  353,222 
IFB Ser. 05-87, Class SE, IO, 0.728s, 2035  80,033,580  1,700,162 
IFB Ser. 04-54, Class SW, IO, 0.678s, 2033  4,371,768  88,335 
Ser. 02-T18, IO, 0.524s, 2042  69,593,789  811,254 
Ser. 02-W8, Class 1, IO, 0.365s, 2042  36,243,545  267,213 
Ser. 363, Class 1, Principal Only (PO), zero %, 2035  26,744,847  18,211,341 
Ser. 361, Class 1, PO, zero %, 2035  15,804,094  11,545,229 
Ser. 04-38, Class AO, PO, zero %, 2034  2,748,446  1,923,912 
Ser. 342, Class 1, PO, zero %, 2033  1,726,966  1,250,680 
Ser. 02-82, Class TO, PO, zero %, 2032  1,354,636  1,000,954 
Ser. 04-61, Class CO, PO, zero %, 2031  2,993,000  2,181,149 
Ser. 99-51, Class N, PO, zero %, 2029  512,320  404,733 
FRB Ser. 05-117, Class GF, zero %, 2036  1,654,947  1,576,072 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities     
Ser. T-59, Class 1A3, 7 1/2s, 2043  2,997,339  3,108,624 
Ser. T-58, Class 4A, 7 1/2s, 2043  56,313  58,153 
Ser. T-42, Class A5, 7 1/2s, 2042  698,630  719,365 
Ser. T-41, Class 3A, 7 1/2s, 2032  3,777,088  3,893,228 
Ser. T-60, Class 1A2, 7s, 2044  13,458,754  13,766,098 
Ser. T-57, Class 1AX, IO, 0.454s, 2043  20,884,419  199,864 
FFCA Secured Lending Corp. Ser. 00-1, Class X, IO,     
1.408s, 2020  36,598,696  2,032,125 
First Union Commercial Mortgage Trust 144A Ser. 99-C1,     
Class G, 5.35s, 2035  3,121,100  1,907,772 
First Union-Lehman Brothers Commercial Mortgage Trust     
II Ser. 97-C2, Class G, 7 1/2s, 2029  1,408,000  1,507,864 
Freddie Mac     
IFB Ser. 2771, Class SV, 7.015s, 2034  390,695  382,656 
IFB Ser. 2963, Class SV, 7.125s, 2034  1,666,000  1,580,748 
IFB Ser. 2763, Class SC, 7.125s, 2032  6,582,010  6,436,158 
Ser. 3114, Class BL, IO, 7 1/2s, 2030  1,091,998  219,998 
IFB Ser. 3081, Class DC, 5.001s, 2035  3,079,015  2,748,441 
IFB Ser. 3114, Class GK, 5.925s, 2036  1,831,487  1,643,903 
IFB Ser. 2996, Class SA, 5.036s, 2035  2,680,157  2,330,062 
IFB Ser. 2979, Class AS, 4.588s, 2034  1,446,529  1,339,847 
IFB Ser. 3072, Class SA, 4.441s, 2035  1,184,111  1,023,146 
Ser. 2852, Class WI, IO, 5s, 2019  279,317  61,450 
IFB Ser. 3072, Class SM, 4.111s, 2035  1,905,603  1,620,507 
IFB Ser. 3072, Class SB, 3.965s, 2035  1,799,844  1,521,220 
IFB Ser. 3065, Class DC, 3.754s, 2035  4,711,969  3,973,108 
IFB Ser. 3050, Class SA, 3.453s, 2034  3,160,228  2,681,326 
IFB Ser. 2828, Class GI, IO, 2.301s, 2034  537,160  46,405 
IFB Ser. 2869, Class JS, IO, 2.051s, 2034  1,332,911  69,097 
IFB Ser. 2882, Class SL, IO, 2.001s, 2034  280,742  18,150 
IFB Ser. 2770, Class SH, IO, 1.901s, 2034  8,250,399  508,876 
IFB Ser. 2828, Class TI, IO, 1.851s, 2030  4,563,091  251,683 
Ser. 2852, Class VS, IO, 1.794s, 2034  863,005  20,496 
IFB Ser. 3033, Class SF, IO, 1.601s, 2035  7,544,135  242,827 
IFB Ser. 3028, Class ES, IO, 1.551s, 2035  22,705,623  1,261,569 
IFB Ser. 3042, Class SP, IO, 1.551s, 2035  4,691,964  262,281 
IFB Ser. 3045, Class DI, IO, 1.531s, 2035  45,580,853  1,725,239 
IFB Ser. 3054, Class CS, IO, 1.501s, 2035  4,978,536  191,375 
IFB Ser. 3107, Class DC, IO, 1.501s, 2035  20,734,534  1,143,346 
IFB Ser. 3066, Class SI, IO, 1.501s, 2035  15,357,723  814,392 
IFB Ser. 3031, Class BI, IO, 1.491s, 2035  4,838,166  274,881 
IFB Ser. 3067, Class SI, IO, 1.451s, 2035  17,834,255  996,345 
IFB Ser. 3114, Class TS, IO, 1.451s, 2030  34,601,981  1,284,955 
IFB Ser. 3114, Class BI, IO, 1.451s, 2030  15,259,982  474,707 
IFB Ser. 3174, Class BS, IO, 1.44s, 2036  12,318,700  426,191 
IFB Ser. 3065, Class DI, IO, 1.421s, 2035  3,441,140  180,036 
IFB Ser. 3081, Class DI, IO, 1.281s, 2035  3,920,407  171,364 
IFB Ser. 3016, Class SP, IO, 0.911s, 2035  4,460,478  105,223 
IFB Ser. 3016, Class SQ, IO, 0.911s, 2035  9,608,913  240,223 
IFB Ser. 2937, Class SY, IO, 0.901s, 2035  4,762,071  124,052 
IFB Ser. 2815, Class S, IO, 0.801s, 2032  9,901,914  209,485 
Ser. 236, PO, zero %, 2036  4,538,815  3,248,162 
Ser. 3045, Class DO, PO, zero %, 2035  3,470,841  2,584,397 
Ser. 231, PO, zero %, 2035  36,664,122  25,364,662 
Ser. 228, PO, zero %, 2035  19,734,670  14,170,787 
Ser. 215, PO, zero %, 2031  619,635  506,678 
Ser. 2235, PO, zero %, 2030  1,540,637  1,156,926 
Ser. 2191, Class MO, PO, zero %, 2027  165,795  159,509 
Ser. 1208, Class F, PO, zero %, 2022  519,305  413,599 
FRB Ser. 3022, Class TC, zero %, 2035  916,057  1,122,456 
FRB Ser. 2986, Class XT, zero %, 2035  541,536  605,167 
FRB Ser. 3046, Class WF, zero %, 2035  1,272,149  1,283,661 
FRB Ser. 3054, Class XF, zero %, 2034  522,086  560,673 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 00-1, Class F, 7.786s, 2033  1,354,000  1,414,013 
Ser. 00-1, Class G, 6.131s, 2033  4,588,975  3,991,333 
GMAC Commercial Mortgage Securities, Inc. 144A Ser.     
99-C3, Class G, 6.974s, 2036  4,134,628  4,116,828 
Government National Mortgage Association     
IFB Ser. 05-66, Class SP, 3.473s, 2035  2,674,334  2,239,216 
IFB Ser. 04-86, Class SW, IO, 1.483s, 2034  717,476  31,575 
IFB Ser. 06-26, Class S, IO, 1.42s, 2036  1,089,000  44,458 
IFB Ser. 05-65, Class SI, IO, 1.083s, 2035  12,140,868  398,490 
IFB Ser. 05-68, Class SI, IO, 1.033s, 2035  42,431,334  1,499,616 
IFB Ser. 06-14, Class S, IO, 0.983s, 2036  9,945,778  298,760 
IFB Ser. 05-51, Class SJ, IO, 0.933s, 2035  12,632,983  407,932 
IFB Ser. 05-68, Class S, IO, 0.933s, 2035  24,906,501  786,236 
Ser. 99-31, Class MP, PO, zero %, 2029  56,494  46,080 

