N-Q 1 a_divinctrust.htm PUTNAM DIVERSIFIED INCOME TRUST a_diverseinctrust.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: June 30, 2008     

Item 1. Schedule of Investments:

Putnam Diversified Income Trust
The fund's portfolio 6/30/08 (Unaudited)

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (93.9%)(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    $4,177,118  $4,319,075 
      4,319,075 
 
U.S. Government Agency Mortgage Obligations (93.7%)       
Federal Home Loan Mortgage Corporation Pass-Through       
Certificates       
6s, September 1, 2021    67,284  68,982 
5 1/2s, May 1, 2020    323,354  328,129 
Federal National Mortgage Association Pass-Through       
Certificates       
6 1/2s, with due dates from October 1, 2036 to       
August 1, 2037    4,244,678  4,372,922 
6s, April 1, 2021    3,475,314  3,565,455 
6s, TBA, July 1, 2038    39,000,000  39,338,204 
5 1/2s, with due dates from March 1, 2037 to       
January 1, 2038    11,624,771  11,472,199 
5 1/2s, with due dates from January 1, 2009 to       
February 1, 2021    3,950,639  4,008,911 
5 1/2s, TBA, August 1, 2038    27,000,000  26,539,102 
5 1/2s, TBA, July 1, 2038    985,000,000  970,532,813 
5s, TBA, August 1, 2038    325,000,000  310,730,485 
5s, TBA, July 1, 2038    728,000,000  697,571,857 
4 1/2s, with due dates from August 1, 2033 to       
October 1, 2035    12,303,051  11,431,953 
4s, with due dates from May 1, 2019 to       
September 1, 2020    754,207  721,452 
      2,080,682,464 
Total U.S. government and agency mortgage obligations (cost $2,086,764,692)      $2,085,001,539 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (42.7%)(a)       
    Principal amount  Value 
Asset Backed Funding Certificates 144A FRB Ser.       
06-OPT3, Class B, 4.983s, 2036    $129,000  $7,375 
Banc of America Alternative Loan Trust Ser. 06-7,       
Class A2, 5.707s, 2036    19,993,000  18,863,396 
Banc of America Commercial Mortgage, Inc.       
FRB Ser. 07-3, Class A3, 5.838s, 2049    765,000  746,001 
Ser. 07-2, Class A2, 5.634s, 2049 (F)    2,590,000  2,538,536 
Ser. 05-6, Class A2, 5.165s, 2047    4,776,000  4,714,542 
Ser. 07-5, Class XW, Interest Only (IO), 0.607s, 2051    233,700,002  5,770,946 
Banc of America Commercial Mortgage, Inc. 144A       
Ser. 01-1, Class J, 6 1/8s, 2036    1,170,000  1,135,112 
Ser. 01-1, Class K, 6 1/8s, 2036    2,633,000  2,079,368 
Banc of America Funding Corp. FRB Ser. 06-D,       
Class 6A1, 5.991s, 2036    14,768,884  11,741,263 
Bayview Commercial Asset Trust 144A       
Ser. 07-5A, IO, 1.55s, 2037    6,243,643  787,323 
Ser. 07-1, Class S, IO, 1.211s, 2037    13,890,204  1,358,462 
Bear Stearns Alternate Trust       
FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036    11,048,489  8,541,863 
FRB Ser. 05-7, Class 23A1, 5.694s, 2035    9,960,495  7,647,668 
Bear Stearns Commercial Mortgage Securities, Inc.       
FRB Ser. 00-WF2, Class F, 8.448s, 2032    1,174,000  1,096,843 
Ser. 07-PW17, Class A3, 5.736s, 2050    9,430,000  9,040,730 
Bear Stearns Commercial Mortgage Securities, Inc. 144A       
Ser. 07-PW18, Class X1, IO, 0.063s, 2050    274,740,620  2,289,496 
Broadgate Financing PLC sec. FRB Ser. D, 6.802s, 2023       
(United Kingdom)  GBP  2,613,550  3,920,019 
Citigroup Mortgage Loan Trust, Inc.       
FRB Ser. 06-AR5, Class 2A5A, 6.208s, 2036    $7,368,230  5,352,819 
FRB Ser. 06-AR7, Class 2A2A, 5.662s, 2036    1,267,688  953,936 
IFB Ser. 07-6, Class 2A5, IO, 4.168s, 2037    7,345,167  530,841 
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser.       
06-CD3, Class A4, 5.658s, 2048    483,000  475,584 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A       
Ser. 07-CD5, Class XS, IO, 0.067s, 2044    162,986,766  1,142,096 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,       
0.975s, 2017    24,371,406  867,279 
Countrywide Alternative Loan Trust       
Ser. 06-45T1, Class 2A2, 6s, 2037    4,593,317  3,738,530 
Ser. 06-J8, Class A4, 6s, 2037    11,472,021  9,349,697 
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 (F)    9,226,199  8,330,325 
IFB Ser. 04-2CB, Class 1A5, IO, 5.118s, 2034    8,874,072  464,502 
Countrywide Home Loans       
FRB Ser. 05-HYB7, Class 6A1, 5.713s, 2035    17,389,739  13,563,997 
Ser. 05-2, Class 2X, IO, 1.16s, 2035    20,070,583  413,956 
Countrywide Home Loans 144A Ser. 03-R4, Class 1A,       
Principal Only (PO), zero %, 2034    39,232  29,362 
Credit Suisse Mortgage Capital Certificates       
FRB Ser. 07-C4, Class A2, 6.005s, 2039    3,679,000  3,647,467 
Ser. 07-C5, Class A3, 5.694s, 2040    50,230,000  48,354,110 
CRESI Finance Limited Partnership 144A       
FRB Ser. 06-A, Class D, 3.283s, 2017    369,000  343,170 

FRB Ser. 06-A, Class C, 3.083s, 2017    1,093,000  1,021,955 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,       
Class B, 7s, 2033    10,010,766  10,020,777 
CS First Boston Mortgage Securities Corp. 144A       
Ser. 98-C2, Class F, 6 3/4s, 2030    8,998,000  8,811,388 
Ser. 98-C1, Class F, 6s, 2040    7,396,000  5,177,200 
Ser. 02-CP5, Class M, 5 1/4s, 2035 (F)    2,599,000  793,727 
FRB Ser. 05-TFLA, Class L, 4.321s, 2020    4,911,000  4,198,905 
FRB Ser. 05-TFLA, Class K, 3.771s, 2020    2,413,000  2,026,920 
Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1,       
Class X, IO, 0.771s, 2031    31,438,224  957,848 
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,       
6.04s, 2031 (F)    2,235,111  2,052,030 
DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,       
Class B5, 5.95s, 2031 (F)    7,128,872  5,794,287 
European Loan Conduit 144A FRB Ser. 22A, Class D,       
6.728s, 2014 (Ireland)  GBP  2,461,000  3,830,522 
European Prime Real Estate PLC 144A FRB Ser. 1-A,       
Class D, 6.721s, 2014 (United Kingdom)  GBP  1,731,319  2,821,082 
Fannie Mae       
IFB Ser. 06-70, Class SM, 33.724s, 2036    $735,929  950,133 
IFB Ser. 07-1, Class NR, 28.633s, 2037    3,723,578  4,207,256 
IFB Ser. 06-76, Class QB, 24.705s, 2036    4,758,413  5,986,345 
IFB Ser. 06-63, Class SP, 24.405s, 2036    5,209,707  6,472,254 
IFB Ser. 07-W7, Class 1A4, 24.285s, 2037    2,244,463  2,666,455 
IFB Ser. 06-104, Class GS, 21.747s, 2036    1,686,533  2,026,948 
IFB Ser. 06-60, Class TK, 18.67s, 2036    1,655,959  1,915,644 
IFB Ser. 05-25, Class PS, 17.237s, 2035    2,997,490  3,382,469 
IFB Ser. 05-74, Class CP, 15.648s, 2035    2,642,195  2,966,994 
IFB Ser. 05-115, Class NQ, 15.628s, 2036    1,346,688  1,446,883 
IFB Ser. 06-27, Class SP, 15.464s, 2036    3,551,871  3,954,819 
IFB Ser. 06-8, Class HP, 15.464s, 2036    3,806,387  4,229,206 
IFB Ser. 06-8, Class WK, 15.464s, 2036    6,030,587  6,648,645 
IFB Ser. 05-106, Class US, 15.464s, 2035    6,138,126  6,849,310 
IFB Ser. 05-99, Class SA, 15.464s, 2035    3,111,339  3,407,844 
IFB Ser. 06-60, Class CS, 14.988s, 2036    2,411,022  2,506,186 
IFB Ser. 05-74, Class CS, 13.193s, 2035    3,012,708  3,259,165 
IFB Ser. 04-79, Class S, 12.973s, 2032    3,719,434  3,884,586 
IFB Ser. 05-114, Class SP, 12.753s, 2036    1,682,439  1,744,380 
IFB Ser. 05-95, Class OP, 12.687s, 2035    1,895,829  1,937,914 
IFB Ser. 05-95, Class CP, 12.496s, 2035    421,645  454,812 
IFB Ser. 05-83, Class QP, 10.94s, 2034    1,077,486  1,072,269 
Ser. 03-W6, Class PT1, 9.958s, 2042    74,087  83,281 
Ser. 383, Class 90, IO, 8s, 2037    303,915  53,426 
Ser. 383, Class 91, IO, 8s, 2037    243,026  42,600 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043    1,745,329  1,867,962 
Ser. 02-T19, Class A3, 7 1/2s, 2042    1,041,059  1,110,346 
Ser. 02-T12, Class A3, 7 1/2s, 2042    259,462  275,540 
Ser. 02-14, Class A2, 7 1/2s, 2042    11,627  12,343 
Ser. 01-T10, Class A2, 7 1/2s, 2041    1,111,471  1,178,596 
Ser. 02-T4, Class A3, 7 1/2s, 2041    303,993  322,317 
Ser. 01-T3, Class A1, 7 1/2s, 2040    757,955  802,676 
Ser. 01-T1, Class A1, 7 1/2s, 2040    2,331,845  2,488,713 
Ser. 99-T2, Class A1, 7 1/2s, 2039    874,700  943,875 
Ser. 386, Class 26, IO, 7 1/2s, 2038    615,350  105,712 
Ser. 386, Class 27, IO, 7 1/2s, 2037    357,734  61,456 
Ser. 386, Class 28, IO, 7 1/2s, 2037    348,848  59,929 
Ser. 383, Class 88, IO, 7 1/2s, 2037    651,539  122,472 
Ser. 383, Class 89, IO, 7 1/2s, 2037    507,979  95,894 
Ser. 383, Class 87, IO, 7 1/2s, 2037    809,386  157,653 
Ser. 00-T6, Class A1, 7 1/2s, 2030    427,174  452,246 
Ser. 01-T4, Class A1, 7 1/2s, 2028    5,830,179  6,250,881 
Ser. 01-T10, Class A1, 7s, 2041    5,006,217  5,253,482 
Ser. 386, Class 24, IO, 7s, 2038    512,812  95,246 
Ser. 386, Class 25, IO, 7s, 2038    546,822  102,275 
Ser. 386, Class 22, IO, 7s, 2038    707,112  135,796 
Ser. 386, Class 21, IO, 7s, 2037    797,466  156,405 
Ser. 386, Class 23, IO, 7s, 2037    778,809  145,665 
Ser. 383, Class 84, IO, 7s, 2037    730,539  154,890 
Ser. 383, Class 85, IO, 7s, 2037    465,030  97,340 
Ser. 383, Class 86, IO, 7s, 2037    366,164  76,645 
Ser. 383, Class 79, IO, 7s, 2037    750,475  163,234 
Ser. 383, Class 80, IO, 7s, 2037    1,624,277  359,798 
Ser. 383, Class 81, IO, 7s, 2037    901,658  188,198 
Ser. 383, Class 82, IO, 7s, 2037    886,484  180,853 
Ser. 383, Class 83, IO, 7s, 2037    742,724  155,987 
Ser. 386, Class 20, IO, 6 1/2s, 2038    774,549  159,909 
Ser. 389, Class 7, IO, 6 1/2s, 2038    780,000  165,847 
Ser. 386, Class 14, IO, 6 1/2s, 2038    6,371,291  1,400,764 
Ser. 386, Class 12, IO, 6 1/2s, 2038    4,169,374  882,462 
Ser. 386, Class 19, IO, 6 1/2s, 2038    755,649  153,739 
Ser. 386, Class 15, IO, 6 1/2s, 2037    1,055,732  221,020 
Ser. 386, Class 17, IO, 6 1/2s, 2037    1,157,814  246,561 
Ser. 386, Class 18, IO, 6 1/2s, 2037    852,429  179,996 
Ser. 386, Class 13, IO, 6 1/2s, 2037    1,090,541  222,093 
Ser. 386, Class 16, IO, 6 1/2s, 2037    791,277  168,350 
Ser. 383, Class 60, IO, 6 1/2s, 2037    3,682,533  851,180 
Ser. 383, Class 62, IO, 6 1/2s, 2037    1,012,619  229,599 
Ser. 383, Class 69, IO, 6 1/2s, 2037    579,568  131,411 
Ser. 383, Class 63, IO, 6 1/2s, 2037    796,829  176,526 
Ser. 383, Class 64, IO, 6 1/2s, 2037    1,477,617  337,692 
Ser. 383, Class 67, IO, 6 1/2s, 2037    775,403  175,193 
Ser. 383, Class 68, IO, 6 1/2s, 2037    375,020  84,994 
Ser. 383, Class 58, IO, 6 1/2s, 2037    1,722,999  388,083 
Ser. 383, Class 59, IO, 6 1/2s, 2037    1,078,052  238,612 
Ser. 383, Class 61, IO, 6 1/2s, 2037    859,486  190,923 

