N-Q 1 a_diversifiedinctrust.htm PUTNAM DIVERSIFIED INCOME TRUST a_diversifiedinctrust.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, 2008     
 
Date of reporting period: December 31, 2007     

Item 1. Schedule of Investments:

Putnam Diversified Income Trust       
 
The fund's portfolio       
12/31/07 (Unaudited)       
 
FOREIGN GOVERNMENT BONDS AND NOTES (23.2%)(a)       
    Principal amount  Value 
Argentina (Republic of) bonds 7s, 2013    $2,840,000  $2,437,351 
Argentina (Republic of) bonds Ser. $ V, 10 1/2s, 2012  ARS  15,923,000  3,805,597 
Argentina (Republic of) FRB 5.389s, 2012    $32,518,750  28,917,757 
Argentina (Republic of) notes Ser. $dis, 8.28s, 2033    4,632,220  4,407,558 
Brazil (Federal Republic of) bonds 6s, 2017    6,295,000  6,452,375 
Brazil (Federal Republic of) notes zero %, 2017  BRL  1,516,000  7,138,153 
Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029  CAD  1,550,000  1,919,802 
Colombia (Republic of) notes 10s, 2012    $9,334,000  10,864,776 
Ecuador (Republic of) bonds Ser. REGS, 12s, 2012    918,000  921,672 
Ecuador (Republic of) regs notes 9 3/8s, 2015    500,000  505,000 
France (Government of) bonds 5 3/4s, 2032  EUR  17,480,000  29,527,566 
France (Government of) bonds 5 1/2s, 2010  EUR  22,675,000  34,323,782 
France (Government of) bonds 4s, 2013  EUR  32,000,000  46,266,816 
France (Government of) bonds 4s, 2009  EUR  6,430,000  9,369,963 
Germany (Federal Republic of) bonds Ser. 2, 5s, 2012  EUR  9,780,000  14,723,585 
Ghana (Republic of) bonds 8 1/2s, 2017    $1,255,000  1,330,162 
Indonesia (Republic of) bonds 14.275s, 2013  IDR  10,328,000,000  1,328,078 
Indonesia (Republic of) bonds 14 1/4s, 2013  IDR  30,671,000,000  3,935,396 
Indonesia (Republic of) 144A bonds 6 5/8s, 2037    $3,925,000  3,734,638 
Ireland (Republic of) bonds 5s, 2013  EUR  49,300,000  74,512,345 
Japan (Government of) 10 yr bonds Ser. 244, 1s, 2012  JPY  23,000,000  206,395 
Japan (Government of) 30 yr bonds Ser. 23, 2 1/2s, 2036  JPY  599,500,000  5,559,379 
Japan (Government of) CPI Linked bonds Ser. 12, 1.2s,       
2017  JPY  1,513,512,000  13,696,345 
Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016  JPY  16,351,162,500  146,507,234 
Mexican (Government of) bonds Ser. M 10, 8s, 2015  MXN  72,676,000  6,600,245 
Peru (Republic of) bonds 8 3/4s, 2033    $1,940,000  2,570,500 
Russia (Federation of) unsub. 5s, 2030    18,904,025  21,503,329 
Russia (Ministry of Finance) debs. Ser. V, 3s, 2008    7,605,000  7,509,938 
South Africa (Republic of) notes 5 7/8s, 2022    1,805,000  1,836,588 
Spain (Kingdom of) bonds 5s, 2012  EUR  15,000,000  22,627,080 
Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014  SEK  215,045,000  37,818,672 
Turkey (Republic of) notes 6 7/8s, 2036    $14,765,000  14,506,613 
Ukraine (Government of) 144A bonds 6 3/4s, 2017    3,825,000  3,793,635 
Ukraine (Government of) 144A sr. unsub. 6.58s, 2016 (S)    2,530,000  2,492,050 
United Mexican States bonds Ser. MTN, 8.3s, 2031    7,775,000  10,060,850 
Venezuela (Republic of) notes 10 3/4s, 2013    8,290,000  8,870,300 
Venezuela (Republic of) unsub. bonds 5 3/8s, 2010    2,580,000  2,425,200 
 
Total foreign government bonds and notes (cost $537,088,186)      $595,006,725 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (23.1%)(a)       
    Principal amount  Value 
Asset Backed Funding Certificates 144A FRB Ser.       
06-OPT3, Class B, 7.365s, 2036    $129,000  $12,957 
Banc of America Commercial Mortgage, Inc. FRB Ser.       
07-3, Class A3, 5.659s, 2049    765,000  766,984 
Banc of America Commercial Mortgage, Inc. 144A       
Ser. 01-1, Class J, 6 1/8s, 2036    1,170,000  1,069,520 
Ser. 01-1, Class K, 6 1/8s, 2036    2,633,000  2,206,193 
Banc of America Funding Corp. Ser. 07-4, Class 4A2,       
Interest only (IO), 5 1/2s, 2034    13,568,938  2,853,659 
Banc of America Large Loan 144A Ser. 03-BBA2,       
Class X1A, IO, 0.175s, 2015 (F)    547,868  -- 
Banc of America Mortgage Securities IFB Ser. 06-2,       
Class A4, IO, 0.535s, 2046    3,818,977  48,873 
Bayview Commercial Asset Trust 144A       
Ser. 07-5A, IO, 1.55s, 2037    6,335,681  944,016 
Ser. 07-1, Class S, IO, 1.211s, 2037    14,331,607  1,605,140 
Bear Stearns Commercial Mortgage Securities, Inc.       
FRB Ser. 00-WF2, Class F, 8.19s, 2032    1,174,000  1,218,176 
Ser. 07-PW17, Class A3, 5.736s, 2050    9,430,000  9,444,051 
Bear Stearns Commercial Mortgage Securities, Inc. 144A       
Ser. 07-PW18, Class X1, IO, 0.065s, 2050    275,105,530  2,433,666 
Broadgate Financing PLC sec. FRB Ser. D, 6.626s, 2023       
(United Kingdom)  GBP  2,801,350  4,900,380 
Citigroup Mortgage Loan Trust, Inc. IFB Ser. 07-6,       
Class 2A5, IO, 1.785s, 2037    $7,665,811  432,326 
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.       
06-CD3, Class A4, 5.658s, 2048    483,000  489,677 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A       
Ser. 07-CD5, Class XS, IO, 0.062s, 2044    163,172,446  1,363,958 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,       
0.654s, 2017    24,696,610  709,063 
Countrywide Home Loans Ser. 05-2, Class 2X, IO, 1.16s,       
2035    24,749,537  522,062 
Countrywide Home Loans 144A Ser. 03-R4, Class 1A,       
Principal only (PO), zero %, 2034    39,597  32,341 
Credit Suisse Mortgage Capital Certificates       
FRB Ser. 07-C4, Class A2, 5.811s, 2039    2,580,000  2,638,974 
Ser. 07-C5, Class A3, 5.694s, 2040    50,230,000  50,338,296 
IFB Ser. 06-9, Class 7A2, IO, 1.685s, 2036    20,423,434  647,807 
CRESI Finance Limited Partnership 144A       
FRB Ser. 06-A, Class D, 5.665s, 2017    369,000  347,993 
FRB Ser. 06-A, Class C, 5.465s, 2017    1,093,000  1,043,471 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,       
Class B, 7s, 2033    14,703,000  14,727,995 

CS First Boston Mortgage Securities Corp. 144A       
FRB Ser. 05-TFLA, Class L, 6.878s, 2020    4,911,000  4,837,335 
Ser. 98-C2, Class F, 6 3/4s, 2030    8,998,000  9,353,567 
FRB Ser. 05-TFLA, Class K, 6.328s, 2020    2,413,000  2,388,870 
Ser. 98-C1, Class F, 6s, 2040    7,396,000  6,869,834 
Ser. 02-CP5, Class M, 5 1/4s, 2035    2,599,000  1,733,351 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1,       
Class X, IO, 0.41s, 2031    63,243,273  911,592 
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,       
6.04s, 2031      2,235,111  2,145,014 
DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,       
Class B5, 5.95s, 2031    7,128,872  6,191,924 
European Loan Conduit 144A FRB Ser. 22A, Class D,       
7.122s, 2014 (Ireland)  GBP  2,461,000  4,410,472 
European Prime Real Estate PLC 144A FRB Ser. 1-A,       
Class D, 7 1/8s, 2014 (United Kingdom)  GBP  1,732,074  2,969,051 
Fannie Mae         
IFB Ser. 06-70, Class SM, 13.473s, 2036    $813,241  1,020,509 
IFB Ser. 06-76, Class QB, 10.41s, 2036    5,059,779  6,386,805 
IFB Ser. 06-63, Class SP, 10.11s, 2036    5,518,580  6,863,572 
Ser. 03-W6, Class PT1, 10.099s, 2042    80,205  89,905 
IFB Ser. 07-W7, Class 1A4, 9.99s, 2037    2,284,014  2,724,506 
IFB Ser. 06-104, Class GS, 9.403s, 2036    1,795,809  2,176,448 
IFB Ser. 06-60, Class TK, 9.14s, 2036    1,775,562  2,077,930 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043    1,882,523  2,038,001 
Ser. 02-T19, Class A3, 7 1/2s, 2042    1,122,499  1,208,124 
Ser. 02-T12, Class A3, 7 1/2s, 2042    279,937  299,194 
Ser. 02-14, Class A2, 7 1/2s, 2042    12,816  13,700 
Ser. 01-T10, Class A2, 7 1/2s, 2041    1,185,376  1,273,671 
Ser. 02-T4, Class A3, 7 1/2s, 2041    334,378  356,548 
Ser. 01-T3, Class A1, 7 1/2s, 2040    813,727  865,969 
Ser. 01-T1, Class A1, 7 1/2s, 2040    2,518,413  2,662,227 
Ser. 99-T2, Class A1, 7 1/2s, 2039    950,002  1,026,995 
Ser. 00-T6, Class A1, 7 1/2s, 2030    458,331  490,048 
Ser. 01-T4, Class A1, 7 1/2s, 2028    6,207,798  6,744,590 
Ser. 01-T10, Class A1, 7s, 2041    5,362,887  5,663,070 
IFB Ser. 05-74, Class CP, 6.912s, 2035    2,824,023  3,211,648 
IFB Ser. 06-27, Class SP, 6.728s, 2036    3,685,000  4,181,332 
IFB Ser. 06-8, Class HP, 6.728s, 2036    4,036,155  4,571,969 
IFB Ser. 06-8, Class WK, 6.728s, 2036    6,373,053  7,162,509 
IFB Ser. 05-106, Class US, 6.728s, 2035    6,575,565  7,472,525 
IFB Ser. 05-99, Class SA, 6.728s, 2035    3,346,088  3,708,043 
IFB Ser. 05-115,Class NQ, 6.694s, 2036    1,440,383  1,587,996 
IFB Ser. 05-74, Class CS, 6.641s, 2035    3,220,034  3,534,855 
Ser. 98-T2, Class A4, IO, 6 1/2s, 2036    154,158  77 
Ser. 371, Class 2, IO, 6 1/2s, 2036    4,138,412  908,427 
IFB Ser. 06-60, Class CS, 6.252s, 2036    2,508,613  2,659,456 
IFB Ser. 05-114, Class SP, 6.201s, 2036    1,794,751  1,887,258 
IFB Ser. 05-95, Class CP, 5.437s, 2035    468,354  505,593 
IFB Ser. 05-95, Class OP, 5.328s, 2035    1,972,529  2,059,339 
IFB Ser. 05-83, Class QP, 4.745s, 2034    1,142,133  1,162,474 
IFB Ser. 07-W6, Class 6A2, IO, 2.935s, 2037    4,837,819  480,974 
IFB Ser. 06-90, Class SE, IO, 2.935s, 2036    7,626,520  938,024 
IFB Ser. 03-66, Class SA, IO, 2.785s, 2033    5,922,853  608,707 
IFB Ser. 07-W6, Class 5A2, IO, 2.425s, 2037    5,849,131  551,424 
IFB Ser. 07-W2, Class 3A2, IO, 2.415s, 2037    6,457,608  582,158 
IFB Ser. 05-113, Class AI, IO, 2.365s, 2036    2,486,601  254,491 
IFB Ser. 05-113, Class DI, IO, 2.365s, 2036    179,985  15,194 
IFB Ser. 06-60, Class SI, IO, 2.285s, 2036    6,461,756  641,983 
IFB Ser. 07-W7, Class 3A2, IO, 2.265s, 2037    8,906,771  753,225 
IFB Ser. 06-74, Class SN, IO, 2.235s, 2036    5,636,189  327,910 
IFB Ser. 06-60, Class DI, IO, 2.205s, 2035    7,196,806  551,823 
Ser. 03-W10, Class 3, IO, 1.933s, 2043    1,083,967  51,051 
IFB Ser. 07-54, Class CI, IO, 1.895s, 2037    6,260,547  548,126 
IFB Ser. 07-39, Class PI, IO, 1.895s, 2037    4,144,426  339,259 
IFB Ser. 07-30, Class WI, IO, 1.895s, 2037    22,748,417  1,719,727 
IFB Ser. 07-22, Class S, IO, 1.885s, 2037    18,523,842  1,508,106 
IFB Ser. 06-128,Class SH, IO, 1.885s, 2037    4,656,156  360,071 
IFB Ser. 06-56, Class SM, IO, 1.885s, 2036    5,125,554  414,522 
IFB Ser. 06-12, Class SD, IO, 1.885s, 2035    20,630,143  1,970,218 
IFB Ser. 07-W5, Class 2A2, IO, 1 7/8s, 2037    1,954,471  142,699 
IFB Ser. 07-30, Class IE, IO, 1 7/8s, 2037    11,751,094  1,179,957 
IFB Ser. 06-123,Class CI, IO, 1 7/8s, 2037    10,600,652  894,417 
IFB Ser. 06-123,Class UI, IO, 1 7/8s, 2037    4,385,772  364,802 
IFB Ser. 07-15, Class BI, IO, 1.835s, 2037    7,370,749  617,661 
IFB Ser. 06-16, Class SM, IO, 1.835s, 2036    5,809,937  495,814 
IFB Ser. 05-95, Class CI, IO, 1.835s, 2035    7,279,263  648,450 
IFB Ser. 05-84, Class SG, IO, 1.835s, 2035    11,526,458  1,038,754 
IFB Ser. 05-104, Class NI, IO, 1.835s, 2035    8,063,834  720,966 
IFB Ser. 05-83,  Class QI, IO, 1.825s, 2035    1,942,044  188,866 
IFB Ser. 06-128, Class GS, IO, 1.815s, 2037    7,152,232  612,309 
IFB Ser. 05-83, Class SL, IO, 1.805s, 2035    22,248,667  1,693,906 
IFB Ser. 06-114, Class IS, IO, 1.785s, 2036    5,049,121  379,816 
IFB Ser. 06-115, Class IE, IO, 1.775s, 2036    3,875,603  347,321 
IFB Ser. 06-117, Class SA, IO, 1.775s, 2036    5,825,014  435,876 
IFB Ser. 06-109, Class SH, IO, 1.755s, 2036    5,223,059  494,519 
IFB Ser. 07-W6, Class 4A2, IO, 1.735s, 2037    25,897,153  1,967,767 
IFB Ser. 06-128, Class SC, IO, 1.735s, 2037    4,979,695  385,366 
IFB Ser. 06-45, Class SM, IO, 1.735s, 2036    7,862,655  497,999 
IFB Ser. 06-8, Class JH, IO, 1.735s, 2036    17,561,576  1,545,830 
IFB Ser. 05-122, Class SG, IO, 1.735s, 2035    5,862,442  507,433 
IFB Ser. 05-95, Class OI, IO, 1.725s, 2035    1,080,728  109,202 
IFB Ser. 06-92, Class LI, IO, 1.715s, 2036    5,713,100  438,966 
IFB Ser. 06-98, Class SQ, IO, 1.705s, 2036    13,299,934  1,014,240 