Ser. 98-2, Class EA, PO, zero %, 2028    456,433  345,642 
GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A,       
Class L, 8.449s, 2015    1,843,461  1,853,830 
LB Commercial Conduit Mortgage Trust 144A       
Ser. 99-C1, Class G, 6.41s, 2031    1,960,723  1,790,824 
Ser. 98-C4, Class J, 5.6s, 2035    3,535,000  3,076,335 
Lehman Brothers Floating Rate Commercial Mortgage       
Trust 144A FRB Ser. 03-LLFA, Class L, 9.109s, 2014    4,196,208  4,192,327 
Mach One Commercial Mortgage Trust 144A       
Ser. 04-1A, Class J, 5.45s, 2040    4,511,500  3,597,217 
Ser. 04-1A, Class K, 5.45s, 2040    1,653,000  1,282,626 
Ser. 04-1A, Class L, 5.45s, 2040    752,500  534,745 
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2,       
Class JS, IO, 2.139s, 2028    23,789,121  1,069,583 
Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,       
Class X, IO, 8.05s, 2037    8,352,605  3,052,290 
Morgan Stanley Capital I 144A Ser. 04-RR, Class F7,       
6s, 2039    13,869,752  9,496,211 
Mortgage Capital Funding, Inc.       
FRB Ser. 98-MC2, Class E, 7.095s, 2030    2,378,284  2,422,927 
Ser. 97-MC2, Class X, IO, 1.402s, 2012    16,225,021  138,172 
Permanent Financing PLC FRB Ser. 8, Class 2C, 5.7s,       
2042 (United Kingdom)    973,000  972,636 
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,       
Class J, 6 5/8s, 2010    880,000  815,197 
Quick Star PLC FRB Ser. 1, Class D, 5.527s, 2011       
(United Kingdom)  GBP  2,666,641  4,931,419 
Salomon Brothers Mortgage Securities VII 144A Ser.       
03-CDCA, Class X3CD, IO, 1.43s, 2015    $9,347,925  37,121 
SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035    1,580,000  1,546,233 
STRIPS 144A       
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)    1,339,000  1,098,864 
Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)    1,590,000  1,193,184 
Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)    1,438,000  1,179,160 
Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)    1,371,000  1,029,594 
Titan Europe PLC 144A       
FRB Ser. 05-CT1A, Class D, 5.702s, 2014 (Ireland)  GBP  3,522,168  6,513,545 
FRB Ser. 05-CT2A, Class E, 5.677s, 2014 (Ireland)  GBP  1,661,000  3,071,687 
FRB Ser. 04-2A, Class D, 3.664s, 2014 (Ireland)  EUR  2,506,662  3,204,767 
FRB Ser. 04-2A, Class C, 3.264s, 2014 (Ireland)  EUR  1,142,536  1,460,733 
URSUS EPC 144A       
FRB Ser. 1-A, Class D, 5.542s, 2012 (Ireland)  GBP  2,575,068  4,762,073 
Ser. 1-A, Class X1, IO, 3s, 2012 (Ireland)  GBP  5,000  1,357,701 
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser.       
05-WL5A, Class L, 8.499s, 2018    $3,292,000  3,285,910 
 
      $470,041,054 
Total collateralized mortgage obligations (cost $494,363,525)       
 
ASSET-BACKED SECURITIES (16.2%)(a)       
    Principal amount  Value 
  
Aegis Asset Backed Securities Trust 144A Ser. 04-2N,       
Class N1, 4 1/2s, 2034    $11,700  $11,661 
Americredit Automobile Receivables Trust 144A Ser.       
05-1, Class E, 5.82s, 2012    2,384,014  2,380,199 
Ameriquest Finance NIM Trust 144A Ser. 04-RN9,       
Class N2, 10s, 2034 (Cayman Islands)    1,770,000  1,646,100 
Arcap REIT, Inc. 144A       
Ser. 03-1A, Class E, 7.11s, 2038    2,906,000  2,874,687 
Ser. 04-1A, Class E, 6.42s, 2039    1,768,000  1,699,746 
Asset Backed Funding Corp. NIM Trust 144A Ser.       
04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)    9,599  9,586 
Aviation Capital Group Trust 144A FRB Ser. 03-2A,       
Class G1, 5.967s, 2033    2,131,062  2,134,225 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,       
6.229s, 2011    3,310,000  3,372,450 
Bear Stearns Asset Backed Securities NIM Trust 144A       
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)    186,620  185,454 
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)    34,275  34,275 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034    71,407  71,407 
Ser. 04-FR1, Class A1, 5s, 2034    1,512  1,512 
Bear Stearns Asset Backed Securities, Inc.       
Ser. 04-FR3, Class M6, 8.573s, 2034    1,703,000  1,700,871 
FRB Ser. 06-HE2, Class M10, 7.573s, 2036    1,582,000  1,438,631 
FRB Ser. 06-PC1, Class M9, 7.073s, 2035    885,000  717,956 
Bombardier Capital Mortgage Securitization Corp.       
Ser. 00-A, Class A2, 7.575s, 2030    1,113,612  775,816 
Ser. 00-A, Class A4, 8.29s, 2030    5,169,695  3,678,561 
Ser. 99-B, Class A3, 7.18s, 2015    8,107,173  5,315,265 
Ser. 99-B, Class A4, 7.3s, 2016    5,473,156  3,671,136 
Broadhollow Funding, LLC 144A FRB Ser. 04-A,       
Class Sub, 6.57s, 2009    2,733,000  2,764,703 
Capital Auto Receivables Asset Trust 144A Ser. 06-1,       
Class D, 7.16s, 2013    1,000,000  989,688 
CARSS Finance Limited Partnership 144A FRB Ser. 04-A,       
Class B2, 6.149s, 2011 (Cayman Islands)    269,900  270,412 
CARSSX Finance, Ltd. 144A       
FRB Ser. 04-AA, Class B3, 8.549s, 2011 (Cayman Islands)    232,306  237,588 
FRB Ser. 04-AA, Class B4, 10.699s, 2011 (Cayman       
Islands)    313,094  327,298 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,       
6.449s, 2010    3,730,000  3,795,076 
CHEC NIM Ltd., 144A       
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)    338,111  336,437 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)    422,000  397,240 
Citigroup Mortgage Loan Trust, Inc.       
FRB Ser. 05-HE4, Class M11, 7.823s, 2035    1,384,000  1,150,828 
FRB Ser. 05-HE4, Class M12, 7.373s, 2035    1,931,000  1,543,065 
FRB Ser. 06-WMC1, Class M10, 8.823s, 2035    424,000  379,099 
Conseco Finance Securitizations Corp.       
Ser. 00-1, Class A5, 8.06s, 2031    4,206,000  3,598,180 
Ser. 00-2, Class A4, 8.48s, 2030    548,609  545,926 
Ser. 00-4, Class A4, 7.73s, 2031    4,293,636  4,033,785 
Ser. 00-4, Class A5, 7.97s, 2032    1,762,000  1,397,983 