Ser. 383, Class 65, IO, 6 1/2s, 2037  1,013,749  233,709 
Ser. 383, Class 66, IO, 6 1/2s, 2037  1,034,331  237,729 
Ser. 383, Class 72, IO, 6 1/2s, 2037  4,122,245  956,070 
Ser. 383, Class 77, IO, 6 1/2s, 2037  618,854  141,116 
Ser. 383, Class 78, IO, 6 1/2s, 2037  632,645  143,881 
Ser. 383, Class 73, IO, 6 1/2s, 2037  1,403,801  317,998 
Ser. 383, Class 76, IO, 6 1/2s, 2037  840,764  196,092 
Ser. 383, Class 70, IO, 6 1/2s, 2037  2,172,132  492,480 
Ser. 383, Class 74, IO, 6 1/2s, 2037  1,159,273  262,026 
Ser. 383, Class 71, IO, 6 1/2s, 2036  917,766  206,429 
Ser. 383, Class 75, IO, 6 1/2s, 2036  735,833  169,631 
Ser. 98-T2, Class A4, IO, 6 1/2s, 2036  131,965  40 
Ser. 371, Class 2, IO, 6 1/2s, 2036  76,024,947  20,201,769 
Ser. 383, Class 101, IO, 6 1/2s, 2022  360,998  56,803 
Ser. 383, Class 102, IO, 6 1/2s, 2022  212,828  33,275 
Ser. 389, Class 1, IO, 6s, 2038  898,000  195,131 
Ser. 389, Class 6, IO, 6s, 2038  1,010,000  191,730 
Ser. 386, Class 10, IO, 6s, 2038  553,150  122,986 
Ser. 386, Class 11, IO, 6s, 2038  369,162  83,812 
Ser. 386, Class 8, IO, 6s, 2038  4,499,242  962,127 
Ser. 389, Class 3, IO, 6s, 2038  1,585,000  366,123 
Ser. 383, Class 40, IO, 6s, 2038  7,056,786  1,621,762 
Ser. 383, Class 41, IO, 6s, 2038  6,195,966  1,422,695 
Ser. 383, Class 42, IO, 6s, 2038  4,479,618  1,033,964 
Ser. 383, Class 43, IO, 6s, 2038  4,048,585  937,306 
Ser. 383, Class 44, IO, 6s, 2038  3,698,962  853,776 
Ser. 383, Class 45, IO, 6s, 2038  2,847,492  665,494 
Ser. 383, Class 46, IO, 6s, 2038  2,475,794  578,375 
Ser. 383, Class 47, IO, 6s, 2038  2,192,190  512,122 
Ser. 383, Class 48, IO, 6s, 2038  1,966,835  460,851 
Ser. 383, Class 52, IO, 6s, 2038  798,517  187,101 
Ser. 389, Class 2, IO, 6s, 2038  1,258,000  262,664 
Ser. 389, Class 5, IO, 6s, 2038  1,873,000  415,625 
Ser. 389, Class 4, IO, 6s, 2038  1,874,000  397,272 
Ser. 386, Class 9, IO, 6s, 2038  3,536,195  784,111 
Ser. 383, Class 28, IO, 6s, 2038  7,386,993  1,715,438 
Ser. 383, Class 29, IO, 6s, 2038  6,264,444  1,458,511 
Ser. 383, Class 30, IO, 6s, 2038  4,902,109  1,149,653 
Ser. 383, Class 31, IO, 6s, 2038  4,327,436  1,014,880 
Ser. 383, Class 32, IO, 6s, 2038  3,353,496  792,836 
Ser. 383, Class 33, IO, 6s, 2038  2,871,305  678,833 
Ser. 383, Class 37, IO, 6s, 2038  1,113,685  265,301 
Ser. 386, Class 7, IO, 6s, 2038  4,311,949  1,040,987 
Ser. 383, Class 34, IO, 6s, 2037  1,162,104  269,054 
Ser. 383, Class 35, IO, 6s, 2037  961,978  222,144 
Ser. 383, Class 36, IO, 6s, 2037  757,295  175,710 
Ser. 383, Class 38, IO, 6s, 2037  473,907  109,484 
Ser. 383, Class 50, IO, 6s, 2037  1,345,955  306,901 
Ser. 386, Class 6, IO, 6s, 2037  2,077,444  477,875 
Ser. 383, Class 39, IO, 6s, 2037  316,783  72,489 
Ser. 383, Class 49, IO, 6s, 2037  1,014,041  233,043 
Ser. 383, Class 51, IO, 6s, 2037  1,047,482  238,844 
Ser. 383, Class 53, IO, 6s, 2037  386,731  89,070 
Ser. 383, Class 54, IO, 6s, 2037  251,614  57,926 
Ser. 383, Class 55, IO, 6s, 2037  210,216  48,668 
Ser. 383, Class 56, IO, 6s, 2037  122,194  28,375 
Ser. 383, Class 57, IO, 6s, 2037  639,285  147,557 
Ser. 383, Class 100, IO, 6s, 2022  368,359  57,847 
Ser. 383, Class 98, IO, 6s, 2022  1,134,927  183,106 
Ser. 383, Class 99, IO, 6s, 2022  500,432  78,438 
Ser. 383, Class 17, IO, 5 1/2s, 2038  5,806,704  1,341,622 
Ser. 383, Class 18, IO, 5 1/2s, 2038  3,872,711  899,412 
Ser. 383, Class 19, IO, 5 1/2s, 2038  3,534,290  820,816 
Ser. 383, Class 25, IO, 5 1/2s, 2038  604,847  135,344 
Ser. 386, Class 3, IO, 5 1/2s, 2037  2,138,982  487,853 
Ser. 386, Class 4, IO, 5 1/2s, 2037  871,637  202,364 
Ser. 386, Class 5, IO, 5 1/2s, 2037  561,733  132,487 
Ser. 383, Class 14, IO, 5 1/2s, 2037  1,383,748  322,768 
Ser. 383, Class 15, IO, 5 1/2s, 2037  536,306  122,370 
Ser. 383, Class 16, IO, 5 1/2s, 2037  232,088  55,270 
Ser. 383, Class 3, IO, 5 1/2s, 2037  6,114,316  1,401,824 
Ser. 383, Class 4, IO, 5 1/2s, 2037  5,401,599  1,245,952 
Ser. 383, Class 5, IO, 5 1/2s, 2037  3,429,485  791,057 
Ser. 383, Class 6, IO, 5 1/2s, 2037  3,082,498  713,172 
Ser. 383, Class 7, IO, 5 1/2s, 2037  3,038,184  700,798 
Ser. 383, Class 10, IO, 5 1/2s, 2037  1,118,032  268,369 
Ser. 383, Class 11, IO, 5 1/2s, 2037  776,836  184,533 
Ser. 383, Class 12, IO, 5 1/2s, 2037  710,787  169,269 
Ser. 383, Class 13, IO, 5 1/2s, 2037  714,752  170,213 
Ser. 383, Class 8, IO, 5 1/2s, 2037  1,227,044  294,535 
Ser. 383, Class 9, IO, 5 1/2s, 2037  1,170,607  280,988 
Ser. 383, Class 20, IO, 5 1/2s, 2037  2,182,825  517,393 
Ser. 383, Class 21, IO, 5 1/2s, 2037  2,064,054  489,240 
Ser. 383, Class 22, IO, 5 1/2s, 2037  1,398,287  330,598 
Ser. 383, Class 23, IO, 5 1/2s, 2037  1,262,043  298,386 
Ser. 383, Class 24, IO, 5 1/2s, 2037  886,424  202,595 
Ser. 383, Class 26, IO, 5 1/2s, 2037  649,824  154,416 
Ser. 383, Class 27, IO, 5 1/2s, 2037  189,975  44,461 
Ser. 363, Class 2, IO, 5 1/2s, 2035  7,072,862  1,851,847 
Ser. 383, Class 95, IO, 5 1/2s, 2022  1,773,708  294,147 
Ser. 383, Class 97, IO, 5 1/2s, 2022  751,630  120,022 
Ser. 383, Class 94, IO, 5 1/2s, 2022  890,934  145,286 
Ser. 383, Class 96, IO, 5 1/2s, 2022  974,472  151,537 
IFB Ser. 07-W6, Class 6A2, IO, 5.318s, 2037  4,315,663  458,493 
IFB Ser. 06-90, Class SE, IO, 5.318s, 2036  8,867,733  1,170,702 
IFB Ser. 04-51, Class XP, IO, 5.218s, 2034  8,931,644  1,010,043 

IFB Ser. 03-66, Class SA, IO, 5.168s, 2033  5,435,810  615,012 
IFB Ser. 08-7, Class SA, IO, 5.068s, 2038  21,538,582  2,703,523 
Ser. 386, Class 1, IO, 5s, 2037  160,002  38,643 
Ser. 386, Class 2, IO, 5s, 2037  128,346  30,971 
Ser. 383, Class 2, IO, 5s, 2037  576,241  138,651 
Ser. 383, Class 1, IO, 5s, 2037  1,247,130  292,759 
Ser. 389, Class 8, IO, 5s, 2023  699,000  93,645 
Ser. 383, Class 92, IO, 5s, 2022  773,489  122,045 
Ser. 383, Class 93, IO, 5s, 2022  417,241  67,027 
IFB Ser. 07-W6, Class 5A2, IO, 4.808s, 2037  5,626,289  582,034 
IFB Ser. 07-W2, Class 3A2, IO, 4.798s, 2037  6,200,988  610,304 
IFB Ser. 06-115, Class BI, IO, 4.778s, 2036  5,850,424  447,720 
IFB Ser. 05-113, Class AI, IO, 4.748s, 2036  2,843,233  311,552 
IFB Ser. 05-113, Class DI, IO, 4.748s, 2036  164,159  15,559 
IFB Ser. 08-36, Class YI, IO, 4.718s, 2036  9,760,082  1,018,391 
IFB Ser. 07-60, Class AX, IO, 4.668s, 2037  22,483,351  2,367,901 
IFB Ser. 06-60, Class SI, IO, 4.668s, 2036  6,026,491  664,922 
IFB Ser. 06-60, Class UI, IO, 4.668s, 2036  2,537,696  283,106 
IFB Ser. 04-12, Class WS, IO, 4.668s, 2033  2,863,989  268,466 
IFB Ser. 07-W7, Class 3A2, IO, 4.648s, 2037  8,225,410  767,888 
IFB Ser. 06-60, Class DI, IO, 4.588s, 2035  6,468,944  557,945 
IFB Ser. 03-130, Class BS, IO, 4.568s, 2033  13,014,122  1,259,544 
IFB Ser. 03-34, Class WS, IO, 4.518s, 2029  12,480,117  1,082,322 
IFB Ser. 08-10, Class LI, IO, 4.498s, 2038  12,506,147  1,327,157 
IFB Ser. 05-42, Class SA, IO, 4.318s, 2035  5,639,339  449,363 
IFB Ser. 07-39, Class LI, IO, 4.288s, 2037  6,730,461  650,380 
IFB Ser. 07-23, Class SI, IO, 4.288s, 2037  1,686,769  145,011 
IFB Ser. 07-54, Class CI, IO, 4.278s, 2037  5,898,959  578,301 
IFB Ser. 07-39, Class PI, IO, 4.278s, 2037  3,805,401  333,427 
IFB Ser. 07-30, Class WI, IO, 4.278s, 2037  20,709,426  1,703,786 
IFB Ser. 07-28, Class SE, IO, 4.268s, 2037  1,025,770  95,784 
IFB Ser. 07-22, Class S, IO, 4.268s, 2037  17,042,654  1,604,640 
IFB Ser. 06-128, Class SH, IO, 4.268s, 2037  4,271,851  351,274 
IFB Ser. 06-56, Class SM, IO, 4.268s, 2036  4,661,083  387,878 
IFB Ser. 05-90, Class SP, IO, 4.268s, 2035  2,807,964  237,520 
IFB Ser. 05-12, Class SC, IO, 4.268s, 2035  3,483,318  271,860 
IFB Ser. 05-45, Class PL, IO, 4.268s, 2034  5,693,852  543,068 
IFB Ser. 07-W5, Class 2A2, IO, 4.258s, 2037  1,828,927  144,712 
IFB Ser. 07-30, Class IE, IO, 4.258s, 2037  11,275,390  1,217,711 
IFB Ser. 06-123, Class CI, IO, 4.258s, 2037  10,671,507  1,012,745 
IFB Ser. 06-123, Class UI, IO, 4.258s, 2037  10,471,678  977,882 
IFB Ser. 07-15, Class BI, IO, 4.218s, 2037  17,801,951  1,636,840 
IFB Ser. 06-126, Class CS, IO, 4.218s, 2037  9,159,115  789,766 
IFB Ser. 06-16, Class SM, IO, 4.218s, 2036  10,840,939  997,359 
IFB Ser. 05-95, Class CI, IO, 4.218s, 2035  6,932,512  662,687 
IFB Ser. 05-84, Class SG, IO, 4.218s, 2035  10,815,204  1,041,188 
IFB Ser. 05-57, Class NI, IO, 4.218s, 2035  2,260,574  201,587 
IFB Ser. 05-29, Class SX, IO, 4.218s, 2035  6,188,584  553,222 
IFB Ser. 05-7, Class SC, IO, 4.218s, 2035  6,640,273  525,378 
IFB Ser. 04-92, Class S, IO, 4.218s, 2034  16,386,417  1,369,904 
IFB Ser. 06-104, Class EI, IO, 4.208s, 2036  6,392,494  558,992 
IFB Ser. 05-83, Class QI, IO, 4.208s, 2035  1,864,863  192,042 
IFB Ser. 06-128, Class GS, IO, 4.198s, 2037  6,666,168  632,339 
Ser. 06-116, Class ES, IO, 4.168s, 2036  834,673  67,690 
IFB Ser. 06-114, Class IS, IO, 4.168s, 2036  4,664,179  401,786 
IFB Ser. 04-92, Class SQ, IO, 4.167s, 2034  6,816,539  649,727 
IFB Ser. 06-115, Class IE, IO, 4.158s, 2036  3,651,668  328,668 
IFB Ser. 06-117, Class SA, IO, 4.158s, 2036  5,374,753  463,730 
IFB Ser. 06-121, Class SD, IO, 4.158s, 2036  646,024  56,247 
IFB Ser. 06-109, Class SG, IO, 4.148s, 2036  1,517,867  133,491 
IFB Ser. 06-104, Class SY, IO, 4.138s, 2036  1,362,026  110,964 
IFB Ser. 06-109, Class SH, IO, 4.138s, 2036  5,004,523  488,517 
IFB Ser. 06-111, Class SA, IO, 4.138s, 2036  31,939,209  2,994,512 
IFB Ser. 07-W6, Class 4A2, IO, 4.118s, 2037  25,179,511  2,174,816 
IFB Ser. 06-128, Class SC, IO, 4.118s, 2037  5,689,994  495,485 
IFB Ser. 06-43, Class SI, IO, 4.118s, 2036  12,482,731  1,048,762 
IFB Ser. 06-8, Class JH, IO, 4.118s, 2036  17,611,864  1,678,852 
IFB Ser. 05-122, Class SG, IO, 4.118s, 2035  5,423,759  488,399 
IFB Ser. 05-57, Class MS, IO, 4.118s, 2035  4,852,677  381,228 
IFB Ser. 05-95, Class OI, IO, 4.108s, 2035  1,045,945  99,727 
IFB Ser. 06-92, Class LI, IO, 4.098s, 2036  5,335,579  469,252 
IFB Ser. 06-99, Class AS, IO, 4.098s, 2036  1,609,074  143,600 
IFB Ser. 06-98, Class SQ, IO, 4.088s, 2036  12,203,574  1,062,635 
IFB Ser. 06-85, Class TS, IO, 4.078s, 2036  12,585,589  1,014,769 
IFB Ser. 07-75, Class PI, IO, 4.058s, 2037  6,798,224  554,209 
IFB Ser. 07-88, Class MI, IO, 4.038s, 2037  2,792,001  204,280 
IFB Ser. 07-103, Class AI, IO, 4.018s, 2037  25,033,019  2,115,577 
IFB Ser. 07-15, Class NI, IO, 4.018s, 2022  11,067,741  854,733 
IFB Ser. 07-106, Class SM, IO, 3.978s, 2037  15,588,004  1,195,631 
IFB Ser. 08-3, Class SC, IO, 3.968s, 2038  40,430,022  3,188,602 
IFB Ser. 07-109, Class XI, IO, 3.968s, 2037  4,203,035  349,202 
IFB Ser. 07-109, Class YI, IO, 3.968s, 2037  5,585,035  422,699 
IFB Ser. 07-W8, Class 2A2, IO, 3.968s, 2037  10,703,217  859,450 
IFB Ser. 07-88, Class JI, IO, 3.968s, 2037  8,693,038  728,658 
IFB Ser. 06-79, Class SH, IO, 3.968s, 2036  9,178,404  819,879 
IFB Ser. 07-54, Class KI, IO, 3.958s, 2037  2,889,416  212,930 
IFB Ser. 07-30, Class JS, IO, 3.958s, 2037  10,355,373  867,018 
IFB Ser. 07-30, Class LI, IO, 3.958s, 2037  9,386,952  808,580 
IFB Ser. 07-W2, Class 1A2, IO, 3.948s, 2037  4,923,321  408,136 
IFB Ser. 07-106, Class SN, IO, 3.928s, 2037  6,355,431  476,721 
IFB Ser. 07-54, Class IA, IO, 3.928s, 2037  5,186,554  440,949 
IFB Ser. 07-54, Class IB, IO, 3.928s, 2037  5,186,554  440,949 
IFB Ser. 07-54, Class IC, IO, 3.928s, 2037  5,186,554  440,949 
IFB Ser. 07-54, Class ID, IO, 3.928s, 2037  5,186,554  440,949 
IFB Ser. 07-54, Class IE, IO, 3.928s, 2037  5,186,554  440,949 
IFB Ser. 07-54, Class IF, IO, 3.928s, 2037  8,215,032  694,081 