IFB Ser. 06-85, Class TS, IO, 1.695s, 2036  10,661,870  772,660 
IFB Ser. 07-75, Class PI, IO, 1.675s, 2037  7,319,557  549,851 
IFB Ser. 07-90, Class S, IO, 1.645s, 2037  11,837,010  563,403 
IFB Ser. 07-103, Class AI, IO, 1.635s, 2037  26,112,056  1,814,788 
IFB Ser. 07-109, Class XI, IO, 1.585s, 2037  4,278,367  308,470 
IFB Ser. 07-W8, Class 2A2, IO, 1.585s, 2037  10,993,691  817,449 
IFB Ser. 06-70, Class WI, IO, 1.585s, 2036  3,961,820  176,344 
IFB Ser. 07-30, Class JS, IO, 1.575s, 2037  10,329,431  778,156 
IFB Ser. 07-30, Class LI, IO, 1.575s, 2037  6,325,060  487,606 
IFB Ser. 07-W2, Class 1A2, IO, 1.565s, 2037  5,109,766  359,283 
IFB Ser. 07-54, Class IA, IO, 1.545s, 2037  5,509,775  419,402 
IFB Ser. 07-54, Class IB, IO, 1.545s, 2037  5,509,775  419,402 
IFB Ser. 07-54, Class IC, IO, 1.545s, 2037  5,509,775  419,402 
IFB Ser. 07-54, Class ID, IO, 1.545s, 2037  5,509,775  419,402 
IFB Ser. 07-54, Class IE, IO, 1.545s, 2037  5,509,775  419,402 
IFB Ser. 07-54, Class IF, IO, 1.545s, 2037  8,093,101  616,044 
IFB Ser. 07-54, Class UI, IO, 1.545s, 2037    7,689,652  630,996 
IFB Ser. 07-56, Class SA, IO, 1.545s, 2037  4,635,974  265,258 
IFB Ser. 07-91, Class AS, IO, 1.535s, 2037  4,794,208  325,623 
IFB Ser.  7-91, Class HS, IO, 1.535s, 2037  4,867,807  349,522 
IFB Ser. 07-15, Class CI, IO, 1.515s, 2037  19,619,458  1,466,891 
IFB Ser. 06-123, Class BI, IO, 1.515s, 2037  25,764,854  1,854,756 
IFB Ser. 06-115, Class JI, IO, 1.515s, 2036  14,296,654  1,064,244 
IFB Ser. 06-123, Class LI, IO, 1.455s, 2037  9,546,838  669,800 
IFB Ser. 07-39, Class AI, IO, 1.255s, 2037  9,038,796  585,189 
IFB Ser. 07-39, Class SY, IO, 1.245s, 2037  16,554,344  722,719 
IFB Ser. 07-32, Class SD, IO, 1.245s, 2037  6,445,600  424,832 
IFB Ser. 07-30, Class UI, IO, 1.235s, 2037  5,338,859  366,052 
IFB Ser. 07-32, Class SC, IO, 1.235s, 2037  8,534,427  571,644 
IFB Ser. 07-1, Class CI, IO, 1.235s, 2037  6,233,893  412,629 
IFB Ser. 05-74, Class SE, IO, 1.235s, 2035  4,319,554  240,345 
IFB Ser. 07-W5, Class 1A2, IO, 1.215s, 2037  11,418,183  604,580 
IFB Ser. 07-4, Class PS, IO, 1.19s, 2037  24,756,877  1,495,407 
FRB Ser. 03-W17, Class 12, IO, 1.151s, 2033  19,090,329  731,160 
IFB Ser. 07-75, Class ID, IO, 1.005s, 2037  7,788,742  489,643 
Ser. 01-T1, Class 1, IO, 0.824s, 2040  1,016,402  21,141 
Ser. 03-W10, Class 3A, IO, 0.813s, 2043  35,891,658  540,066 
Ser. 03-W10, Class 1A, IO, 0.777s, 2043  29,069,831  372,430 
Ser. 00-T6, IO, 0.762s, 2030  17,282,525  269,738 
Ser. 02-T18, IO, 0.516s, 2042  50,754,102  718,900 
Ser. 02-W8, Class 1, IO, 0.348s, 2042  25,773,935  238,390 
Ser. 06-84, Class OP, PO, zero %, 2036  75,737  75,175 
Ser. 372, Class 1, PO, zero %, 2036  26,876,424  21,385,327 
Ser. 06-56, Class XF, zero %, 2036  395,099  401,143 
Ser. 04-38, Class AO, PO, zero %, 2034  2,299,119  1,675,321 
Ser. 04-61, Class CO, PO, zero %, 2031  2,932,464  2,489,588 
Ser. 99-51, Class N, PO, zero %, 2029  370,066  310,924 
Ser. 07-31, Class TS, IO, zero %, 2009  13,918,240  262,090 
Ser. 07-15, Class IM, IO, zero %, 2009  5,399,650  106,941 
Ser. 07-16, Class TS, IO, zero %, 2009  22,195,876  376,848 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities     
Ser. T-58, Class 4A, 7 1/2s, 2043  39,488  42,568 
Ser. T-42, Class A5, 7 1/2s, 2042  498,753  534,863 
Ser. T-60, Class 1A2, 7s, 2044  9,326,530  9,984,752 
IFB Ser. T-56, Class 2ASI, IO, 3.235s, 2043  3,412,239  358,285 
Ser. T-57, Class 1AX, IO, 0.451s, 2043  15,049,376  174,008 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,     
IO, 1.346s, 2020  29,546,906  1,551,153 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E,     
8.066s, 2039  3,888,524  3,894,357 
First Union Commercial Mortgage Trust 144A Ser. 99-C1,     
Class G, 5.35s, 2035  3,121,100  2,382,901 
First Union-Lehman Brothers Commercial Mortgage Trust     
II Ser. 97-C2, Class G, 7 1/2s, 2029  1,408,000  1,550,654 
Freddie Mac     
IFB Ser. 3182, Class PS, 8.49s, 2032  3,416,863  4,167,551 
IFB Ser. 3081, Class DC, 6.536s, 2035  2,546,687  2,887,577 
IFB Ser. 3114, Class GK, 6.29s, 2036  1,571,296  1,779,119 
IFB Ser. 2979, Class AS, 5.839s, 2034  1,208,298  1,305,695 
IFB Ser. 3149, Class SU, 5.837s, 2036  1,938,949  2,018,529 
IFB Ser. 3065, Class DC, 4.778s, 2035  4,147,838  4,293,081 
IFB Ser. 2828, Class GI, IO, 2.473s, 2034  430,317  49,263 
IFB Ser. 3184, Class SP, IO, 2.323s, 2033  9,922,854  896,656 
Ser. 2852, Class VS, IO, 2.259s, 2034  355,752  36,165 
IFB Ser. 2869, Class JS, IO, 2.223s, 2034  982,353  71,813 
IFB Ser. 3203, Class SH, IO, 2.113s, 2036  5,601,749  574,594 
IFB Ser. 2755, Class SG, IO, 2.073s, 2031  7,436,809  603,516 
IFB Ser. 2828, Class TI, IO, 2.023s, 2030  3,654,058  307,544 
IFB Ser. 3297, Class BI, IO, 1.733s, 2037  16,205,984  1,435,760 
IFB Ser. 3284, Class IV, IO, 1.723s, 2037  4,169,909  379,853 
IFB Ser. 3287, Class SD, IO, 1.723s, 2037  5,362,029  438,029 
IFB Ser. 3281, Class BI, IO, 1.723s, 2037  3,107,204  258,841 
IFB Ser. 3249, Class SI, IO, 1.723s, 2036  2,851,060  267,494 
IFB Ser. 3028, Class ES, IO, 1.723s, 2035  19,339,781  1,753,297 
IFB Ser. 3042, Class SP, IO, 1.723s, 2035  3,934,486  356,898 
IFB Ser. 3045, Class DI, IO, 1.703s, 2035  33,138,387  2,410,108 
IFB Ser. 3054, Class CS, IO, 1.673s, 2035  3,882,365  251,826 
IFB Ser. 3107, Class DC, IO, 1.673s, 2035  18,328,314  1,722,271 
IFB Ser. 3066, Class SI, IO, 1.673s, 2035  13,264,734  1,216,370 
IFB Ser. 2950, Class SM, IO, 1.673s, 2016  2,338,547  188,767 
IFB Ser. 3256, Class S, IO, 1.663s, 2036  10,924,939  937,522 
IFB Ser. 3031, Class BI, IO, 1.662s, 2035  4,104,222  404,173 
IFB Ser. 3244, Class SB, IO, 1.633s, 2036  4,550,516  362,457 

IFB Ser. 3244, Class SG, IO, 1.633s, 2036  5,186,296  439,124 
IFB Ser. 3236, Class IS, IO, 1.623s, 2036  8,445,812  642,719 
IFB Ser. 3114, Class TS, IO, 1.623s, 2030  25,642,296  1,546,564 
IFB Ser. 3240, Class S, IO, 1.593s, 2036  16,555,371  1,299,883 
IFB Ser. 3153, Class JI, IO, 1.593s, 2036  8,125,570  562,714 
IFB Ser. 3065, Class DI, IO, 1.593s, 2035  2,886,422  282,387 
IFB Ser. 3315, Class DS, IO, 1.573s, 2037  6,747,127  422,770 
IFB Ser. 3218, Class AS, IO, 1.553s, 2036  5,836,702  412,704 
IFB Ser. 3221, Class SI, IO, 1.553s, 2036  6,812,789  500,917 
IFB Ser. 3202, Class PI, IO, 1.513s, 2036  18,568,314  1,410,451 
IFB Ser. 3355, Class MI, IO, 1.473s, 2037  5,113,367  372,750 
IFB Ser. 3355, Class LI, IO, 1.473s, 2037  6,346,482  333,076 
IFB Ser. 3201, Class SG, IO, 1.473s, 2036  8,603,811  654,804 
IFB Ser. 3203, Class SE, IO, 1.473s, 2036  7,781,640  571,687 
IFB Ser. 3171, Class PS, IO, 1.458s, 2036  7,376,536  582,366 
IFB Ser. 3152, Class SY, IO, 1.453s, 2036  11,943,049  1,011,869 
IFB Ser.  3284, Class BI, IO, 1.423s, 2037    5,166,067  370,603 
IFB Ser. 3199, Class S, IO, 1.423s, 2036  9,523,859  738,997 
IFB Ser. 3284, Class LI, IO, 1.413s, 2037  9,075,803  679,598 
IFB Ser. 3281, Class AI, IO, 1.403s, 2037  19,797,675  1,499,702 
IFB Ser. 3311, Class IA, IO, 1.383s, 2037  7,661,059  605,528 
IFB Ser. 3311, Class IB, IO, 1.383s, 2037  7,661,059  605,528 
IFB Ser. 3311, Class IC, IO, 1.383s, 2037  7,661,059  605,528 
IFB Ser. 3311, Class ID, IO, 1.383s, 2037  7,661,059  605,528 
IFB Ser. 3311, Class IE, IO, 1.383s, 2037  11,795,720  932,331 
IFB Ser. 3274, Class JS, IO, 1.383s, 2037  15,546,648  1,048,601 
IFB Ser. 3240, Class GS, IO, 1.353s, 2036  10,025,220  741,707 
IFB Ser. 3339, Class TI, IO, 1.113s, 2037  12,161,646  851,751 
IFB Ser. 3288, Class SJ, IO, 1.103s, 2037  8,351,176  519,785 
IFB Ser. 3284, Class CI, IO, 1.093s, 2037  19,622,626  1,324,437 
IFB Ser. 3016, Class SQ, IO, 1.083s, 2035  7,262,348  376,006 
IFB Ser. 3284, Class WI, IO, 1.073s, 2037  32,647,372  2,122,136 
IFB Ser. 3235, Class SA, IO, 0.923s, 2036  4,049,136  217,740 
Ser. 246, PO, zero %, 2037  28,028,431  22,419,734 
Ser. 3300, PO, zero %, 2037  3,796,979  3,093,747 
Ser. 236, PO, zero %, 2036  2,457,970  1,959,576 
Ser. 1208, Class F, PO, zero %, 2022  365,882  316,150 
FRB Ser. 3326, Class XF, zero %, 2037  1,057,383  1,015,239 
FRB Ser. 3122, Class GF, zero %, 2036  1,845,584  1,870,808 
FRB Ser. 3326, Class WF, zero %, 2035  963,540  916,743 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 00-1, Class F, 7.514s, 2033  1,354,000  1,388,068 
Ser. 00-1, Class G, 6.131s, 2033  4,588,975  4,100,892 
GMAC Commercial Mortgage Securities, Inc. 144A Ser.     
99-C3, Class G, 6.974s, 2036  4,134,628  4,192,641 
Government National Mortgage Association     
IFB Ser. 07-51, Class SP, 9.788s, 2037  551,159  652,493 
IFB Ser. 07-64, Class AM, 8.006s, 2037  195,365  208,259 
IFB Ser. 05-66, Class SP, 4.075s, 2035  2,360,013  2,394,793 
IFB Ser. 06-62, Class SI, IO, 2.431s, 2036  6,644,963  483,596 
IFB Ser. 07-1, Class SL, IO, 2.411s, 2037  2,700,976  222,920 
IFB Ser. 07-1, Class SM, IO, 2.401s, 2037  2,681,404  220,575 
IFB Ser. 07-26,  Class SG, IO, 1.901s, 2037  8,709,284  670,092 
IFB Ser. 07-9, Class BI, IO, 1.871s, 2037  17,992,471  1,227,987 
IFB Ser. 07-31,  Class CI, IO, 1.861s, 2037  5,772,133  399,256 
IFB Ser. 07-25,  Class SA, IO, 1.851s, 2037  6,968,390  439,266 
IFB Ser. 07-25,  Class SB, IO, 1.851s, 2037  13,692,777  863,152 
IFB Ser. 07-26,  Class LS, IO, 1.851s, 2037  18,129,084  1,329,739 
IFB Ser. 07-22, Class S, IO, 1.851s, 2037  4,675,537  410,837 
IFB Ser. 07-11, Class SA, IO, 1.851s, 2037  4,832,269  356,878 
IFB Ser. 07-14, Class SB, IO, 1.851s, 2037  4,653,086  338,790 
IFB Ser. 07-51, Class SJ, IO, 1.801s, 2037  5,483,498  488,014 
IFB Ser. 07-26, Class SD, IO, 1.773s, 2037  9,664,797  661,388 
IFB Ser. 07-58, Class PS, IO, 1.751s, 2037  3,602,296  297,936 
IFB Ser. 07-78, Class SA, IO, 1.721s, 2037  36,313,000  2,547,575 
IFB Ser. 07-59, Class PS, IO, 1.721s, 2037  4,282,113  332,104 
IFB Ser. 07-59, Class SP, IO, 1.721s, 2037  525,325  40,965 
IFB Ser. 06-38, Class SG, IO, 1.701s, 2033  20,120,258  1,037,743 
IFB Ser. 07-53, Class SG, IO, 1.651s, 2037  3,846,818  240,168 
IFB Ser. 07-48, Class SB, IO, 1.623s, 2037  8,726,486  499,796 
IFB Ser. 07-64, Class AI, IO, 1.601s, 2037  1,562,916  93,437 
IFB Ser. 07-53, Class ES, IO, 1.601s, 2037  6,223,747  322,256 
IFB Ser. 07-9, Class DI, IO, 1.561s, 2037  9,098,420  545,348 
IFB Ser. 07-57, Class QA, IO, 1.551s, 2037  13,491,511  740,691 
IFB Ser. 07-58, Class SA, IO, 1.551s, 2037  6,899,275  391,283 
IFB Ser. 07-58, Class SC, IO, 1.551s, 2037  11,857,105  606,791 
IFB Ser. 07-61, Class SA, IO, 1.551s, 2037  7,173,071  413,071 
IFB Ser. 07-53, Class SC, IO, 1.551s, 2037  6,788,739  347,621 
IFB Ser. 07-58, Class SD, IO, 1.541s, 2037  11,300,814  567,424 
IFB Ser. 07-17, Class AI, IO, 1.523s, 2037  22,201,478  1,540,669 
IFB Ser. 07-59, Class SD, IO, 1.521s, 2037  1,033,846  55,060 
IFB Ser. 07-9, Class AI, IO, 1.473s, 2037  9,831,432  690,692 
IFB Ser. 05-65, Class SI, IO, 1.401s, 2035  9,020,592  584,645 
IFB Ser. 07-79, Class SY, IO, 1.313s, 2037  21,061,000  1,200,313 
IFB Ser. 07-17, Class IB, IO, 1.301s, 2037  4,736,852  283,264 
IFB Ser. 06-14, Class S, IO, 1.301s, 2036  7,212,591  412,808 
IFB Ser. 06-11,Class ST, IO, 1.291s, 2036  4,469,006  247,768 
IFB Ser. 07-27, Class SD, IO, 1.251s, 2037  5,019,771  259,738 
IFB Ser. 07-19, Class SJ, IO, 1.251s, 2037  8,431,190  400,545 
IFB Ser. 07-23, Class ST, IO, 1.251s, 2037  10,555,385  463,058 
IFB Ser. 07-9, Class CI, IO, 1.251s, 2037  11,827,015  609,228 
IFB Ser. 07-7, Class EI, IO, 1.251s, 2037  4,983,850  247,184 
IFB Ser. 07-7, Class JI, IO, 1.251s, 2037  12,915,897  665,169 
IFB Ser. 07-1, Class S, IO, 1.251s, 2037  11,192,892  539,231 

IFB Ser. 07-3, Class SA, IO, 1.251s, 2037    10,669,534  505,027 
IFB Ser. 07-31, Class AI, IO, 1.153s, 2037    5,869,334  532,310 
IFB Ser. 07-43, Class SC, IO, 1.073s, 2037    9,034,831  455,430 
IFB Ser. 07-73, Class MI, IO, 1.051s, 2037    4,071,052  176,277 
Ser. 07-73, Class MO, PO, zero %, 2037    312,700  234,681 
Ser. 99-31, Class MP, PO, zero %, 2029    35,259  30,389 
FRB Ser. 07-73, Class KI, IO, zero %, 2037    3,131,960  73,601 
FRB Ser. 07-73, Class KM, zero %, 2037    313,692  325,174 
FRB Ser. 98-2, Class EA, PO, zero %, 2028    328,145  279,368 
GS Mortgage Securities Corp. II       
FRB Ser. 07-GG10, Class A3, 5.799s, 2045    1,506,000  1,528,617 
FRB Ser. 07-GG10, Class AM, 5.799s, 2045    2,526,000  2,546,890 
GSMPS Mortgage Loan Trust 144A Ser. 01-2, IO, 0.206s,       
2032    1,230,802  9,477 
GSR Mortgage Loan Trust IFB Ser. 06-4F, Class 4A2, IO,       
2.285s, 2036    3,933,301  204,078 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,       
2035 (Cayman Islands)    766,452  498,194 
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,       
4.975s, 2037    1,896,151  1,787,122 
JPMorgan Chase Commercial Mortgage Securities Corp.       
FRB Ser. 07-LD12, Class AM, 6.063s, 2051    3,470,000  3,508,482 
FRB Ser. 07-LD12, Class A3, 5.991s, 2051    11,043,000  11,213,835 
Ser. 07-CB20, Class A3, 5.863s, 2051    3,771,000  3,783,369 
FRB Ser. 07-LD11, Class A3, 5.819s, 2049    1,878,000  1,907,766 
Ser. 07-CB20, Class A4, 5.794s, 2051    2,455,000  2,504,861 
JPMorgan Chase Commercial Mortgage Securities Corp.       
144A Ser. 07-CB20, Class X1, IO, 0.052s, 2051    280,648,402  3,595,106 
LB Commercial Conduit Mortgage Trust 144A       
Ser. 99-C1, Class G, 6.41s, 2031    1,960,723  1,979,907 
Ser. 98-C4, Class J, 5.6s, 2035    3,535,000  2,956,635 
LB-UBS Commercial Mortgage Trust       
Ser. 07-C6, Class AM, 6.114s, 2017    1,841,000  1,848,693 
Ser. 07-C6, Class A2, 5.845s, 2012    3,440,000  3,553,758 
Ser. 07-C7, Class XW, IO, 0.374s, 2045    273,411,832  7,218,072 
LB-UBS Commercial Mortgage Trust 144A Ser. 07-C7,       
Class XCL, IO, 0.08s, 2045    116,445,274  1,176,097 
Lehman Mortgage Trust       
IFB Ser. 07-5, Class 4A3, 10.89s, 2037    3,295,670  3,914,317 
IFB Ser. 07-5, Class 8A2, IO, 2.855s, 2036    6,247,798  432,972 
IFB Ser. 07-4, Class 3A2, IO, 2.335s, 2037    4,881,910  346,616 
IFB Ser. 06-5, Class 2A2, IO, 2.285s, 2036    11,756,058  720,666 
IFB Ser. 07-2, Class 2A13, IO, 1.825s, 2037    8,437,958  573,992 
IFB Ser. 06-7, Class 2A5, IO, 1.761s, 2036    16,310,138  1,123,286 
IFB Ser. 06-9, Class 2A2, IO, 1.755s, 2037    10,333,091  777,108 
IFB Ser. 06-7, Class 2A4, IO, 1.685s, 2036    17,981,422  925,777 
IFB Ser. 06-6, Class 1A2, IO, 1.635s, 2036    6,636,398  341,773 
IFB Ser. 06-6, Class 1A3, IO, 1.635s, 2036    9,328,463  560,681 
IFB Ser. 06-5, Class 1A3, IO, 0.535s, 2036    3,109,255  36,644 
IFB Ser. 06-4, Class 1A3, IO, 0.535s, 2036    4,097,938  75,065 
IFB Ser. 06-7, Class 1A3, IO, 0.485s, 2036    7,640,658  99,373 
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,       
5.53s, 2012    7,676,000  7,576,212 
Mach One Commercial Mortgage Trust 144A       
Ser. 04-1A, Class J, 5.45s, 2040 (Canada)    4,511,500  2,345,980 
Ser. 04-1A, Class K, 5.45s, 2040 (Canada)    1,653,000  843,030 
Ser. 04-1A, Class L, 5.45s, 2040 (Canada)    752,500  376,250 
MASTR Adjustable Rate Mortgages Trust FRB Ser. 04-13,       
Class 3A6, 3.786s, 2034    579,000  569,507 
Merrill Lynch Capital Funding Corp. Ser. 06-4,       
Class XC, IO, 0.062s, 2049    201,576,436  2,866,165 
Merrill Lynch Mortgage Investors, Inc.       
FRB Ser. 05-A9, Class 3A1, 5.279s, 2035    958,409  950,443 
Ser. 96-C2, Class JS, IO, 2.258s, 2028    6,920,744  544,386 
Merrill Lynch Mortgage Trust FRB Ser. 07-C1, Class A3,       
5.829s, 2050    1,006,000  1,034,103 
Merrill Lynch/Countrywide Commercial Mortgage Trust       
FRB Ser. 07-8, Class A2, 5.92s, 2049    1,827,000  1,882,079 
Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,       
Class X, IO, 7.797s, 2037    8,019,272  2,305,541 
Morgan Stanley Capital I FRB Ser. 07-IQ14, Class AM,       
5.691s, 2049    1,136,000  1,129,559 
Morgan Stanley Capital I 144A FRB Ser. 04-RR,       
Class F7, 6s, 2039    13,869,752  7,212,271 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,       
Class 2A1, 5.342s, 2035    8,000,623  7,940,618 
Mortgage Capital Funding, Inc.       
FRB Ser. 98-MC2, Class E, 7.095s, 2030    2,378,284  2,407,475 
Ser. 97-MC2, Class X, IO, 1.878s, 2012    262,635  328 
Permanent Financing PLC FRB Ser. 8, Class 2C, 5.546s,       
2042 (United Kingdom)    973,000  964,975 
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,       
Class J, 6 5/8s, 2010    880,000  798,213 
Residential Asset Securitization Trust       
IFB Ser. 07-A3, Class 2A2, IO, 1.825s, 2037    19,665,073  1,349,491 
IFB Ser. 06-A7CB, Class 1A6, IO, 0.685s, 2036    1,921,706  47,472 
Residential Mortgage Securities 144A FRB Ser. 20A,       
Class B1A, 7.018s, 2038 (United Kingdom)  GBP  950,000  1,704,821 
SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035    $1,580,000  1,546,572 
STRIPS 144A       
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)    1,339,000  1,139,928 
Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)    1,590,000  1,287,838 
Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)    1,438,000  1,259,541 
Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)    1,371,000  1,125,344 