Ser. 00-4, Class A6, 8.31s, 2032    26,321,000  22,158,535 
Ser. 00-5, Class A7, 8.2s, 2032    492,000  415,986 
Ser. 00-6, Class A5, 7.27s, 2032    722,000  651,051 
Ser. 01-1, Class A5, 6.99s, 2032    15,259,000  13,756,777 
Ser. 01-3, Class A3, 5.79s, 2033    43,573  43,494 
Ser. 01-3, Class A4, 6.91s, 2033    23,474,000  21,933,143 
Ser. 01-3, Class M2, 7.44s, 2033    983,512  88,516 
Ser. 01-4, Class A4, 7.36s, 2033    2,000,000  1,917,548 
Ser. 01-4, Class B1, 9.4s, 2033    120,273  601 
Ser. 02-1, Class A, 6.681s, 2033    9,063,979  9,056,162 
FRB Ser. 01-4, Class M1, 7.096s, 2033    2,391,000  908,580 
Consumer Credit Reference IDX Securities 144A FRB Ser.       
02-1A, Class A, 7.437s, 2007    4,668,000  4,738,020 
Countrywide Alternative Loan Trust Ser. 06-OA10,       
Class XBI, IO, zero %, 2046    25,022,000  1,309,745 
Countrywide Asset Backed Certificates 144A       
Ser. 04-6N, Class N1, 6 1/4s, 2035    440,166  439,118 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035    228,187  223,594 
Countrywide Home Loans       
FRB Ser. 05-22, Class 2A1, 5.304s, 2035    896,513  882,925 
Ser. 05-2, Class 2X, IO, 1.16s, 2035    49,951,380  1,084,884 
Ser. 06-0A5, Class X, IO, 1.167s, 2046    23,485,644  1,152,264 
Countrywide Home Loans 144A Ser. 03-R4, Class 1A, PO,       
zero %, 2034    67,943  53,081 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038       
(Cayman Islands)    3,427,000  3,233,683 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,       
8.285s, 2031    610,000  613,113 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E,       
7.619s, 2039    13,100,002  13,282,174 
First Franklin Mortgage Loan NIM Trust 144A Ser.       
04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)    36,668  36,619 
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 6.288s,       
2038 (Cayman Islands)    1,229,000  1,240,184 
Fremont NIM Trust 144A       
Ser. 04-3, Class A, 4 1/2s, 2034    212,226  211,256 
Ser. 04-3, Class B, 7 1/2s, 2034    321,141  297,857 
G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s,       
2038 (Cayman Islands)    1,471,000  1,445,258 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 7.323s,       
2037 (Cayman Islands)    614,000  637,393 
Gears Auto Owner Trust Ser. 05-AA, Class E1, 8.22s,       
2012    3,514,000  3,440,948 
Granite Mortgages PLC       
FRB Ser. 02-1, Class 1C, 6.38s, 2042 (United Kingdom)    3,300,000  3,315,127 
FRB Ser. 02-2, Class 1C, 6.33s, 2043 (United Kingdom)    370,000  373,121 
FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)  EUR  10,080,000  13,320,293 
FRB Ser. 03-2, Class 3C, 6.18s, 2043 (United Kingdom)  GBP  7,560,000  14,373,566 
Green Tree Financial Corp.       
Ser. 93-1, Class B, 8.45s, 2018    $3,818,099  3,634,582 
Ser. 94-4, Class B2, 8.6s, 2019    2,720,781  1,982,783 
Ser. 94-6, Class B2, 9s, 2020    6,495,625  5,617,696 
Ser. 95-4, Class B1, 7.3s, 2025    2,737,142  2,697,796 
Ser. 95-8, Class B1, 7.3s, 2026    2,796,090  2,183,528 
Ser. 95-F, Class B2, 7.1s, 2021    769,924  771,368 
Ser. 96-8, Class M1, 7.85s, 2027    2,979,000  2,474,015 
Ser. 99-3, Class A5, 6.16s, 2031    266,896  268,564 
Ser. 99-3, Class A7, 6.74s, 2031    3,957,000  3,723,952 
Ser. 99-5, Class A5, 7.86s, 2030    30,084,000  25,992,778 
Green Tree Home Improvement Loan Trust Ser. 95-D,       
Class B2, 7.45s, 2025    603,509  570,742 
Greenpoint Manufactured Housing       
Ser. 00-3, Class IA, 8.45s, 2031    14,751,205  13,405,586 
Ser. 99-5, Class A4, 7.59s, 2028    466,643  470,386 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011    3,004,645  2,988,780 
GSAMP Trust 144A       
Ser. 04-NIM1, Class N2, zero %, 2034    2,515,828  1,852,907 
Ser. 04-NIM2, Class N, 4 7/8s, 2034    1,232,420  1,227,120 
GSMPS Mortgage Loan Trust 144A       
Ser. 01-2, IO, 0.189s, 2032    1,664,361  9,171 
Ser. 05-RP1, Class 1AS, IO, 1.148s, 2035 ##    96,315,129  2,227,287 
Ser. 06-RP1, Class 1AS, IO, 0.868s, 2036 ##    1,153,046  19,998 
Guggenheim Structured Real Estate Funding, Ltd. FRB       
Ser. 05-1A, Class E, 7.123s, 2030 (Cayman Islands)    2,377,000  2,377,000 
Guggenheim Structured Real Estate Funding, Ltd. 144A       
FRB Ser. 05-2A, Class E, 7.323s, 2030 (Cayman Islands)    2,453,000  2,470,416 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,       
2035    1,656,296  1,599,913 
Holmes Financing PLC       
FRB Ser. 4, Class 3C, 6.368s, 2040 (United Kingdom)    2,320,000  2,320,216 
FRB Ser. 8, Class 2C, 5.788s, 2040 (United Kingdom)    1,938,000  1,941,488 
JPMorgan Mortgage Acquisition Corp. FRB Ser. 05-OPT2,       
Class M11, 7.573s, 2035    690,000  582,489 
LNR CDO, Ltd. 144A       
FRB Ser. 02-1A, Class FFL, 8.073s, 2037 (Cayman       
Islands)    7,500,000  7,500,000 
FRB Ser. 03-1A, Class EFL, 8.302s, 2036 (Cayman       
Islands)    11,120,000  11,800,233 
Long Beach Mortgage Loan Trust       
Ser. 04-3, Class S1, IO, 4 1/2s, 2006    8,488,446  190,990 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006    3,796,556  85,423 
FRB Ser. 06-2, Class M10, 7.823s, 2036    1,478,000  1,228,588 
Long Beach Mortgage Loan Trust 144A FRB Ser. 06-2,       
Class B, 7.823s, 2036    1,478,000  1,149,145 
Lothian Mortgages PLC 144A FRB Ser. 3A, Class D,       
5.43s, 2039 (United Kingdom)  GBP  6,500,000  12,020,450 
Madison Avenue Manufactured Housing Contract FRB Ser.       
02-A, Class B1, 8.573s, 2032    $6,357,565  4,450,296 
MASTR Adjustable Rate Mortgages Trust Ser. 04-13,       
Class 3A6, 3.786s, 2034    579,000  547,778 
MASTR Asset Backed Securities NIM Trust 144A       
Ser. 04-CI5, Class N2, 9s, 2034 (Cayman Islands)    821,881  821,881 
Ser. 04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)    64,647  64,298 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,       
Class C5, 6.379s, 2010    3,730,000  3,799,626 

Merrill Lynch Mortgage Investors, Inc.       
Ser. 03-WM3N, Class N1, 8s, 2034    28,752  28,356 
FRB Ser. 05-A9, Class 3A1, 5.298s, 2035    1,163,358  1,146,089 
Merrill Lynch Mortgage Investors, Inc. 144A       
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)    77,243  76,350 
Ser. 04-WM2N, Class N1, 4 1/2s, 2034    7,825  7,764 
Ser. 04-WM3N, Class N1, 4 1/2s, 2035    9,329  9,177 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038    1,229,642  1,190,110 
Morgan Stanley ABS Capital I FRB Ser. 04-HE8,       
Class B3, 8.523s, 2034    1,597,000  1,621,969 
Morgan Stanley Auto Loan Trust 144A       
Ser. 04-HB1, Class D, 5 1/2s, 2011    77,941  77,480 
Ser. 04-HB2, Class E, 5s, 2012    1,210,899  1,188,208 
Morgan Stanley Dean Witter Capital I FRB Ser. 01-NC3,       
Class B1, 8.998s, 2031    744,540  394,606 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,       
Class 2A1, 5.412s, 2035    11,706,610  11,634,356 
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A,       
Class C1A, 8.22s, 2038 (Cayman Islands)    2,000,000  2,043,000 
Navistar Financial Corp. Owner Trust       
Ser. 04-B, Class C, 3.93s, 2012    1,004,592  970,342 
Ser. 05-A, Class C, 4.84s, 2014    1,092,901  1,067,417 
Neon Capital, Ltd. 144A       
limited recourse sec. notes Ser. 94, 1.686s, 2013       
(Cayman Islands) (F) (g)    4,330,907  4,651,489 
limited recourse sec. notes Ser. 95, 2.319s, 2013       
(Cayman Islands) (F) (g)    2,028,770  738,574 
limited recourse sec. notes Ser. 96, 1.458s, 2013       
(Cayman Islands) (F) (g)    20,169,472  4,113,060 
limited recourse sec. notes Ser. 97, 1.105s, 2013       
(Cayman Islands) (F) (g)    2,649,208  8,858,159 
Oakwood Mortgage Investors, Inc.       
Ser. 01-C, Class A1, 5.16s, 2012    860,640  415,983 
Ser. 01-C, Class A2, 5.92s, 2017    9,605,362  5,032,499 
Ser. 01-D, Class A4, 6.93s, 2031    190,174  133,216 
Ser. 01-E, Class A2, 5.05s, 2019    7,568,088  5,747,287 
Ser. 02-A, Class A2, 5.01s, 2020    624,329  473,720 
Ser. 02-B, Class A4, 7.09s, 2032    3,244,000  2,812,730 
Ser. 02-C, Class A1, 5.41s, 2032    13,103,878  10,998,058 
Ser. 99-B, Class A4, 6.99s, 2026    9,408,414  8,105,411 
Ser. 99-D, Class A1, 7.84s, 2029    8,339,618  7,216,638 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B,       
Class A4, 7.21s, 2030    888,691  772,869 
Ocean Star PLC 144A       
FRB Ser. 04-A, Class E, 11.664s, 2018 (Ireland)    5,793,000  6,134,787 
FRB Ser. 05-A, Class E, 9.764s, 2012 (Ireland)    1,317,000  1,316,342 
Option One Mortgage Loan Trust FRB Ser. 05-4,       
Class M11, 7.823s, 2035    1,809,000  1,588,387 
Park Place Securities, Inc. 144A       
FRB Ser. 04-MHQ1, Class M10, 7.823s, 2034    863,000  788,832 
FRB Ser. 05-WCW2, Class M11, 7.823s, 2035    712,000  548,240 
People's Choice Net Interest Margin Note 144A Ser.       
04-2, Class B, 5s, 2034    774,000  762,677 
Permanent Financing PLC       
FRB Ser. 3, Class 3C, 6.45s, 2042 (United Kingdom)    3,300,000  3,339,498 
FRB Ser. 6, Class 3C, 5.4s, 2042 (United Kingdom)  GBP  6,492,000  12,005,656 
Providian Gateway Master Trust FRB Ser. 04-EA,       
Class E, 8.199s, 2011    $6,550,000  6,664,625 
Providian Gateway Master Trust 144A FRB Ser. 04-BA,       
Class D, 6.599s, 2010    220,000  220,083 
Residential Asset Securities Corp. 144A       
Ser. 04-N10B, Class A1, 5s, 2034    402,625  400,863 
FRB Ser. 05-KS10, Class B, 8.073s, 2035    1,523,000  1,344,626 
Residential Mortgage Securities 144A FRB Ser. 20A,       
Class B1A, 5.433s, 2038 (United Kingdom)  GBP  950,000  1,747,348 
Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026    $657,219  656,705 
SAIL Net Interest Margin Notes 144A       
Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)    415,971  236,397 
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)    123,233  83,650 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)    92,815  66,196 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)    60,872  36,986 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)    151,053  109,966 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)    55,236  8,838 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)    84,797  10,176 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)    491,904  103,300 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)    495,760  493,876 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)    31,894  31,852 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)    78,300  17,226 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)    84,000  83,757 
Sasco Net Interest Margin Trust 144A       
Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)    1,883,265  225,992 
Ser. 05-WF1A, Class A, 4 3/4s, 2035 (Cayman Islands)    768,321  762,950 
Sharps SP I, LLC Net Interest Margin Trust 144A Ser.       
04-HE2N, Class NA, 5.43s, 2034 (Cayman Islands)    68,969  67,935 
Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,       
Class M10, 7.823s, 2036    1,086,000  940,781 
South Coast Funding 144A FRB Ser. 3A, Class A2, 6.36s,       
2038 (Cayman Islands)    2,070,000  2,071,863 
Structured Asset Investment Loan Trust 144A       
FRB Ser. 05-HE3, Class M11, 7.823s, 2035    2,060,000  1,669,682 
FRB Ser. 06-BNC2, Class B1, 7.823s, 2036    1,686,000  1,500,731 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,       
5.575s, 2015    11,072,403  11,068,949 
Structured Asset Securities Corp. 144A Ser. 98-RF3,       
Class A, IO, 6.1s, 2028    390,029  40,648 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,       
2038 (Cayman Islands)    3,688,000  3,663,888 
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,       
6.84s, 2037 (Cayman Islands)    2,403,000  2,338,429 
Wells Fargo Home Equity Trust 144A Ser. 04-2,       
Class N2, 8s, 2034 (Cayman Islands)    828,407  828,516 
Wells Fargo Mortgage Backed Securities Trust Ser.       
05-AR13, Class 1A4, IO, 0.742s, 2035    92,084,010  1,881,276 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,       
Class B3, 6s, 2044 (United Kingdom)    3,645,000  3,644,089 