IFB Ser. 07-54, Class NI, IO, 3.928s, 2037  4,969,127  404,009 
IFB Ser. 07-54, Class UI, IO, 3.928s, 2037  7,444,323  662,318 
IFB Ser. 07-91, Class AS, IO, 3.918s, 2037  4,450,465  338,240 
IFB Ser. 07-91, Class HS, IO, 3.918s, 2037  4,545,701  332,404 
IFB Ser. 07-15, Class CI, IO, 3.898s, 2037  19,829,107  1,664,927 
IFB Ser. 06-123, Class BI, IO, 3.898s, 2037  25,936,746  2,128,016 
IFB Ser. 06-115, Class JI, IO, 3.898s, 2036  14,398,588  1,209,594 
IFB Ser. 07-109, Class PI, IO, 3.868s, 2037  6,812,184  521,105 
IFB Ser. 06-123, Class LI, IO, 3.838s, 2037  9,613,134  770,644 
IFB Ser. 08-1, Class NI, IO, 3.768s, 2037  10,962,938  747,617 
IFB Ser. 08-10, Class GI, IO, 3.748s, 2038  8,477,834  602,438 
IFB Ser. 08-13, Class SA, IO, 3.738s, 2038  25,769,495  1,844,967 
IFB Ser. 07-39, Class AI, IO, 3.638s, 2037  9,109,866  655,913 
IFB Ser. 07-32, Class SD, IO, 3.628s, 2037  6,015,967  419,473 
IFB Ser. 07-30, Class UI, IO, 3.618s, 2037  5,067,066  382,475 
IFB Ser. 07-32, Class SC, IO, 3.618s, 2037  8,591,626  628,065 
IFB Ser. 07-1, Class CI, IO, 3.618s, 2037  5,791,873  428,658 
IFB Ser. 05-74, Class SE, IO, 3.618s, 2035  3,862,621  234,774 
IFB Ser. 05-92, Class US, IO, 3.618s, 2025  14,801,366  934,674 
IFB Ser. 05-14, Class SE, IO, 3.568s, 2035  5,573,658  347,493 
IFB Ser. 08-1, Class BI, IO, 3.428s, 2038  22,246,387  1,248,869 
IFB Ser. 07-75, Class ID, IO, 3.388s, 2037  7,458,905  505,568 
Ser. 03-W10, Class 3, IO, 1.935s, 2043  1,004,918  56,072 
FRB Ser. 03-W17, Class 12, IO, 1.15s, 2033  17,777,845  644,400 
Ser. 01-T1, Class 1, IO, 0.813s, 2040  944,938  18,065 
Ser. 00-T6, IO, 0.763s, 2030  16,138,731  278,365 
Ser. 03-W10, Class 3A, IO, 0.741s, 2043  33,166,925  582,669 
Ser. 03-W10, Class 1A, IO, 0.7s, 2043  26,804,069  391,550 
Ser. 02-T18, IO, 0.514s, 2042  47,673,602  767,647 
Ser. 02-W8, Class 1, IO, 0.346s, 2042  24,056,325  240,814 
Ser. 06-117, Class OA, PO, zero %, 2036  293,009  210,578 
Ser. 06-56, Class XF, zero %, 2036  367,226  341,960 
Ser. 04-38, Class AO, PO, zero %, 2034  2,167,964  1,558,487 
Ser. 04-61, Class CO, PO, zero %, 2031  2,767,023  2,307,928 
Ser. 99-51, Class N, PO, zero %, 2029  337,494  285,443 
Ser. 07-31, Class TS, IO, zero %, 2009  12,344,655  118,694 
Ser. 07-15, Class IM, IO, zero %, 2009  4,981,489  43,963 
Ser. 07-16, Class TS, IO, zero %, 2009 (F)  20,407,256  148,368 
FRB Ser. 05-91, Class EF, zero %, 2035  414,834  361,003 
FRB Ser. 06-54, Class CF, zero %, 2035  405,277  362,168 
Federal Home Loan Mortgage Corp. Structured     
Pass-Through Securities     
Ser. T-58, Class 4A, 7 1/2s, 2043  36,181  38,635 
Ser. T-42, Class A5, 7 1/2s, 2042  454,636  485,452 
Ser. T-60, Class 1A2, 7s, 2044  8,678,358  9,166,764 
IFB Ser. T-56, Class 2ASI, IO, 5.618s, 2043  3,171,753  357,774 
Ser. T-57, Class 1AX, IO, 0.45s, 2043  13,815,343  176,836 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,     
IO, 1.33s, 2020  28,164,254  1,433,777 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E,     
7.979s, 2039  2,990,648  2,990,648 
First Union Commercial Mortgage Trust 144A Ser. 99-C1,     
Class G, 5.35s, 2035  3,121,100  1,983,485 
First Union-Lehman Brothers Commercial Mortgage Trust     
II Ser. 97-C2, Class G, 7 1/2s, 2029  1,408,000  1,288,296 
Freddie Mac     
IFB Ser. 3153, Class JS, 20.744s, 2036  2,576,172  3,027,441 
IFB Ser. 3182, Class PS, 18.715s, 2032  3,172,178  3,779,514 
IFB Ser. 3182, Class SP, 18.715s, 2032  1,687,620  1,846,221 
IFB Ser. 3393, Class JS, 18.138s, 2032  2,450,993  2,483,752 
IFB Ser. 3081, Class DC, 18.039s, 2035  2,396,150  2,682,058 
IFB Ser. 3211, Class SI, IO, 17.275s, 2036  1,930,878  770,857 
IFB Ser. 3114, Class GK, 16.515s, 2036  1,507,673  1,663,167 
IFB Ser. 2979, Class AS, 15.212s, 2034  1,129,076  1,195,513 
IFB Ser. 3149, Class SU, 12.867s, 2036  1,834,660  1,869,439 
IFB Ser. 3065, Class DC, 12.446s, 2035  3,968,178  4,019,206 
IFB Ser. 3226, Class TY, 11.584s, 2036  4,878,193  5,068,319 
IFB Ser. 3012, Class FS, 10.697s, 2035  2,226,690  2,209,562 
IFB Ser. 246, Class S54, IO, 6.129s, 2037  26,773,206  3,363,384 
IFB Ser. 2828, Class GI, IO, 5.029s, 2034  402,947  45,709 
IFB Ser. 3184, Class SP, IO, 4.879s, 2033  9,338,228  873,745 
IFB Ser. 2869, Class JS, IO, 4.779s, 2034  894,137  71,140 
IFB Ser. 2882, Class LS, IO, 4.729s, 2034  4,195,903  445,865 
IFB Ser. 3203, Class SH, IO, 4.669s, 2036  5,246,286  591,655 
IFB Ser. 2594, Class SE, IO, 4.579s, 2030  1,598,956  114,127 
IFB Ser. 2828, Class TI, IO, 4.579s, 2030  3,379,621  300,220 
IFB Ser. 3397, Class GS, IO, 4.529s, 2037  4,332,771  352,727 
IFB Ser. 2852, Class VS, IO, 4.364s, 2034  355,459  42,127 
IFB Ser. 3297, Class BI, IO, 4.289s, 2037  16,460,680  1,589,122 
IFB Ser. 3287, Class SD, IO, 4.279s, 2037  4,913,026  431,128 
IFB Ser. 3281, Class BI, IO, 4.279s, 2037  2,874,850  268,094 
IFB Ser. 3281, Class CI, IO, 4.279s, 2037  4,120,559  338,770 
IFB Ser. 3249, Class SI, IO, 4.279s, 2036  2,741,091  267,308 
IFB Ser. 3028, Class ES, IO, 4.279s, 2035  18,087,602  1,692,683 
IFB Ser. 3042, Class SP, IO, 4.279s, 2035  4,819,708  444,734 
IFB Ser. 2990, Class TS, IO, 4.279s, 2035  5,870,222  423,160 
IFB Ser. 3045, Class DI, IO, 4.259s, 2035  30,275,148  2,392,962 
IFB Ser. 3236, Class ES, IO, 4.229s, 2036  492,926  40,352 
IFB Ser. 3136, Class NS, IO, 4.229s, 2036  3,676,505  304,088 
IFB Ser. 3107, Class DC, IO, 4.229s, 2035  17,252,518  1,658,744 
IFB Ser. 2950, Class SM, IO, 4.229s, 2016  2,172,911  176,149 
IFB Ser. 3256, Class S, IO, 4.219s, 2036  10,157,170  969,152 
IFB Ser. 3031, Class BI, IO, 4.219s, 2035  3,922,546  408,938 
IFB Ser. 3370, Class TS, IO, 4.199s, 2037  16,612,355  1,271,234 
IFB Ser. 3244, Class SB, IO, 4.189s, 2036  4,233,287  382,492 
IFB Ser. 3244, Class SG, IO, 4.189s, 2036  4,930,283  458,147 

IFB Ser. 3236, Class IS, IO, 4.179s, 2036  8,303,314  729,067 
IFB Ser. 3033, Class SG, IO, 4.179s, 2035  3,874,767  337,561 
IFB Ser. 3114, Class TS, IO, 4.179s, 2030  23,703,105  1,727,847 
IFB Ser. 3128, Class JI, IO, 4.159s, 2036  1,650,797  154,129 
IFB Ser. 3240, Class S, IO, 4.149s, 2036  16,749,965  1,503,691 
IFB Ser. 3229, Class BI, IO, 4.149s, 2036  522,478  42,402 
IFB Ser. 3153, Class JI, IO, 4.149s, 2036  7,406,053  583,217 
IFB Ser. 3065, Class DI, IO, 4.149s, 2035  2,740,698  280,234 
IFB Ser. 3145, Class GI, IO, 4.129s, 2036  1,352,331  132,280 
IFB Ser. 3218, Class AS, IO, 4.109s, 2036  5,341,138  452,250 
IFB Ser. 3221, Class SI, IO, 4.109s, 2036  6,693,853  571,087 
IFB Ser. 3424, Class XI, IO, 4.099s, 2036  10,768,591  945,242 
IFB Ser. 3202, Class PI, IO, 4.069s, 2036  18,452,429  1,597,969 
IFB Ser. 3355, Class MI, IO, 4.029s, 2037  4,755,708  381,696 
IFB Ser. 3201, Class SG, IO, 4.029s, 2036  8,481,976  731,202 
IFB Ser. 3203, Class SE, IO, 4.029s, 2036  7,642,840  646,164 
IFB Ser. 3238, Class LI, IO, 4.019s, 2036  5,543,244  470,018 
IFB Ser. 3171, Class PS, IO, 4.014s, 2036  6,894,201  569,692 
IFB Ser. 3152, Class SY, IO, 4.009s, 2036  12,935,268  1,200,218 
IFB Ser. 3366, Class SA, IO, 3.979s, 2037  10,223,152  852,653 
IFB Ser. 3284, Class BI, IO, 3.979s, 2037  4,846,113  394,495 
IFB Ser. 3260, Class SA, IO, 3.979s, 2037  4,743,771  339,374 
IFB Ser. 3199, Class S, IO, 3.979s, 2036  10,915,029  928,727 
IFB Ser. 3284, Class LI, IO, 3.969s, 2037  12,915,173  1,086,830 
IFB Ser. 3281, Class AI, IO, 3.959s, 2037  20,214,896  1,724,633 
IFB Ser. 3311, Class EI, IO, 3.939s, 2037  5,585,219  443,409 
IFB Ser. 3311, Class IA, IO, 3.939s, 2037  7,821,536  681,980 
IFB Ser. 3311, Class IB, IO, 3.939s, 2037  7,821,536  681,980 
IFB Ser. 3311, Class IC, IO, 3.939s, 2037  7,821,536  681,980 
IFB Ser. 3311, Class ID, IO, 3.939s, 2037  7,821,536  681,980 
IFB Ser. 3311, Class IE, IO, 3.939s, 2037  11,918,962  1,039,246 
IFB Ser. 3311, Class PI, IO, 3.939s, 2037  7,216,793  678,809 
IFB Ser. 3382, Class SI, IO, 3.929s, 2037  16,133,357  1,281,180 
IFB Ser. 3375, Class MS, IO, 3.929s, 2037  27,451,983  2,116,493 
IFB Ser. 3240, Class GS, IO, 3.909s, 2036  10,056,992  832,560 
IFB Ser. 3416, Class BI, IO, 3.779s, 2038  21,445,441  1,720,128 
IFB Ser. 2967, Class SA, IO, 3.679s, 2035  6,456,154  399,111 
IFB Ser. 3339, Class TI, IO, 3.669s, 2037  11,556,076  885,432 
IFB Ser. 3284, Class CI, IO, 3.649s, 2037  21,603,175  1,621,737 
IFB Ser. 3016, Class SQ, IO, 3.639s, 2035  6,673,671  390,610 
IFB Ser. 3424, Class UI, IO, 3.289s, 2037  7,575,372  492,197 
Ser. 246, PO, zero %, 2037  3,252,058  2,462,489 
Ser. 3292, Class DO, PO, zero %, 2037  534,011  384,446 
Ser. 3292, Class OA, PO, zero %, 2037  562,081  400,174 
Ser. 3300, PO, zero %, 2037  3,153,224  2,415,890 
Ser. 3139, Class CO, PO, zero %, 2036  923,864  668,653 
Ser. 2587, Class CO, PO, zero %, 2032  2,707,925  2,139,930 
Ser. 1208, Class F, PO, zero %, 2022  336,140  288,053 
FRB Ser. 3345, Class TY, zero %, 2037  877,516  723,950 
FRB Ser. 3326, Class XF, zero %, 2037  977,009  894,661 
FRB Ser. 3273, Class HF, zero %, 2037  172,861  171,463 
FRB Ser. 3235, Class TP, zero %, 2036  267,705  235,591 
FRB Ser. 3283, Class KF, zero %, 2036  357,420  369,442 
FRB Ser. 3226, Class YW, zero %, 2036  1,487,483  1,338,444 
FRB Ser. 3332, Class UA, zero %, 2036  376,855  358,292 
FRB Ser. 3251, Class TC, zero %, 2036  3,916,934  3,924,604 
FRB Ser. 3130, Class JF, zero %, 2036  1,303,337  1,247,741 
FRB Ser. 3326, Class WF, zero %, 2035  927,801  829,208 
FRB Ser. 3030, Class EF, zero %, 2035  430,761  376,596 
FRB Ser. 3412, Class UF, zero %, 2035  2,192,650  1,830,817 
FRB Ser. 2980, Class TY, zero %, 2035  189,138  152,655 
FRB Ser. 3112, Class XM, zero %, 2034  146,075  135,108 
GE Capital Commercial Mortgage Corp. 144A     
Ser. 00-1, Class F, 7.787s, 2033  1,354,000  1,380,617 
Ser. 00-1, Class G, 6.131s, 2033 (F)  4,588,975  3,315,428 
GMAC Commercial Mortgage Securities, Inc. 144A Ser.     
99-C3, Class G, 6.974s, 2036  4,134,628  4,047,156 
Government National Mortgage Association     
FRB Ser. 07-41, Class SA, 25.309s, 2037  541,355  664,586 
FRB Ser. 07-40, Class GS, 25.189s, 2037  211,479  254,573 
FRB Ser. 07-45, Class SA, 24.949s, 2037  183,289  219,611 
FRB Ser. 07-45, Class SB, 24.709s, 2037  183,289  218,278 
IFB Ser. 07-51, Class SP, 24.589s, 2037  461,498  540,770 
IFB Ser. 05-66, Class SP, 12.596s, 2035  2,229,408  2,228,288 
Ser. 07-17, Class CI, IO, 7 1/2s, 2037  3,191,017  801,137 
IFB Ser. 08-29, Class SA, IO, 5.298s, 2038  33,056,967  3,142,990 
IFB Ser. 08-42, Class AI, IO, 5.219s, 2038  36,517,551  5,335,203 
FRB Ser. 07-2, Class SA, IO, 4.898s, 2037  811,844  72,291 
IFB Ser. 06-69, Class SI, IO, 4.898s, 2036  6,706,871  660,859 
IFB Ser. 06-61, Class SM, IO, 4.898s, 2036  10,989,982  853,482 
IFB Ser. 06-62, Class SI, IO, 4.898s, 2036  5,760,629  491,434 
IFB Ser. 07-1, Class SL, IO, 4.878s, 2037  2,501,837  221,247 
IFB Ser. 07-1, Class SM, IO, 4.868s, 2037  2,485,596  219,138 
IFB Ser. 06-62, Class SA, IO, 4.858s, 2036  7,887,100  672,628 
IFB Ser. 06-64, Class SB, IO, 4.858s, 2036  8,057,930  741,031 
IFB Ser. 05-68, Class PU, IO, 4.818s, 2032  5,638,967  573,943 
IFB Ser. 04-59, Class SH, IO, 4.779s, 2034  2,452,757  237,814 
IFB Ser. 04-59, Class SC, IO, 4.729s, 2034  3,405,921  343,426 
IFB Ser. 04-26, Class IS, IO, 4.729s, 2034  6,049,528  388,770 
IFB Ser. 07-47, Class SA, IO, 4.629s, 2036  6,832,052  674,555 
IFB Ser. 07-49, Class NY, IO, 4.618s, 2035  21,663,142  1,898,766 
IFB Ser. 07-35, Class NY, IO, 4.429s, 2035  8,400,712  669,066 
IFB Ser. 07-26, Class SG, IO, 4.368s, 2037  8,152,459  692,277 
IFB Ser. 07-9, Class BI, IO, 4.338s, 2037  15,587,153  1,185,913 
IFB Ser. 07-26, Class SD, IO, 4.329s, 2037  8,503,100  658,176 
IFB Ser. 07-31, Class CI, IO, 4.328s, 2037  4,748,160  343,320 