Structured Asset Securities Corp.       
IFB Ser. 07-4, Class 1A3, IO, 1.385s, 2037    23,845,213  1,364,371 
Ser. 07-4, Class 1A4, IO, 1s, 2037    23,845,213  627,777 
Structured Asset Securities Corp. 144A       
Ser. 98-RF3, Class A, IO, 6.1s, 2028    288,574  22,577 
Ser. 07-RF1, Class 1A, IO, 1.016s, 2037    23,200,735  874,731 
Titan Europe PLC 144A       
FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (Ireland)  GBP  1,094,530  2,113,614 
FRB Ser. 05-CT1A, Class D, 7.095s, 2014 (Ireland)  GBP  2,602,020  4,709,972 
URSUS EPC 144A       
FRB Ser. 1-A, Class D, 6.938s, 2012 (Ireland)  GBP  1,479,076  2,752,329 
Ser. 1-A, Class X1, IO, 4.925s, 2012 (Ireland)  GBP  5,000  214,816 
Wachovia Bank Commercial Mortgage Trust Ser. 07-C34,       
IO, 0.36s, 2046    $76,217,766  1,948,888 
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser.       
05-WL5A, Class L, 8.328s, 2018    3,292,000  3,127,400 
Wells Fargo Mortgage Backed Securities Trust Ser.       
05-AR13, Class 1A4, IO, 0.742s, 2035    67,709,178  621,509 
 
Total collateralized mortgage obligations (cost $544,802,024)      $592,953,633 
   
CORPORATE BONDS AND NOTES (19.9%)(a)       
    Principal amount  Value 
Basic Materials (1.0%)       
Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,       
2015 (Canada)    $570,000  $467,400 
Builders FirstSource, Inc. company guaranty FRN       
9.119s, 2012    1,195,000  1,039,650 
Clondalkin Acquisition BV 144A sec. FRN 6.991s, 2013       
(Netherlands)    885,000  833,006 
Compass Minerals International, Inc. sr. disc. notes       
stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)    1,715,000  1,753,588 
Domtar Corp. company guaranty 7 7/8s, 2011 (Canada)    465,000  474,881 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. bonds       
8 3/8s, 2017    3,442,000  3,691,545 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. FRN       
8.394s, 2015    605,000  614,075 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes       
8 1/4s, 2015    1,722,000  1,825,320 
Georgia-Pacific Corp. debs. 9 1/2s, 2011    239,000  250,950 
Georgia-Pacific Corp. notes 8 1/8s, 2011    230,000  233,450 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011       
(Canada)    2,431,000  2,558,628 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,       
ULC company guaranty 9 3/4s, 2014    2,465,000  2,662,200 
Momentive Performance Materials, Inc. 144A sr. notes       
9 3/4s, 2014    1,114,000  1,024,880 
Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016    951,000  1,027,080 
Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014    574,000  614,180 
NewPage Corp. company guaranty 10s, 2012    252,000  253,260 
NewPage Corp. sec. notes 10s, 2012    210,000  211,050 
NewPage Holding Corp. sr. notes FRN 11.818s, 2013 (PIK)    345,531  331,710 
Norske Skog Canada, Ltd. company guaranty Ser. D,       
8 5/8s, 2011 (Canada)    82,000  68,060 
Novelis, Inc. company guaranty 7 1/4s, 2015    701,000  658,940 
Rockwood Specialties Group, Inc. company guaranty       
7 5/8s, 2014  EUR  1,400,000  1,972,460 
Steel Dynamics, Inc. 144A sr. notes 7 3/8s, 2012    $27,000  27,135 
Steel Dynamics, Inc. 144A sr. notes 6 3/4s, 2015    3,583,000  3,457,595 
Stone Container Finance company guaranty 7 3/8s, 2014       
(Canada)    755,000  711,588 
      26,762,631 
 
Capital Goods (1.4%)       
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016    1,867,000  1,867,000 
Bombardier, Inc. 144A notes 6 3/4s, 2012 (Canada)    7,295,000  7,386,188 
Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada)    1,305,000  1,363,725 
Bombardier, Inc. 144A sr. unsec. FRN 7.631s, 2013       
(Canada)  EUR  865,000  1,257,217 
BPC Holding Corp. sec. sr. notes 8 7/8s, 2014 (S)    $1,004,000  953,800 
Crown Americas, LLC/Crown Americas Capital Corp. sr.       
notes 7 5/8s, 2013    2,592,000  2,650,320 
General Cable Corp. company guaranty FRN 7.104s, 2015    850,000  807,500 
Hawker Beechcraft Acquisition Co., LLC 144A sr. notes       
8 1/2s, 2015    2,480,000  2,480,000 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    305,000  298,900 
L-3 Communications Corp. company guaranty 6 1/8s, 2013    3,113,000  3,058,523 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    2,084,000  2,011,060 
Legrand SA debs. 8 1/2s, 2025 (France)    4,999,000  5,815,577 
Owens-Illinois, Inc. debs. 7 1/2s, 2010    453,000  458,663 
RBS Global, Inc. / Rexnord Corp. company guaranty       
9 1/2s, 2014    3,140,000  3,108,600 
Ryerson Tull, Inc. 144A sec. notes 12s, 2015    505,000  498,688 
SPX Corp. sr. notes 7 5/8s, 2014    705,000  719,100 
TD Funding Corp. company guaranty 7 3/4s, 2014    420,000  426,300 
Tekni-Plex, Inc. sec. notes 10 7/8s, 2012    550,000  589,875 
Terex Corp. sr. sub. notes 8s, 2017    1,375,000  1,392,188 
      37,143,224 
 
Communication Services (1.1%)       
American Tower Corp. 144A sr. notes 7s, 2017    1,730,000  1,738,650 
Cincinnati Bell, Inc. company guaranty 7s, 2015    1,294,000  1,222,830 
Cricket Communications, Inc. 144A company guaranty       

9 3/8s, 2014    1,765,000  1,654,688 
Digicel Group, Ltd. 144A sr. notes 8 7/8s, 2015       
(Bermuda)    1,730,000  1,582,950 
Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)    1,050,000  1,069,740 
Inmarsat Finance PLC company guaranty stepped-coupon       
zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)    4,551,000  4,420,159 
iPCS, Inc. sec. FRN 7.036s, 2013    575,000  541,938 
MetroPCS Wireless, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2014    370,000  347,800 
Qwest Communications International, Inc. company       
guaranty 7 1/2s, 2014    2,985,000  2,977,538 
Qwest Corp. debs. 7 1/4s, 2025    1,375,000  1,292,500 
Qwest Corp. notes 8 7/8s, 2012    4,691,000  5,019,370 
Qwest Corp. sr. unsec. notes 7 1/2s, 2014    610,000  619,150 
Rural Cellular Corp. FRN sr. sub. notes 8.124s, 2013    790,000  805,800 
West Corp. company guaranty 9 1/2s, 2014    528,000  517,440 
Wind Aquisition Fin. SA notes 9 3/4s, 2015 (Luxembourg)  EUR  3,540,000  5,561,198 
      29,371,751 
 
Consumer Cyclicals (3.5%)       
Allison Transmission 144A company guaranty 11s, 2015    $350,000  318,500 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012    1,175,000  1,189,688 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014    1,325,000  1,262,063 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)    1,453,443  1,371,687 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011    3,460,000  3,346,980 
FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)    3,792,000  3,953,160 
Ford Motor Co. notes 7.45s, 2031    1,113,000  826,403 
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011 (S)    3,013,000  2,869,752 
Ford Motor Credit Co., LLC sr. unsec. 9 3/4s, 2010    9,153,000  8,839,181 
Ford Motor Credit Co., LLC sr. unsec. FRN 7.993s, 2012    534,000  453,428 
Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009    883,000  831,120 
General Motors Corp. debs. 9.4s, 2021    370,000  328,560 
Goodman Global Holding Co., Inc. company guaranty FRN       
Ser. B, 7.991s, 2012    155,000  154,225 
Goodyear Tire & Rubber Co. (The) sr. notes 8 5/8s, 2011    1,000  1,043 
Hanesbrands, Inc. company guaranty FRN Ser. B, 8.204s,       
2014    1,280,000  1,267,200 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)    4,015,000  4,015,000 
Jostens IH Corp. company guaranty 7 5/8s, 2012    4,138,000  4,158,690 
Lamar Media Corp. 144A sr. sub. notes 6 5/8s, 2015    735,000  714,788 
Levi Strauss & Co. sr. notes 9 3/4s, 2015    3,326,000  3,317,685 
Levi Strauss & Co. sr. notes 8 7/8s, 2016    1,320,000  1,277,100 
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,       
2015    1,765,000  1,773,825 
Meritage Homes Corp. company guaranty 6 1/4s, 2015    1,163,000  796,655 
Meritage Homes Corp. sr. notes 7s, 2014    332,000  237,380 
Meritor Automotive, Inc. notes 6.8s, 2009    491,000  476,270 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010    2,757,000  2,860,388 
MGM Mirage, Inc. company guaranty 6s, 2009    7,904,000  7,864,480 
NTK Holdings, Inc. sr. disc. notes zero %, 2014    794,000  464,490 
Oxford Industries, Inc. sr. notes 8 7/8s, 2011    2,940,000  2,925,300 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,       
2012    1,386,000  1,399,860 
Pinnacle Entertainment, Inc. 144A sr. sub. notes       
7 1/2s, 2015    1,295,000  1,175,213 
Pulte Homes, Inc. company guaranty 7 7/8s, 2011    3,293,000  3,168,077 
Quebecor Media notes 7 3/4s, 2016 (Canada)    320,000  307,200 
Scientific Games Corp. company guaranty 6 1/4s, 2012    4,989,000  4,764,495 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014    525,000  501,375 
Standard Pacific Corp. sr. notes 6 1/2s, 2008    890,000  787,650 
Standard Pacific Corp. sr. unsec. unsub. notes 5 1/8s,       
2009    255,000  201,450 
Station Casinos, Inc. sr. notes 6s, 2012    2,191,000  1,949,990 
Target Corp. sr. unsec. notes 5 3/8s, 2017 (S)    4,745,000  4,637,583 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014       
(S)    1,109,000  1,089,593 
Tenneco Automotive, Inc. 144A sr. unsec. notes 8 1/8s,       
2015    1,530,000  1,514,700 
Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013    1,480,000  1,450,400 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.       
notes 8 1/2s, 2014    1,976,000  1,580,800 
Tropicana Entertainment, LLC sr. sub. notes 9 5/8s,       
2014    2,445,000  1,552,575 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,       
2015    677,000  515,366 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009    2,855,000  1,755,825 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009    766,000  227,885 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st       
mtge. 6 5/8s, 2014 (S)    2,605,000  2,559,413 
      89,034,491 
 
Consumer Staples (2.3%)       
Affinity Group, Inc. sr. sub. notes 9s, 2012    4,155,000  3,947,250 
AMC Entertainment, Inc. company guaranty 11s, 2016    1,152,000  1,212,480 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014    948,000  891,120 
Archibald Candy Corp. company guaranty 10s, 2008 (In       
default) (F)(NON)    574,508  8,440 
Avis Budget Car Rental, LLC company guaranty 7 3/4s,       
2016    1,280,000  1,203,200 
Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012    1,352,000  1,311,440 
CCH I Holdings, LLC company guaranty 12 1/8s, 2015    246,000  159,285 
CCH I, LLC/Capital Corp. sec. notes 11s, 2015    5,068,000  4,130,420 
CCH II, LLC sr. unsec. notes 10 1/4s, 2010    556,000  544,880 

CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010    5,326,000  5,192,850 
Church & Dwight Co., Inc. company guaranty 6s, 2012    3,512,000  3,432,980 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %       
(9 3/4s, 3/15/09), 2014 (STP)    1,995,000  1,857,844 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012    2,150,000  2,055,938 
Dean Foods Co. company guaranty 7s, 2016    611,000  543,790 
Del Monte Corp. company guaranty 6 3/4s, 2015    1,780,000  1,682,100 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012    3,605,000  3,632,038 
Echostar DBS Corp. company guaranty 6 5/8s, 2014    15,810,000  15,730,950 
Liberty Media, LLC sr. notes 5.7s, 2013    150,000  138,962 
Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009    408,000  414,218 
Nielsen Finance LLC/Nielsen Finance Co. company       
guaranty 10s, 2014    750,000  766,875 
Nielsen Finance LLC/Nielsen Finance Co. company       
guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016       
(STP)    1,752,000  1,230,780 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012    2,384,000  2,378,040 
R.H. Donnelley Corp. sr. disc. notes Ser. A-1, 6 7/8s,       
2013    140,000  125,300 
R.H. Donnelley Corp. sr. notes 6 7/8s, 2013    433,000  387,535 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,       
2012    1,852,000  1,905,245 
Rental Services Corp. company guaranty 9 1/2s, 2014    367,000  328,465 
Rite Aid Corp. company guaranty 9 3/8s, 2015    1,325,000  1,099,750 
Rite Aid Corp. sec. notes 7 1/2s, 2017    1,275,000  1,123,594 
United Rentals NA, Inc. sr. sub. notes 7s, 2014    1,105,000  925,438 
Young Broadcasting, Inc. company guaranty 10s, 2011    966,000  754,688 
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014    331,000  230,045 
      59,345,940 
 
Energy (3.3%)       
Arch Western Finance, LLC sr. notes 6 3/4s, 2013    5,575,000  5,407,750 
Chaparral Energy, Inc. 144A sr. notes 8 7/8s, 2017    1,310,000  1,182,275 
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014       
(Canada)    5,729,000  5,413,905 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013    5,575,000  5,700,438 
Complete Production Services, Inc. company guaranty       
8s, 2016 (S)    2,195,000  2,123,663 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012    3,895,000  3,671,038 
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,       
2015 (Canada)    945,000  943,819 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015    1,295,000  1,307,950 
EXCO Resources, Inc. company guaranty 7 1/4s, 2011    3,185,000  3,065,563 
Forest Oil Corp. sr. notes 8s, 2011    3,730,000  3,879,200 
Gaz Capital for Gazprom 144A sr. unsec. notes 7.288s,       
2037 (Luxembourg)    1,280,000  1,291,904 
Harvest Operations Corp. sr. notes 7 7/8s, 2011       
(Canada)    4,610,000  4,344,925 
Helix Energy Solutions Group, Inc. 144A sr. unsec.       
notes 9 1/2s, 2016 (S)    1,745,000  1,775,538 
Hornbeck Offshore Services, Inc. sr. notes Ser. B,       
6 1/8s, 2014    4,355,000  4,137,250 
Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014    825,000  843,563 
Lukoil International Finance 144A company guaranty       
6.656s, 2022 (Netherlands)    1,100,000  1,027,125 
Lukoil International Finance 144A company guaranty       
6.356s, 2017 (Netherlands)    2,500,000  2,366,750 
Massey Energy Co. sr. notes 6 5/8s, 2010    1,958,000  1,913,945 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014    2,650,000  2,623,500 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013    3,232,000  3,102,720 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011    2,439,466  2,563,494 
Pacific Energy Partners/Pacific Energy Finance Corp.       
sr. notes 7 1/8s, 2014    2,625,000  2,731,662 
Peabody Energy Corp. company guaranty 7 3/8s, 2016    5,820,000  5,965,500 
Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)    2,465,750  2,537,764 
Pemex Project Funding Master Trust 144A company       
guaranty 6 5/8s, 2035    1,140,000  1,201,599 
Pemex Project Funding Master Trust 144A company       
guaranty 5 3/4s, 2018    1,425,000  1,421,438 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013    1,352,000  1,422,980 
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr.       
unsec. notes 6s, 2022 (Trinidad)    3,595,000  3,622,106 
Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014       
(Bermuda)    1,440,000  1,341,000 
Plains Exploration & Production Co. company guaranty       
7 3/4s, 2015    535,000  535,000 
Plains Exploration & Production Co. company guaranty       
7s, 2017    580,000  554,625 
Pride International, Inc. sr. notes 7 3/8s, 2014    3,145,000  3,231,488 
Transocean, Inc. sr. unsec. 6s, 2018    1,000,000  997,332 
      84,248,809 
 
Financial (3.3%)       
Banco Do Brasil 144A sr. unsec. 5.581s, 2017 (Cayman       
Islands)  BRL  2,155,000  1,117,475 
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,       
2012    $4,785,000  4,919,937 
Bosphorus Financial Services, Ltd. 144A sec. sr. notes       
FRN 6.669s, 2012 (Cayman Islands)    10,299,000  10,198,379 
GMAC LLC FRN 7.324s, 2014    1,320,000  1,059,087 
GMAC LLC notes 7 3/4s, 2010    418,000  389,919 
GMAC LLC notes 7s, 2012    335,000  283,256 
GMAC LLC notes 6 7/8s, 2012    2,179,000  1,825,924 

GMAC LLC notes 6 7/8s, 2011    375,000  320,810 
GMAC LLC notes 6 3/4s, 2014    4,960,000  4,000,483 
GMAC LLC sr. unsub. notes 5.85s, 2009    160,000  153,014 
GMAC LLC unsub. notes 6 5/8s, 2012    2,060,000  1,726,309 
Goldman Sachs Group, Inc (The) sub. notes 6 3/4s, 2037    1,260,000  1,247,822 
HUB International Holdings, Inc. 144A sr. notes 9s,       
2014    270,000  240,975 
HUB International Holdings, Inc. 144A sr. sub. notes       
10 1/4s, 2015    375,000  318,750 
JPMorgan Chase & Co. 144A sr. unsec. FRN 6.46s, 2017    2,500,000  2,387,425 
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012  INR  76,000,000  2,082,720 
Lehman Brothers Holdings, Inc. sr. unsec. notes Ser.       
I, 6.2s, 2014    $4,785,000  4,873,369 
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015    530,000  530,000 
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017    1,024,000  947,200 
Liberty Mutual Insurance 144A notes 7.697s, 2097    2,900,000  2,718,373 
Morgan Stanley sr. unsec. bonds 5.776s, 2017  BRL  7,331,000  3,749,978 
Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015    $879,000  875,704 
Realogy Corp. 144A sr. notes 10 1/2s, 2014    2,820,000  2,107,950 
RSHB Capital SA for OJSC Russian Agricultural Bank       
notes 6.299s, 2017 (Luxembourg)    2,740,000  2,596,150 
UBS`Luxembourg SA for Sberbank unsec. sub. notes       
stepped-coupon 6.23s (7.429s, 2/11/10), 2015       
(Luxembourg) (STP)    2,850,000  2,844,585 
USI Holdings Corp. 144A sr. notes FRN 8.744s, 2014    245,000  209,475 
VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)    7,596,000  7,330,140 
VTB Capital SA sr. notes 6 1/4s, 2035 (Luxembourg)    3,035,000  2,928,775 
VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)    7,265,000  7,446,625 
VTB Capital SA 144A sec. notes 6.609s, 2012       
(Luxembourg)    13,440,000  13,377,235 
      84,807,844 
 