Whole Auto Loan Trust 144A Ser. 04-1, Class D, 5.6s,     
2011  1,304,511  1,293,776 
 
    $469,516,042 
Total asset-backed securities (cost $473,634,565)     
 
SENIOR LOANS (8.1%)(a)(c)     
  Principal amount  Value 
  
 
Basic Materials (0.7%)     
Georgia-Pacific Corp. bank term loan FRN Ser. B,     
7.161s, 2013  $3,890,250  $3,881,742 
Hercules, Inc. bank term loan FRN Ser. B, 6.526s, 2010  3,122,829  3,123,610 
Innophos, Inc. bank term loan FRN 7.27s, 2010  1,712,559  1,713,629 
Nalco Co. bank term loan FRN Ser. B, 6.912s, 2010  1,804,993  1,802,285 
Novelis, Inc. bank term loan FRN 7.38s, 2012  168,204  168,414 
Novelis, Inc. bank term loan FRN Ser. B, 7.38s, 2012  292,144  292,509 
PQ Corp. bank term loan FRN Ser. B, 7s, 2012  1,580,000  1,580,000 
Rockwood Specialties Group, Inc. bank term loan FRN     
Ser. E, 7.126s, 2012  4,950,000  4,954,811 
Smurfit-Stone Container Corp. bank term loan FRN     
4.94s, 2010  271,070  271,974 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
B, 7.52s, 2011  1,788,834  1,794,796 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
C, 7.459s, 2011  606,851  608,873 
St. Mary's Cement Corp. bank term loan FRN 6.979s, 2009  975,000  982,313 
    21,174,956 
 
Capital Goods (0.8%)     
AGCO Corp. bank term loan FRN 6.729s, 2008  1,354,750  1,360,677 
Allied Waste Industries, Inc. bank term loan FRN Ser.     
A, 4.88s, 2012  524,769  521,966 
Allied Waste Industries, Inc. bank term loan FRN Ser.     
B, 6.759s, 2012  1,349,028  1,341,669 
Communications & Power Industries bank term loan FRN     
7.487s, 2010  1,105,801  1,107,874 
Enersys Capital, Inc. bank term loan FRN Ser. B,     
7.228s, 2011  1,483,021  1,483,021 
Graham Packaging Corp. bank term loan FRN Ser. B,     
7.213s, 2011  987,469  988,209 
Hexcel Corp. bank term loan FRN Ser. B, 6.813s, 2012  3,789,868  3,791,449 
Invensys, PLC bank term loan FRN Ser. B-1, 8.501s,     
2009 (United Kingdom)  228,098  228,098 
Mueller Group, Inc. bank term loan FRN Ser. B, 7.364s,     
2012  3,174,965  3,187,439 
Roper Industries, Inc. bank term loan FRN Ser. A,     
6.06s, 2009  2,610,537  2,604,011 
Terex Corp. bank term loan FRN 7.059s, 2009  1,230,948  1,230,948 
Terex Corp. bank term loan FRN Ser. C, 7.559s, 2009  3,121,641  3,137,250 
Transdigm, Inc. bank term loan FRN 7s, 2013  1,050,000  1,050,000 
    22,032,611 
 
Communication Services (0.8%)     
Consolidated Communications Holdings bank term loan     
FRN Ser. D, 6.78s, 2011  3,742,644  3,728,609 
Fairpoint Communications, Inc. bank term loan FRN Ser.     
B, 6 3/4s, 2012  2,500,000  2,489,375 
Hawaiian Telecom Communications bank term loan FRN     
Ser. B, 7.23s, 2012  997,778  1,000,628 
Intelsat Bermuda, Ltd. bank term loan FRN Ser. B, 6     
3/4s, 2011 (Bermuda)  3,833,786  3,832,187 
Level 3 Communications, Inc. bank term loan FRN 8s,     
2011  1,200,000  1,198,500 
PanAmSat Corp. bank term loan FRN Ser. B1, 7.184s, 2010  2,248,655  2,248,093 
Syniverse Holdings, Inc. bank term loan FRN Ser. B,     
6.73s, 2012  2,523,499  2,523,499 
Valor Telecommunications Enterprises LLC/Finance Corp.     
bank term loan FRN Ser. B, 6.753s, 2012  4,543,333  4,541,439 
Windstream Corp. bank term loan FRN Ser. B, 5 3/4s,     
2013  1,162,000  1,164,420 
    22,726,750 
 
Consumer Cyclicals (1.6%)     
Adams Outdoor Advertising, LP bank term loan FRN     
6.846s, 2012  722,060  723,564 
Affinion Group, Inc. bank term loan FRN Ser. B,     
7.925s, 2013  4,208,195  4,222,663 
Boise Cascade Corp. bank term loan FRN Ser. D, 6 3/4s,     
2011  1,198,257  1,199,483 
Coinmach Service Corp. bank term loan FRN Ser. B-1,     
7.715s, 2012  1,247,478  1,251,117 
Goodyear Tire & Rubber Co. (The) bank term loan FRN     
7.954s, 2010  1,295,000  1,299,047 
Landsource, Inc. bank term loan FRN Ser. B, 7.688s,     
2010  1,650,000  1,652,063 
Maguire Properties, Inc. bank term loan FRN Ser. B,     
7.108s, 2010 (R)  2,383,780  2,393,465 
Neiman Marcus Group, Inc. bank term loan FRN Ser. B,     
7.77s, 2013  2,136,076  2,148,091 
Nortek Holdings, Inc. bank term loan FRN Ser. B,     
6.69s, 2011  1,466,119  1,463,370 
Penn National Gaming, Inc. bank term loan FRN Ser. B,     
6.899s, 2012  1,091,750  1,094,024 
PRIMEDIA, Inc. bank term loan FRN Ser. B, 7.38s, 2013  895,500  883,411 
R.H. Donnelley Finance Corp. bank term loan FRN Ser.     
A-3, 6.319s, 2009  580,964  575,880 
R.H. Donnelley Finance Corp. bank term loan FRN Ser.     
D, 6.683s, 2011  2,823,080  2,807,957 
Raycom Media, Inc. bank term loan FRN Ser. B, 6 1/2s,     
2013  1,840,394  1,826,591 