IFB Ser. 07-25, Class SA, IO, 4.318s, 2037  5,943,373  428,618 
IFB Ser. 07-25, Class SB, IO, 4.318s, 2037  11,669,569  880,783 
IFB Ser. 07-22, Class S, IO, 4.318s, 2037  4,513,833  421,533 
IFB Ser. 07-11, Class SA, IO, 4.318s, 2037  4,313,706  352,589 
IFB Ser. 07-14, Class SB, IO, 4.318s, 2037  4,136,989  338,778 
IFB Ser. 06-69, Class SA, IO, 4.318s, 2036  12,918,305  1,067,421 
IFB Ser. 05-84, Class AS, IO, 4.318s, 2035  13,270,917  1,100,553 
FRB Ser. 07-40, Class SC, IO, 4.268s, 2037  667,382  47,128 
FRB Ser. 07-40, Class SD, IO, 4.268s, 2037  667,382  47,128 
FRB Ser. 07-40, Class SE, IO, 4.268s, 2037  667,382  47,128 
FRB Ser. 07-42, Class SC, IO, 4.268s, 2037  1,293,085  96,114 
IFB Ser. 07-40, Class SB, IO, 4.268s, 2037  13,161,482  976,220 
IFB Ser. 07-42, Class SB, IO, 4.268s, 2037  1,290,433  95,916 
IFB Ser. 07-51, Class SJ, IO, 4.268s, 2037  5,339,114  474,766 
IFB Ser. 07-53, Class SY, IO, 4.253s, 2037  11,594,756  1,077,547 
IFB Ser. 04-17, Class QN, IO, 4.229s, 2034  3,051,538  275,452 
FRB Ser. 07-41, Class SM, IO, 4.218s, 2037  1,871,518  153,031 
FRB Ser. 07-41, Class SN, IO, 4.218s, 2037  1,909,157  156,109 
IFB Ser. 07-58, Class PS, IO, 4.218s, 2037  3,518,473  280,334 
IFB Ser. 04-88, Class S, IO, 4.218s, 2032  7,125,863  434,232 
FRB Ser. 07-40, Class SG, IO, 4.198s, 2037  1,471,707  104,444 
IFB Ser. 07-59, Class PS, IO, 4.188s, 2037  4,186,730  323,810 
IFB Ser. 07-59, Class SP, IO, 4.188s, 2037  513,624  40,607 
IFB Ser. 07-48, Class SB, IO, 4.179s, 2037  7,006,312  466,137 
IFB Ser. 06-38, Class SG, IO, 4.168s, 2033  17,408,528  1,192,760 
FRB Ser. 07-45, Class QA, IO, 4.158s, 2037  1,293,162  91,764 
FRB Ser. 07-45, Class QB, IO, 4.118s, 2037  1,293,162  90,417 
IFB Ser. 07-53, Class SG, IO, 4.118s, 2037  3,225,570  214,981 
IFB Ser. 07-74, Class SI, IO, 4.099s, 2037  8,281,070  610,729 
IFB Ser. 07-51, Class SG, IO, 4.098s, 2037  27,125,157  1,884,427 
IFB Ser. 07-17, Class AI, IO, 4.079s, 2037  20,156,877  1,598,576 
IFB Ser. 08-3, Class SA, IO, 4.068s, 2038  10,273,210  637,153 
IFB Ser. 07-79, Class SY, IO, 4.068s, 2037  20,911,043  1,283,592 
IFB Ser. 07-64, Class AI, IO, 4.068s, 2037  2,121,778  143,225 
IFB Ser. 07-53, Class ES, IO, 4.068s, 2037  4,820,653  269,605 
IFB Ser. 07-78, Class SA, IO, 4.059s, 2037  33,677,093  2,286,641 
IFB Ser. 08-2, Class SB, IO, 4.038s, 2038  26,397,395  1,626,977 
IFB Ser. 07-10, Class SB, IO, 4.038s, 2037  35,634,537  2,686,924 
IFB Ser. 08-4, Class SA, IO, 4.034s, 2038  63,669,279  3,899,406 
IFB Ser. 08-2, Class SM, IO, 4.029s, 2038  20,258,932  1,454,591 
IFB Ser. 07-9, Class AI, IO, 4.029s, 2037  9,386,982  698,333 
IFB Ser. 07-9, Class DI, IO, 4.028s, 2037  7,918,487  541,074 
FRB Ser. 07-59, Class SC, IO, 4.018s, 2037  1,789,872  120,613 
IFB Ser. 07-57, Class QA, IO, 4.018s, 2037  11,468,697  689,102 
IFB Ser. 07-58, Class SA, IO, 4.018s, 2037  5,739,014  358,671 
IFB Ser. 07-58, Class SC, IO, 4.018s, 2037  9,216,190  491,304 
IFB Ser. 07-59, Class SA, IO, 4.018s, 2037  32,767,613  1,958,131 
IFB Ser. 07-61, Class SA, IO, 4.018s, 2037  6,149,882  403,455 
IFB Ser. 07-53, Class SC, IO, 4.018s, 2037  5,185,149  293,469 
IFB Ser. 08-34, Class SH, IO, 4.018s, 2037  10,894,369  776,224 
IFB Ser. 06-26, Class S, IO, 4.018s, 2036  43,574,535  3,440,537 
IFB Ser. 08-15, Class CI, IO, 4.008s, 2038  44,765,870  2,702,908 
IFB Ser. 07-58, Class SD, IO, 4.008s, 2037  8,750,848  459,993 
IFB Ser. 08-9, Class SK, IO, 3.998s, 2038  18,096,852  1,443,977 
IFB Ser. 08-6, Class SC, IO, 3.993s, 2038  45,300,009  2,744,592 
IFB Ser. 07-59, Class SD, IO, 3.988s, 2037  858,356  52,339 
IFB Ser. 06-49, Class SA, IO, 3.978s, 2036  15,358,130  1,042,243 
IFB Ser. 08-40, Class SA, IO, 3.929s, 2038  61,705,821  4,439,487 
IFB Ser. 05-92, Class S, IO, 3.918s, 2032  30,025,801  1,739,385 
IFB Ser. 05-71, Class SA, IO, 3.889s, 2035  14,915,699  1,068,143 
IFB Ser. 05-65, Class SI, IO, 3.868s, 2035  8,182,687  619,747 
IFB Ser. 06-7, Class SB, IO, 3.838s, 2036  1,534,004  100,292 
IFB Ser. 08-15, Class PI, IO, 3.818s, 2035  3,830,693  293,434 
IFB Ser. 06-16, Class SX, IO, 3.808s, 2036  15,454,502  1,113,590 
IFB Ser. 07-17, Class IB, IO, 3.768s, 2037  4,300,194  283,628 
IFB Ser. 06-14, Class S, IO, 3.768s, 2036  6,558,028  449,658 
IFB Ser. 05-57, Class PS, IO, 3.768s, 2035  8,793,333  614,561 
IFB Ser. 06-11, Class ST, IO, 3.758s, 2036  4,107,028  276,313 
IFB Ser. 07-25, Class KS, IO, 3.729s, 2037  9,318,290  712,113 
IFB Ser. 07-21, Class S, IO, 3.729s, 2037  315,092  19,268 
IFB Ser. 07-27, Class SD, IO, 3.718s, 2037  4,158,721  240,486 
IFB Ser. 07-19, Class SJ, IO, 3.718s, 2037  7,243,795  422,161 
IFB Ser. 07-23, Class ST, IO, 3.718s, 2037  9,152,834  512,916 
IFB Ser. 07-9, Class CI, IO, 3.718s, 2037  10,323,825  610,773 
IFB Ser. 07-7, Class EI, IO, 3.718s, 2037  4,603,137  267,926 
IFB Ser. 07-7, Class JI, IO, 3.718s, 2037  11,877,010  784,485 
IFB Ser. 07-1, Class S, IO, 3.718s, 2037  9,601,157  561,351 
IFB Ser. 07-3, Class SA, IO, 3.718s, 2037  9,171,215  534,462 
IFB Ser. 07-31, Class AI, IO, 3.709s, 2037  5,651,143  519,459 
IFB Ser. 05-17, Class S, IO, 3.698s, 2035  7,833,329  553,260 
IFB Ser. 07-62, Class S, IO, 3.679s, 2037  9,399,040  578,628 
IFB Ser. 07-43, Class SC, IO, 3.629s, 2037  7,920,038  464,439 
IFB Ser. 05-3, Class SN, IO, 3.618s, 2035  21,073,503  1,332,734 
IFB Ser. 07-73, Class MI, IO, 3.518s, 2037  3,553,698  174,636 
IFB Ser. 04-41, Class SG, IO, 3.518s, 2034  22,101,156  899,241 
Ser. 07-73, Class MO, PO, zero %, 2037  257,692  190,036 
Ser. 99-31, Class MP, PO, zero %, 2029  32,605  28,656 
FRB Ser. 07-71, Class TA, zero %, 2037  1,982,439  2,208,542 
FRB Ser. 07-71, Class UC, zero %, 2037  208,308  244,526 
FRB Ser. 07-73, Class KI, IO, zero %, 2037  2,581,013  70,794 
FRB Ser. 07-73, Class KM, zero %, 2037  258,510  259,517 
FRB Ser. 07-61, Class YC, zero %, 2037  2,787,651  2,771,833 
FRB Ser. 98-2, Class EA, PO, zero %, 2028  296,089  247,064 
GS Mortgage Securities Corp. II     
FRB Ser. 07-GG10, Class A3, 5.993s, 2045  1,506,000  1,461,466 
Ser. 06-GG6, Class A2, 5.506s, 2038 (F)  5,643,000  5,631,733 

GSMPS Mortgage Loan Trust 144A Ser. 01-2, IO, 0.201s,       
2032    1,162,443  6,166 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,       
2035 (Cayman Islands)    442,352  44,235 
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,       
6.135s, 2037    17,905,162  14,771,758 
IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,       
2.593s, 2037 (F)    1,718,036  1,481,342 
IndyMac Indx Mortgage Loan Trust       
FRB Ser. 06-AR25, Class 5A1, 6.333s, 2036    4,149,838  3,311,571 
FRB Ser. 07-AR15, Class 1A1, 6.248s, 2037    7,316,936  5,780,380 
FRB Ser. 07-AR9, Class 2A1, 6.077s, 2037    7,332,301  5,792,518 
FRB Ser. 07-AR11, Class 1A1, 5.65s, 2037 (F)    5,582,884  3,743,540 
FRB Ser. 05-AR31, Class 3A1, 5.643s, 2036 (F)    14,482,533  10,864,225 
JPMorgan Alternative Loan Trust       
FRB Ser. 06-A1, Class 5A1, 5.894s, 2036    5,153,389  4,122,711 
FRB Ser. 06-A6, Class 1A1, 2.553s, 2036    6,691,352  4,899,140 
JPMorgan Chase Commercial Mortgage Securities Corp.       
FRB Ser. 07-LD12, Class AM, 6.261s, 2051    2,318,000  2,147,766 
FRB Ser. 07-LD12, Class A3, 6.189s, 2051    11,043,000  10,709,943 
FRB Ser. 07-LD11, Class A3, 6.007s, 2049 (F)    1,878,000  1,811,405 
Ser. 07-CB20, Class A3, 5.863s, 2051    3,771,000  3,623,705 
Ser. 08-C2, Class X, IO, 0.647s, 2051    261,717,545  7,135,894 
JPMorgan Chase Commercial Mortgage Securities Corp.       
144A Ser. 07-CB20, Class X1, IO, 0.067s, 2051    280,398,138  3,199,343 
LB Commercial Conduit Mortgage Trust 144A       
Ser. 99-C1, Class G, 6.41s, 2031    1,960,723  1,421,100 
Ser. 98-C4, Class J, 5.6s, 2035    3,535,000  3,064,160 
LB-UBS Commercial Mortgage Trust       
Ser. 07-C6, Class A2, 5.845s, 2012    3,440,000  3,410,427 
Ser. 07-C7, Class XW, IO, 0.526s, 2045    273,333,768  6,403,937 
LB-UBS Commercial Mortgage Trust 144A Ser. 07-C7,       
Class XCL, IO, 0.087s, 2045    116,416,906  1,154,623 
Lehman Mortgage Trust       
IFB Ser. 07-5, Class 4A3, 25.185s, 2037    3,051,798  3,436,242 
IFB Ser. 07-5, Class 8A2, IO, 5.238s, 2036    5,729,258  480,043 
IFB Ser. 07-4, Class 3A2, IO, 4.718s, 2037    4,724,549  391,315 
IFB Ser. 06-5, Class 2A2, IO, 4.668s, 2036    10,701,038  840,188 
IFB Ser. 07-2, Class 2A13, IO, 4.208s, 2037    8,366,730  682,960 
IFB Ser. 06-7, Class 2A5, IO, 4.183s, 2036    15,771,291  1,220,716 
IFB Ser. 06-9, Class 2A2, IO, 4.138s, 2037    10,114,165  846,513 
IFB Ser. 06-7, Class 2A4, IO, 4.068s, 2036    16,940,392  1,158,142 
IFB Ser. 06-6, Class 1A2, IO, 4.018s, 2036    6,260,129  410,898 
IFB Ser. 06-6, Class 1A3, IO, 4.018s, 2036    9,043,956  627,773 
Local Insight Media Finance, LLC Ser. 07-1W, Class A1,       
5.53s, 2012    7,589,112  7,098,855 
Mach One Commercial Mortgage Trust 144A       
Ser. 04-1A, Class J, 5.45s, 2040 (Canada)    4,511,500  1,669,255 
Ser. 04-1A, Class K, 5.45s, 2040 (Canada)    1,653,000  528,960 
Ser. 04-1A, Class L, 5.45s, 2040 (Canada)    752,500  225,750 
MASTR Adjustable Rate Mortgages Trust FRB Ser. 04-13,       
Class 3A6, 3.788s, 2034    579,000  546,229 
MASTR Alternative Loans Trust Ser. 06-3, Class 1A1,       
6 1/4s, 2036    4,541,491  3,406,118 
Merrill Lynch Capital Funding Corp. Ser. 06-4,       
Class XC, IO, 0.099s, 2049    201,266,662  2,411,112 
Merrill Lynch Mortgage Investors, Inc.       
FRB Ser. 05-A9, Class 3A1, 5.274s, 2035    899,890  880,243 
Ser. 96-C2, Class JS, IO, 2.263s, 2028    6,745,251  439,858 
Merrill Lynch Mortgage Trust FRB Ser. 07-C1, Class A3,       
6.023s, 2050    1,006,000  977,231 
Merrill Lynch/Countrywide Commercial Mortgage Trust       
FRB Ser. 07-8, Class A2, 6.119s, 2049    1,827,000  1,796,001 
Mezz Cap Commercial Mortgage Trust Ser. 07-C5,       
Class X, 4.867s, 2017    11,180,404  2,680,049 
Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,       
Class X, IO, 8.008s, 2037    8,011,114  1,918,535 
Morgan Stanley Capital I       
FRB Ser. 08-T29, Class A3, 6.458s, 2043    2,439,000  2,504,438 
FRB Ser. 07-IQ14, Class AM, 5.877s, 2049    1,136,000  1,020,913 
Morgan Stanley Capital I 144A       
FRB Ser. 04-RR, Class F7, 6s, 2039    13,869,752  7,767,061 
Ser. 07-HQ13, Class X1, IO, 0.823s, 2044    126,606,672  3,952,660 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,       
Class 2A1, 5.275s, 2035    7,200,839  5,289,016 
Mortgage Capital Funding, Inc.       
FRB Ser. 98-MC2, Class E, 7.198s, 2030    2,378,284  2,444,852 
Ser. 97-MC2, Class X, IO, 1.988s, 2012    22,246  2 
Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,       
2.796s, 2033 (United Kingdom)    6,371,000  6,211,725 
Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,       
2.793s, 2033 (United Kingdom)    7,758,000  7,467,075 
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,       
Class J, 6 5/8s, 2010    880,000  633,846 
Residential Asset Securitization Trust       
Ser. 07-A5, Class 2A3, 6s, 2037    14,395,799  12,884,240 
IFB Ser. 07-A3, Class 2A2, IO, 4.208s, 2037    19,140,653  1,612,912 
Residential Mortgage Securities 144A FRB Ser. 20A,       
Class B1A, 6.491s, 2038 (United Kingdom)  GBP  765,320  915,261 
SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035    $1,580,000  1,467,662 
STRIPS 144A       
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)    1,339,000  1,017,640 
Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)    1,590,000  1,144,800 
Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)    1,438,000  1,006,600 
Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)    1,371,000  863,730 
Structured Adjustable Rate Mortgage Loan Trust FRB       

Ser. 06-9, Class 1A1, 5.694s, 2036    5,040,941  3,958,651 
Structured Asset Securities Corp.       
IFB Ser. 07-4, Class 1A3, IO, 3.768s, 2037    20,883,925  1,287,866 
Ser. 07-4, Class 1A4, IO, 1s, 2037    21,901,417  589,860 
Structured Asset Securities Corp. 144A       
IFB Ser. 08-01, Class 1A2, IO, 3.588s, 2045 (acquired       
3/4/08, cost $1,104,589) (RES)    16,350,625  939,262 
Ser. 07-RF1, Class 1A, IO, 3.399s, 2037    21,808,164  982,501 
Titan Europe PLC 144A       
FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (Ireland)  GBP  1,094,530  2,012,837 
FRB Ser. 05-CT1A, Class D, 7.095s, 2014 (Ireland)  GBP  2,491,896  3,971,893 
URSUS EPC 144A       
FRB Ser. 1-A, Class D, 6.938s, 2012 (Ireland)  GBP  1,477,734  2,663,533 
Ser. 1-A, Class X1, IO, 4.925s, 2012 (Ireland)  GBP  5,000  149,129 
Wachovia Bank Commercial Mortgage Trust       
Ser. 07-C30, Class A3, 5.246s, 2043    $11,512,000  11,240,599 
Ser. 07-C34, IO, 0.52s, 2046    76,134,896  1,644,514 
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser.       
05-WL5A, Class L, 5.771s, 2018    3,292,000  2,633,600 
Wells Fargo Mortgage Backed Securities Trust Ser.       
05-AR13, Class 1A4, IO, 0.742s, 2035    61,298,094  398,438 
 