Health Care (1.5%)       
Bausch & Lomb, Inc. 144A sr. unsec. notes 9 7/8s, 2015    925,000  938,875 
Community Health Systems, Inc. company guaranty       
8 7/8s, 2015    2,650,000  2,699,688 
DaVita, Inc. company guaranty 6 5/8s, 2013 (S)    1,134,000  1,128,330 
HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016       
(PIK) (S)    2,340,000  2,474,550 
HCA, Inc. notes 6 3/8s, 2015    1,766,000  1,492,270 
HCA, Inc. notes 5 3/4s, 2014    1,985,000  1,647,550 
HCA, Inc. sec. notes 9 1/4s, 2016    2,730,000  2,866,500 
Omnicare, Inc. company guaranty 6 3/4s, 2013    1,210,000  1,137,400 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013    3,350,000  3,048,500 
Service Corporation International debs. 7 7/8s, 2013    465,000  467,453 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013    3,922,000  3,706,290 
Surgical Care Affiliates, Inc. 144A sr. sub. notes       
10s, 2017    1,210,000  1,101,100 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes       
8 7/8s, 2015 (PIK)    400,000  364,000 
Tenet Healthcare Corp. notes 7 3/8s, 2013    2,140,000  1,872,500 
Tenet Healthcare Corp. sr. notes 6 3/8s, 2011    1,618,000  1,472,380 
US Oncology, Inc. company guaranty 9s, 2012    3,430,000  3,382,838 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,       
2014    2,101,000  2,022,213 
Ventas Realty LP/Capital Corp. company guaranty 9s,       
2012 (R)    2,840,000  3,053,000 
Ventas Realty LP/Capital Corp. company guaranty       
6 3/4s, 2010 (R)    1,339,000  1,349,043 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014       
(R)    1,350,000  1,336,500 
      37,560,980 
 
Technology (0.7%)       
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012    2,334,000  2,030,580 
Ceridian Corp. 144A sr. unsec. notes 11 1/4s, 2015    1,248,000  1,157,520 
Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015    685,000  670,444 
Freescale Semiconductor, Inc. sr. sec. notes 10 1/8s,       
2016 (S)    1,614,000  1,331,550 
Freescale Semiconductor, Inc. company guaranty sr.       
unsec. notes 9 1/8s, 2014 (PIK)    1,613,000  1,371,050 
Freescale Semiconductor, Inc. company guaranty sr.       
unsec. notes 8 7/8s, 2014    2,266,000  2,022,405 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013    4,018,000  4,068,225 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011       
(Cayman Islands)    81,000  65,003 
Nortel Networks, Ltd. 144A company guaranty 10 3/4s,       
2016 (Canada)    965,000  1,013,250 
Nortel Networks, Ltd. 144A company guaranty FRN       
9.493s, 2011 (Canada)    1,040,000  1,014,000 
SunGard Data Systems, Inc. company guaranty 9 1/8s,       
2013    1,906,000  1,939,355 
Travelport LLC company guaranty 9 7/8s, 2014    763,000  774,445 
      17,457,827 
 
Utilities & Power (1.8%)       
AES Corp. (The) sr. notes 8 7/8s, 2011    361,000  377,245 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013    2,026,000  2,112,105 
AES Corp. (The) 144A sr. notes 8s, 2017    565,000  577,713 
CMS Energy Corp. sr. notes 7 3/4s, 2010    1,225,000  1,285,530 
Colorado Interstate Gas Co. debs. 6.85s, 2037    2,495,000  2,444,793 
Colorado Interstate Gas Co. sr. notes 5.95s, 2015    223,000  220,617 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016    654,000  673,620 

Edison Mission Energy sr. unsec. notes 7 1/2s, 2013    760,000  779,000 
Edison Mission Energy sr. unsec. notes 7.2s, 2019    1,125,000  1,105,313 
Edison Mission Energy sr. unsec. notes 7s, 2017    785,000  771,263 
El Paso Natural Gas Co. debs. 8 5/8s, 2022    1,315,000  1,515,232 
Ferrellgas LP/Finance sr. notes 6 3/4s, 2014    3,632,000  3,563,900 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012    7,850,000  7,771,500 
NRG Energy, Inc. sr. notes 7 3/8s, 2016    1,015,000  989,625 
Orion Power Holdings, Inc. sr. notes 12s, 2010    5,195,000  5,662,550 
Teco Finance, Inc. unsec. notes 7s, 2012    1,500,000  1,588,418 
Teco Finance, Inc. unsub. notes 7.2s, 2011    1,165,000  1,246,223 
Teco Finance, Inc. unsub. notes 6 3/4s, 2015    221,000  231,564 
Tennessee Gas Pipeline Co. debs. 7s, 2028    520,000  524,931 
Tennessee Gas Pipeline Co. unsec. notes 7 1/2s, 2017    1,052,000  1,148,209 
Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026    3,235,000  3,437,188 
Utilicorp United, Inc. sr. notes 9.95s, 2011    61,000  65,636 
Veolia Environnement sr. unsub. notes Ser. EMTN,       
5 3/8s, 2018 (France)  EUR  3,125,000  4,401,672 
Williams Cos., Inc. (The) notes 7 5/8s, 2019    $2,449,000  2,654,104 
Williams Partners LP/ Williams Partners Finance Corp.       
company guaranty 7 1/4s, 2017 (S)    605,000  623,150 
      45,771,101 
 
Total corporate bonds and notes (cost $526,296,662)      $511,504,598 
  
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (15.6%)(a)       
    Principal amount  Value 
U.S. Government Guaranteed Mortgage Obligations (0.2%)       
Government National Mortgage Association Pass-Through       
Certificates       
6 1/2s, with due dates from August 20, 2037 to       
November 20, 2037    $4,997,393  $5,163,127 
 
U.S. Government Agency Mortgage Obligations (15.4%)       
Federal Home Loan Mortgage Corporation Pass-Through       
Certificates       
6s, September 1, 2021    80,332  82,127 
5 1/2s, May 1, 2020    357,369  362,590 
Federal National Mortgage Association Pass-Through       
Certificates       
6 1/2s, with due dates from October 1, 2036 to       
August 1, 2037    4,840,641  4,976,595 
6s, April 1, 2021    4,054,205  4,148,592 
5 1/2s, with due dates from March 1, 2037 to       
January 1, 2038    12,499,600  12,481,535 
5 1/2s, with due dates from January 1, 2009 to       
February 1, 2021    4,431,359  4,500,868 
5 1/2s, TBA, January 1, 2038    356,600,000  356,042,813 
4 1/2s, with due dates from August 1, 2033 to       
October 1, 2035    12,752,000  12,104,127 
4s, with due dates from May 1, 2019 to       
September 1, 2020    803,196  773,532 
      395,472,779 
Total U.S. government and agency mortgage obligations (cost $394,504,510)      $400,635,906 
U.S. TREASURY OBLIGATIONS (4.5%)(a)       
    Principal amount  Value 
U.S. Treasury Bonds 6 1/4s, May 15, 2030    $42,182,000  $52,661,591 
U.S. Treasury Inflation Index Notes 2 3/8s,       
January 15, 2017    16,375,910  17,299,613 
U.S. Treasury Strip zero %, November 15, 2024    98,235,000  44,962,651 
 
Total U.S. treasury obligations (cost $103,604,504)      $114,923,855 
   
ASSET-BACKED SECURITIES (13.5%)(a)       
    Principal amount  Value 
Accredited Mortgage Loan Trust       
FRB Ser. 05-1, Class M2, 5.555s, 2035    $720,000  $583,200 
FRB Ser. 05-4, Class A2C, 5.075s, 2035    151,000  142,401 
Ace Securities Corp.       
FRB Ser. 06-OP2, Class A2C, 5.015s, 2036    478,000  401,095 
FRB Ser. 06-HE3, Class A2C, 5.015s, 2036    429,000  371,656 
Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8,       
Class M2, 6.615s, 2033    1,118,391  206,902 
Arcap REIT, Inc. 144A       
Ser. 03-1A, Class E, 7.11s, 2038    2,906,000  2,794,755 
Ser. 04-1A, Class E, 6.42s, 2039    1,768,000  1,575,408 
Argent Securities, Inc.       
FRB Ser. 03-W3, Class M3, 7.059s, 2033    121,547  21,878 
FRB Ser. 06-W4, Class A2C, 5.025s, 2036    761,000  635,435 
Asset Backed Funding Certificates FRB Ser. 04-OPT2,       
Class M2, 5.865s, 2033    1,138,000  887,640 
Asset Backed Securities Corp. Home Equity Loan Trust       
FRB Ser. 06-HE2, Class A3, 5.055s, 2036    211,000  193,188 
FRB Ser. 06-HE4, Class A5, 5.025s, 2036    540,000  448,200 
Aviation Capital Group Trust 144A FRB Ser. 03-2A,       
Class G1, 5.649s, 2033    1,992,882  1,933,096 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,       
6.058s, 2011    3,310,000  3,287,260 
Bear Stearns Asset Backed Securities, Inc.       
FRB Ser. 04-FR3, Class M6, 8.115s, 2034    1,703,000  1,141,010 
FRB Ser. 06-PC1, Class M9, 6.615s, 2035    885,000  136,622 

FRB Ser. 05-HE1, Class M3, 5.795s, 2035    1,007,000  765,320 
Bear Stearns Asset Backed Securities, Inc. 144A FRB       
Ser. 06-HE2, Class M10, 7.115s, 2036    1,582,000  244,221 
Bombardier Capital Mortgage Securitization Corp.       
Ser. 00-A, Class A4, 8.29s, 2030    4,599,551  3,152,849 
Ser. 00-A, Class A2, 7.575s, 2030    990,796  644,737 
Ser. 99-B, Class A4, 7.3s, 2016    4,953,753  2,944,466 
Ser. 99-B, Class A3, 7.18s, 2015    7,337,802  4,598,738 
Capital Auto Receivables Asset Trust 144A Ser. 06-1,       
Class D, 7.16s, 2013    1,000,000  1,011,211 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,       
6.108s, 2010    3,730,000  3,707,068 
Citigroup Mortgage Loan Trust, Inc.       
FRB Ser. 05-HE4, Class M11, 7.365s, 2035    1,384,000  318,320 
FRB Ser. 05-HE4, Class M12, 6.915s, 2035    1,931,000  251,030 
FRB Ser. 05-OPT1, Class M1, 5.285s, 2035    235,000  186,353 
Conseco Finance Securitizations Corp.       
Ser. 00-4, Class A6, 8.31s, 2032    25,351,426  21,041,684 
Ser. 00-5, Class A7, 8.2s, 2032    492,000  417,640 
Ser. 00-1, Class A5, 8.06s, 2031    3,607,231  3,030,637 
Ser. 00-4, Class A5, 7.97s, 2032    1,471,488  1,200,047 
Ser. 01-3, Class M2, 7.44s, 2033    455,020  29,576 
Ser. 01-4, Class A4, 7.36s, 2033    1,680,156  1,697,919 
Ser. 00-6, Class A5, 7.27s, 2031    582,323  545,596 
Ser. 01-1, Class A5, 6.99s, 2032    13,589,852  12,848,882 
Ser. 01-3, Class A4, 6.91s, 2033    21,166,164  20,390,319 
Ser. 02-1, Class A, 6.681s, 2033    6,217,270  6,416,457 
FRB Ser. 01-4, Class M1, 6.381s, 2033    2,391,000  1,151,903 
Countrywide Asset Backed Certificates       
FRB Ser. 05-BC3, Class M1, 5.385s, 2035    226,000  194,360 
FRB Ser. 05-14, Class 3A2, 5.105s, 2036    156,390  145,350 
Countrywide Asset Backed NIM Certificates 144A Ser.       
04-BC1N, Class Note, 5 1/2s, 2035    1,931  386 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038       
(Cayman Islands)    3,427,000  2,570,250 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,       
8.285s, 2031    610,000  613,672 
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,       
5.535s, 2035    410,000  311,600 
First Franklin Mortgage Loan Asset Backed Certificates       
FRB Ser. 06-FF7, Class 2A3, 5.015s, 2036    790,000  645,756 
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 6.174s,       
2038 (Cayman Islands)    1,229,000  503,890 
Fremont Home Loan Trust       
FRB Ser. 05-E, Class 2A4, 5.195s, 2036    1,107,000  929,880 
FRB Ser. 06-2, Class 2A3, 5.035s, 2036    1,320,000  1,089,000 
Fremont NIM Trust 144A       
Ser. 04-3, Class B, 7 1/2s, 2034 (In default) (NON)    304,481  761 
Ser. 04-3, Class A, 4 1/2s, 2034 (In default) (NON)    7,092  35 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 6.865s,       
2037 (Cayman Islands)    614,000  564,880 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,       
8.22s, 2012    3,514,000  3,337,636 
Granite Mortgages PLC       
FRB Ser. 03-2, Class 3C, 7.589s, 2043 (United Kingdom)  GBP  6,665,883  12,854,024 
FRB Ser. 02-2, Class 1C, 6.43s, 2043 (United Kingdom)    $273,297  272,887 
FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)  EUR  10,080,000  14,606,424 
Green Tree Financial Corp.       
Ser. 94-6, Class B2, 9s, 2020    $6,428,633  6,456,700 
Ser. 94-4, Class B2, 8.6s, 2019    2,879,056  2,107,031 
Ser. 93-1, Class B, 8.45s, 2018    2,393,029  2,164,890 
Ser. 99-5, Class A5, 7.86s, 2030    27,754,535  24,979,113 
Ser. 96-8, Class M1, 7.85s, 2027    2,979,000  2,700,562 
Ser. 95-8, Class B1, 7.3s, 2026    2,796,090  2,531,407 
Ser. 95-4, Class B1, 7.3s, 2025    2,737,142  2,747,508 
Ser. 95-F, Class B2, 7.1s, 2021    436,847  434,662 
Ser. 99-3, Class A7, 6.74s, 2031    3,957,000  3,855,400 
Green Tree Home Improvement Loan Trust Ser. 95-D,       
Class B2, 7.45s, 2025    347,459  291,139 
Greenpoint Manufactured Housing       
Ser. 00-3, Class IA, 8.45s, 2031    13,542,379  12,601,834 
Ser. 99-5, Class M1A, 8.3s, 2026    343,000  275,926 
Ser. 99-5, Class A4, 7.59s, 2028    308,814  300,990 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011    3,004,645  2,983,672 
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 5.015s, 2036    1,965,000  1,477,849 
Guggenheim Structured Real Estate Funding, Ltd. 144A       
FRB Ser. 05-2A, Class E, 6.865s, 2030 (Cayman Islands)    2,453,000  1,776,463 
FRB Ser. 05-1A, Class E, 6.665s, 2030 (Cayman Islands)    537,087  451,153 
Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,       
5.195s, 2036    551,000  430,990 
JPMorgan Mortgage Acquisition Corp.       
FRB Ser. 05-OPT2, Class M11, 7.115s, 2035    690,000  96,600 
FRB Ser. 06-FRE1, Class A4, 5.155s, 2035    470,000  408,947 
Lehman XS Trust FRB Ser. 07-6, Class 2A1, 5.075s, 2037    6,221,994  5,978,745 
LNR CDO, Ltd. 144A       
FRB Ser. 03-1A, Class EFL, 7.896s, 2036 (Cayman       
Islands)    11,120,000  8,861,250 
FRB Ser. 02-1A, Class FFL, 7.646s, 2037 (Cayman       
Islands)    7,500,000  5,339,063 
Long Beach Mortgage Loan Trust       
FRB Ser. 05-2, Class M4, 5.485s, 2035    1,150,000  690,000 
FRB Ser. 06-4, Class 2A4, 5 1/8s, 2036    532,000  350,116 
FRB Ser. 06-1, Class 2A3, 5.055s, 2036    602,000  541,800 
Lothian Mortgages PLC 144A FRB Ser. 3A, Class D,       

7.076s, 2039 (United Kingdom)  GBP  6,500,000  12,192,248 
Madison Avenue Manufactured Housing Contract FRB Ser.       
02-A, Class B1, 8.115s, 2032    $6,357,565  4,577,447 
MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,       
Class A4, 5.015s, 2036    278,000  223,275 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,       
Class C5, 6.208s, 2010    3,730,000  3,714,621 
Merrill Lynch Mortgage Investors, Inc. 144A Ser.       
04-WM3N, Class N1, 4 1/2s, 2035 (In default) (NON)    6,769  1,624 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038    1,045,298  936,204 
Morgan Stanley ABS Capital I       
FRB Ser. 04-HE8, Class B3, 8.065s, 2034    1,597,000  798,500 
FRB Ser. 05-HE2, Class M5, 5.545s, 2035    720,000  396,000 
FRB Ser. 05-HE1, Class M3, 5.385s, 2034    720,000  583,200 
FRB Ser. 06-NC4, Class M2, 5.165s, 2036    1,007,000  392,730 
Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2,       
Class E, 5s, 2012    340  339 
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A,       
Class C1A, 8.053s, 2038 (Cayman Islands)    2,000,000  1,826,600 
Navistar Financial Corp. Owner Trust       
Ser. 05-A, Class C, 4.84s, 2014    587,562  574,318 
Ser. 04-B, Class C, 3.93s, 2012    566,947  534,818 
Neon Capital, Ltd. 144A       
limited recourse sec. notes Ser. 95, 2.319s, 2013       
(Cayman Islands) (F) (g)    2,028,770  724,382 
limited recourse sec. notes Ser. 97, 1.105s, 2013       
(Cayman Islands) (F) (g)    2,649,208  784,870 
New Century Home Equity Loan Trust FRB Ser. 03-4,       
Class M3, 6.915s, 2033    67,243  19,500 
Novastar Home Equity Loan       
FRB Ser. 06-1, Class A2C, 5.025s, 2036    663,000  576,876 
FRB Ser. 06-2, Class A2C, 5.015s, 2036    663,000  555,538 
Oakwood Mortgage Investors, Inc.       
Ser. 96-C, Class B1, 7.96s, 2027    1,207,507  778,863 
Ser. 99-D, Class A1, 7.84s, 2029    6,995,142  5,944,506 
Ser. 02-B, Class A4, 7.09s, 2032    2,913,683  2,711,963 
Ser. 99-B, Class A4, 6.99s, 2026    7,850,352  7,340,079 
Ser. 01-D, Class A4, 6.93s, 2031    171,805  126,483 
Ser. 01-C, Class A2, 5.92s, 2017    8,677,107  3,875,179 
Ser. 02-C, Class A1, 5.41s, 2032    10,556,494  9,342,328 
Ser. 01-C, Class A1, 5.16s, 2012    777,468  315,951 
Ser. 01-E, Class A2, 5.05s, 2019    6,321,588  4,804,407 
Ser. 02-A, Class A2, 5.01s, 2020    464,113  407,746 
Oakwood Mortgage Investors, Inc. 144A       
Ser. 01-B, Class A4, 7.21s, 2030    711,656  614,089 
FRB Ser. 01-B, Class A2, 5.403s, 2018    302,945  256,476 
Ocean Star PLC 144A       
FRB Ser. 04-A, Class E, 11.379s, 2018 (Ireland)    5,793,000  5,097,840 
FRB Ser. 05-A, Class E, 9.479s, 2012 (Ireland)    1,317,000  1,228,366 
Option One Mortgage Loan Trust FRB Ser. 05-4,       
Class M11, 7.365s, 2035    1,809,000  452,250 
Park Place Securities, Inc. FRB Ser. 05-WCH1,       
Class M4, 5.695s, 2036    465,000  327,825 
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,       
Class M10, 7.365s, 2034    422,539  143,663 
People's Choice Net Interest Margin Note 144A Ser.       
04-2, Class B, 5s, 2034 (In default) (NON)    49,272  493 
People's Financial Realty Mortgage Securities Trust       
FRB Ser. 06-1, Class 1A2, 4.995s, 2036    1,065,000  959,768 
Permanent Financing PLC       
FRB Ser. 6, Class 3C, 7.576s, 2042 (United Kingdom)  GBP  6,492,000  12,727,473 
FRB Ser. 3, Class 3C, 6.296s, 2042 (United Kingdom)    $3,300,000  3,244,019 
Residential Asset Mortgage Products, Inc.       
FRB Ser. 06-NC3, Class A2, 5.055s, 2036    724,000  675,012 
FRB Ser. 07-RZ1, Class A2, 5.025s, 2037    657,000  565,170 
Residential Asset Securities Corp. FRB Ser. 05-EMX1,       
Class M2, 5.595s, 2035    1,635,000  1,152,675 
Residential Asset Securities Corp. 144A FRB Ser.       
05-KS10, Class B, 7.615s, 2035    1,523,000  152,300 
Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026    71,868  72,862 
SAIL Net Interest Margin Notes 144A       
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands) (In       
default) (NON)    123,233  123 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)       
(In default) (NON)    491,904  14,757 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands) (In       
default) (NON)    73,702  7 
Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)       
(In default) (NON)    415,971  42 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands) (In       
default) (NON)    87,842  1,757 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands) (In       
default) (NON)    55,236  166 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands) (In       
default) (NON)    84,468  84 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands) (In       
default) (NON)    60,872  609 
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands) (In       
default) (NON)    151,053  302 
Sasco Net Interest Margin Trust 144A Ser. 03-BC1,       
Class B, zero %, 2033 (Cayman Islands) (In default)       
(NON)    1,883,265  188 
Securitized Asset Backed Receivables, LLC       
FRB Ser. 05-HE1, Class M2, 5.515s, 2035    720,000  370,800 