Sealy Corp. bank term loan FRN Ser. D, 7.098s, 2012  1,261,357  1,261,751 
Standard-Pacific Corp. bank term loan FRN Ser. B,     
6.671s, 2013  950,000  941,688 
Sun Media Corp. bank term loan FRN Ser. B, 7.126s,     
2009 (Canada)  381,423  380,788 
Trump Hotel & Casino Resort, Inc. bank term loan FRN     
Ser. B-1, 8.034s, 2012  1,116,563  1,124,239 
Trump Hotel & Casino Resort, Inc. bank term loan FRN     
Ser. DD, 5.62s, 2012 (U)  1,119,375  1,127,071 
TRW Automotive, Inc. bank term loan FRN Ser. B, 6     
1/4s, 2010  3,838,598  3,830,068 
TRW Automotive, Inc. bank term loan FRN Ser. B2,     
6.813s, 2010  608,475  608,475 
TRW Automotive, Inc. bank term loan FRN Ser. E, 6     
3/4s, 2010  1,481,250  1,478,658 
Venetian Casino Resort, LLC bank term loan FRN Ser. B,     
6.73s, 2011  6,571,282  6,571,282 
Venetian Casino Resort, LLC bank term loan FRN Ser.     
DD, 6.73s, 2011  1,354,904  1,354,904 
Veterinary Centers of America, Inc. bank term loan FRN     
Ser. B, 6 5/8s, 2011  709,701  709,701 
Visant Holding Corp. bank term loan FRN Ser. C,     
7.318s, 2010  3,595,348  3,605,835 
William Carter Holdings Co. (The) bank term loan FRN     
Ser. B, 6.703s, 2012  630,230  628,917 
    47,164,103 
 
Consumer Staples (2.2%)     
AMC Entertainment, Inc. bank term loan FRN Ser. B,     
7.216s, 2013  845,750  847,864 
Ashtead Group PLC bank term loan FRN Ser. B, 6.938s,     
2009 (United Kingdom)  2,376,000  2,376,000 
Avis Budget Car Rental bank term loan FRN Ser. B,     
6.35s, 2012  1,650,000  1,636,181 
Brand Services, Inc. bank term loan FRN 7.383s, 2009  550,000  550,000 
Burger King Corp. bank term loan FRN Ser. B-1, 6 1/2s,     
2013  793,919  792,058 
Burlington Coat Factory Warehouse Corp. bank term loan     
FRN Ser. B, 7.53s, 2013  1,645,875  1,594,736 
Cablevision Systems Corp. bank term loan FRN Ser. B,     
6.886s, 2013  4,937,625  4,910,364 
CBRL Group, Inc. bank term loan FRN Ser. B, 6.63s, 2013  702,345  699,360 
CBRL Group, Inc. bank term loan FRN Ser. DD, 5 3/4s,     
2007 (U)  97,655  97,350 
Cebridge Connections, Inc. bank term loan FRN Ser. B,     
7.379s, 2013  1,500,000  1,490,357 
Century Cable Holdings bank term loan FRN 10 1/4s, 2009  6,280,000  6,001,884 
Charter Communications bank term loan FRN Ser. B,     
7.755s, 2013  2,243,459  2,246,760 
Cinemark, Inc. bank term loan FRN Ser. C, 6.895s, 2011  2,791,784  2,789,168 
Constellation Brands, Inc. bank term loan FRN Ser. B,     
6.786s, 2013  583,209  584,563 
DirecTV Holdings, LLC bank term loan FRN Ser. B,     
6.794s, 2013  3,066,667  3,064,538 
Gray Television, Inc. bank term loan FRN Ser. B,     
6.49s, 2012  990,013  989,394 
Insight Midwest, LP/Insight Capital, Inc. bank term     
loan FRN 7s, 2009  1,647,750  1,646,892 
Jean Coutu Group, Inc. bank term loan FRN Ser. B, 7     
5/8s, 2011 (Canada)  2,473,732  2,475,107 
Mediacom Communications Corp. bank term loan FRN Ser.     
C, 6.921s, 2015  2,221,875  2,213,145 
Mediacom Communications Corp. bank term loan FRN Ser.     
DD, 7.38s, 2015  540,000  537,525 
MGM Studios, Inc. bank term loan FRN Ser. B, 7.229s,     
2011  4,389,000  4,406,955 
Olympus Cable Holdings, LLC bank term loan FRN Ser. B,     
10 1/4s, 2010  4,085,000  3,901,812 
Pinnacle Foods Holding Corp. bank term loan FRN     
6.986s, 2010  1,922,883  1,923,364 
Prestige Brands, Inc. bank term loan FRN Ser. B,     
7.236s, 2011  1,969,773  1,976,339 
Regal Cinemas, Inc. bank term loan FRN Ser. B, 7s, 2010  2,053,617  2,050,115 
Reynolds American, Inc. bank term loan FRN Ser. B,     
7.256s, 2012  1,100,000  1,102,922 
Six Flags, Inc. bank term loan FRN Ser. B, 7.317s, 2009  2,980,942  2,992,654 
Universal City Development bank term loan FRN Ser. B,     
7.12s, 2011  4,003,189  4,000,687 
Warner Music Group bank term loan FRN Ser. B, 7.222s,     
2011  1,911,533  1,913,125 
Young Broadcasting, Inc. bank term loan FRN Ser. B,     
7.734s, 2012  1,047,355  1,043,428 
    62,854,647 
 
Energy (0.2%)     
CR Gas Storage bank term loan FRN 8 3/4s, 2013  266,667  265,833 
CR Gas Storage bank term loan FRN 8 3/4s, 2013  280,000  279,125 
CR Gas Storage bank term loan FRN Ser. DD, 6 3/4s,     
2013 (U)  186,667  186,083 
CR Gas Storage bank term loan FRN Ser. B, 8 3/4s, 2013  1,466,667  1,462,083 
Dresser, Inc. bank term loan FRN 8.65s, 2010  1,230,000  1,251,536 
Dresser, Inc. bank term loan FRN Ser. C, 7.6s, 2009  140,488  142,186 
Dresser-Rand Group, Inc. bank term loan FRN Ser. B,     
6.923s, 2011  667,233  671,570 
Meg Energy Corp. bank term loan FRN 7s, 2013 (Canada)  498,750  499,997 
Meg Energy Corp. bank term loan FRN Ser. DD, 6s, 2013     
(Canada) (U)  500,000  499,018 
Petroleum Geo-Services ASA bank term loan FRN Ser. B,     
7.48s, 2012 (Norway)  547,250  548,789 
Universal Compression, Inc. bank term loan FRN Ser. B,     
6.48s, 2012  1,470,442  1,475,956 
    7,282,176 

Financial (0.4%)       
Ameritrade Holding Corp. bank term loan FRN Ser. B,       
6.6s, 2013    2,486,744  2,479,905 
Capital Automotive bank term loan FRN 6.86s, 2010 (R)    5,649,721  5,635,597 
Fidelity National Information Solutions bank term loan       
FRN Ser. B, 6.92s, 2013    3,197,542  3,193,794 
Nasdaq Stock Market, Inc. (The) bank term loan FRN       
Ser. B, 6.969s, 2012    1,169,428  1,167,381 
Nasdaq Stock Market, Inc. (The) bank term loan FRN       
Ser. C, 6.974s, 2012    678,875  677,857 
      13,154,534 
 
Health Care (0.7%)       
Alderwoods Group, Inc. bank term loan FRN 7.082s, 2009    503,913  503,913 
Community Health Systems, Inc. bank term loan FRN Ser.       
B, 6.97s, 2011    2,354,317  2,355,579 
DaVita, Inc. bank term loan FRN Ser. B, 6.992s, 2012    1,703,915  1,705,867 
Fresenius Medical Care AG & Co. KGaA bank term loan       
FRN Ser. B, 6.384s, 2013 (Germany)    407,000  402,739 
Healthsouth Corp. bank term loan FRN Ser. B, 8.52s,       
2013    5,550,000  5,546,037 
IASIS Healthcare Corp. bank term loan FRN Ser. B,       
7.264s, 2011    1,184,887  1,190,071 
Kinetic Concepts, Inc. bank term loan FRN Ser. B,       
6.73s, 2011    853,296  857,918 
LifePoint, Inc. bank term loan FRN Ser. B, 6.905s, 2012    4,294,865  4,285,919 
Stewart Enterprises, Inc. bank term loan FRN Ser. B,       
6.826s, 2011    563,832  563,832 
Vanguard Health Systems bank term loan FRN 6.95s, 2011    990,025  993,325 
VWR International, Inc. bank term loan FRN Ser. B,       
7.34s, 2011    1,812,519  1,812,520 
      20,217,720 
 
Technology (0.4%)       
AMI Semiconductor, Inc. bank term loan FRN 6.581s, 2012    3,950,034  3,951,682 
Extensity, Inc. bank term loan FRN Ser. B, 7.668s, 2011    150,000  149,719 
JDA Software Group, Inc. bank term loan FRN Ser. B, 7       
1/4s, 2013    300,000  300,000 
Nortel Networks, Inc. bank term loan FRN Ser. A, 7       
1/8s, 2007 (Canada)    1,000,000  997,500 
ON Semiconductor Corp. bank term loan FRN Ser. BH,       
7.23s, 2011    1,975,035  1,971,332 
UGS Corp. bank term loan FRN Ser. C, 7.09s, 2012    3,565,435  3,556,521 
      10,926,754 
 