Total collateralized mortgage obligations (cost $930,269,354)      $949,038,828 
 
CORPORATE BONDS AND NOTES (24.3%)(a)       
    Principal amount  Value 
Basic Materials (1.4%)       
Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,       
2015 (Canada)    $341,000  $323,950 
Bayer AG jr. unsec. sub. bond FRB 5s, 2105 (Germany)  EUR  819,000  1,094,716 
Builders FirstSource, Inc. company guaranty sr. sec.       
notes FRN 6.926s, 2012    $1,195,000  812,600 
Clondalkin Acquisition BV 144A company guaranty sr.       
sec. notes FRN 4.776s, 2013 (Netherlands)    885,000  778,800 
Compass Minerals International, Inc. sr. disc. notes       
Ser. B, 12s, 2013    1,047,000  1,101,968 
Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011       
(Canada)    640,000  643,200 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes       
8 3/8s, 2017    3,442,000  3,639,915 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes       
8 1/4s, 2015    1,722,000  1,777,965 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes       
FRN 5.883s, 2015 (S)    605,000  605,143 
Georgia-Pacific Corp. debs. 9 1/2s, 2011    239,000  242,884 
Georgia-Pacific Corp. notes 8 1/8s, 2011    230,000  227,125 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011       
(Canada)    2,431,000  2,525,201 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,       
ULC company guaranty 9 3/4s, 2014    475,000  429,875 
Huntsman International, LLC company guaranty sr.       
unsec. sub. notes 7 7/8s, 2014    3,981,000  3,642,615 
Momentive Performance Materials, Inc. company guaranty       
sr. unsec. notes 9 3/4s, 2014 (S)    1,114,000  952,470 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s,       
2016    951,000  1,012,815 
Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 3/8s,       
2014    574,000  599,830 
NewPage Corp. company guaranty 10s, 2012    1,691,000  1,712,138 
NewPage Holding Corp. sr. notes FRN 9.986s, 2013 (PIK)    366,175  353,359 
Norske Skog Canada, Ltd. company guaranty Ser. D,       
8 5/8s, 2011 (Canada)    82,000  69,700 
Novelis, Inc. company guaranty 7 1/4s, 2015    701,000  662,445 
Rhodia SA sr. unsec. FRN 7.497s, 2013 (France)  EUR  1,835,000  2,573,493 
Rockwood Specialties Group, Inc. company guaranty       
7 5/8s, 2014  EUR  1,400,000  2,004,218 
Steel Dynamics, Inc. company guaranty sr. unsec.       
unsub. notes 6 3/4s, 2015    $3,667,000  3,511,153 
Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016 (S)    706,000  702,470 
      32,000,048 
 
Capital Goods (1.5%)       
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016    394,000  382,180 
Berry Plastics Corp. company guaranty sr. sec. notes       
FRN 7.568s, 2015    3,425,000  3,279,438 
Bombardier, Inc. 144A sr. unsec. notes FRN 7.981s,       
2013 (Canada)  EUR  865,000  1,360,654 
Bombardier, Inc. 144A unsec. notes 6 3/4s, 2012       
(Canada)    $7,295,000  7,130,863 
Crown Americas, LLC/Crown Americas Capital Corp. sr.       
notes 7 5/8s, 2013    2,057,000  2,051,858 
General Cable Corp. company guaranty sr. unsec. notes       
FRN 5.073s, 2015    850,000  754,375 
Hawker Beechcraft Acquisition Co., LLC sr. sub. notes       
9 3/4s, 2017    1,066,000  1,066,000 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    305,000  296,613 
L-3 Communications Corp. company guaranty sr. unsec.       
sub. notes 6 1/8s, 2014    3,102,000  2,908,125 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    2,084,000  1,922,490 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    4,999,000  5,620,721 
Owens-Illinois, Inc. debs. 7 1/2s, 2010    453,000  460,928 
RBS Global, Inc. / Rexnord Corp. company guaranty       
9 1/2s, 2014    2,606,000  2,514,790 
Ryerson Tull, Inc. 144A sec. notes 12s, 2015    2,012,000  1,996,910 
Tekni-Plex, Inc. sec. notes 10 7/8s, 2012    550,000  558,250 

Terex Corp. company guaranty 7 3/8s, 2014    1,375,000  1,354,375 
      33,658,570 
 
Communication Services (1.5%)       
American Tower Corp. 144A sr. notes 7s, 2017 (S)    1,730,000  1,712,700 
Cincinnati Bell, Inc. company guaranty 7s, 2015    1,294,000  1,206,655 
Cricket Communications, Inc. company guaranty sr.       
unsec. notes Ser. *, 9 3/8s, 2014    1,765,000  1,698,813 
Cricket Communications, Inc. 144A company guaranty sr.       
notes 10s, 2015    2,065,000  2,023,700 
Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015       
(Jamaica)    1,095,000  1,033,406 
Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s,       
2012 (Jamaica)    1,050,000  1,080,188 
Inmarsat Finance PLC company guaranty stepped-coupon       
zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)    4,551,000  4,596,510 
iPCS, Inc. company guaranty sr. sec. notes FRN 4.998s,       
2013    575,000  517,500 
MetroPCS Wireless, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2014    370,000  356,125 
Qwest Communications International, Inc. company       
guaranty 7 1/2s, 2014    2,985,000  2,835,750 
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 (S)    610,000  587,125 
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012    4,691,000  4,784,820 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025    1,375,000  1,216,875 
Rural Cellular Corp. sr. unsec. sub. notes FRN 5.682s,       
2013    790,000  799,875 
West Corp. company guaranty 9 1/2s, 2014    528,000  475,200 
Wind Aquisition Fin. SA notes 9 3/4s, 2015       
(Netherlands)  EUR  5,355,000  8,475,757 
      33,400,999 
 
Consumer Cyclicals (3.3%)       
Allison Transmission 144A company guaranty 11s, 2015    $  350,000  313,250 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,       
2014    720,000  472,500 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014    1,325,000  1,020,250 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)    1,453,443  1,293,564 
Cenveo Corp. 144A company guaranty sr. unsec. notes       
10 1/2s, 2016    1,145,000  1,133,550 
D.R. Horton, Inc. company guaranty 8s, 2009    908,000  905,730 
D.R. Horton, Inc. company guaranty sr. unsub. notes       
5s, 2009    1,252,000  1,228,525 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011    3,460,000  3,321,600 
FelCor Lodging LP company guaranty 8 1/2s, 2011 (R)    3,792,000  3,706,680 
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011    3,013,000  2,531,177 
Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,       
2010    1,539,000  1,328,371 
Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009    883,000  804,218 
Hanesbrands, Inc. company guaranty sr. unsec. notes       
FRN Ser. B, 6.508s, 2014    1,280,000  1,190,400 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)    4,015,000  3,794,175 
Jostens IH Corp. company guaranty 7 5/8s, 2012    4,138,000  4,065,585 
Lamar Media Corp. sr. unsec. sub. notes Ser. C,       
6 5/8s, 2015    735,000  668,850 
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016    1,320,000  1,283,700 
Levi Strauss & Co. sr. unsec. unsub. notes 9 3/4s, 2015    3,326,000  3,342,630 
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,       
2015    1,765,000  1,557,613 
Meritage Homes Corp. company guaranty 6 1/4s, 2015    339,000  272,048 
Meritage Homes Corp. sr. notes 7s, 2014    332,000  268,920 
Meritor Automotive, Inc. notes 6.8s, 2009    1,596,000  1,570,065 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010    2,757,000  2,722,538 
MGM Mirage, Inc. company guaranty 6s, 2009    7,904,000  7,775,560 
NTK Holdings, Inc. sr. disc. notes zero %, 2014    794,000  361,270 
Oxford Industries, Inc. sr. notes 8 7/8s, 2011    2,940,000  2,837,100 
Pinnacle Entertainment, Inc. company guaranty sr.       
unsec. sub. notes 7 1/2s, 2015    1,295,000  990,675 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,       
2012    1,386,000  1,361,745 
Pulte Homes, Inc. company guaranty 7 7/8s, 2011    3,293,000  3,243,605 
Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s,       
2016 (Canada)    320,000  297,600 
R.H. Donnelley, Inc. 144A company guaranty sr. unsec.       
notes 11 3/4s, 2015    387,000  352,170 
Realogy Corp. company guaranty sr. unsec. notes       
10 1/2s, 2014 (R)    2,820,000  1,959,900 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014    525,000  430,500 
Station Casinos, Inc. sr. notes 6s, 2012    2,191,000  1,741,845 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014       
(S)    1,109,000  978,693 
Tenneco, Inc. 144A sr. unsec. notes 8 1/8s, 2015    1,530,000  1,384,650 
Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013    1,480,000  1,472,600 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.       
notes 8 1/2s, 2014    1,976,000  1,264,640 
THL Buildco, Inc. (Nortek Holdings, Inc.) 144A sr.       
sec. notes 10s, 2013    567,000  541,485 
Toll Brothers, Inc. company guaranty sr. unsec. sub.       
notes 8 1/4s, 2011    3,075,000  2,982,750 
Tropicana Entertainment, LLC sr. sub. notes 9 5/8s,       
2014 (In default) (NON)    1,180,000  560,500 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,       
2015    677,000  421,433 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009       
(In default) (NON)    2,855,000  1,256,200 

Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st       
mtge. 6 5/8s, 2014 (S)    2,605,000  2,383,575 
      73,394,435 
 
Consumer Staples (2.6%)       
Affinity Group, Inc. sr. sub. notes 9s, 2012    4,155,000  3,656,400 
AMC Entertainment, Inc. company guaranty 11s, 2016    1,152,000  1,140,480 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014    948,000  841,350 
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 (S)    1,280,000  982,400 
Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012    1,352,000  1,277,640 
CCH I Holdings, LLC company guaranty 12 1/8s, 2015    246,000  148,215 
CCH I, LLC sec. notes 11s, 2015    1,580,000  1,171,175 
CCH II, LLC sr. unsec. notes 10 1/4s, 2010    1,230,000  1,190,025 
CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010    5,326,000  5,139,590 
Church & Dwight Co., Inc. company guaranty 6s, 2012    3,512,000  3,371,520 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %       
(9 3/4s, 3/15/09), 2014 (STP)    1,995,000  1,895,250 
Clear Channel Communications, Inc. sr. unsec. notes       
5 1/2s, 2014    263,000  157,800 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012    2,150,000  2,021,000 
Dean Foods Co. company guaranty 7s, 2016    611,000  530,043 
Del Monte Corp. company guaranty 6 3/4s, 2015    1,780,000  1,695,450 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012    3,605,000  3,659,075 
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015    3,333,000  3,124,688 
DirecTV Holdings, LLC 144A sr. notes 7 5/8s, 2016    588,000  579,180 
Echostar DBS Corp. company guaranty 6 5/8s, 2014    12,957,000  11,985,225 
Grupo Televisa SA 144A sr. unsec. notes 6s, 2018       
(Mexico)    1,235,000  1,200,383 
Liberty Media, LLC sr. notes 5.7s, 2013    613,000  549,355 
Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009    758,000  765,377 
Nielsen Finance LLC/Nielsen Finance Co. company       
guaranty 10s, 2014    7,000  7,053 
Nielsen Finance LLC/Nielsen Finance Co. company       
guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016       
(STP)    1,752,000  1,204,500 
Nielsen Finance LLC/Nielsen Finance Co. 144A company       
guaranty sr. unsec. notes 10s, 2014    743,000  766,219 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012    2,384,000  2,384,000 
R.H. Donnelley Corp. sr. unsec. notes 6 7/8s, 2013    5,000  2,975 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,       
2012    1,852,000  1,879,780 
Rite Aid Corp. company guaranty 9 3/8s, 2015    1,114,000  746,380 
Rite Aid Corp. sec. notes 7 1/2s, 2017    1,275,000  1,029,563 
Sara Lee Corp. sr. unsec. unsub. notes 6 1/4s, 2011    1,340,000  1,371,904 
United Rentals NA, Inc. company guaranty 6 1/2s, 2012    152,000  136,800 
Young Broadcasting, Inc. company guaranty 10s, 2011    966,000  540,960 
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014    331,000  185,360 
      57,345,555 
 
Energy (4.2%)       
Arch Western Finance, LLC sr. notes 6 3/4s, 2013    5,575,000  5,463,500 
Chaparral Energy, Inc. company guaranty sr. unsec.       
notes 8 7/8s, 2017    1,310,000  1,136,425 
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014       
(Canada)    5,404,000  5,606,650 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013    5,575,000  5,575,000 
Complete Production Services, Inc. company guaranty       
8s, 2016 (S)    2,195,000  2,192,256 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012    3,895,000  3,826,838 
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,       
2015 (Canada)    945,000  996,975 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015    1,295,000  1,288,525 
Dong Energy A/S jr. unsec. sub. notes FRN 5 1/2s, 2035       
(Denmark)  EUR  819,000  1,178,659 
El Paso Natural Gas Co. debs. 8 5/8s, 2022    $1,315,000  1,459,203 
EXCO Resources, Inc. company guaranty 7 1/4s, 2011    3,185,000  3,129,263 
Forest Oil Corp. sr. notes 8s, 2011    3,730,000  3,841,900 
Gaz Capital for Gazprom 144A sr. unsec. notes 7.288s,       
2037 (Luxembourg)    1,280,000  1,176,320 
Gaz Capital SA 144A company guaranty sr. unsec. bond       
8.146s, 2018 (Luxembourg)    740,000  774,203 
Gaz Capital SA 144A company guaranty sr. unsec. bond       
7.343s, 2013 (Luxembourg)    800,000  824,592 
Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Luxembourg)    1,090,000  978,275 
Harvest Operations Corp. sr. notes 7 7/8s, 2011       
(Canada)    4,610,000  4,379,500 
Helix Energy Solutions Group, Inc. 144A sr. unsec.       
notes 9 1/2s, 2016    1,745,000  1,788,625 
Hornbeck Offshore Services, Inc. sr. notes Ser. B,       
6 1/8s, 2014    4,355,000  4,180,800 
Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014    825,000  841,500 
Lukoil International Finance 144A company guaranty       
6.656s, 2022 (Netherlands)    2,380,000  2,162,825 
Lukoil International Finance 144A company guaranty       
6.356s, 2017 (Netherlands)    1,150,000  1,082,438 
Massey Energy Co. sr. notes 6 5/8s, 2010    1,958,000  1,958,000 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014    2,650,000  2,491,000 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013    1,327,000  1,277,238 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011    2,175,458  2,270,312 
Pacific Energy Partners/Pacific Energy Finance Corp.       
sr. notes 7 1/8s, 2014    2,625,000  2,647,103 
Peabody Energy Corp. company guaranty 7 3/8s, 2016    5,820,000  5,805,450 

Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)    1,761,250  1,797,204 
Pemex Project Funding Master Trust 144A company       
guaranty 6 5/8s, 2035    1,140,000  1,124,727 
Pemex Project Funding Master Trust 144A company       
guaranty 5 3/4s, 2018    1,425,000  1,407,188 
Pemex Project Funding Master Trust 144A notes 6 5/8s,       
2038    3,000,000  2,947,500 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013    1,352,000  1,385,800 
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr.       
unsec. notes 6s, 2022 (Trinidad)    3,595,000  3,379,516 
Petroleum Development Corp. company guaranty sr.       
unsec. notes 12s, 2018    1,070,000  1,131,525 
Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014       
(Bermuda)    1,440,000  1,303,200 
Plains Exploration & Production Co. company guaranty       
7 3/4s, 2015    535,000  539,013 
Plains Exploration & Production Co. company guaranty       
7s, 2017    580,000  556,800 
Pride International, Inc. sr. unsec. notes 7 3/8s, 2014    2,215,000  2,209,463 
SandRidge Energy, Inc. sr. notes 8s, 2018 (S)    1,530,000  1,537,650 
Williams Cos., Inc. (The) sr. unsec. notes 7 5/8s, 2019    2,449,000  2,571,450 
      92,224,411 
 