FRB Ser. 07-NC2, Class A2B, 5.005s, 2037  616,000  523,600 
SG Mortgage Securities Trust     
FRB Ser. 06-OPT2, Class A3D, PO, 5.075s, 2036  1,124,000  820,520 
FRB Ser. 06-FRE1, Class A2B, 5.045s, 2036  542,000  426,834 
Soundview Home Equity Loan Trust     
FRB Ser. 06-OPT3, Class 2A3, 5.035s, 2036  532,000  495,093 
FRB Ser. 06-3, Class A3, 5.025s, 2036  1,974,000  1,637,134 
Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,     
Class M10, 7.365s, 2036  1,086,000  97,740 
South Coast Funding 144A FRB Ser. 3A, Class A2,     
6.087s, 2038 (Cayman Islands)  2,070,000  455,400 
Structured Asset Investment Loan Trust FRB Ser.     
06-BNC2, Class A6, 5 1/8s, 2036  532,000  343,776 
Structured Asset Investment Loan Trust 144A FRB Ser.     
05-HE3, Class M11, 7.365s, 2035  2,060,000  103,000 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,     
5.87s, 2015    10,923,437  10,650,351 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,     
2038 (Cayman Islands)  3,688,000  2,980,052 
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,     
6.84s, 2037 (Cayman Islands)  2,403,000  1,774,111 
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,     
5.185s, 2037  235,000  150,361 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,     
Class B3, 5.984s, 2044 (United Kingdom)  2,557,164  2,045,731 
 
Total asset-backed securities (cost $376,791,016)    $346,452,734 
 
SENIOR LOANS (7.4%)(a)(c)     
  Principal amount  Value 
Basic Materials (0.8%)     
Aleris International, Inc. bank term loan FRN Ser. B,     
7.003s, 2013  $1,091,729  $990,744 
Celanese Corp. bank term loan FRN Ser. B, 6.979s, 2014  1,243,750  1,198,318 
Domtar Corp. bank term loan FRN 6.403s, 2014 (Canada)  1,437,813  1,377,732 
Georgia-Pacific Corp. bank term loan FRN Ser. B,     
6.894s, 2013  3,831,750  3,647,347 
Georgia-Pacific Corp. bank term loan FRN Ser. B2,     
6.906s, 2012  1,091,750  1,039,210 
Hexion Specialty Chemicals, Inc. bank term loan FRN     
7.188s, 2013  1,039,500  1,002,468 
Hexion Specialty Chemicals, Inc. bank term loan FRN     
Ser. C, 7.44s, 2013  84,575  81,562 
Momentive Performance Materials, Inc. bank term loan     
FRN 7 1/8s, 2013  742,500  709,618 
NewPage Holding Corp. bank term loan FRN 8.688s, 2014  575,000  571,137 
Novelis, Inc. bank term loan FRN Ser. B, 7.2s, 2014  923,484  865,767 
Novelis, Inc. bank term loan FRN Ser. B, 7.2s, 2014  2,031,666  1,904,687 
Rockwood Specialties Group, Inc. bank term loan FRN     
Ser. E, 6.46s, 2012  5,555,000  5,348,232 
Smurfit-Stone Container Corp. bank term loan FRN     
5.22s, 2010  271,070  264,745 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
B, 7.171s, 2011  280,180  273,642 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
C, 7.154s, 2011  534,969  522,766 
    19,797,975 
 
Capital Goods (0.3%)     
BPC Holding Corp. bank term loan FRN 7.16s, 2015  595,500  555,469 
Graham Packaging Co., LP bank term loan FRN 7.498s,     
2011  397,000  380,872 
Hawker Beechcraft Acquisition Co., LLC bank term loan     
FRN 5.26s, 2014  41,931  39,782 
Hawker Beechcraft Acquisition Co., LLC bank term loan     
FRN Ser. B, 7.168s, 2014  493,069  467,799 
Hexcel Corp. bank term loan FRN Ser. B, 6.511s, 2012  1,796,015  1,760,094 
Mueller Water Products, Inc. bank term loan FRN Ser.     
B, 6.726s, 2014  1,432,488  1,351,313 
Polypore, Inc. bank term loan FRN Ser. B, 7.06s, 2014  417,858  403,233 
Sequa Corp. bank term loan FRN 8 1/2s, 2014  765,000  750,656 
Terex Corp. bank term loan FRN Ser. D, 6.948s, 2013  197,000  196,015 
Transdigm, Inc. bank term loan FRN 6.858s, 2013  1,050,000  1,021,781 
    6,927,014 
 
Communication Services (0.5%)     
Fairpoint Communications, Inc. bank term loan FRN Ser.     
B, 7s, 2012  2,500,000  2,452,500 
Hawaiian Telcom Communications, Inc. bank term loan     
FRN Ser. C, 7.45s, 2014  1,921,265  1,799,814 
Intelsat, Ltd. bank term loan FRN Ser. B, 7.225s, 2013     
(Bermuda)  2,623,500  2,595,953 
MetroPCS Wireless, Inc. bank term loan FRN 7.303s, 2013  987,500  947,451 
PanAmSat Corp. bank term loan FRN Ser. B, 7.225s, 2013  2,623,500  2,569,624 
Time Warner Telecom, Inc. bank term loan FRN Ser. B,     
6.83s, 2013  746,460  717,535 
    11,082,877 
 
Consumer Cyclicals (1.3%)     
Adesa, Inc. bank term loan FRN 7.45s, 2013  1,540,878  1,445,399 
Allison Transmission bank term loan FRN Ser. B,     
7.965s, 2014  1,080,000  1,007,679 

Cenveo, Inc. bank term loan FRN Ser. B, 6.66s, 2014  970,439  925,557 
Cenveo, Inc. bank term loan FRN Ser. DD, 6.66s, 2014  32,336  30,841 
Claire's Stores, Inc. bank term loan FRN 7.948s, 2014  2,368,100  1,989,796 
GateHouse Media, Inc. bank term loan FRN Ser. B,     
7.41s, 2014  885,000  773,269 
GateHouse Media, Inc. bank term loan FRN Ser. B,     
7.07s, 2014  2,337,717  1,989,397 
GateHouse Media, Inc. bank term loan FRN Ser. DD,     
7.236s, 2014  872,283  742,313 
Golden Nugget, Inc. bank term loan FRN Ser. B, 6.918s,     
2014  404,091  379,845 
Golden Nugget, Inc. bank term loan FRN Ser. DD,     
7 1/2s, 2014 (U)  230,909  217,055 
Goodyear Tire & Rubber Co. (The) bank term loan FRN     
6.85s, 2010  6,300,000  5,896,409 
Isle of Capri Casinos, Inc. bank term loan FRN 6.741s,     
2014    829,167  766,288 
Isle of Capri Casinos, Inc. bank term loan FRN Ser. A,     
7.11s, 2014 (U)  250,000  231,042 
Isle of Capri Casinos, Inc. bank term loan FRN Ser. B,     
6.572s, 2014  331,667  306,515 
Landsource, Inc. bank term loan FRN 7.725s, 2013  373,364  284,557 
Lear Corp bank term loan FRN 7.604s, 2013  2,243,209  2,170,305 
Michaels Stores, Inc. bank term loan FRN Ser. B,     
7.614s, 2013  1,432,764  1,313,584 
Neiman Marcus Group, Inc. bank term loan FRN Ser. B,     
6.939s, 2013  1,982,859  1,904,371 
Nortek Holdings, Inc. bank term loan FRN Ser. B,     
7.084s, 2011  1,117,111  1,033,328 
Reader's Digest Association, Inc. (The) bank term loan     
FRN 7.188s, 2014  1,691,500  1,527,988 
Standard-Pacific Corp. bank term loan FRN Ser. B,     
6.655s, 2013  427,500  313,500 
Tribune Co. bank term loan FRN Ser. B, 7.91s, 2014  3,855,625  3,268,606 
TRW Automotive, Inc. bank term loan FRN Ser. B,     
6.688s, 2014  758,100  737,884 
United Components, Inc. bank term loan FRN Ser. D,     
6.906s, 2012  1,793,262  1,721,531 
Visant Holding Corp. bank term loan FRN Ser. C,     
6.718s, 2010  1,393,665  1,364,050 
    32,341,109 
 
Consumer Staples (2.1%)     
Affinion Group, Inc. bank term loan FRN Ser. B, 7.48s,     
2013  3,445,460  3,304,771 
Cablevision Systems Corp. bank term loan FRN 6.896s,     
2013  4,863,375  4,589,377 
Cebridge Connections, Inc. bank term loan FRN Ser. B,     
7.214s, 2013  2,927,875  2,733,903 
Charter Communications, Inc. bank term loan FRN     
7.343s, 2014  900,000  813,000 
Charter Communications, Inc. bank term loan FRN 6.99s,     
2014  6,715,057  6,268,250 
Cinemark, Inc. bank term loan FRN 6.668s, 2013  1,178,401  1,113,036 
Citadel Communications bank term loan FRN Ser. B,     
6.662s, 2014  1,705,000  1,541,959 
Dean Foods Co. bank term loan FRN Ser. B, 6.95s, 2014  3,027,125  2,852,033 
Gray Television, Inc. bank term loan FRN Ser. B,     
6.73s, 2014  750,000  696,563 
Idearc, Inc. bank term loan FRN Ser. B, 7.2s, 2014  4,845,528  4,609,860 
Insight Midwest, LP bank term loan FRN 7s, 2014  2,143,525  2,065,822 
Jarden Corp. bank term loan FRN Ser. B1, 6.948s, 2012  1,074,936  1,036,119 
Jarden Corp. bank term loan FRN Ser. B2, 6.948s, 2012  472,720  455,650 
Mediacom Communications Corp. bank term loan FRN Ser.     
C, 6.686s, 2015  2,199,656  2,045,680 
Mediacom Communications Corp. bank term loan FRN Ser.     
DD, 6.686s, 2015  534,600  493,550 
MGM Studios, Inc. bank term loan FRN Ser. B, 8.448s,     
2011  4,323,000  3,997,794 
Pinnacle Foods Holding Corp. bank term loan FRN Ser.     
B, 7.948s, 2014  1,293,500  1,213,303 
Prestige Brands, Inc. bank term loan FRN Ser. B,     
6.978s, 2011  1,704,190  1,666,911 
R.H. Donnelley, Inc. bank term loan FRN 6.543s, 2011  2,320,696  2,243,532 
Rental Service Corp. bank term loan FRN 8 3/4s, 2013  2,045,000  1,898,441 
Six Flags Theme Parks bank term loan FRN 7.249s, 2015  2,625,805  2,404,072 
Spectrum Brands, Inc. bank term loan FRN 5.086s, 2013  75,952  73,254 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,     
9.121s, 2013  1,498,403  1,446,708 
Universal City Development Partners bank term loan FRN     
Ser. B, 6.84s, 2011  3,780,377  3,700,044 
Warner Music Group bank term loan FRN Ser. B, 7.071s,     
2011  907,029  865,645 
Young Broadcasting, Inc. bank term loan FRN Ser. B,     
7.674s, 2012  321,587  294,252 
    54,423,529 
 
Energy (0.3%)     
CR Gas Storage bank term loan FRN 7.323s, 2013  224,824  214,520 
CR Gas Storage bank term loan FRN 6.741s, 2013  245,103  233,869 
CR Gas Storage bank term loan FRN Ser. B, 7.323s, 2013  1,385,324  1,321,830 
CR Gas Storage bank term loan FRN Ser. DD, 6.808s, 2013  152,294  145,314 
Enterprise GP Holdings, LP bank term loan FRN 7.494s,     

2014  1,000,000  994,375 
EPCO Holding, Inc. bank term loan FRN Ser. A, 6.998s,     
2012  1,000,000  976,667 
Hercules Offshore, Inc. bank term loan FRN Ser. B,     
6.99s, 2013  263,675  254,974 
Meg Energy Corp. bank term loan FRN 7.2s, 2013 (Canada)  491,250  475,530 
Meg Energy Corp. bank term loan FRN Ser. DD, 6.23s,     
2013 (Canada) (U)  500,000  479,167 
Petroleum Geo-Services ASA bank term loan FRN 6.95s,     
2015 (Norway)  597,000  577,598 
Western Refining, Inc. bank term loan FRN 6.559s, 2014  2,864,179  2,716,195 
    8,390,039 
 
Financial (0.2%)     
Hub International, Ltd. bank term loan FRN Ser. B,     
7.704s, 2014    569,036  537,739 
Hub International, Ltd. bank term loan FRN Ser. DD,     
7.334s, 2014 (U)  127,755  120,728 
Nuveen Investments, Inc. bank term loan FRN Ser. B,     
7.837s, 2014  1,635,000  1,616,023 
Realogy Corp. bank term loan FRN 5.32s, 2013  849,519  739,554 
Realogy Corp. bank term loan FRN Ser. B, 8.24s, 2013  3,155,356  2,746,914 
    5,760,958 
 
Health Care (0.7%)     
Carestream Health, Inc. bank term loan FRN 7.113s, 2013  1,606,947  1,471,361 
Community Health Systems, Inc. bank term loan FRN Ser.     
B, 7.331s, 2014  2,380,464  2,287,973 
Community Health Systems, Inc. bank term loan FRN Ser.     
DD, 7 3/4s, 2014 (U)  121,079  116,375 
Concentra, Inc. bank term loan FRN Ser. B, 7.448s, 2014  940,275  877,590 
Davita, Inc. bank term loan FRN Ser. B, 6.706s, 2012  1,194,000  1,148,004 
Health Management Associates, Inc. bank term loan FRN     
6.943s, 2014  4,967,463  4,625,259 
Healthsouth Corp. bank term loan FRN Ser. B, 7.747s,     
2013  2,236,055  2,130,961 
Hologic, Inc. bank term loan FRN Ser. B1, 7.432s, 2013  281,949  280,891 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 10.61s, 2014  1,397,012  1,302,714 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 7.62s, 2014  76,312  72,051 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN Ser. B, 7.066s, 2014  831,238  784,828 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN Ser. DD, 7.151s, 2014 (U)  286,169  270,191 
LifePoint, Inc. bank term loan FRN Ser. B, 6.715s, 2012  1,191,232  1,132,946 
Mylan, Inc. bank term loan FRN Ser. B, 8.479s, 2014  645,000  637,878 
Psychiatric Solutions, Inc. bank term loan FRN Ser. B,     
6.782s, 2012  478,333  458,601 
Vanguard Health Systems, Inc. bank term loan FRN     
7.448s, 2011  975,267  941,133 
    18,538,756 
 
Technology (0.5%)     
Activant Solutions Holdings, Inc. bank term loan FRN     
Ser. B, 6.953s, 2013  730,000  681,638 
Affiliated Computer Services, Inc. bank term loan FRN     
Ser. B2, 7.032s, 2013  197,250  191,456 
AMI Semiconductor, Inc. bank term loan FRN 6.809s, 2012  2,513,307  2,437,908 
Aspect Software, Inc. bank term loan FRN 7.936s, 2011  132,983  128,328 
Compucom Systems, Inc. bank term loan FRN 8.33s, 2014  882,788  860,718 
First Data Corp. bank term loan FRN Ser. B1, 7.635s,     
2014  822,938  780,197 
First Data Corp. bank term loan FRN Ser. B3, 7.635s,     
2014  822,938  782,716 
Flextronics International, Ltd. bank term loan FRN     
Ser. B, 7.455s, 2014 (Singapore)  792,411  772,600 
Flextronics International, Ltd. bank term loan FRN     
Ser. B, 7.394s, 2014 (Singapore)  2,757,589  2,688,650 
JDA Software Group, Inc. bank term loan FRN Ser. B,     
7.494s, 2013  171,429  168,857 
Sabre Holdings Corp. bank term loan FRN 7.21s, 2014  1,117,579  1,017,505 
SunGard Data Systems, Inc. bank term loan FRN 6.898s,     
2014  2,431,625  2,345,251 
Travelport bank term loan FRN 7.698s, 2013  27,034  25,602 
Travelport bank term loan FRN Ser. B, 7.448s, 2013  134,733  127,596 
    13,009,022 
 
Transportation (0.2%)     
Delta Airlines, Inc. bank term loan FRN 6.84s, 2012  283,500  268,333 
Navistar Financial Corp. bank term loan FRN 6.953s,     
2012  729,333  700,889 
Navistar International Corp. bank term loan FRN     
8.234s, 2012  2,005,667  1,927,446 
United Airlines Corp. bank term loan FRN Ser. B,     
7 1/8s, 2014  2,330,972  2,172,336 
    5,069,004 
 
Utilities & Power (0.5%)     
Dynegy Holdings, Inc. bank term loan FRN 6.309s, 2013  3,090,000  2,895,586 
Energy Future Holdings bank term loan FRN Ser. B2,     
8.396s, 2014  2,185,000  2,144,033 

Energy Future Holdings bank term loan FRN Ser. B3,         
8.396s, 2014      2,915,000  2,863,160 
Mirant North America, LLC. bank term loan FRN 6.572s,         
2013      262,068  250,462 
NRG Energy, Inc. bank term loan FRN 8s, 2014 (U)      730,000  724,134 
NRG Energy, Inc. bank term loan FRN 6.948s, 2014      2,160,119  2,058,324 
NRG Energy, Inc. bank term loan FRN 6.848s, 2014      899,026  856,659 
Reliant Energy, Inc. bank term loan FRN 5.095s, 2014      1,820,000  1,710,800 
        13,503,158 
Total senior loans (cost $199,553,267)        $188,843,441 
 