Transportation (0.1%)       
United Airlines bank term loan FRN Ser. B, 8 5/8s, 2012    1,531,250  1,545,605 
United Airlines bank term loan FRN Ser. DD, 8 7/8s,       
2012    218,750  220,801 
      1,766,406 
 
Utilities & Power (0.2%)       
El Paso Corp. bank term loan FRN 4.729s, 2009    725,000  728,222 
El Paso Corp. bank term loan FRN Ser. B, 7 3/4s, 2009    2,398,009  2,411,663 
NRG Energy, Inc. bank term loan FRN Ser. B, 7.23s, 2013    3,171,053  3,172,854 
      6,312,739 
 
      $235,613,396 
Total senior loans (cost $236,884,253)       
 
U.S. GOVERNMENT AGENCY MORTGAGE OBLIGATIONS (1.5%)(a)       
    Principal amount  Value 
  
Federal Home Loan Mortgage Corporation Pass-Through       
Certificates 5 1/2s, May 1, 2020    $465,746  $457,250 
Federal National Mortgage Association Pass-Through       
Certificates       
8s, April 1, 2027    3,175  3,383 
7s, with due dates from July 1, 2031 to April 1, 2034    44,676  45,808 
6 1/2s, with due dates from October 1, 2034 to       
February 1, 2035    19,816  19,962 
6 1/2s, November 1, 2017    33,026  33,444 
5 1/2s, April 1, 2036    445,539  427,805 
5 1/2s, with due dates from January 1, 2009 to       
February 1, 2021    5,316,425  5,225,557 
5 1/2s, TBA, July 1, 2036    11,100,000  10,656,867 
5s, April 1, 2021    19,734  19,001 
5s, TBA, July 1, 2021    14,100,000  13,576,757 
4 1/2s, with due dates from October 1, 2020 to       
October 1, 2035    14,358,519  13,058,393 
4s, with due dates from May 1, 2019 to       
September 1, 2020    969,938  897,299 
 
      $44,421,526 
Total U.S. government agency mortgage obligations (cost $44,968,187)       
 
U.S. TREASURY OBLIGATIONS (7.3%)(a)       
    Principal amount  Value 
  
U.S. Treasury Bonds       
6 1/4s, May 15, 2030    $79,772,000  $90,354,250 
6 1/4s, August 15, 2023    77,090,000  85,039,906 
U.S. Treasury Strip zero %, November 15, 2024    98,235,000  37,143,380 
 
      $212,537,536 
Total U.S. treasury obligations (cost $209,727,839)       
 
PURCHASED OPTIONS OUTSTANDING (0.4%)(a)       
    Expiration date/strike    
  Contract amount  price  Value 
       

Option on an interest rate swap with Citibank, N.A.         
London for the right to pay a fixed rate of 4.55%         
versus the six month EUR-EURIBOR-Telerate maturing on         
June 8, 2016.  EUR  106,030,000  Jun-11/$4.555  $2,792,523 
Option on an interest rate swap with Citibank, N.A.         
London for the right to receive a fixed rate of 4.55%         
versus the six month EUR-EURIBOR-Telerate maturing on         
June 8, 2016.  EUR  106,030,000  Jun-11/$4.555  2,684,075 
Option on an interest rate swap with Lehman Brothers         
for the obligation to right to receive a fixed rate         
of 4.545% versus the six month EUR-EURIBOR-Telerate         
maturing on June 9, 2016.  EUR  106,030,000  Jun-11/$4.545  2,629,851 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to pay a fixed         
rate swap of 4.545% semi-annually versus the six month         
USD-LIBOR-BBA maturing June 9, 2016.  EUR  106,030,000  Jun-11/$4.545  2,833,191 
 
        10,939,640 
Total purchased options outstanding (cost $11,077,620)         
 
SHORT-TERM INVESTMENTS (3.0%)(a)         
      Principal amount/shares  Value 
  
Putnam Prime Money Market Fund (e)      79,588,382  $79,588,382 
U.S. Treasury Bills for an effective yield of 4.708%,         
August 17, 2006 (SEG)      $400,000  397,545 
U.S. Treasury Bills for an effective yield of 4.700%,         
August 17, 2006 (SEG)      5,599,000  5,564,641 
U.S. Treasury Bills for an effective yield of 4.700%,         
August 17, 2006 (SEG)      539,000  535,692 
U.S. Treasury Bills for an effective yield of 4.700%,         
August 17, 2006 (SEG)      80,000  79,509 
 
        $86,165,769 
Total short-term investments (cost $86,165,769)         
 
TOTAL INVESTMENTS         
 
        $2,867,529,547 
Total investments (cost $2,886,347,864)(b)         

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/06 (aggregate face value $356,555,651) (Unaudited)     
        Unrealized 
    Aggregate   Delivery  appreciation/ 
  Value  face value date    (depreciation) 
 
Australian Dollar  $69,753,708  $70,262,271  7/19/06  $(508,563) 
British Pound  39,067,271  38,929,127  9/20/06  138,144 
Canadian Dollar  85,308,166  85,068,329  7/19/06  239,837 
Czechoslovak Koruna  7,436,304  7,420,282  9/20/06  16,022 
Danish Krone  6,721,331  6,808,236  9/20/06  (86,905) 
Euro  31,612,668  31,140,766  9/20/06  471,902 
Japanese Yen  20,319,421  20,336,165  8/16/06  (16,744) 
Korean Won  17,756,064  18,103,871  8/16/06  (347,807) 
Malaysian Ringgit  7,397,996  7,375,041  8/16/06  22,955 
Norwegian Krone  43,587,585  44,600,893  9/20/06  (1,013,308) 
Polish Zloty  11,563,065  11,750,168  9/20/06  (187,103) 
Slovakian Koruna  7,388,527  7,391,619  9/20/06  (3,092) 
Swedish Krona  36,360  35,666  9/20/06  694 
Thai Baht  7,381,054  7,333,217  8/16/06  47,837 
Total        $(1,226,131) 

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/06 (aggregate face value $738,308,179) (Unaudited)   
        Unrealized 
    Aggregate  Delivery   appreciation/ 
  Value  face value  date   (depreciation) 
 
Australian Dollar  $82,388,290  $83,708,213  7/19/06  $1,319,923 
British Pound  78,514,963  78,648,200  9/20/06  133,237 
Canadian Dollar  31,390,790  30,881,308  7/19/06  (509,482) 
Euro  227,490,554  229,707,098  9/20/06  2,216,544 
Japanese Yen  180,690,633  180,132,554  8/16/06  (558,079) 
New Zealand Dollar  119,072  118,295  7/19/06  (777) 
Norwegian Krone  7,396,774  7,281,638  9/20/06  (115,136) 
Swedish Krona  78,149,124  77,976,889  9/20/06  (172,235) 
Swiss Franc  50,256,976  49,853,984  9/20/06  (402,992) 
Total        $1,911,003 

FUTURES CONTRACTS OUTSTANDING at 6/30/06 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value date    (depreciation) 
 
Canadian Goverment Bond 10 yr (Long)  53  $5,259,480  Sep-06  $(90,312) 
Euro 90 day (Long)  907  214,097,350  Sep-06  (1,223,687) 
Euro 90 day (Short)  256  60,441,600  Mar-07  149,704 
Euro-Bobl 5 yr (Short)  30  4,184,912  Sep-06  698 
Euro-Bund 10 yr (Short)  80  11,794,924  Sep-06  50,890 
Euro-Schatz 2 yr (Long)  94  12,497,408  Sep-06  (16,531) 
Japanese Government Bond 10 yr (Long)  183  210,778,215  Sep-06  162,009 
U.K. Gilt 10 yr (Long)  208  41,888,876  Sep-06  (489,172) 
U.S. Treasury Bond 20 yr (Long)  671  71,566,344  Sep-06  (222,381) 
U.S. Treasury Note 10 yr (Short)  1363  142,923,328  Sep-06  1,005,918 
U.S. Treasury Note 5 yr (Short)  1449  149,835,656  Sep-06  841,072 
U.S. Treasury Note 2 yr (Short)  2380  482,619,375  Sep-06  1,740,661 
Total        $1,908,869 

WRITTEN OPTIONS OUTSTANDING at 6/30/06 (premiums received $2,178,226) (Unaudited)         
    Contract   Expiration date/   
    amount  strike price   Value 
 
Option on an interest rate swap with Citibank for the obligation to receive a fixed rate of         
0.60% versus the six month JPY-LIBOR maturing on January 31, 2008.  JPY  73,373,200,000  Jan-07/JPY 0.60  $2,834,787 
Option on an interest rate swap with Citibank for the obligation to pay a fixed rate of         
1.165% versus the one year JPY-LIBOR maturing on April 3, 2008.  JPY  59,657,639,000  Mar-07/JPY 1.165  1,212,986 
Total        $4,047,773 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/06 (Unaudited)     
  
      Payments  Payments  Unrealized 
Swap counterparty /  Termination  made by  received by  appreciation/ 
Notional amount  date  fund per annum  fund per annum  (depreciation) 
  