Financial (5.1%)       
Banco Do Brasil 144A sr. unsec. 5.98s, 2017 (Cayman       
Islands)  BRL  2,155,000  1,099,938 
Banco Nacional de Desenvolvimento Economico e Social       
144A sr. unsec. notes 6.369s, 2018 (Brazil)    $540,000  537,300 
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s,       
2012    4,785,000  4,975,309 
Bosphorus Financial Services, Ltd. 144A sec. sr. notes       
FRN 4.476s, 2012 (Cayman Islands)    9,655,313  9,313,650 
GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010 (S)    418,000  357,445 
GMAC, LLC sr. unsec. unsub. notes 7s, 2012    335,000  234,007 
GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2012    2,179,000  1,492,129 
GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2011    375,000  269,465 
GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014 (S)    4,960,000  3,275,807 
GMAC, LLC sr. unsec. unsub. notes 6 5/8s, 2012    2,060,000  1,396,891 
GMAC, LLC sr. unsec. unsub. notes FRN 4.882s, 2014    275,000  180,769 
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037    1,260,000  1,166,464 
HSBC Capital Funding LP/ Jersey Channel Islands       
company guaranty sub. FRB 5.13s, 2049 (Jersey)  EUR  1,092,000  1,459,191 
HUB International Holdings, Inc. 144A sr. sub. notes       
10 1/4s, 2015    $375,000  307,500 
HUB International Holdings, Inc. 144A sr. unsec.       
unsub. notes 9s, 2014    270,000  244,350 
iStar Financial, Inc. sr. unsec. notes Ser. B, 4 7/8s,       
2009 (R)    425,000  408,000 
JPMorgan Chase & Co. 144A sr. unsec. notes FRN 6.364s,       
2011  RUB  150,000,000  6,432,000 
JPMorgan Chase & Co. 144A sr. unsec. FRN 6.46s, 2017    $2,500,000  2,481,750 
JPMorgan Chase & Co. 144A unsec. unsub. notes 0.189s,       
2012  INR  76,000,000  1,697,722 
Lender Processing Services, Inc. 144A sr. unsec. notes       
8 1/8s, 2016    $2,384,000  2,386,980 
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015    530,000  532,650 
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017    1,024,000  977,920 
Liberty Mutual Insurance 144A notes 7.697s, 2097    2,900,000  2,460,557 
Merrill Lynch & Co., Inc. notes 5.45s, 2013    3,285,000  3,082,971 
Merrill Lynch & Co., Inc. notes FRN Ser. MTN, 3.12s,       
2011    1,500,000  1,368,354 
MetLife Capital Trust X 144A collateral trust FRB       
9 1/4s, 2068    3,500,000  3,955,839 
Morgan Stanley sr. unsec. bonds 6.188s, 2017  BRL  7,331,000  3,470,637 
Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015    $879,000  810,878 
RSHB Capital SA for OJSC Russian Agricultural Bank       
notes 6.299s, 2017 (Luxembourg)    2,740,000  2,528,061 
RSHB Capital SA for OJSC Russian Agricultural Bank       
sub. bonds FRB 6.97s, 2016 (Luxembourg)    1,000,000  965,480 
Russian Agricultural Bank 144A notes 7 3/4s, 2018       
(Luxembourg)    1,890,000  1,852,200 
Russian Agricultural Bank 144A notes 7 1/8s, 2014       
(Luxembourg)    1,800,000  1,775,160 
UBS Luxembourg SA for Sberbank unsec. sub. notes       
stepped-coupon 6.23s (7.429s, 2/11/10), 2015       
(Luxembourg) (STP)    2,850,000  2,826,032 
USI Holdings Corp. 144A sr. unsec. notes FRN 6.551s,       
2014    245,000  204,575 
VTB Capital unsec. sub. notes FRN 6.315s, 2015       
(Luxembourg)    10,275,000  10,168,140 
VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)    7,596,000  7,064,280 
VTB Capital SA sr. notes 6 1/4s, 2035 (Luxembourg)    3,035,000  2,822,550 
VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)    7,265,000  7,382,693 
VTB Capital SA 144A notes 6 7/8s, 2018 (Luxembourg)    3,261,000  3,179,475 
VTB Capital SA 144A sec. notes 6.609s, 2012       
(Luxembourg)    15,750,000  15,381,293 
      112,526,412 
 
Health Care (1.7%)       
Community Health Systems, Inc. company guaranty       
8 7/8s, 2015    2,650,000  2,666,563 
DaVita, Inc. company guaranty 6 5/8s, 2013 (S)    1,134,000  1,088,640 
Elan Finance PLC/Elan Finance Corp. company guaranty       
7 3/4s, 2011 (Ireland)    920,000  905,050 
HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016       

(PIK)    2,340,000  2,410,200 
HCA, Inc. sr. sec. notes 9 1/4s, 2016    2,730,000  2,811,900 
HCA, Inc. sr. unsec. notes 6 3/8s, 2015    1,766,000  1,465,780 
HCA, Inc. sr. unsec. notes 5 3/4s, 2014    1,985,000  1,652,513 
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  3,065,250 
Service Corporation International debs. 7 7/8s, 2013    465,000  461,513 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013    3,922,000  3,725,900 
Surgical Care Affiliates, Inc. 144A sr. sub. notes       
10s, 2017    1,210,000  943,800 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes       
8 7/8s, 2015 (PIK)    400,000  350,000 
Tenet Healthcare Corp. notes 7 3/8s, 2013    2,140,000  2,011,600 
Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s,       
2011    2,158,000  2,066,285 
US Oncology, Inc. company guaranty 9s, 2012    3,430,000  3,404,275 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,       
2014    2,101,000  2,079,990 
Ventas Realty LP/Capital Corp. company guaranty 9s,       
2012 (R)    2,840,000  2,974,900 
Ventas Realty LP/Capital Corp. company guaranty       
6 3/4s, 2010 (R)    1,339,000  1,332,305 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014       
(R)    1,350,000  1,296,000 
      37,849,864 
 
Technology (1.0%)       
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012    2,334,000  2,013,075 
Ceridian Corp. 144A sr. unsec. notes 11 1/4s, 2015    1,248,000  1,132,560 
Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015    685,000  626,775 
Freescale Semiconductor, Inc. company guaranty sr.       
unsec. notes 8 7/8s, 2014    2,266,000  1,841,125 
Freescale Semiconductor, Inc. company guaranty sr.       
unsec. sub. notes 10 1/8s, 2016 (S)    1,614,000  1,230,675 
Freescale Semiconductor, Inc. company guaranty sr.       
unsec. sub. notes 9 1/8s, 2014 (PIK)    1,613,000  1,254,108 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013    4,018,000  4,043,113 
Iron Mountain, Inc. company guaranty sr. unsec. sub.       
notes 8s, 2020    2,300,000  2,262,625 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011       
(Cayman Islands)    81,000  51,840 
Nortel Networks, Ltd. company guaranty sr. unsec.       
notes 10 3/4s, 2016 (Canada)    965,000  955,350 
Nortel Networks, Ltd. company guaranty sr. unsec.       
notes FRN 6.963s, 2011 (Canada)    1,040,000  982,800 
Nortel Networks, Ltd. 144A company guaranty sr. unsec.       
notes 10 3/4s, 2016 (Canada)    787,000  779,130 
Sanmina Corp. company guaranty sr. unsec. sub. notes       
6 3/4s, 2013    1,032,000  926,220 
Sanmina Corp. sr. unsec. sub. notes 8 1/8s, 2016    1,605,000  1,444,500 
SunGard Data Systems, Inc. company guaranty 9 1/8s,       
2013    1,906,000  1,925,060 
Travelport LLC company guaranty 9 7/8s, 2014    763,000  677,163 
Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016    1,070,000  1,070,000 
      23,216,119 
 
Utilities & Power (2.0%)       
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017    565,000  553,700 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013    1,657,000  1,721,209 
CMS Energy Corp. sr. notes 7 3/4s, 2010    1,225,000  1,278,441 
Colorado Interstate Gas Co. debs. 6.85s, 2037    2,495,000  2,365,228 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016    654,000  650,730 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013    760,000  754,300 
Edison Mission Energy sr. unsec. notes 7.2s, 2019    1,125,000  1,049,063 
Edison Mission Energy sr. unsec. notes 7s, 2017    785,000  733,975 
Ferrellgas LP/Finance sr. notes 6 3/4s, 2014    3,632,000  3,314,200 
Florida Power Corp. 1st mtge. sec. bond 5.65s, 2018    325,000  327,992 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,       
2016    490,000  482,650 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012    6,397,000  6,293,049 
NRG Energy, Inc. sr. notes 7 3/8s, 2016    1,015,000  955,369 
Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010    5,195,000  5,610,600 
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015    2,558,000  2,641,135 
Teco Finance, Inc. company guaranty sr. unsec. unsub.       
notes 7.2s, 2011    1,165,000  1,210,840 
Teco Finance, Inc. company guaranty sr. unsec. unsub.       
notes 7s, 2012    1,500,000  1,564,172 
Teco Finance, Inc. company guaranty sr. unsec. unsub.       
notes 6 3/4s, 2015    221,000  222,434 
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs.       
7 1/2s, 2017    1,052,000  1,108,422 
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s,       
2028    520,000  507,134 
Transcontinental Gas Pipeline Corp. sr. unsec. debs.       
7 1/4s, 2026    3,235,000  3,307,788 
Utilicorp United, Inc. sr. unsec. notes 9.95s, 2011    61,000  62,691 
Vattenfall Treasury AB company guaranty unsec. unsub.       
FRB 5 1/4s, 2049 (Sweden)  EUR  819,000  1,152,604 
Veolia Environnement sr. unsub. notes Ser. EMTN,       
5 3/8s, 2018 (France)  EUR  3,125,000  4,573,165 
Williams Partners LP/ Williams Partners Finance Corp.       
sr. unsec. notes 7 1/4s, 2017    $605,000  605,000 
      43,045,891 
 
Total corporate bonds and notes (cost $565,028,180)      $538,662,304 

FOREIGN GOVERNMENT BONDS AND NOTES (13.8%)(a)       
    Principal amount  Value 
Argentina (Republic of) bonds 7s, 2013    $1,585,000  $1,224,413 
Argentina (Republic of) bonds Ser. $ V, 10 1/2s, 2012  ARS  9,800,000  2,107,000 
Argentina (Republic of) bonds FRB zero %, 2013    $6,903,000  3,285,828 
Argentina (Republic of) notes Ser. $dis, 8.28s, 2033    4,834,020  3,685,940 
Argentina (Republic of) sr. unsec. unsub. bonds 7s,       
2015    3,230,000  2,256,963 
Argentina (Republic of) sr. unsec. unsub. bonds FRB       
3.092s, 2012    28,204,375  23,740,408 
Brazil (Federal Republic of) bonds 6s, 2017    4,050,000  4,131,000 
Brazil (Federal Republic of) notes 10s, 2012  BRL  324,300  1,868,560 
Brazil (Federal Republic of) notes zero %, 2017  BRL  1,516,000  7,400,602 
Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029  CAD  1,550,000  1,866,993 
Colombia (Republic of) notes 10s, 2012 (S)    $8,869,000  10,276,954 
Colombia (Republic of) unsec. unsub. bonds 7 3/8s, 2037    1,960,000  2,121,700 
Colombia (Republic of) unsec. unsub. bonds 7 3/8s, 2017    1,315,000  1,430,063 
Ecuador (Republic of) bonds Ser. REGS, 12s, 2012    7,002,096  7,142,138 
Ecuador (Republic of) regs notes 9 3/8s, 2015    500,000  515,000 
Germany (Federal Republic of) bonds Ser. 2, 5s, 2012  EUR  9,780,000  15,558,550 
Ghana (Republic of) bonds 8 1/2s, 2017    $1,255,000  1,287,128 
Indonesia (Republic of) bonds 14.275s, 2013  IDR  10,328,000,000  1,162,830 
Indonesia (Republic of) bonds 14 1/4s, 2013  IDR  30,671,000,000  3,474,718 
Indonesia (Republic of) sr. unsec. unsub. bonds Ser.       
JUN, 6 3/4s, 2014    $1,310,000  1,311,638 
Indonesia (Republic of) 144A bonds 6 5/8s, 2037    3,255,000  2,738,269 
Indonesia (Republic of) 144A sr. unsec. unsub. bonds       
7 3/4s, 2038    1,875,000  1,762,500 
Japan (Government of) 10 yr bonds Ser. 244, 1s, 2012  JPY  23,000,000  215,701 
Japan (Government of) 30 yr bonds Ser. 23, 2 1/2s, 2036  JPY  599,500,000  5,755,754 
Japan (Government of) CPI Linked bonds Ser. 12, 1.2s,       
2017  JPY  1,516,515,000  14,382,719 
Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016  JPY  8,681,962,500  81,685,112 
Mexican (Government of) bonds Ser. M 10, 8s, 2015  MXN  72,676,000  6,634,764 
Peru (Republic of) bonds 8 3/4s, 2033    $2,510,000  3,225,350 
Russia (Federation of) unsub. 5s, 2030    10,344,322  11,598,571 
South Africa (Republic of) notes 5 7/8s, 2022    1,805,000  1,678,650 
Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014  SEK  215,045,000  39,477,205 
Turkey (Republic of) notes 6 7/8s, 2036    $10,535,000  8,704,544 
Ukraine (Government of) 144A bonds 6 3/4s, 2017    3,825,000  3,404,250 
Ukraine (Government of) 144A sr. unsub. 6.58s, 2016 (S)    2,530,000  2,327,600 
United Mexican States bonds Ser. MTN, 8.3s, 2031    7,635,000  9,581,925 
Venezuela (Republic of) notes 10 3/4s, 2013    8,290,000  8,621,600 
Venezuela (Republic of) unsec. note FRN Ser. REGS,       
3.908s, 2011    3,250,000  2,925,000 
Venezuela (Republic of) unsub. bonds 5 3/8s, 2010    5,180,000  4,901,575 
 
Total foreign government bonds and notes (cost $290,417,204)      $305,469,515 
 
ASSET-BACKED SECURITIES (13.5%)(a)       
    Principal amount  Value 
Accredited Mortgage Loan Trust       
FRB Ser. 05-1, Class M2, 3.173s, 2035    $720,000  $360,000 
FRB Ser. 05-4, Class A2C, 2.693s, 2035    151,000  135,900 
Ace Securities Corp.       
FRB Ser. 06-OP2, Class A2C, 2.633s, 2036    478,000  277,240 
FRB Ser. 06-HE3, Class A2C, 2.633s, 2036    429,000  336,737 
Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8,       
Class M2, 4.233s, 2033    1,012,718  222,798 
Arcap REIT, Inc. 144A       
Ser. 03-1A, Class E, 7.11s, 2038    2,906,000  2,407,833 
Ser. 04-1A, Class E, 6.42s, 2039    1,768,000  1,288,841 
Argent Securities, Inc.       
FRB Ser. 03-W3, Class M3, 4.753s, 2033    112,115  15,696 
FRB Ser. 06-W4, Class A2C, 2.643s, 2036    761,000  536,505 
Asset Backed Funding Certificates FRB Ser. 04-OPT2,       
Class M2, 3.483s, 2033    1,135,720  590,574 
Asset Backed Securities Corp. Home Equity Loan Trust       
FRB Ser. 06-HE2, Class A3, 2.673s, 2036    166,168  144,412 
FRB Ser. 06-HE4, Class A5, 2.643s, 2036    540,000  405,000 
Aviation Capital Group Trust 144A FRB Ser. 03-2A,       
Class G1, 3.182s, 2033    1,856,631  1,652,402 
Bear Stearns Asset Backed Securities, Inc.       
FRB Ser. 04-FR3, Class M6, 5.733s, 2034    1,703,000  1,198,124 
FRB Ser. 06-PC1, Class M9, 4.233s, 2035    885,000  66,641 
FRB Ser. 05-HE1, Class M3, 3.413s, 2035    1,007,000  332,310 
Bear Stearns Asset Backed Securities, Inc. 144A FRB       
Ser. 06-HE2, Class M10, 4.733s, 2036    1,582,000  122,249 
Bombardier Capital Mortgage Securitization Corp.       
Ser. 00-A, Class A4, 8.29s, 2030    4,443,846  2,886,278 
Ser. 00-A, Class A2, 7.575s, 2030    957,256  563,058 
Ser. 99-B, Class A4, 7.3s, 2016    4,821,274  2,546,597 
Ser. 99-B, Class A3, 7.18s, 2015    7,141,565  4,286,367 
Capital Auto Receivables Asset Trust 144A Ser. 06-1,       
Class D, 7.16s, 2013    1,000,000  982,852 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,       
3.551s, 2010    3,730,000  3,727,606 
Citigroup Mortgage Loan Trust, Inc.       
FRB Ser. 05-HE4, Class M11, 4.983s, 2035    1,384,000  138,400 
FRB Ser. 05-HE4, Class M12, 4.533s, 2035    1,897,622  94,881 
FRB Ser. 05-OPT1, Class M1, 2.903s, 2035    212,735  140,147 
Conseco Finance Securitizations Corp.       
Ser. 00-4, Class A6, 8.31s, 2032    24,040,611  20,224,164 
Ser. 00-5, Class A7, 8.2s, 2032    492,000  382,382 