PURCHASED OPTIONS OUTSTANDING (2.2%)(a)         
  Expiration date/    Contract   
  strike price    amount  Value 
Option on an interest rate swap with Citibank for         
the right to pay a fixed rate of 1.03% versus         
the six-month JPY-LIBOR-BBA maturing on         
January 26, 2009. (F)  Jan-08/1.03  JPY  29,255,000,000  $209,466 
Option on an interest rate swap with Citibank for         
the right to pay a fixed rate of 4.0625% versus         
the six-month EUR-EURIBOR-Telerate maturing on         
March 25, 2011.  Mar-09/4.063  EUR  35,950,000  507,549 
Option on an interest rate swap with Citibank for         
the right to pay a fixed rate of 4.16% versus         
the six-month EUR-EURIBOR-Telerate maturing on         
March 26, 2014.  Mar-12/4.16  EUR  25,130,000  478,435 
Option on an interest rate swap with Citibank, N.A.         
London for the right to receive a fixed rate         
of 4.0625% versus the six month EUR-EURIBOR-Telerate         
maturing March 25, 2011.  Mar-09/4.063  EUR  35,950,000  135,416 
Option on an interest rate swap with Citibank, N.A.         
London for the right to receive a fixed rate of 4.16%         
versus the six month EUR-EURIBOR-Telerate maturing         
March 26, 2014.  Mar-12/4.16  EUR  25,130,000  170,974 
Option on an interest rate swap with Goldman Sachs         
International for the right to pay a fixed rate         
of 4.965% versus the three month USD-LIBOR-BBA maturing         
April 29, 2013.  Apr-08/4.965    $7,000,000  16,450 
Option on an interest rate swap with Goldman Sachs         
International for the right to pay a fixed rate         
of 5.16% versus the three month USD-LIBOR-BBA maturing         
April 28, 2018.  Apr-08/5.16    84,303,000  580,005 
Option on an interest rate swap with Goldman Sachs         
International for the right to pay a fixed rate         
of 5.1975% versus the three month USD-LIBOR-BBA         
maturing on May 14, 2018.  May-08/5.198    103,636,000  749,288 
Option on an interest rate swap with Goldman Sachs         
International for the right to pay a fixed rate         
of 5.355% versus the three month USD-LIBOR-BBA maturing         
on November 12, 2019.  Nov-09/5.355    81,033,000  2,267,303 
Option on an interest rate swap with Goldman Sachs         
International for the right to receive a fixed rate         
swap of 4.965% versus the three month USD-LIBOR-BBA         
maturing April 29, 2013.  Apr-08/4.965    7,000,000  255,360 
Option on an interest rate swap with Goldman Sachs         
International for the right to receive a fixed rate         
of 5.16% versus the three month USD-LIBOR-BBA maturing         
April 28, 2018.  Apr-08/5.16    84,303,000  3,717,762 
Option on an interest rate swap with Goldman Sachs         
International for the right to receive a fixed rate         
of 5.1975% versus the three month USD-LIBOR-BBA         
maturing on May 14, 2018.  May-08/5.198    103,636,000  4,864,674 
Option on an interest rate swap with Goldman Sachs         
International for the right to receive a fixed rate         
of 5.355% versus the three month USD-LIBOR-BBA maturing         
November 12, 2019.  Nov-09/5.355    81,033,000  4,384,696 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.175%         
versus the three month USD-LIBOR-BBA maturing on         
April 29, 2018.  Apr-08/5.175    3,000,000  $19,950 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.215%         
versus the three month USD-LIBOR-BBA maturing on         
May 14, 2018.  May-08/5.215    42,824,000  296,342 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.22%         
versus the three month USD-LIBOR-BBA maturing on         
May 14, 2018.  May-08/5.22    116,652,000  796,733 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.235%         
versus the three month USD-LIBOR-BBA maturing on         
May 8, 2018.  May-08/5.235    73,066,000  464,700 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.355%         
versus the three month USD-LIBOR-BBA maturing         
November 12, 2019.  Nov-09/5.355    81,033,000  2,267,303 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.45%         
versus the three month USD-LIBOR-BBA maturing on         
May 28, 2018.  May-08/5.45    114,275,000  481,098 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.175% versus the three month USD-LIBOR-BBA maturing         

on April 29, 2018.  Apr-08/5.175    3,000,000  135,720 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.215% versus the three month USD-LIBOR-BBA maturing         
on May 14, 2018.  May-08/5.215    42,824,000  2,055,980 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.22% versus the three month USD-LIBOR-BBA maturing         
on May 14, 2018.  May-08/5.22    116,652,000  5,636,625 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.235% versus the three month USD-LIBOR-BBA maturing         
on May 08, 2018.  May-08/5.235    73,066,000  3,594,847 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.355% versus the three month USD-LIBOR-BBA maturing         
on November 12, 2019.  Nov-09/5.355    81,033,000  4,384,696 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.45% versus the three month USD-LIBOR-BBA maturing         
on May 28, 2018.  May-08/5.45    114,275,000  7,259,891 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to pay a fixed         
rate of 4.655% versus the three month USD-LIBOR-BBA         
maturing on March 10, 2018.  Mar-08/4.655    12,324,000  209,262 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to pay a fixed         
rate of 4.84% versus the three month USD-LIBOR-BBA         
maturing on March 11, 2018.  Mar-08/4.84    44,089,000  480,438 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to pay a fixed         
rate of 5.20% versus the three month USD-LIBOR-BBA         
maturing on May 14, 2018.  May-08/5.20    21,412,000  153,738 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to pay a fixed         
rate of 5.21% versus the three month USD-LIBOR-BBA         
maturing on May 14, 2018.  May-08/5.21    8,565,000  59,955 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to pay a fixed         
rate of 5.37% versus the three month USD-LIBOR-BBA         
maturing November 10, 2009.  Nov-09/5.37    81,033,000  2,231,649 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to receive         
a fixed rate of 4.655% versus the three month         
USD-LIBOR-BBA maturing on March 10, 2018.  Mar-08/4.655    12,324,000  188,187 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to receive         
a fixed rate of 4.84% versus the three month         
USD-LIBOR-BBA maturing on March 11, 2018.  Mar-08/4.84    44,089,000  1,040,941 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to receive         
a fixed rate of 5.20% versus the three month         
USD-LIBOR-BBA maturing on May 14, 2018.  May-08/5.20    21,412,000  1,008,291 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to receive         
a fixed rate of 5.21% versus the three month         
USD-LIBOR-BBA maturing on May 14, 2018.  May-08/5.21    8,565,000  408,551 
Option on an interest rate swap with Lehman Brothers         
Special Financing, Inc. for the right to receive         
a fixed rate of 5.37% versus the three month         
USD-LIBOR-BBA maturing November 10, 2009.  Nov-09/5.37    81,033,000  4,438,177 
 
Total purchased options outstanding (cost $43,523,682)        $55,950,452 
 
SHORT-TERM INVESTMENTS (5.6%)(a)         
      Principal   
      amount/shares  Value 
Egypt Treasury Bills for an effective yield of zero %,         
June 3, 2008    EGP  72,625,000  $12,753,760 
Putnam Prime Money Market Fund (e)      71,505,138  71,505,138 
Short-term investments held as collateral for loaned         
securities with yields ranging from 1.00% to 6.50% and         
due dates ranging from January 2, 2008 to         
February 22, 2008 (d)      $18,471,007  18,429,850 
U.S. Treasury Bills with effective yields ranging from         
2.90% to 4.005%, March 27, 2008 (SEG)      15,126,000  14,985,404 
Windmill Funding Corp. for an effective yield         
of 5.00%, January 10, 2008      25,000,000  24,968,750 
 
Total short-term investments (cost $142,661,094)        $142,642,902 
 
TOTAL INVESTMENTS         
Total investments (cost $2,868,824,945) (b)        $2,948,914,246 

FORWARD CURRENCY CONTRACTS TO BUY at 12/31/07 (aggregate face value $363,682,725) (Unaudited)     
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $114,331,147  $116,007,166  1/16/08  $(1,676,019) 
British Pound  17,035  17,105  3/19/08  (70) 
Canadian Dollar  19,621,094  19,390,102  1/16/08  230,992 
Danish Krone  2,102,655  2,104,573    3/19/08  (1,918) 
Euro  68,512,689  68,711,363  3/19/08  (198,674) 
Indian Rupee  7,482,139  7,469,747  2/20/08  12,392 
Malaysian Ringgit  8,210,182  8,167,566  2/20/08  42,616 
Mexican Peso  13,802,114  13,754,857  1/16/08  47,257 
Norwegian Krone  111,638,110  110,481,928  3/19/08  1,156,182 
Polish Zloty  16,471,275  16,579,699  3/19/08  (108,424) 
Swedish Krona  340,626  337,971  3/19/08  2,655 
Swiss Franc  671,408  660,648  3/19/08  10,760 
Total        $(482,251) 

FORWARD CURRENCY CONTRACTS TO SELL at 12/31/07 (aggregate face value $765,809,841) (Unaudited)     
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $12,640,321  $12,638,888    1/16/08  $(1,433) 
British Pound  126,561,253  129,636,734  3/19/08  3,075,481 
Canadian Dollar  78,446,895  78,707,841  1/16/08  260,946 
Euro  145,378,717  146,641,390  3/19/08  1,262,673 
Hungarian Forint  15,264,299  15,268,698  3/19/08  4,399 
Japanese Yen  205,168,157  202,128,417  2/20/08  (3,039,740) 
Korean Won  3,735,506  3,858,428  2/20/08  122,922 
Norwegian Krone  12,875,732  12,701,721  3/19/08  (174,011) 
South African Rand  13,292,049  12,991,957  1/16/08  (300,092) 
Swedish Krona  123,896,704  124,736,376    3/19/08  839,672 
Swiss Franc  26,613,252  26,462,805  3/19/08  (150,447) 
Taiwan Dollar  36,426  36,586  2/20/08  160 
Total        $1,900,530 

FUTURES CONTRACTS OUTSTANDING at 12/31/07 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury Bond 10 yr (Short)  983  $605,599,299  Mar-08  $642,603 
Canadian Government Bond 10 yr (Long)  49  5,672,489  Mar-08  (11,807) 
Euro-Bobl 5 yr (Short)  192  30,257,719  Mar-08  376,570 
Euro-Bund 10 yr (Short)  271  44,753,070  Mar-08  620,925 
Euro-Dollar 90 day (Long)  3,360  809,340,000  Sep-09  9,325,898 
Euro-Dollar 90 day (Short)  5,388  1,296,554,850  Jun-08  (12,892,789) 
Euro-Dollar 90 day (Short)  3,362  811,166,550  Sep-08  (9,750,232) 
Euro-Schatz 2 yr (Long)  5,282  797,044,247  Mar-08  (2,527,997) 
Japanese Government Bond 10 yr (Long)  248  304,595,386  Mar-08  1,554,883 
Japanese Government Bond 10 yr - Mini (Long)  2  245,552    Mar-08  1,573 
U.K. Gilt 10 yr (Long)  362  79,203,936  Mar-08  78,024 
U.S. Treasury Bond 20 yr (Long)  3,028  352,383,500  Mar-08  (2,203,825) 
U.S. Treasury Note 2 yr (Short)  837  175,979,250  Mar-08  (516,636) 
U.S. Treasury Note 5 yr (Short)  1,215  133,991,719  Mar-08  (728,441) 
U.S. Treasury Note 10 yr (Short)  886  100,464,094  Mar-08  (615,010) 
Total        $(16,646,261) 

WRITTEN OPTIONS OUTSTANDING at 12/31/07 (premiums received $42,065,324) (Unaudited)       
    Contract  Expiration date/   
    amount  strike price  Value 
Option on an interest rate swap with Citibank for the obligation to pay a fixed         
rate of 4.40% versus the six-month EUR-EURIBOR-Telerate maturing on         
March 28, 2022.  EUR  5,820,000  Mar-12/4.40  $137,910 
Option on an interest rate swap with Citibank for the obligation to pay a fixed         
rate of 4.56% versus the six-month EUR-EURIBOR-Telerate maturing on         
March 24, 2027.  EUR  5,270,000  Mar-17/4.56  167,964 
Option on an interest rate swap with Citibank for the obligation to receive a         
fixed rate of 4.40% versus the six-month EUR-EURIBOR-Telerate maturing on         
March 26, 2022.  EUR  5,820,000  Mar-12/4.40  474,229 
Option on an interest rate swap with Citibank for the obligation to receive a         
fixed rate of 4.56% versus the six-month EUR-EURIBOR-Telerate maturing on         
March 24, 2027.  EUR  5,270,000    Mar-17/4.56  421,873 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to pay a fixed rate of 4.775% versus the three month USD-LIBOR-BBA maturing on         
March 14, 2018.    $336,858,000  Mar-08/4.775  7,016,752 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to pay a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on         
December 19, 2018.    29,188,000  Dec-08/5.00  1,202,546 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on         
May 14, 2022.    21,412,000  May-12/5.51  1,193,505 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 4.775% versus the three month USD-LIBOR-BBA maturing         
on March 14, 2018.    336,858,000  Mar-08/4.775  4,382,523 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.00% versus the three month USD-LIBOR-BBA maturing on         
December 19, 2018.    29,188,000  Dec-08/5.00  706,350 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation         
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on         
May 14, 2022.    21,412,000  May-12/5.51  956,474 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for         
the obligation to pay a fixed rate of 4.775% versus the three month USD-LIBOR-BBA         
maturing on March 14, 2018.    449,145,000  Mar-08/4.775  9,355,690 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for         
the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA         
maturing on May 14, 2022.    10,706,000  May-12/5.515  599,643 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for         
the obligation to pay a fixed rate of 5.52% versus the three month USD-LIBOR-BBA         
maturing on May 14, 2022.    4,282,500  May-12/5.52  240,163 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for         
the obligation to receive a fixed rate of 4.775% versus the three month         
USD-LIBOR-BBA maturing on March 14, 2018.    449,145,000  Mar-08/4.775  5,843,376 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for         
the obligation to receive a fixed rate of 5.515% versus the three month         
USD-LIBOR-BBA maturing on May 14, 2022.    10,706,000  May-12/5.515  476,738 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for         
the obligation to receive a fixed rate of 5.52% versus the three month         
USD-LIBOR-BBA maturing on May 14, 2022.    4,282,500  May-12/5.52  189,972 
Option on an interest rate swap with Merrill Lynch Capital Services, Inc. for the         
obligation to pay a fixed rate of 5.83% versus the three month USD-LIBOR-BBA         
maturing on July 16, 2018.    200,144,000  Jul-08/5.83  17,680,720 
Option on an interest rate swap with Merrill Lynch Capital Services, Inc. for the         
obligation to receive a fixed rate of 5.83% versus the three month USD-LIBOR-BBA         
maturing on July 16, 2018.    200,144,000  Jul-08/5.83  474,341 
Total        $51,520,769 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/07 (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%  $62,025 
  185,536,000    9/24/09  3 month USD-LIBOR-BBA  4.7375%  4,838,714 
  42,000,000    1/27/14  4.35%  3 month USD-LIBOR-BBA  (435,231) 
Citibank, N.A.             
AUD  51,020,000    12/11/17  6 month AUD-BBR-BBSW  7.04%  (633,811) 
AUD  51,020,000    12/14/17  6 month AUD-BBR-BBSW  7.0875%  (509,929) 
  $70,920,000    7/27/09  5.504%  3 month USD-LIBOR-BBA  (2,753,203) 
  59,890,000    9/29/13  5.078%  3 month USD-LIBOR-BBA  (3,172,014) 
JPY  4,864,700,000    9/11/16  1.8675%  6 month JPY-LIBOR-BBA  (1,261,066) 
  $21,000,000    9/17/09  3 month USD-LIBOR-BBA  4.765%  550,959 
  148,961,000    11/23/17  4.885%  3 month USD-LIBOR-BBA  (2,521,868) 
  124,384,000    10/26/12  4.6275%  3 month USD-LIBOR-BBA  (2,250,063) 
  62,086,000    11/9/17  5.0825%  3 month USD-LIBOR-BBA  (2,070,756) 
  60,418,000    11/9/09  4.387%  3 month USD-LIBOR-BBA  (526,145) 
Citibank, N.A., London             
EUR  57,570,000    8/2/17  6 month EUR-EURIBOR-     
        Telerate  4.7476%  371,883 
JPY  6,200,000,000    2/10/16  6 month JPY-LIBOR-BBA  1.755%  1,339,819 
JPY  59,657,639,000    4/3/08  1.165%  6 month JPY-LIBOR-BBA  (128,952) 
Credit Suisse First Boston International           
  $42,918,600    7/9/14  4.945%  3 month USD-LIBOR-BBA  (1,873,489) 
Credit Suisse International             
EUR  120,880,000    7/4/15  3.93163%  6 month   
          EUR-EURIBOR-Telerate  9,380,572 
GBP  6,726,000  (F)  4/3/36  16,944,346 GBP at maturity  6 month GBP-LIBOR-BBA  1,402,931 
  $2,584,000    8/29/12  5.04556%  3 month USD-LIBOR-BBA  (128,938) 
  4,600,000    10/16/17  3 month USD-LIBOR-BBA  5.297%  230,701 
GBP  24,550,000    11/9/17  5.27125%  6 month GBP-LIBOR-BBA  (884,384) 
  $34,608,470    11/6/17  4.97021%  3 month USD-LIBOR-BBA  (844,640) 
Deutsche Bank AG             
ZAR  52,785,000    7/6/11  3 month ZAR-JIBAR-SAFEX  9.16%  (247,230) 
  $7,300,000    11/7/17  3 month USD-LIBOR-BBA  5.056%  228,461 
  10,536,000    10/16/17  3 month USD-LIBOR-BBA  5.297%  528,406 
  24,344,349    8/2/32  5.86%  3 month USD-LIBOR-BBA  (3,328,545) 
  21,693,259    8/2/22  3 month USD-LIBOR-BBA  5.7756%  2,388,174 
Goldman Sachs Capital Markets, L.P.           
  24,344,349    8/12/32  5.689%  3 month USD-LIBOR-BBA  (2,714,060) 
  21,693,259    8/12/22  3 month USD-LIBOR-BBA  5.601%  1,969,724 
  48,888,992    8/1/32  5.919%  3 month USD-LIBOR-BBA  (7,106,536) 
  43,565,000    8/1/22  3 month USD-LIBOR-BBA  5.845%  5,125,959 
Goldman Sachs International             
AUD  53,760,000    12/21/09  7.385%  3 month AUD-BBR-BBSW  58,551 
AUD  12,080,000    12/21/17  7.10%  6 month AUD-BBR-BBSW  57,913 
AUD  48,320,000    12/21/12  6 month AUD-BBR-BBSW  7.42%  (167,931) 
JPY  3,003,000,000    6/10/16  1.953%  6 month JPY-LIBOR-BBA  (942,034) 
  $300,300,000  (E)  3/10/10  4.779%  3 month USD-LIBOR-BBA  (6,002,997) 
  329,900,000  (E)  3/8/12  3 month USD-LIBOR-BBA  4.99%  3,427,661 
  93,119,100    9/21/17  5.149%  3 month USD-LIBOR-BBA  (4,783,761) 
  333,932,000    9/21/09  3 month USD-LIBOR-BBA  4.60%  7,773,102 
  4,600,000    9/14/17  5.0625%  3 month USD-LIBOR-BBA  (203,219) 
  9,430,000    9/14/14  4.906%  3 month USD-LIBOR-BBA  (387,790) 
  12,940,000    9/14/09  3 month USD-LIBOR-BBA  4.717%  324,292 
AUD  120,030,000  (E)  11/24/10  3 month AUD-BBR-BBSW  7.425%  (316,858) 
  $219,058,200    9/19/09  3 month USD-LIBOR-BBA  4.763%  5,792,080 
JPMorgan Chase Bank, N.A.             
  138,200,000    12/11/17  3 month USD-LIBOR-BBA  4.65%  (344,454) 
  49,000,000    5/10/35  5.062%  3 month USD-LIBOR-BBA  (308,100) 
  22,600,000    8/4/16  3 month USD-LIBOR-BBA  5.5195%  1,853,847 
  316,231,000    5/4/08  3 month USD-LIBOR-BBA  5.37%  907,781 
  102,399,000    5/4/16  5.62375%  3 month USD-LIBOR-BBA  (7,736,792) 
  40,100,000    8/4/08  3 month USD-LIBOR-BBA  5.40%  776,628 
JPY  21,270,000,000    6/6/13  1.83%  6 month JPY-LIBOR-BBA  (6,060,620) 
  $46,090,000    10/10/13  5.09%  3 month USD-LIBOR-BBA  (1,841,812) 