Bank of America, N.A.         
  $5,000,000  9/1/15  3 month USD-LIBOR-BBA  4.53%  $(365,544) 
  42,000,000  1/27/14  4.35%  3 month USD-LIBOR-BBA  3,043,093 
Citibank, N.A.         
NOK  284,790,000  7/14/10  6 month NOK-NIBOR-NIBR  3.40%  (859,289) 
EUR  36,276,000  7/14/10  2.7515%  6 month EUR-EURIBOR-Telerate  1,460,996 
CAD  60,140,000  5/10/16  4.884%  3 month CAD-BA-CDOR  773,437 
JPY  12,904,000,000  4/26/11  6 month JPY-LIBOR-BBA  1.56125%  348,788 
JPY  5,400,000,000  4/22/13  1.9225%  6 month JPY-LIBOR-BBA  (433,761) 
JPY  24,459,632,000  4/3/08  1 year JPY-LIBOR-BBA  1.165%  85,598 
EUR  92,670,000  4/26/11  3.8345%  6 month EUR-EURIBOR-Telerate  784,284 
JPY  1,700,000,000  4/21/36  6 month JPY-LIBOR-BBA  2.775%  241,737 
EUR  14,140,000  7/22/10  2.825%  6 month EUR-EURIBOR-Telerate  517,228 
NOK  115,000,000  7/22/10  6 month NOK-NIBOR-NIBR  3.52%  (255,679) 
JPY  6,200,000,000  2/10/16  6 month JPY-LIBOR-BBA  1.755%  (1,342,548) 
Credit Suisse First Boston International       
$  42,918,600  7/9/14  4.945%  3 month USD-LIBOR-BBA  1,542,667 
  37,886,000  7/9/06  3 month USD-LIBOR-BBA  2.931%  75,148 
Credit Suisse International         
GBP  6,726,000  4/3/36  GBP 16,944,346 at maturity  6 month USD-LIBOR-BBA  708,870 
Deutsche Bank AG         
$  21,693,259  8/2/22  3 month USD-LIBOR-BBA  5.7756%  284,905 
  24,344,349  8/2/32  5.86%  3 month USD-LIBOR-BBA  (536,857) 
Goldman Sachs Capital Markets, L.P.       
  21,693,259  8/12/22  3 month USD-LIBOR-BBA  5.601%  (130,425) 
  24,344,349  8/12/32  5.689%  3 month USD-LIBOR-BBA  42,965 
  43,565,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  906,279 
  48,888,992  8/1/32  5.919%  3 month USD-LIBOR-BBA  (1,483,353) 
HSBC Bank USA, National Associates       
CAD  245,413,000  2/16/08  3 month CAD-BA-CDOR  4.20%  431,841 
CAD  58,644,000  2/16/16  4.5875%  3 month CAD-BA-CDOR  1,377,585 
JPMorgan Chase Bank, N.A.         
$  316,231,000  5/4/08  3 month USD-LIBOR-BBA  5.37%  (1,324,274) 
  102,399,000  5/4/16  5.62375%  3 month USD-LIBOR-BBA  720,470 
GBP  116,956,000  6/30/08  5.095%  6 month GBP-LIBOR-BBA  -- 
JPY  21,270,000,000  6/6/13  1.83%  6 month JPY-LIBOR-BBA  140,868 
$  49,000,000  5/10/35  5.062%  3 month USD-LIBOR-BBA  5,119,136 
  113,000,000  5/10/15  3 month USD-LIBOR-BBA  4.687%  (8,064,066) 
  210,000,000  5/10/07  4.062%  3 month USD-LIBOR-BBA  3,097,255 
Lehman Brothers Special Financing, Inc.       
JPY  12,649,000,000  10/21/15  1.61%  6 month JPY-LIBOR-BBA  4,139,046 
$  42,000,000  1/26/14  4.3375%  3 month USD-LIBOR-BBA  3,077,273 
  68,727,000  12/11/13  3 month USD-LIBOR-BBA  4.641%  (4,350,956) 
GBP  6,285,000  3/15/36  15,214,937.50 GBP at maturity  6 month GBP-LIBOR-BBA  993,065 
$  21,693,259  8/2/22  3 month USD-LIBOR-BBA  5.7756%  284,905 
  21,082,941  8/2/12  5.152%  3 month USD-LIBOR-BBA  286,469 
  35,000,000  7/23/12  3 month USD-LIBOR-BBA  5.114%  (531,638) 
Merrill Lynch Capital Services, Inc.       
EUR  22,000,000  7/26/10  2.801%  6 month EUR-EURIBOR-Telerate  833,439 
NOK  174,700,000  7/26/10  6 month NOK-NIBOR-NIBR  3.54%  (376,033) 
EUR  337,100,000  2/19/07  2.5645%  6 month EUR-EURIBOR-Telerate  2,388,780 
JPY  16,380,000,000  12/15/07  0.7411%  6 month JPY-LIBOR-BBA  34,950 
$  37,600,000  11/22/16  4.1735%  3 month U.S. Bond Market Association  20,327 
        Municipal Swap Index   
  26,300,000  11/22/16  3 month USD-LIBOR-BBA  5.711%  (59,175) 
  21,082,941  8/13/12  4.94%  3 month USD-LIBOR-BBA  536,478 
  21,693,259  8/12/22  3 month USD-LIBOR-BBA  5.601%  (130,426) 
  43,565,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  906,279 
  42,339,343  8/1/12  5.204%  3 month USD-LIBOR-BBA  447,862 
Morgan Stanley Capital Services, Inc.       
  15,000,000  5/17/12  3 month USD-LIBOR-BBA  5.7775%  95,222 
  2,000,000  10/2/10  6.94%  3 month USD-LIBOR-BBA  (105,802) 
Total          $15,397,419 

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/06 (Unaudited)     
    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
  
Credit Suisse International         
75,621,000  4/26/11  2.14%  French Non-revised Consumer  $(135,355) 
      Price Index excluding tobacco   
EUR         
75,621,000  4/26/11  (2.15%)  Euro Non-revised Consumer  599,424 
      Price Index excluding tobacco   
EUR         
6,726,000  4/3/36  3.1225%  GBP Non-revised Retail Price  122,164 
GBP      Index   
Goldman Sachs International         
$ 6,497,000  9/15/11    Ford Credit Auto Owner Trust  (56,013) 
    (678 bp 1 month USD-LIBOR)  Series 2005-B Class D   
JPMorgan Chase Bank, N.A.         
47,968,000  6/16/14  (2.245%)  Euro Non-revised Consumer  (325,134) 
      Price Index excluding tobacco   
EUR         
47,968,000  6/16/14  (2.275%)  Euro Non-revised Consumer  220,612 
      Price Index excluding tobacco   
EUR         
Lehman Brothers Special Financing, Inc.         
6,285,000  3/15/36  1,498,412 GBP at maturity  GBP Non-revised Retail Price  22,084 
GBP      Index   
 
Total        $447,782 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/06 (Unaudited)         
  Upfront      Fixed payments  Unrealized 
Swap counterparty /  premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  received (paid)**  amount  date  fund per annum  (depreciation) 
  