Ser. 00-1, Class A5, 8.06s, 2031    3,416,309  2,733,047 
Ser. 00-4, Class A5, 7.97s, 2032    1,395,404  1,032,180 
Ser. 01-3, Class M2, 7.44s, 2033    421,108  22,150 
Ser. 01-4, Class A4, 7.36s, 2033    1,543,180  1,449,972 
Ser. 00-6, Class A5, 7.27s, 2031    541,574  492,940 
Ser. 01-1, Class A5, 6.99s, 2032    12,606,808  11,647,190 
Ser. 01-3, Class A4, 6.91s, 2033    19,826,946  18,643,277 
Ser. 02-1, Class A, 6.681s, 2033    5,466,656  5,374,412 
FRB Ser. 01-4, Class M1, 4.221s, 2033    2,391,000  1,031,477 
Countrywide Asset Backed Certificates       
FRB Ser. 05-BC3, Class M1, 3.003s, 2035    226,000  149,160 
FRB Ser. 05-14, Class 3A2, 2.723s, 2036    131,059  116,643 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038       
(Cayman Islands)    3,427,000  2,398,900 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,       
8.285s, 2031    610,000  527,217 
Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,       
3.153s, 2035    410,000  102,500 
First Franklin Mortgage Loan Asset Backed Certificates       
FRB Ser. 06-FF7, Class 2A3, 2.633s, 2036    790,000  669,306 
Fort Point CDO, Ltd. FRB Ser. 03-2A, Class A2, 3.732s,       
2038 (Cayman Islands)    1,229,000  135,190 
Fremont Home Loan Trust       
FRB Ser. 05-E, Class 2A4, 2.813s, 2036    1,107,000  764,051 
FRB Ser. 06-2, Class 2A3, 2.653s, 2036    1,320,000  1,009,800 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 4.483s,       
2037 (Cayman Islands)    614,000  503,480 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,       
8.22s, 2012    3,514,000  3,284,839 
Granite Mortgages PLC       
FRB Ser. 03-2, Class 3C, 7.589s, 2043 (United Kingdom)  GBP  5,647,356  10,656,349 
FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)  EUR  10,080,000  14,974,880 
Green Tree Financial Corp.       
Ser. 94-6, Class B2, 9s, 2020    $6,428,633  6,121,987 
Ser. 94-4, Class B2, 8.6s, 2019    2,803,648  1,762,093 
Ser. 93-1, Class B, 8.45s, 2018    2,100,215  1,792,324 
Ser. 99-5, Class A5, 7.86s, 2030    26,422,565  22,485,603 
Ser. 96-8, Class M1, 7.85s, 2027    2,979,000  2,459,462 
Ser. 95-8, Class B1, 7.3s, 2026    2,796,090  2,351,512 
Ser. 95-4, Class B1, 7.3s, 2025    2,737,142  2,518,445 
Ser. 95-F, Class B2, 7.1s, 2021    365,985  274,489 
Ser. 99-3, Class A7, 6.74s, 2031    3,957,000  3,676,053 
Green Tree Home Improvement Loan Trust Ser. 95-D,       
Class B2, 7.45s, 2025    300,177  251,567 
Greenpoint Manufactured Housing       
Ser. 00-3, Class IA, 8.45s, 2031    12,849,970  10,922,475 
Ser. 99-5, Class M1A, 8.3s, 2026    343,000  308,974 
Ser. 99-5, Class A4, 7.59s, 2028    263,029  257,769 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011    3,004,645  3,001,340 
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 2.633s, 2036    1,965,000  1,262,439 
Guggenheim Structured Real Estate Funding, Ltd. 144A       
FRB Ser. 05-2A, Class E, 4.483s, 2030 (Cayman Islands)    2,453,000  1,266,484 
FRB Ser. 05-1A, Class E, 4.283s, 2030 (Cayman Islands)    537,087  359,848 
Home Equity Asset Trust FRB Ser. 06-1, Class 2A4,       
2.813s, 2036    551,000  358,150 
JPMorgan Mortgage Acquisition Corp.       
FRB Ser. 05-OPT2, Class M11, 4.733s, 2035    690,000  48,300 
FRB Ser. 06-FRE1, Class A4, 2.773s, 2035    470,000  321,950 
Lehman XS Trust FRB Ser. 07-6, Class 2A1, 2.693s, 2037    5,706,821  4,118,612 
LNR CDO, Ltd. 144A       
FRB Ser. 03-1A, Class EFL, 5.481s, 2036 (Cayman       
Islands) (F)    11,120,000  5,555,939 
FRB Ser. 02-1A, Class FFL, 5.231s, 2037 (Cayman       
Islands)    7,500,000  3,525,000 
Long Beach Mortgage Loan Trust       
FRB Ser. 05-2, Class M4, 3.103s, 2035    1,150,000  483,000 
FRB Ser. 06-4, Class 2A4, 2.743s, 2036    532,000  264,232 
FRB Ser. 06-1, Class 2A3, 2.673s, 2036    602,000  508,690 
Lothian Mortgages PLC 144A FRB Ser. 3A, Class D,       
6.684s, 2039 (United Kingdom)  GBP  6,500,000  11,967,920 
Madison Avenue Manufactured Housing Contract FRB Ser.       
02-A, Class B1, 5.733s, 2032    $6,357,565  4,577,447 
MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,       
Class A4, 2.633s, 2036    278,000  197,077 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038    1,005,637  840,021 
Morgan Stanley ABS Capital I       
FRB Ser. 04-HE8, Class B3, 5.683s, 2034    887,253  310,539 
FRB Ser. 05-HE2, Class M5, 3.163s, 2035    720,000  216,000 
FRB Ser. 05-HE1, Class M3, 3.003s, 2034    720,000  324,000 
FRB Ser. 06-NC4, Class M2, 2.783s, 2036    1,007,000  100,700 
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A,       
Class C1A, 5.646s, 2038 (Cayman Islands)    2,000,000  1,589,400 
Navistar Financial Corp. Owner Trust       
Ser. 05-A, Class C, 4.84s, 2014    377,086  340,246 
Ser. 04-B, Class C, 3.93s, 2012    451,012  409,131 
Neon Capital, Ltd. 144A       
limited recourse sec. notes Ser. 95, 2.319s, 2013       
(Cayman Islands) (F) (g)    2,028,770  628,503 
limited recourse sec. notes Ser. 97, 1.105s, 2013       
(Cayman Islands) (F) (g)    2,649,208  725,215 
New Century Home Equity Loan Trust FRB Ser. 03-4,       
Class M3, 4.533s, 2033    60,363  4,829 
Novastar Home Equity Loan       
FRB Ser. 06-1, Class A2C, 2.643s, 2036    663,000  578,070 
FRB Ser. 06-2, Class A2C, 2.633s, 2036    663,000  500,364 
Oakwood Mortgage Investors, Inc.       

Ser. 96-C, Class B1, 7.96s, 2027    1,188,535  688,637 
Ser. 99-D, Class A1, 7.84s, 2029    6,639,234  5,373,132 
Ser. 02-B, Class A4, 7.09s, 2032    2,780,247  2,592,025 
Ser. 99-B, Class A4, 6.99s, 2026    7,309,472  6,512,740 
Ser. 01-D, Class A4, 6.93s, 2031    165,593  112,339 
Ser. 01-C, Class A2, 5.92s, 2017    8,482,496  3,336,166 
Ser. 02-C, Class A1, 5.41s, 2032 (F)    9,902,943  8,330,021 
Ser. 01-C, Class A1, 5.16s, 2012    760,031  270,267 
Ser. 01-E, Class A2, 5.05s, 2019    5,992,824  4,135,048 
Ser. 02-A, Class A2, 5.01s, 2020    435,025  350,412 
Oakwood Mortgage Investors, Inc. 144A       
Ser. 01-B, Class A4, 7.21s, 2030    664,087  542,692 
FRB Ser. 01-B, Class A2, 2.846s, 2018    282,695  214,453 
Ocean Star PLC 144A       
FRB Ser. 04-A, Class E, 9.216s, 2018 (Ireland)    5,793,000  5,097,840 
FRB Ser. 05-A, Class E, 7.316s, 2012 (Ireland)    1,317,000  1,059,131 
Option One Mortgage Loan Trust FRB Ser. 05-4,       
Class M11, 4.983s, 2035    1,809,000  198,990 
Park Place Securities, Inc. FRB Ser. 05-WCH1,       
Class M4, 3.313s, 2036    465,000  130,200 
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,       
Class M10, 4.983s, 2034    422,562  25,354 
People's Financial Realty Mortgage Securities Trust       
FRB Ser. 06-1, Class 1A2, 2.613s, 2036    1,065,000  852,000 
Permanent Financing PLC       
FRB Ser. 6, Class 3C, 7.576s, 2042 (United Kingdom)  GBP  6,492,000  12,780,694 
FRB Ser. 3, Class 3C, 3.846s, 2042 (United Kingdom)    $3,300,000  3,269,153 
Residential Asset Mortgage Products, Inc.       
FRB Ser. 06-NC3, Class A2, 2.673s, 2036    636,224  548,872 
FRB Ser. 07-RZ1, Class A2, 2.643s, 2037    657,000  482,962 
Residential Asset Securities Corp. FRB Ser. 05-EMX1,       
Class M2, 3.213s, 2035    1,635,000  654,000 
Residential Asset Securities Corp. 144A FRB Ser.       
05-KS10, Class B, 5.233s, 2035    1,523,000  30,460 
SAIL Net Interest Margin Notes 144A       
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands) (In       
default) (NON)    123,233  49 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands) (In       
default) (NON)    73,702  7 
Securitized Asset Backed Receivables, LLC       
FRB Ser. 05-HE1, Class M2, 3.133s, 2035    720,000  216,000 
FRB Ser. 07-NC2, Class A2B, 2.623s, 2037    616,000  415,800 
SG Mortgage Securities Trust       
FRB Ser. 06-OPT2, Class A3D, PO, 2.693s, 2036    1,124,000  528,842 
FRB Ser. 06-FRE1, Class A2B, 2.663s, 2036    542,000  379,400 
Soundview Home Equity Loan Trust       
FRB Ser. 06-OPT3, Class 2A3, 2.653s, 2036    532,000  412,300 
FRB Ser. 06-3, Class A3, 2.643s, 2036    1,974,000  1,561,006 
Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,       
Class M10, 4.983s, 2036    1,086,000  32,580 
South Coast Funding 144A FRB Ser. 3A, Class A2,       
3.916s, 2038 (Cayman Islands)    2,070,000  10,350 
Structured Asset Investment Loan Trust FRB Ser.       
06-BNC2, Class A6, 2.743s, 2036    532,000  257,553 
Structured Asset Investment Loan Trust 144A FRB Ser.       
05-HE3, Class M11, 4.983s, 2035    2,060,000  43,744 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,       
3.318s, 2015    10,871,385  10,120,585 
Structured Asset Securities Corp. 144A Ser. 98-RF3,       
Class A, IO, 6.1s, 2028    268,047  25,669 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,       
2038    3,688,000  2,043,853 
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,       
6.84s, 2037    2,403,000  1,932,493 
Wells Fargo Home Equity Trust FRB Ser. 07-1, Class A3,       
2.803s, 2037    235,000  116,540 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,       
Class B3, 3.82s, 2044 (United Kingdom)    1,277,534  921,741 
 
Total asset-backed securities (cost $351,800,943)      $299,957,253 
 
SENIOR LOANS (10.1%)(a)(c)       
    Principal amount  Value 
Basic Materials (1.1%)       
Aleris International, Inc. bank term loan FRN Ser. B,       
4.563s, 2013    $1,499,932  $1,295,566 
Domtar Corp. bank term loan FRN 3.779s, 2014 (Canada)    1,428,896  1,376,653 
Georgia-Pacific, LLC bank term loan FRN Ser. B,       
4.449s, 2013    4,417,347  4,164,732 
Georgia-Pacific, LLC bank term loan FRN Ser. B2,       
4.465s, 2012    1,086,250  1,024,131 
Graphic Packaging Corp. bank term loan FRN Ser. C,       
5.587s, 2014    1,427,825  1,375,769 
Hexion Specialty Chemicals, Inc. bank term loan FRN       
Ser. C, 5.063s, 2013    84,150  75,465 
Huntsman International, LLC bank term loan FRN Ser. B,       
4.233s, 2012    6,105,000  5,649,671 
Momentive Performance Materials, Inc. bank term loan       
FRN 4 3/4s, 2013    1,342,578  1,225,774 
NewPage Holding Corp. bank term loan FRN 6.563s, 2014    1,187,035  1,177,242 
Novelis, Inc. bank term loan FRN Ser. B, 4.7s, 2014    921,164  875,873 
Novelis, Inc. bank term loan FRN Ser. B, 4.7s, 2014    2,026,561  1,926,921 
Rockwood Specialties Group, Inc. bank term loan FRN       
Ser. E, 4.399s, 2012    3,186,513  3,063,606 
Smurfit-Stone Container Corp. bank term loan FRN       

5.22s, 2010  271,070  262,185 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
B, 4.637s, 2011  280,180  270,996 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
C, 4.644s, 2011  532,219  514,774 
    24,279,358 
 
Capital Goods (0.7%)     
Allied Waste Industries, Inc. bank term loan FRN     
6.82s, 2012  398,010  392,813 
Allied Waste Industries, Inc. bank term loan FRN     
4.268s, 2012  661,990  653,347 
Berry Plastics Holding Corp. bank term loan FRN     
4.784s, 2015  594,000  536,297 
Graham Packaging Co., LP bank term loan FRN 4.982s,     
2011  395,000  378,213 
Hawker Beechcraft Acquisition Co., LLC bank term loan     
FRN 2.1s, 2014  251,031  235,185 
Hawker Beechcraft Acquisition Co., LLC bank term loan     
FRN Ser. B, 4.801s, 2014  4,797,449  4,494,610 
Hexcel Corp. bank term loan FRN Ser. B, 4.879s, 2012  1,796,015  1,760,094 
Mueller Water Products, Inc. bank term loan FRN Ser.     
B, 4.564s, 2014  1,425,289  1,348,086 
Polypore, Inc. bank term loan FRN Ser. B, 4.74s, 2014  1,030,694  986,890 
Sensata Technologies BV bank term loan FRN 4.663s,     
2013 (Netherlands)  564,724  521,899 
Sequa Corp. bank term loan FRN 6.025s, 2014  1,713,521  1,628,916 
Transdigm, Inc. bank term loan FRN 4.801s, 2013  1,855,000  1,797,612 
Wesco Aircraft Hardware Corp. bank term loan FRN     
5.06s, 2013  618,000  598,301 
    15,332,263 
 
Communication Services (0.9%)     
Alltel Communications, Inc. bank term loan FRN Ser.     
B2, 5.564s, 2015  3,110,166  3,087,617 
Alltel Communications, Inc. bank term loan FRN Ser.     
B3, 5.232s, 2015  3,243,000  3,219,488 
Cricket Communications, Inc. bank term loan FRN Ser.     
B, 6 1/2s, 2013  102,477  100,826 
Crown Castle International Corp. bank term loan FRN     
4.301s, 2014  307,443  292,392 
Fairpoint Communications, Inc. bank term loan FRN Ser.     
B, 5 3/4s, 2015  2,055,000  1,835,189 
Intelsat Corp. bank term loan FRN Ser. B2, 5.184s, 2011  1,075,454  1,019,441 
Intelsat Corp. bank term loan FRN Ser. B2-A, 5.184s,     
2013  1,075,777  1,019,748 
Intelsat Corp. bank term loan FRN Ser. B2-C, 5.184s,     
2013  1,075,454  1,019,441 
Intelsat, Ltd. bank term loan FRN 5.688s, 2014     
(Bermuda)  1,987,780  1,749,247 
Intelsat, Ltd. bank term loan FRN Ser. B, 5.184s, 2013     
(Bermuda)  2,610,250  2,535,205 
Level 3 Communications, Inc. bank term loan FRN     
4.893s, 2014  618,000  569,951 
MetroPCS Wireless, Inc. bank term loan FRN 4.989s, 2013  1,597,371  1,524,740 
PAETEC Holding Corp. bank term loan FRN 5.363s, 2013  294,263  281,021 
PAETEC Holding Corp. bank term loan FRN Ser. B1,     
4.983s, 2013  602,659  575,539 
Time Warner Telecom, Inc. bank term loan FRN Ser. B,     
4.49s, 2013  1,064,059  1,017,506 
West Corp. bank term loan FRN 5.092s, 2013  616,439  563,602 
    20,410,953 
 
Consumer Cyclicals (2.3%)     
Allison Transmission bank term loan FRN Ser. B,     
5.333s, 2014  1,686,802  1,501,605 
Aramark Corp. bank term loan FRN 4.83s, 2014  36,916  34,806 
Aramark Corp. bank term loan FRN Ser. B, 4.676s, 2014  581,084  547,870 
Cenveo, Inc. bank term loan FRN Ser. C, 4.551s, 2014  965,554  905,207 
Cenveo, Inc. bank term loan FRN Ser. DD, 4.551s, 2014  32,173  30,163 
Claire's Stores, Inc. bank term loan FRN 5.445s, 2014  1,485,597  1,074,272 
Dana Corp. bank term loan FRN 6 3/4s, 2015  1,873,585  1,708,086 
Dex Media West, LLC/Dex Media Finance Co. bank term     
loan FRN Ser. B, 6.814s, 2014  1,770,000  1,726,488 
GateHouse Media, Inc. bank term loan FRN Ser. B,     
4.93s, 2014  885,000  619,500 
GateHouse Media, Inc. bank term loan FRN Ser. B,     
4.65s, 2014  2,337,717  1,640,299 
GateHouse Media, Inc. bank term loan FRN Ser. DD,     
4.714s, 2014  872,283  612,052 
Golden Nugget, Inc. bank term loan FRN Ser. B, 4.49s,     
2014  404,091  367,723 
Golden Nugget, Inc. bank term loan FRN Ser. DD,     
1 3/4s, 2014 (U)  230,909  210,127 
Goodman Global Holdings, Inc. bank term loan FRN Ser.     
B, 7.502s, 2011  1,516,000  1,494,208 
Goodyear Tire & Rubber Co. (The) bank term loan FRN     
4.54s, 2010  6,918,000  6,256,466 
Harrah's Operating Co., Inc. bank term loan FRN Ser.     
B2, 5.919s, 2015  616,455  562,087 
Isle of Capri Casinos, Inc. bank term loan FRN 4.551s,     
2014  825,000  730,812 
Isle of Capri Casinos, Inc. bank term loan FRN Ser. A,     
4.551s, 2014  248,750  220,351 
Isle of Capri Casinos, Inc. bank term loan FRN Ser. B,     