  649,451,000    4/27/09  5.034%  3 month USD-LIBOR-BBA  (8,788,293) 
  113,000,000    5/10/15  3 month USD-LIBOR-BBA  4.687%  1,551,764 
  33,130,000    10/10/13  5.054%  3 month USD-LIBOR-BBA  (1,253,646) 
  15,300,000    8/13/12  3 month USD-LIBOR-BBA  5.2%  876,261 
  3,640,000    11/7/17  3 month USD-LIBOR-BBA  5.05771%  114,437 
  171,199,000    10/30/12  4.68375%  3 month USD-LIBOR-BBA  (3,707,279) 
  12,715,000    8/29/17  5.2925%  3 month USD-LIBOR-BBA  (802,770) 
  263,238,000    11/30/17  4.705%  3 month USD-LIBOR-BBA  (617,257) 
  5,812,000    8/29/17  5.263%  3 month USD-LIBOR-BBA  (354,100) 
  62,800,000    9/11/27  5.27%  3 month USD-LIBOR-BBA  (3,121,416) 
  62,086,000    11/9/17  5.0895%  3 month USD-LIBOR-BBA  (2,106,152) 
  60,418,000    11/9/09  4.3975%  3 month USD-LIBOR-BBA  (538,540) 
  6,961,000    9/27/17  5.2335%  3 month USD-LIBOR-BBA  (405,567) 
  126,203,300    9/21/17  5.15%  3 month USD-LIBOR-BBA  (6,493,826) 
  452,683,600    9/21/09  3 month USD-LIBOR-BBA  4.6125%  10,648,124 
Lehman Brothers Special Financing, Inc.           
EUR  237,480,000    12/18/09  6 month EUR-EURIBOR-Reuters  4.662%  424,348 
GBP  24,550,000    12/4/17  6 month GBP-LIBOR-BBA  5.105%  235,417 
  $229,100,000    12/11/17  3 month USD-LIBOR-BBA  4.839%  3,066,726 
GBP  3,760,000    12/28/37  4.755%  6 month GBP-LIBOR-BBA  (108,686) 
GBP  15,200,000    12/27/17  6 month GBP-LIBOR-BBA  5.11%  226,329 
GBP  13,510,000    12/27/12  5.1825%  6 month GBP-LIBOR-BBA  (94,168) 
EUR  56,800,000    12/18/17  4.712%  6 month EUR-EURIBOR-Reuters  (299,517) 
JPY  12,649,000,000    10/21/15  1.61%  6 month JPY-LIBOR-BBA  (1,394,938) 
  $10,793,000    8/3/36  3 month USD-LIBOR-BBA  5.67%  1,237,928 
  19,202,000    8/3/08  5.425%  3 month USD-LIBOR-BBA  (385,193) 
  18,023,000    8/3/16  3 month USD-LIBOR-BBA  5.5675%  1,551,166 
  46,641,000    8/3/11  3 month USD-LIBOR-BBA  5.445%  2,909,106 
GBP  6,285,000  (F)  3/15/36  15,214,937.50 GBP at     
        maturity  6 month GBP-LIBOR-BBA  1,709,462 
  $145,451,000    6/14/17  3 month USD-LIBOR-BBA  5.8725%  13,809,754 
EUR  19,030,000    8/1/17  6 month EUR-EURIBOR-     
        Telerate  4.719%  60,963 
  $15,385,000    3/15/17  5.043%  3 month USD-LIBOR-BBA  (682,779) 
  175,332,000    3/15/09  4.9298%  3 month USD-LIBOR-BBA  (3,983,931) 
JPY  5,475,700,000    6/10/16  1.7775%  6 month JPY-LIBOR-BBA  (1,023,895) 
  $16,000,000    9/17/17  3 month USD-LIBOR-BBA  5.131%  797,815 
  11,783,000    9/11/17  5.0525%  3 month USD-LIBOR-BBA  (509,020) 
  1,690,000    11/7/17  3 month USD-LIBOR-BBA  5.05521%  52,787 
  274,079,000    8/31/09  3 month USD-LIBOR-BBA  4.89%  7,690,428 
  5,330,000    9/14/17  3 month USD-LIBOR-BBA  5.055%  232,206 
  155,441,000    10/26/12  4.61375%  3 month USD-LIBOR-BBA  (2,714,750) 
  126,203,300    9/24/17  5.285%  3 month USD-LIBOR-BBA  (7,888,320) 
  274,075,000    9/4/09  3 month USD-LIBOR-BBA  4.836%  7,360,566 
  57,894,000    9/4/27  5.4475%  3 month USD-LIBOR-BBA  (4,218,933) 
  297,315,000    9/11/09  3 month USD-LIBOR-BBA  4.6525%  6,989,064 
  57,895,000    8/31/27  5.4925%  3 month USD-LIBOR-BBA  (4,590,740) 
  42,650,000    7/2/12  3 month USD-LIBOR-BBA  5.522%  3,074,052 
GBP  24,550,000    11/9/17  5.275%  6 month GBP-LIBOR-BBA  (898,300) 
  $60,418,000    11/9/09  4.403%  3 month USD-LIBOR-BBA  (545,062) 
  62,086,000    11/9/17  5.067%  3 month USD-LIBOR-BBA  (1,993,000) 
  238,882,000    6/12/17  3 month USD-LIBOR-BBA  5.717%  19,776,065 
  149,371,600    9/19/09  3 month USD-LIBOR-BBA  4.755%  3,925,211 
  452,683,600    9/24/09  3 month USD-LIBOR-BBA  4.695%  11,437,114 
Merrill Lynch Capital Services, Inc.           
JPY  3,003,000,000    6/10/16  1.99625%  6 month JPY-LIBOR-BBA  (1,036,005) 
  $146,535,000    10/26/12  4.6165%  3 month USD-LIBOR-BBA  (2,577,520) 
  42,339,343    8/1/12  5.204%  3 month USD-LIBOR-BBA  (2,429,071) 
  43,565,000    8/1/22  3 month USD-LIBOR-BBA  5.845%  5,125,959 
  21,693,259    8/12/22  3 month USD-LIBOR-BBA  5.601%  1,969,724 
  21,082,941    8/13/12  4.94%  3 month USD-LIBOR-BBA  (957,483) 
Merrill Lynch Derivative Products AG           
JPY  1,501,500,000    6/11/17  2.05625%  6 month JPY-LIBOR-BBA  (530,474) 

Morgan Stanley Capital Services, Inc.           
EUR  15,500,000  (E)  3/3/38  6 month EUR-EURIBOR-Reuters  4.785%  (359,817) 
EUR  30,990,000  (E)  3/5/18  6 month EUR-EURIBOR-Reuters  4.5375%  652,439 
EUR  55,690,000  (E)  3/4/13  4.315%  6 month EUR-EURIBOR-Reuters  824,457 
EUR  130,740,000  (E)  3/3/10  6 month EUR-EURIBOR-Reuters  4.265%  (715,801) 
  $1,987,000    8/29/17  5.26021%  3 month USD-LIBOR-BBA  (120,603) 
EUR  15,500,000  (E)  2/12/38  6 month EUR-EURIBOR-Reuters  4.71%  (627,304) 
EUR  130,740,000  (E)  2/12/10  6 month EUR-EURIBOR-Reuters  4.305%  (648,993) 
EUR  30,990,000  (E)  2/12/18  4.525%  6 month EUR-EURIBOR-Reuters  699,041 
EUR  55,690,000  (E)  2/12/13  4.355%  6 month EUR-EURIBOR-Reuters  701,683 
EUR  30,990,000  (E)  2/12/18  4.54%  6 month EUR-EURIBOR-Reuters  646,557 
  $15,000,000    5/17/12  3 month USD-LIBOR-BBA  5.7775%  1,005,025 
  2,000,000    10/2/10  6.94%  3 month USD-LIBOR-BBA  (166,342) 
EUR  15,500,000  (E)  2/11/38  6 month EUR-EURIBOR-Reuters  4.70%  (662,380) 
EUR  55,690,000  (E)  2/11/13  4.38%  6 month EUR-EURIBOR-Reuters  613,871 
EUR  130,740,000  (E)  2/11/10  6 month EUR-EURIBOR-Reuters  4.37%  (419,937) 
Total            $28,126,996 

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

(F) Is valued at fair value following procedures approved by the Trustees.

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/07 (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) 
Bank of America, N.A.           
  $73,010,000  (F)  5/2/08  10 bp plus  The spread  $(1,735,375) 
        change in spread  return of Banc   
        of Banc  of America   
        of America  Securities- CMBS   
        Securities AAA  AAA 10 year Index   
      10 yr Index    
      multiplied by    
      the modified    
        duration factor     
 
  55,460,000    3/3/08  (Banc  The spread  -- 
        of America  return of Banc   
        Securities AAA  of America   
        10 yr Index  Securities- CMBS   
        multiplied by  AAA 10 year Index   
      the modified    
        duration factor     
        minus 250 bp)     
 
  48,220,000  (F)  5/2/08  Banc of America  The spread  (176,678) 
        Securities AAA  return of Banc   
        10 yr Index  of America   
        multiplied by  Securities- CMBS   
        the modified  AAA 10 year Index   
        duration factor     
 
Citibank, N.A.             
  68,800,000  (F)  5/2/08  12.5 bp plus  The spread  (1,619,304) 
        change in spread  return of Banc   
        of Banc  of America   
        of America  Securities- CMBS   
        Securities AAA  AAA 10 year Index   
10 yr Index
multiplied by
the modified
        duration factor     
 
Credit Suisse International           
GBP  6,726,000    4/3/36  10,192,422 GBP  GBP Non-revised  (1,307,826) 
        at maturity  Retail Price   
          Index   
 
GBP  18,070,000    9/25/12  3,056,645 GBP at  GBP Non-revised  356,548 
        maturity  Retail Price   
          Index   
 
Deutsche Bank AG             
  $33,325,000  (F)  2/1/08  (75 bp minus  The spread  582,621 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index)     
 
  33,325,000  (F)  2/1/08  30 bp plus  The spread  (410,897) 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index     
 
Goldman Sachs International           
EUR  36,140,000    12/14/12  2.3775%  Eurostat  (50,091) 
          Eurozone HICP   
          excluding tobacco   
 
  $6,497,000    9/15/11  678 bp (1 month  Ford Credit Auto  63,380 
        USD-LIBOR-BBA)  Owner Trust   
          Series 2005-B   
          Class D   
 
  110,480,000  (F)  5/1/08  10 bp plus  The spread  2,935,675 
        change in spread  return of Banc   
        of Banc  of America   
        of America  Securities- CMBS   
        Securities AAA  AAA 10 year Index   
10 yr Index
multiplied by
the modified
        duration factor     
 
EUR  36,140,000    11/23/12  2.365%  Eurostat  (120,060) 
          Eurozone HICP   
          excluding tobacco   
 
GBP  18,070,000    10/16/12  3.09%  GBP Non-revised  313,615 
          UK Retail Price   
          Index excluding   
          tobacco   
 
GBP  18,070,000    9/20/12  3.170%  GBP Non-revised  349,482 
          UK Retail Price   

          Index excluding   
          tobacco   
 
GBP  18,070,000    9/13/12  3.110%  GBP Non-revised  253,875 
          UK Retail Price   
          Index excluding   
          tobacco   
 
  $419,347,000    2/1/08  (Beginning  The spread  7,475,156 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers Aaa   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
      minus 25 bp)    
 
  61,130,000    1/1/08  (10 bp plus  The spread  3,194,697 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index)     
 
JPMorgan Chase Bank, N.A.           
  32,453,000  (F)  4/30/08  110 bp plus Banc  The spread  415,398 
        of America  return of Banc   
        Securities AAA  of America   
        10 yr Index  Securities- CMBS   
        multiplied by  AAA 10 year Index   
the modified
        duration factor     
 
  49,000,000  (F)  4/30/08  Change in spread  The spread  (87,563) 
        of Banc  return of Banc   
        of America  of America   
        Securities AAA  Securities- CMBS   
        10 yr Index  AAA 10 year Index   
multiplied by
the modified
        duration factor     
        minus 47.5 bp     
 
  20,935,000  (F)  3/1/08  (Beginning  The spread  236,419 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 115 bp)     
 
  9,572,000  (F)  2/1/08  (Beginning  The spread  156,244 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
minus 50 bp)
 
  9,572,000  (F)  2/1/08  25 bp plus  The spread  (128,944) 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index     
 
  38,200,000  (F)  8/1/08  Change in spread  The spread  (503,400) 
        of Lehman  return of Lehman   
        Brothers AAA  Brothers AAA   
        8.5+ Commercial  8.5+ CMBS Index   
        Mortgage Backed  adjusted by   
        Securities Index  modified   
        minus 17.5 bp  duration factor   
 
Lehman Brothers Special Financing, Inc.         
  51,410,000    7/2/08  (Beginning  The spread  -- 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 225 bp)     
 
  53,898,000    6/2/08  (Beginning  The spread  -- 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 175 bp)     
 
  74,994,500    6/1/08  (Beginning  The spread  (391,621) 
        of period nominal  return of Lehman   

        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 500 bp)     
 
  88,760,000  (F)  6/2/08  (Beginning  The spread  (1,600,698) 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 300 bp)     
 
  40,403,000    5/1/08  195 bp plus  The spread  386,750 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index     
 
  17,600,000    6/1/08  (20 bp plus  The spread  (349,501) 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index)     
 
GBP  36,140,000  (F)  11/16/12  199,999 GBP at  GBP Non-revised  803,424 
        maturity  UK Retail Price   
          Index excluding   
          tobacco   
 
  $35,200,000    5/1/08  (Beginning  The spread  (373,155) 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 175 bp)     
 
  160,380,000    5/1/08  (Beginning  The spread  (918,496) 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
        minus 218.75 bp)     
 
EUR  36,140,000  (F)  11/12/12  (4,460,694 EUR  Eurostat  (290,204) 
        at maturity)  Eurozone HICP   
          excluding tobacco   
 
EUR  36,140,000  (F)  11/9/12  (4,510,302 EUR  Eurostat  (242,716) 
        at maturity)  Eurozone HICP   
          excluding tobacco   
 
  $352,420,000    5/1/08  15 bp plus  The spread  (2,961,739) 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index     
 
  161,578,000    5/1/08  50 bp plus  The spread  (2,736,970) 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index     
 
  16,991,000    4/1/08  Beginning  The spread  (403,941) 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
Securities Index  duration factor 
        minus 10 bp  
 
GBP  18,070,000  (F)  10/9/12  (3,002,949 GBP  GBP Non-revised  416,059 
        at maturity)  UK Retail Price   
          Index   
 
  $17,969,000    3/1/08  (2.5 bp plus  The spread  312,096 
        beginning  return of Lehman   
        of period nominal  Brothers AAA   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   

      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index)     
 
  75,517,000  3/1/08  Beginning  The spread  (925,748) 
      of period nominal  return of Lehman   
      spread of Lehman  Brothers AAA   
      Brothers AAA  8.5+ CMBS Index   
      8.5+ Commercial  adjusted by   
      Mortgage Backed  modified   
      Securities Index  duration factor   
minus 70 bp
 
  15,703,000    3/1/08  (Beginning  The spread  219,401 
      of period nominal  return of Lehman   
      spread of Lehman  Brothers AAA   
      Brothers AAA  8.5+ CMBS Index   
      8.5+ Commercial  adjusted by   
      Mortgage Backed  modified   
      Securities Index  duration factor   
      minus 120 bp)     
 
  980,000  2/1/08  (Beginning  The spread  15,780 
      of period nominal  return of Lehman   
      spread of Lehman  Brothers AAA   
      Brothers AAA  8.5+ CMBS Index   
      8.5+ Commercial  adjusted by   
      Mortgage Backed  modified   
      Securities Index  duration factor   
minus 45 bp)
 
  33,317,000  2/1/08  Beginning  The spread  (507,368) 
      of period nominal  return of Lehman   
      spread of Lehman  Brothers AAA   
      Brothers AAA  8.5+ CMBS Index   
      8.5+ Commercial  adjusted by   
      Mortgage Backed  modified   
      Securities Index  duration factor   
minus 50 bp
 
  66,331,000  2/1/08  57.5 bp plus  The spread  (1,237,146) 
      beginning  return of Lehman   
      of period nominal  Brothers AAA   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index     
 
GBP  6,285,000 (F)  3/15/36  9,512,647 GBP at  GBP Non-revised  (1,331,092) 
      maturity  Retail Price   
        Index   
 
  $16,001,000  1/1/08  (5 bp plus  The spread  814,744 
      beginning  return of Lehman   
      of period nominal  Brothers AAA   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index)     
 
  69,230,000  1/1/08  (Beginning  The spread  3,638,092 
      of period nominal  return of Lehman   
      spread of Lehman  Brothers AAA   
      Brothers AAA  8.5+ CMBS Index   
      8.5+ Commercial  adjusted by   
      Mortgage Backed  modified   
      Securities Index)  duration factor   
 
  69,230,000  1/1/08  (10 bp plus  The spread  3,600,978 
      beginning  return of Lehman   
      of period nominal  Brothers AAA   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index)     
 
Morgan Stanley & Co. International Limited         
  117,500,000  2/1/08  100 bp plus  The spread  (2,201,716) 
      beginning  return of Lehman   
      of period nominal  Brothers Aaa   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index     
 
Morgan Stanley Capital Services, Inc.         
EUR  38,640,000  12/20/12  2.395%  Eurostat  (57,373) 
        Eurozone HICP   
        excluding tobacco   
 
GBP  28,980,000  11/14/12  3.12625%  GBP Non-revised  481,911 
        UK Retail Price   
        Index excluding   
        tobacco   
 
  $24,620,000 (F)  4/30/08  120 bp plus Banc  The spread  329,096 
      of America  return of Banc   

        Securities AAA  of America   
        10 yr Index  Securities- CMBS   
        multiplied by  AAA 10 year Index   
the modified
        duration factor     
 
  13,000,000  (F)  5/2/08  10 bp plus Banc  The spread  (6,331) 
        of America  return of Banc   
        Securities AAA  of America   
        10 yr Index  Securities- CMBS   
        multiplied by  AAA 10 year Index   
the modified
        duration factor     
 
  39,530,000  (F)  4/30/08  Change in spread  The spread  (192,116) 
        of Banc  return of Banc   
        of America  of America   
        Securities AAA  Securities- CMBS   
        10 yr Index  AAA 10 year Index   
multiplied by
the modified
        duration factor     
minus 15 bp
 
  67,189,000  (F)  1/31/08  (Beginning  The spread  1,012,135 
        of period nominal  return of Lehman   
        spread of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
minus 25 bp)
 
  37,519,000    1/31/08  50 bp plus  The spread  (460,846) 
        change in spread  return of Lehman   
        of Lehman  Brothers AAA   
        Brothers AAA  8.5+ CMBS Index   
        8.5+ Commercial  adjusted by   
        Mortgage Backed  modified   
        Securities Index  duration factor   
 
  141,534,000  (F)  1/31/08  Change in spread  The spread  (3,013,401) 
        of Lehman  return of Lehman   
        Brothers AAA  Brothers AAA   
        8.5+ Commercial  8.5+ CMBS Index   
        Mortgage Backed  adjusted by   
        Securities Index  modified   
        minus 110 bp  duration factor   
 