Bank of America, N.A.           
DJ CDX NA HY Series 3 Index  $129,315  $6,240,000  6/20/10  360 bp  $366,685 
DJ CDX NA HY Series 4 Index  271,706  12,480,000  6/20/10  360 bp  746,445 
DJ CDX NA HY Series 4 Index  (99,806)  29,952,000  6/20/10  (360 bp)  (1,239,180) 
DJ CDX NA HY Series 4 Index  (66,575)  14,976,000  6/20/10  (360 bp)  (636,262) 
DJ CDX NA HY Series 6 Index  262,500  30,000,000  6/20/11  (345 bp)  55,075 
L-3 Communications Corp. 7 5/8s, 2012  --  2,570,000  9/20/11  (111 bp)  (2,000) 
L-3 Communications Corp. 7 5/8s, 2012  --  1,030,000  6/20/11  (101 bp)  1,569 
Citibank, N.A.           
DJ CDX NA HY Series 6 Index  2,350  1,880,250  6/20/11  (345 bp)  (10,650) 
DJ CDX NA HY Series 6 Index  15,251  938,500  6/20/11  (345 bp)  8,761 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  7,521,000  6/20/11  80 bp  (12,242) 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  3,754,000  6/20/11  74 bp  (18,146) 
Citigroup Financial Products, Inc.           
DJ CDX NA IG Series 4 Index 3-7% tranche  --  15,961,000  6/20/15  (677.5 bp)  1,508,509 
CreditSuisse First Boston International           
Republic of Argentina, 8.28s, 2033  --  5,135,000  7/20/09  (214 bp)  (50,830) 
Deutsche Bank AG           
Republic of Indonesia, 6.75s, 2014  --  2,130,000  9/20/16  294 bp  182 
Republic of Indonesia, 6.75s, 2014  --  2,130,000  9/20/16  292 bp  (2,553) 
Goldman Sachs Capital Markets, L.P.           
DJ CDX NA HY Series 3 Index  84,055  6,240,000  6/20/10  (360 bp)  321,425 
DJ CDX NA HY Series 4 Index  81,315  14,976,000  6/20/10  (360 bp)  (488,371) 
DJ CDX NA HY Series 5 Index  (1,218,698)  75,175,000  12/20/10  (395 bp)  (4,099,392) 
DJ CDX NA HY Series 6 Index  23,068  2,306,750  6/20/11  (345 bp)  7,118 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,227,000  6/20/11  74 bp  (39,292) 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  3,578,000  12/20/10  (115 bp)  (48,093) 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  4,499,000  12/20/10  (113 bp)  (56,891) 
Goldman Sachs International           
DJ CDX NA HY Series 6 Index  5,742  2,296,750  6/20/11  (345 bp)  (10,138) 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,187,000  6/20/11  85 bp  2,726 
One of the underlying securities in the basket of BB CMBS  --  28,743,000  (a)  2.461%  1,441,201 
securities           
Lehman Brothers Special Financing, Inc.           
DJ CDX NA HY Series 3 Index  142,322  6,240,000  6/20/10  (360 bp)  379,692 
DJ CDX NA HY Series 4 Index  137,923  29,952,000  6/20/10  (360 bp)  (1,001,452) 
DJ CDX NA HY Series 4 Index  (164,514)  15,322,560  6/20/10  (360 bp)  (747,384) 
DJ CDX NA HY Series 6 Index  (5,718)  2,287,000  6/20/11  (345 bp)  (21,530) 
DJ CDX NA HY Series 6 Index  13,800  1,840,000  6/20/11  (345 bp)  1,078 
DJ CDX NA HY Series 6 Index  22,673  2,267,250  6/20/11  (345 bp)  6,997 
DJ CDX NA HY Series 6 Index  375,000  50,000,000  6/20/11  (345 bp)  29,292 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,148,000  6/20/11  96 bp  45,496 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  7,360,000  6/20/11  74 bp  (32,552) 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,069,000  6/20/11  72 bp  (86,928) 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  2,653,000  6/20/12  309 bp  133,303 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  12,735,000  6/20/10  (124.5 bp)  (271,261) 
Merrill Lynch Capital Services, Inc.           
L-3 Communications Corp. 7 5/8s, 2012  --  2,576,000  6/20/11  (92 bp)  13,910 
Merrill Lynch International           
DJ CDX NA HY Series 4 Index  168,664  7,872,000  6/20/10  360 bp  468,115 
Merrill Lynch International & Co. C.V.           
DJ CDX NA IG Series 5 Index 3-7% tranche  --  3,578,000  12/20/12  246 bp  27,413 
Morgan Stanley Capital Services, Inc.           
DJ CDX NA HY Series 6 Index  (17,385)  2,318,000  6/20/11  (345 bp)  (33,412) 
DJ CDX NA HY Series 6 Index  (11,079)  2,215,750  6/20/11  (345 bp)  (26,399) 
DJ CDX NA HY Series 6 Index  (7,576)  1,515,250  6/20/11  (345 bp)  (18,053) 
DJ CDX NA HY Series 6 Index  --  2,170,000  6/20/11  (345 bp)  (15,004) 
DJ CDX NA HY Series 6 Index  23,463  2,346,250  6/20/11  (345 bp)  7,241 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,272,000  6/20/11  107.5 bp  92,422 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  8,863,000  6/20/11  106 bp  82,790 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  6,061,000  6/20/11  103.5 bp  49,943 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  8,680,000  6/20/11  885 bp  (22,522) 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,385,000  6/20/11  73 bp  (128,498) 
DJ CDX NA HY Series 6 Index 25-35% tranche  38,127  2,346,250  6/20/11  345 bp  21,904 
DJ CDX NA HY Series 6 Index 25-35% tranche  --  9,385,000  6/20/11  74 bp  (45,366) 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  23,030,000  6/20/10  (62 bp)  18,444 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  10,153,000  6/20/12  275 bp  320,025 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  10,820,000  6/20/10  (114 bp)  (193,115) 
DJ CDX NA IG Series 4 Index 3-7% tranche  --  2,653,000  6/20/10  (110.5 bp)  (43,583) 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  3,578,000  12/20/12  248 bp  31,263 
DJ CDX NA IG Series 5 Index 3-7% tranche  --  3,578,000  12/20/10  (115 bp)  (48,093) 
 
Total          $(3,260,168) 
 
* Payments related to the reference debt are made upon a credit default event.         

**  Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. 
(a)  Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated. 

  NOTES   
 
(a)  Percentages indicated are based on net assets of $2,892,493,681.   
 
(b)  The aggregate identified cost on a tax basis is $2,888,972,975, resulting in gross unrealized appreciation and   
  depreciation of $73,644,301 and $95,087,729, respectively, or net unrealized depreciation of $21,443,428.   
 
 
(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, 2006. Senior loans are also subject to mandatory   
  and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less   
  than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and   
  may be settled a month or more after the trade date, which from time to time can delay the actual investment   
  of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be   
  acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another   
  holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an   
  intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition   
  to the risk that the borrower under the loan may default on its obligations.   
 
 
(DEF)  Security is in default of principal and interest.   
 
 
(NON)  Non-income-producing security.   
 
 
(STP)  The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will   
  begin accruing interest at this rate.   
 
 
(RES)  Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at   
  June 30, 2006 was $9,213,595 or 0.3% of net assets.   
 
 
(PIK)  Income may be received in cash or additional securities at the discretion of the issuer.   
 
 
(SEG)  These securities were pledged and segregated with the custodian to cover margin requirements for futures contracts at   
  June 30, 2006.   
 
 
##  The securities noted above were purchased during the period for an aggregate cost of $3,275,678. After the end of the   
  period, questions arose regarding a potential misidentification of the characteristics of these securities. As a result   
  of initial inquiries into the matter, the value of these securities was adjusted to the values shown in this schedule   
  aggregating $2,247,285. An investigation of the facts surrounding the acquisition and valuation of these securities is   
  currently underway to determine whether the fund may have claims against other parties in this regard.   
 
 
(R)  Real Estate Investment Trust.   
 
 
(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 $5,256,294 for the period ended June 30, 2006. During the period ended June 30, 2006, cost of purchases and   
  cost of sales of investments in Putnam Prime Money Market Fund aggregated $613,809,100 and $659,562,145, 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. As of June 30, 2006, the fund had unfunded loan   
  commitments of $1,900,885, which could be extended at the option of the borrower, pursuant to the following loan   
  agreements with the following borrowers:   
 
  Borrower  Unfunded commitments 
  CBRL Group, Inc.  $97,655 
  CR Gas Storage  186,667 
  Meg Energy Corp.  500,000 
  Trump Hotel & Casino Resort, Inc.  1,116,563 
  Totals  $1,803,230 
 
 
  At June 30, 2006, liquid assets totaling $716,767,088 have been designated as collateral for open forward commitments,   
  swap contracts, and forward contracts.   
 
 
  144A after the name of an issuer represents securities 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.   
 
  The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at   
  June 30, 2006.   
 
  Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market   
  interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the   

current interest rates at June 30, 2006.   
 
 
DIVERSIFICATION BY COUNTRY   
 
Distribution of investments by country of issue at June 30, 2006: (as a percentage of Portfolio Value)   
 
Argentina  1.0% 
Brazil  1.4 
Canada  1.8 
Cayman Islands  3.1 
France  5.3 
Germany  0.9 
Ireland  3.7 
Japan  5.1 
Luxembourg  0.7 
Russia  1.2 
South Africa  0.5 
Spain  0.7 
Sweden  1.2 
United Kingdom  3.6 
United States  67.7 
Other  2.1 
Total  100.0% 
 
Security valuation Investments for which market quotations are readily available are valued at the last reported sales   
price on their principal exchange, or official closing price for certain markets. 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. 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. The fair value of securities is   
generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such   
securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value   
of a security at a given point in time and does not reflect an actual market price.   
 
 
Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.   
 
 
Stripped mortgage-backed securities The fund may invest in stripped mortgage-backed securities which represent a   
participation in mortgage loans and may be structured in classes with rights to receive different portions of the   
interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all   
of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the   
fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities   
increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated.   
The market value of these securities is highly sensitive to changes in interest rates.   
 
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, or for other investment purposes. The fund may also write options on   
swaps or securities it owns or in which it may invest to increase its current returns.   
 
The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the   
change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying   
instruments, if there is an illiquid secondary market for the contracts, 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 an independent pricing service or 
market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as 
realized gains or 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 an independent pricing 
service or 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. 
 
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:

Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES

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

Putnam Diversified Income Trust

By (Signature and Title):

/s/ Michael T. Healy
Michael T. Healy
Principal Accounting Officer
Date: August 28, 2006

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 28 , 2006

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 28 , 2006