  28,493,000    1/31/08  Change in spread  The spread  (423,312) 
        of Banc  return of Banc   
        of America  of America   
        Securities AAA  Securities- CMBS   
        10 yr Index  AAA 10 year Index   
multiplied by
the modified
        duration factor     
minus 80 bp
 
  28,493,000    1/31/08  Change in spread  The spread  (766,772) 
        of Lehman  return of Lehman   
        Brothers AAA  Brothers AAA   
        8.5+ Commercial  8.5+ CMBS Index   
        Mortgage Backed  adjusted by   
        Securities Index  modified   
        minus 70 bp  duration factor   
 
  150,900,000  (F)  1/31/08  40 bp plus  The spread  (3,499,522) 
        beginning  return of Lehman   
        of period nominal  Brothers Aaa   
        spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
        8.5+ Commercial  modified   
        Mortgage Backed  duration factor   
        Securities Index     
 
 
Total            $(2,668,346) 

(F) Is valued at fair value following procedures approved by the Trustees.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/07 (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.           
Abitibibowater Inc.,           
6 1/2%, 6/15/13  $--  $560,000  12/20/08  550 bp  $(9,445) 
 
DJ ABX NA CMBX BBB           
Index (F)  623  906,000  10/12/52  (134 bp)  181,674 
 
DJ CDX NA HY Series 9             
Index  55,890  29,808,000    12/20/12  (375 bp)  1,337,634 
 
Financial Security           
Assurance Inc.  --  2,480,000  12/20/12  95 bp  6,018 
 
Ford Motor Co., 7.45%,           
7/16/31  --  2,000,000    3/20/12  (525 bp)  135,660 
 
Ford Motor Credit Co.,           
7%, 10/1/13  --  6,000,000  3/20/12  285 bp  (646,260) 
 
Idearc, Inc, T/L B  --  2,400,000  6/20/12  (152 bp)  78,512 
 
Kinder Morgan, Inc.,           
6 1/2%, 9/1/12  --  7,850,000  6/20/12  (89 bp)  217,628 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  1,030,000  6/20/11  (101 bp)  (1,974) 
 
XL Capital Assurance           
Inc.  --  1,270,000  12/20/12  400 bp  (98,764) 
 
Bear Stearns Credit Products, Inc.           
Claire's Stores,           
9 5/8%, 6/1/15 (F)  --  285,000  6/20/12  230 bp  (45,039) 
 
Bear Stearns International, Ltd.           
DJ ABX NA CMBX BBB           
Index (F)  5,266  1,087,299  10/12/52  (134 bp)  222,547 
 
Citibank, N.A.           
Abitibibowater Inc.,           
6 1/2%, 6/15/13 (F)  --  560,000  12/20/08  825 bp  4,802 
 
Abitibibowater Inc.,           
6 1/2%, 6/15/13 (F)  --  570,000  12/20/08  725 bp  (2,398) 
 
Abitibibowater Inc.,           
6 1/2%, 6/15/13 (F)  --  560,000  12/20/08  800 bp  1,569 
 
DJ ABX HE A Index  11,045,115  15,556,500  1/25/38  369 bp  421,581 
 
DJ ABX HE AAA Index  2,706,831  9,333,900  1/25/38  76 bp  341,621 
 
Freescale           
Semiconductor, 8 7/8%,           
12/15/14  --  960,000  9/20/12  495 bp  (63,283) 
 
Credit Suisse First Boston International           
Ukraine Government,           
7.65%, 6/11/13  --  4,715,000  10/20/11  194 bp  (4,301) 
 
Credit Suisse International           
Advanced Micro Devices,           
7 3/4%, 11/1/12 (F)  --  870,000  6/20/09  165 bp  (26,343) 
 
Dynegy Holdings Inc.,           
6 7/8%, 4/1/11  --  610,000  6/20/17  297 bp  (69,022) 
 
Freeport-McMoRan Copper           
& Gold, Inc.  --  2,439,300  3/20/12  (82 bp)  (17,623) 
 
Freeport-McMoRan Copper           
& Gold, Inc.  --  2,440,000  3/20/12  41 bp  (20,187) 
 
Neiman Marcus Group,           
Inc., 9%, 10/15/15  --  1,475,000  3/20/12  (64 bp)  65,926 
 
Republic of Peru,           
8 3/4%, 11/21/33  --  2,500,000  4/20/17  125 bp  (30,312) 
 
Deutsche Bank AG           
DJ CDX NA IG Series 8           
Index 7-10% tranche  --  14,727,000  6/20/12  22 bp  (626,290) 
 
DJ LCDX NA Series 9.1           
Index 15-100% tranche  --  12,725,000  12/20/12  61.56 bp  (333,468) 
 
Ford Motor Credit Co.           
LLC., 7.25%, 10/25/11  --  6,960,000  9/20/10  (587 bp)  138,899 
 
Republic of Argentina,           
8.28%, 12/31/33  --  2,875,000  8/20/12  (380 bp)  15,764 
 
Republic of Brazil,           
12 1/4%, 3/6/30  --  3,770,000  10/20/17  105 bp  (82,306) 
 
Republic of Indonesia,           
6.75%, 2014  --  2,130,000  9/20/16  292 bp  137,563 
 
Republic of Peru,           
8 3/4%, 11/21/33  --  2,500,000  4/20/17  126 bp  (36,235) 
 
Republic of Turkey,           
11 7/8%, 1/15/30  --  3,735,000  6/20/14  195 bp  (1,409) 
 
Republic of Venezuela,           
9 1/4%, 9/15/27  --  2,420,000  6/20/14  220 bp  (288,002) 
 
Russian Federation,           
7 1/2%, 3/31/30  --  4,605,000  6/20/17  61 bp  (142,878) 
 
Russian Federation,           
7.5%, 3/31/30  --  3,115,000  8/20/17  86 bp  (31,200) 
 
United Mexican States,           
7.5%, 4/8/33  --  2,230,000  4/20/17  66 bp  (27,938) 
 
United Mexican States,           
7.5%, 4/8/33  --  6,115,000  3/20/14  56 bp  (56,060) 
 
Goldman Sachs International           
Advanced Micro Devices,           
7 3/4%, 11/1/12 (F)  --  1,715,000  3/20/09  515 bp  37,908 

Any one of the             
underlying securities             
in the basket of BB             
CMBS securities (F)  --    28,743,000  (a)  2.461%  1,456,804 
DJ ABX HE A Index  2,358,761    3,520,000  1/25/38  369 bp  (68,235) 
DJ ABX HE AAA Index  827,274    3,520,000  1/25/38  76 bp  (87,554) 
DJ CDX NA CMBX AAA Index  211,407    5,780,000  3/15/49  7 bp  36,933 
DJ CDX NA HY Series 9             
Index  1,999,600    49,990,000    12/20/12  375 bp  (149,970) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --    12,551,000  12/20/10  108.65 bp  (228,527) 
DJ CDX NA IG Series 8             
Index  453,933    30,190,000  6/20/12  35 bp  (174,723) 
DJ CDX NA IG Series 8             
Index 30-100% tranche  --    96,265,000  6/20/12  (2.75 bp)  541,000 
General Motors Corp.,             
7 1/8%, 7/15/13  --    5,930,000  9/20/08  620 bp  86,558 
General Motors Corp.,             
7 1/8%, 7/15/13  --    1,260,000  9/20/08  620 bp  18,392 
Lehman Brothers             
Holdings, 6 5/8%,             
1/18/12  --    4,785,000  9/20/17  (67.8 bp)  98,915 
Merrill Lynch & Co.,             
5%, 1/15/15  --    4,785,000  9/20/12  48 bp  (155,576) 
Merrill Lynch & Co.,             
5%, 1/15/15  --    4,785,000  9/20/17  (59.8 bp)  136,998 
Wind Acquisition             
9 3/4%, 12/1/15  --  EUR  2,480,000  12/20/10  (340 bp)  (23,627) 
JPMorgan Chase Bank, N.A.             
DJ CDX NA HY Series 9             
Index 25-35% tranche  --    $12,886,000  12/20/10  105.5 bp  (246,101) 
DJ CDX NA IG Series 9             
Index  --    42,530,000  12/20/12  (13.55 bp)  85,673 
DJ CDX NA IG Series 9             
Index 30-100% tranche  --    40,125,000  12/20/12  (5.8 bp)  222,031 
Freeport-McMoRan Copper             
& Gold, Inc.  --    4,878,600  3/20/12  (85 bp)  (34,069) 
Idearc, Inc T/L B L  --    2,400,000  6/20/12  79 bp  (138,904) 
Republic of Argentina,             
8.28%, 12/31/33  --    2,860,000  6/20/14  235 bp  (355,787) 
Republic of Indonesia,             
6.75%, 3/10/14  --    3,925,000  6/20/17  171.5 bp  (89,483) 
Republic of Turkey,             
11 7/8%, 1/15/30  --    4,010,000  5/20/17  230 bp  (3,948) 
Republic of Turkey,             
11 7/8%, 1/15/30  --    2,960,000  5/20/17  244 bp  25,831 
Russian Federation,             
7 1/2%, 3/31/30  --    1,955,000  5/20/17  60 bp  (60,468) 
Russian Federation,             
7.5%, 3/31/30  --    3,115,000  8/20/17  85 bp  (33,662) 
Russian Federation,             
7.5%, 3/31/30  --    4,675,000  8/20/12  65 bp  (33,560) 
Lehman Brothers Special Financing, Inc.             
Advanced Micro Devices,             
7 3/4%, 11/1/12 (F)  --    3,430,000  3/20/09  525 bp  80,406 
Bear Stearns Co. Inc.,             
5.3%, 10/30/15  --    4,785,000  9/20/17  (77 bp)  219,121 
Community Health             
Systems, 8 7/8%, 7/15/15  --    858,000  12/20/12  360 bp  (17,838) 
DJ ABX HE A Index  2,451,265    3,527,000  1/25/38  369 bp  33,440 
DJ ABX HE A Index  2,358,761    3,520,000  1/25/38  369 bp  (54,091) 
DJ ABX HE AAA Index  1,804,554    6,222,600  1/25/38  76 bp  232,902 
DJ ABX HE AAA Index  987,560    3,527,000  1/25/38  76 bp  96,992 
DJ ABX HE AAA Index  827,274    3,520,000  1/25/38  76 bp  (61,178) 
DJ ABX NA CMBX BBB             
Index (F)  667    161,825  10/12/52  (134 bp)  33,005 
DJ CDX NA CMBX AA Index             
(F)  (14,829)    468,000  3/15/49  (15 bp)  29,012 
DJ CDX NA CMBX AAA Index  299,047    5,410,000  12/13/49  8 bp  102,978 
DJ CDX NA HY Series 8             
Index 35-60% tranche  --    33,227,000  6/20/12  104 bp  (1,401,869) 
DJ CDX NA HY Series 8             
Index 35-60% tranche  --    175,133,000  6/20/12  95 bp  (8,048,350) 
DJ CDX NA HY Series 9             
Index  100,000    80,000,000  12/20/12  (375 bp)  3,540,001 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --    125,100,000  12/20/10  171 bp  (71,307) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --    50,900,000  12/20/10  90 bp  (1,195,132) 
DJ CDX NA HY Series 9             
Index 25-35% tranche  --    50,900,000  12/20/10  104.5 bp  (986,527) 
DJ CDX NA HY Series 9             
Index, 25-35% tranche  --    47,470,000  12/20/10  163 bp  (121,286) 

DJ CDX NA IG Series 8             
Index 30-100% tranche  --    49,036,900  6/20/12  (3.125 bp)  295,378 
 
DJ CDX NA IG Series 8             
Index 30-100% tranche  --    185,698,100  6/20/12  (8 bp)  725,375 
 
DJ LCDX NA Series 9.1             
Index 15-100% tranche  --    12,725,000  12/20/12  59.3 bp  (234,291) 
 
Fed Republic of Brazil,             
12.25%, 3/6/30  --    515,000  8/20/12  113 bp  5,114 
 
Fed Republic of Brazil,               
12.25%, 3/6/30  --    515,000  8/20/12  120 bp  6,668 
 
Freescale             
Semiconductor, 8 7/8%,             
12/15/14  --    2,329,000  6/20/10  (228 bp)  138,645 
 
Freescale             
Semiconductor, 8 7/8%,             
12/15/14  --    2,329,000  6/20/12  355 bp  (247,635) 
 
Goldman Sachs Group,             
Inc., 6.6%, 1/15/12  --    3,525,000  9/20/12  45.5 bp  (31,402) 
 
Goldman Sachs Group,             
Inc., 6.6%, 1/15/12  --    4,785,000  9/20/17  (58 bp)  (4,897) 
 
Morgan Stanley Dean             
Witter, 6.6%, 4/1/12  --    4,785,000  9/20/12  48 bp  (100,150) 
 
Morgan Stanley Dean             
Witter, 6.6%, 4/1/12  --    4,785,000  9/20/17  (60.5 bp)  88,417 
 
Republic of Argentina,             
8.28%, 12/31/33  --    4,060,000  5/20/17  296 bp  (578,690) 
 
Republic of Argentina,             
8.28%, 12/31/33  --    1,435,000  9/20/12  (469 bp)  (31,603) 
 
Republic of Ecuador,             
10%, 8/15/30  --    2,290,000  5/20/12  540 bp  14,348 
 
Republic of Ecuador,             
10%, 8/15/30  --    2,295,000  6/20/12  600 bp  52,014 
 
Republic of Ecuador,             
10%, 8/15/30  --    1,375,000  5/20/12  540 bp  8,615 
 
Republic of Peru,             
8 3/4%, 11/21/33  --    5,045,000  10/20/16  215 bp  280,251 
 
Republic of Turkey,             
11 7/8%, 1/15/30  --    5,740,000  5/20/17  228 bp  (4,770) 
 
Republic of Venezuela,             
9 1/4%, 9/15/27  --    4,830,000  5/20/08  (130 bp)  (3,220) 
 
Republic of Venezuela,             
9 1/4%, 9/15/27  --    4,830,000  5/20/12  183 bp  (398,064) 
 
Transocean, Inc.,             
7 3/8%, 4/15/18  --    1,000,000  3/20/18  (78.5 bp)  15,421 
 
United Mexican States,             
7.5%, 4/8/33  --    2,705,000  4/20/17  67 bp  (31,807) 
 
Wind Acquisition             
9 3/4%, 12/1/15  --  EUR  1,060,000  12/20/10  (357 bp)  (17,378) 
 
XL Capital Assurance             
Inc.  --    $3,700,000  12/20/12  400 bp  (287,737) 
 
Merrill Lynch Capital Services, Inc.             
Bombardier, Inc,             
6 3/4%, 5/1/12  --    4,865,000  6/20/12  (150 bp)  (43,761) 
 
D.R. Horton Inc.,             
7 7/8%, 8/15/11  --    3,320,000  9/20/11  (426 bp)  (38,866) 
 
General Motors Corp.,             
7 1/8%, 7/15/13  --    4,125,000  9/20/08  500 bp  23,664 
 
Pulte Homes Inc.,             
5.25%, 1/15/14  --    3,111,000  9/20/11  (482 bp)  (60,556) 
 
Merrill Lynch International             
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --    610,000  6/20/17  295 bp  (69,684) 
 
Morgan Stanley Capital Services, Inc.             
Advanced Micro Devices,             
7 3/4%, 11/1/12 (F)  --    1,250,000  6/20/09  190 bp  (18,299) 
 
Aramark Services, Inc.,             
8.5%, 2/1/15  --    560,000  12/20/12  355 bp  (12,142) 
 
Bombardier, Inc,             
6 3/4%, 5/1/12  --    2,430,000  6/20/12  (114 bp)  14,070 
 
DJ ABX NA CMBX BBB             
Index (F)  275    378,202  10/12/52  (134 bp)  75,853 
 
DJ CDX NA CMBX AAAA             
Index  4,209,325    160,380,000  2/17/51  35 bp  525,741 
 
DJ CDX NA HY Series 7             
Index  256,643    5,403,000  12/20/09  (325 bp)  213,779 
 
DJ CDX NA HY Series 9             
Index  2,998,800    74,970,000  12/20/12  375 bp  (224,910) 
 
DJ CDX NA IG Series 7             
Index 10-15% tranche  216,120    5,403,000  12/20/09  0 bp  (251,240) 
 
DJ CDX NA IG Series 8             
Index  175,286    14,579,000  6/20/12  35 bp  (128,298) 
 
Dominican Republic,             
8 5/8%, 4/20/27  --    5,020,000  11/20/11  (170 bp)  27,059 
 
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --    610,000  6/20/12  225 bp  (37,844) 
 
Freeport-McMoRan Copper             
& Gold, Inc.  --    2,439,300  3/20/12  (83 bp)  (16,292) 

Freeport-McMoRan Copper         
& Gold, Inc.  -- 7,317,200  3/20/12  44 bp  (58,634) 
 
Republic of Venezuela,         
9 1/4%, 9/15/27  -- 3,545,000  10/12/12  339 bp  (118,839) 
 
Target Corp., 4%,             
6/15/13  -- 4,745,000    6/20/17  (61.5 bp)  32,163 
 
Total        $(6,588,645) 

* 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.

(F) Is valued at fair value following procedures approved by the Trustees.

Key to holding's currency abbreviations

ARS Argentina Dollar
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
EGP Egyptian Pound
EUR Euro
GBP British Pound
IDR Indonesian Rupiah
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
SEK Swedish Krona
USD / $ United States Dollar
ZAR South African Rand

NOTES

(a) Percentages indicated are based on net assets of $2,564,428,292.

(b) The aggregate identified cost on a tax basis is $2,875,069,270, resulting in gross unrealized appreciation and depreciation of $170,012,345 and $96,167,369, respectively, or net unrealized appreciation of $73,844,976.

(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.

(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 December 31, 2007.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at December 31, 2007. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. At December 31, 2007, the value of securities loaned amounted to $17,987,101. The fund received cash collateral of $18,429,850 which is pooled with collateral of other Putnam funds into 57 issues of short-term investments.

(e) 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, a wholly-owned subsidiary of Putnam, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management 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 $599,651 for the period ended December 31, 2007. During the period ended December 31, 2007, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $178,828,946 and $107,323,808, respectively.

(F) 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.

(R) Real Estate Investment Trust.

(S) Securities on loan, in part or in entirety, at December 31, 2007.

(U) These securities, in part or in entirety, represent unfunded loan commitments. As of December 31, 2007, the fund had unfunded loan commitments of $1,908,521, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:

Borrower  Unfunded commitments 
Community Health Systems, Inc.  $121,079 
Golden Nugget, Inc.  230,909 
Hub International, Ltd.  87,843 
IASIS Healthcare, LLC/IASIS Capital Corp.  74,404 
Isle of Capri Casinos, Inc.  250,000 
Meg Energy Corp.  414,286 
NRG Energy, Inc.  730,000 
Totals  $1,908,521 

At December 31, 2007, liquid assets totaling $1,869,963,113 have been designated as collateral for open forward commitments, swap contracts, forward contracts, and futures contracts.

144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

December 31, 2007.

The dates shown on debt obligations are the original maturity dates.

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 December 31, 2007.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at December 31, 2007: (as a percentage of Portfolio Value)   
 
Argentina  1.4% 
Brazil  0.5 
Canada  1.2 
Cayman Islands  1.6 
France  4.4 
Germany  0.5 
Ireland  3.2 
Japan  5.7 
Luxembourg  1.5 
Mexico  0.6 
Russia  1.0 
Spain  0.8 
Sweden  1.3 
Turkey  0.5 
United Kingdom  2.5 
United States  70.8 
Other  2.5 
Total  100.0% 

Security valuation Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 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, which may be different by a material amount.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. 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 the cost of investments.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. 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. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. 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. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. 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. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. 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, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.

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/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 28, 2008

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: February 28, 2008

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 28, 2008