4.551s, 2014  330,000  292,325 
Landsource Communities/NWHL Investment bank term loan     
FRN 6 3/4s, 2013  1,764,093  1,294,403 
Lear Corp bank term loan FRN 5.133s, 2013  4,157,548  3,790,299 
Michaels Stores, Inc. bank term loan FRN Ser. B,     
4.872s, 2013  1,425,528  1,182,297 
National Bedding Co. bank term loan FRN 4.605s, 2011  287,273  229,818 
Navistar Financial Corp. bank term loan FRN 5.754s,     
2012  894,133  843,838 
Navistar International Corp. bank term loan FRN     
6.234s, 2012  2,458,867  2,320,555 
Neiman Marcus Group, Inc. bank term loan FRN Ser. B,     
4.422s, 2013  1,982,859  1,886,195 
R.H. Donnelley, Inc. bank term loan FRN 6.583s, 2011  2,117,514  2,074,833 
Reader's Digest Association, Inc. (The) bank term loan     
FRN Ser. B, 4.601s, 2014  1,678,750  1,457,365 
Realogy Corp. bank term loan FRN 5.32s, 2013 (R)  845,250  716,048 
Realogy Corp. bank term loan FRN Ser. B, 5.475s, 2013     
(R)  3,139,500  2,659,605 
Standard-Pacific Corp. bank term loan FRN Ser. B,     
4.469s, 2013  917,500  760,761 
Tribune Co. bank term loan FRN Ser. B, 5.482s, 2014  3,836,250  2,881,983 
TRW Automotive, Inc. bank term loan FRN Ser. B,     
4.218s, 2014  754,300  728,371 
United Components, Inc. bank term loan FRN Ser. D,     
4.698s, 2012  1,703,598  1,626,937 
Visant Holding Corp. bank term loan FRN Ser. C,     
5.171s, 2010  1,354,173  1,330,475 
Visteon Corp. bank term loan FRN Ser. B, 7.2s, 2013  4,965,000  3,979,760 
Yankee Candle Co., Inc. bank term loan FRN 4.805s, 2014  366,010  332,383 
    50,630,373 
 
Consumer Staples (2.5%)     
Affinion Group, Inc. bank term loan FRN Ser. B, 5.17s,     
2013  4,063,460  3,914,465 
Cablevision Systems Corp. bank term loan FRN 4.225s,     
2013  5,453,480  5,172,309 
Cebridge Connections, Inc. bank term loan FRN Ser. B,     
4.724s, 2013  2,920,500  2,731,398 
Charter Communications Operating, LLC bank term loan     
FRN 8 1/2s, 2014  987,525  981,353 
Charter Communications, Inc. bank term loan FRN     
5.301s, 2014  900,000  744,750 
Charter Communications, Inc. bank term loan FRN 4.9s,     
2014  7,314,724  6,408,693 
Cinemark USA, Inc. bank term loan FRN 4.482s, 2013  1,796,401  1,707,704 
Citadel Communications bank term loan FRN Ser. B,     
4.284s, 2014  705,000  609,825 
Dean Foods Co. bank term loan FRN Ser. B, 4.305s, 2014  3,019,500  2,851,163 
DirecTV Holdings, LLC bank term loan FRN 5 1/4s, 2013  1,400,000  1,389,850 
Idearc, Inc. bank term loan FRN Ser. B, 4.787s, 2014  5,449,731  4,344,645 
Insight Midwest, LP bank term loan FRN Ser. B, 4.69s,     
2014  1,446,879  1,387,404 
Jarden Corp. bank term loan FRN Ser. B1, 4.551s, 2012  1,069,397  1,017,710 
Jarden Corp. bank term loan FRN Ser. B2, 4.551s, 2012  470,296  447,565 
Mediacom Communications Corp. bank term loan FRN Ser.     
C, 4.227s, 2015  1,840,315  1,682,738 
Mediacom Communications Corp. bank term loan FRN Ser.     
D2, 4.227s, 2015  531,900  486,689 
MGM Studios, Inc. bank term loan FRN Ser. B, 5.946s,     
2011  4,312,000  3,520,442 
Paxson Communications Corp. bank term loan FRN Ser. B,     
5.963s, 2012  1,030,000  824,000 
Pinnacle Foods Holding Corp. bank term loan FRN Ser.     
B, 5.37s, 2014  1,901,894  1,768,286 
Prestige Brands, Inc. bank term loan FRN Ser. B,     
4 3/4s, 2011  1,533,898  1,503,220 
Rental Service Corp. bank term loan FRN 6.23s, 2013  2,045,000  1,719,078 
Rite-Aid Corp. bank term loan FRN Ser. B, 4.227s, 2014  433,913  389,436 
Six Flags Theme Parks bank term loan FRN 4.873s, 2015  2,619,208  2,304,085 
Spectrum Brands, Inc. bank term loan FRN 2.309s, 2013  115,386  109,083 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,     
6.633s, 2013  2,067,748  1,960,914 
Universal City Development Partners bank term loan FRN     
Ser. B, 4.411s, 2011  3,780,377  3,666,966 
Univision Communications, Inc. bank term loan FRN Ser.     
B, 5.124s, 2014  983,000  805,814 
VNU Group BV bank term loan FRN Ser. B, 4.734s, 2013     
(Netherlands)  616,436  573,836 
Warner Music Group bank term loan FRN Ser. B, 4.646s,     
2011  901,527  852,694 
Young Broadcasting, Inc. bank term loan FRN Ser. B,     
5.189s, 2012  319,938  287,944 
    56,164,059 
 
Energy (0.2%)     
CR Gas Storage bank term loan FRN 4.232s, 2013  91,197  87,473 
CR Gas Storage bank term loan FRN 4.198s, 2013  220,778  211,763 
CR Gas Storage bank term loan FRN Ser. B, 4.534s, 2013  1,363,906  1,308,213 
CR Gas Storage bank term loan FRN Ser. DD, 4.227s, 2013  149,553  143,446 
Enterprise GP Holdings, LP bank term loan FRN 4.853s,     
2014  1,000,000  984,375 
EPCO Holding, Inc. bank term loan FRN Ser. A, 3.858s,     
2012  1,000,000  967,500 
Hercules Offshore, Inc. bank term loan FRN Ser. B,     

4.45s, 2013  263,013  254,246 
MEG Energy Corp. bank term loan FRN 4.8s, 2013 (Canada)  488,750  466,451 
MEG Energy Corp. bank term loan FRN Ser. DD, 4.8s,     
2013 (Canada)  498,125  476,124 
Petroleum Geo-Services ASA bank term loan FRN 4.55s,     
2015 (Norway)  572,000  550,074 
    5,449,665 
 
Financial (0.1%)     
General Growth Properties, Inc. bank term loan FRN     
Ser. A, 3.6s, 2010 (R)  430,000  384,223 
Hub International, Ltd. bank term loan FRN Ser. B,     
5.196s, 2014  567,606  525,745 
Hub International, Ltd. bank term loan FRN Ser. DD,     
5.196s, 2014 (U)  127,505  118,102 
Nuveen Investments, Inc. bank term loan FRN Ser. B,     
5.483s, 2014  1,630,913  1,519,195 
    2,547,265 
 
Health Care (0.7%)     
Community Health Systems, Inc. bank term loan FRN Ser.     
B, 4.859s, 2014  2,340,902  2,203,599 
Community Health Systems, Inc. bank term loan FRN Ser.     
DD, 1/2s, 2014 (U)  121,079  113,977 
Davita, Inc. bank term loan FRN Ser. B, 4.084s, 2012  1,194,000  1,145,494 
Health Management Associates, Inc. bank term loan FRN     
4.551s, 2014  5,307,660  4,925,509 
Healthsouth Corp. bank term loan FRN Ser. B, 5.29s,     
2013  1,675,339  1,580,203 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 8.163s, 2014  1,465,780  1,282,557 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 7.62s, 2014  115,819  109,545 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN Ser. B, 4.483s, 2014  1,255,223  1,187,232 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN Ser. DD, 4.483s, 2014  434,321  410,795 
LifePoint, Inc. bank term loan FRN Ser. B, 4.274s, 2012  1,191,232  1,158,473 
Mylan, Inc. bank term loan FRN Ser. B, 5 3/4s, 2014  641,775  634,655 
Sun Healthcare Group, Inc. bank term loan FRN 2.596s,     
2014  103,035  95,823 
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,     
4.789s, 2014  478,055  444,591 
Sun Healthcare Group, Inc. bank term loan FRN Ser. DD,     
4.912s, 2014  63,662  59,206 
Vanguard Health Systems, Inc. bank term loan FRN     
5.051s, 2011  970,397  932,794 
    16,284,453 
 
Technology (0.6%)     
Activant Solutions Holdings, Inc. bank term loan FRN     
Ser. B, 4.748s, 2013  730,000  645,138 
Affiliated Computer Services, Inc. bank term loan FRN     
Ser. B2, 4.465s, 2013  196,000  189,569 
Compucom Systems, Inc. bank term loan FRN 5.99s, 2014  878,363  812,485 
First Data Corp. bank term loan FRN Ser. B1, 5.261s,     
2014  1,431,725  1,312,355 
First Data Corp. bank term loan FRN Ser. B3, 5.552s,     
2014  1,948,813  1,788,848 
Flextronics International, Ltd. bank term loan FRN     
Ser. B, 4.963s, 2014 (Singapore)  786,468  716,014 
Flextronics International, Ltd. bank term loan FRN     
Ser. B, 4.947s, 2014 (Singapore)  2,736,907  2,491,727 
Freescale Semiconductor, Inc. bank term loan FRN Ser.     
B, 4.209s, 2013  405,939  366,462 
JDA Software Group, Inc. bank term loan FRN Ser. B,     
5.072s, 2013  160,995  153,348 
Sabre Holdings Corp. bank term loan FRN 4.691s, 2014  1,117,579  916,814 
SunGard Data Systems, Inc. bank term loan FRN 4.508s,     
2014  3,035,814  2,869,983 
Travelport bank term loan FRN 5.196s, 2013  27,034  24,241 
Travelport bank term loan FRN Ser. B, 4.733s, 2013  381,616  342,183 
Travelport bank term loan FRN Ser. DD, 4.733s, 2013  369,252  331,588 
    12,960,755 
 
Transportation (0.3%)     
Ceva Group PLC bank term loan FRN 7.38s, 2015     
(Netherlands)  7,800,000  5,616,000 
Delta Airlines, Inc. bank term loan FRN 4.897s, 2012  13,500  11,084 
UAL Corp. bank term loan FRN Ser. B, 4.779s, 2014  519,722  385,461 
    6,012,545 
 
Utilities & Power (0.7%)     
Dynegy Holdings, Inc. bank term loan FRN 3.983s, 2013  3,090,000  2,899,965 
Energy Future Holdings Corp. bank term loan FRN Ser.     
B2, 6.235s, 2014  2,790,526  2,580,461 
Energy Future Holdings Corp. bank term loan FRN Ser.     
B3, 6.262s, 2014  2,900,425  2,680,175 
NRG Energy, Inc. bank term loan FRN 7.84s, 2014 (U)  730,000  693,500 
NRG Energy, Inc. bank term loan FRN 4.346s, 2014  1,094,229  1,040,277 
NRG Energy, Inc. bank term loan FRN 4.301s, 2014  2,233,861  2,123,718 
Reliant Energy, Inc. bank term loan FRN 2.339s, 2014  1,820,000  1,724,292 
    13,742,388 
Total senior loans (cost $238,894,926)    $223,814,077 

PURCHASED OPTIONS OUTSTANDING (1.5%)(a)         
  Expiration date/    Contract   
  strike price      amount  Value 
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  $2,274,596 
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  4,451,953 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 4.41%         
versus the three month USD-LIBOR-BBA maturing on         
August 5, 2018.  Aug-08/4.41    31,506,000  867,990 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to pay a fixed rate of 5.03%         
versus the three month USD-LIBOR-BBA maturing on         
February 16, 2020.  Feb-10/5.03    138,600,000  5,937,624 
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  2,274,596 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 4.41% versus the three month USD-LIBOR-BBA maturing         
on August 5, 2018.  Aug-08/4.41    31,506,000  122,873 
Option on an interest rate swap with JPMorgan Chase         
Bank, N.A. for the right to receive a fixed rate         
of 5.03% versus the three month USD-LIBOR-BBA maturing         
on February 16, 2020.  Feb-10/5.03    138,600,000  5,887,728 
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  4,451,953 
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 12, 2019.  Nov-09/5.37    81,033,000  2,238,942 
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 12, 2019.  Nov-09/5.37    81,033,000  4,507,866 
 
Total purchased options outstanding (cost $32,258,146)        $33,016,121 
 
SHORT-TERM INVESTMENTS (3.9%)(a)         
      Principal   
      amount/shares  Value 
Egypt Treasury Bills for an effective yield of 10.02%,         
December 2, 2008    EGP  20,250,000  $3,639,258 
Egypt Treasury Bills for an effective yield of 9.52%,         
September 2, 2008    EGP  35,400,000  6,533,768 
Short-term investments held as collateral for loaned         
securities with yields ranging from 2.00% to 3.75% and         
due dates ranging from July 1, 2008 to August 19, 2008         
(d)      $21,708,837  21,684,200 
U.S. Treasury Bills with effective yields ranging from         
1.33% to 1.98%, September 18, 2008 (SEG)      54,841,000  54,674,941 
 
Total short-term investments (cost $86,474,541)        $86,532,167 
 
TOTAL INVESTMENTS         
Total investments (cost $4,581,907,986) (b)        $4,521,491,804 

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/08 (aggregate face value $446,835,624) (Unaudited) 
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $97,666,806  $93,517,174  7/16/08  $4,149,632 
British Pound  40,127,055  39,534,311  9/17/08  592,744 
Canadian Dollar  2,909,235  2,920,160  7/16/08  (10,925) 
Danish Krone  2,255,617  2,211,429  9/17/08  44,188 
Euro  140,030,042  138,541,185  9/17/08  1,488,857 
Japanese Yen  5,796,552  5,708,311  8/20/08  88,241 
Malaysian Ringgit  8,301,229  8,530,917  8/20/08  (229,688) 
Mexican Peso  2,112,604  2,051,227  7/16/08  61,377 
New Zealand Dollar  28,486  29,138  7/16/08  (652) 
Norwegian Krone  108,386,044  107,647,466  9/17/08  738,578 
Polish Zloty  18,991,105  18,395,203  9/17/08  595,902 
Swiss Franc  28,017,249  27,749,103  9/17/08  268,146 
Total        $7,786,400 

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/08 (aggregate face value $504,921,126) (Unaudited)   
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $7,044,288  $6,616,318  7/16/08  $(427,970) 
British Pound  23,194,858  23,044,082  9/17/08  (150,776) 
Canadian Dollar  73,997,997  74,039,724  7/16/08  41,727 
Euro  220,382,275  217,612,953  9/17/08  (2,769,322) 
Hungarian Forint  16,839,257  15,972,922  9/17/08  (866,335) 
Japanese Yen  26,196,422  26,169,816  8/20/08  (26,606) 
South African Rand  5,725,623  5,605,302  7/16/08  (120,321) 
South Korean Won  3,322,701  3,336,208  8/20/08  13,507 
Swedish Krona  98,034,372  97,770,702  9/17/08  (263,670) 
Swiss Franc  35,504,113  34,753,099  9/17/08  (751,014) 
Total        $(5,320,780) 

FUTURES CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)    
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury Bond 10 yr (Short)  508  $341,669,484  Sep-08  $(1,024,673) 
Canadian Government Bond 10 yr (Long)  44  5,080,283  Sep-08  (30,910) 
Euro-Bobl 5 yr (Long)  1,370  228,232,303  Sep-08  (3,072,624) 
Euro-Bund 10 yr (Long)  1,879  327,202,846  Sep-08  (3,569,499) 
Euro-Dollar 90 day (Short)  518  124,928,650  Jun-09  904,254 
Euro-Dollar 90 day (Short)  1,289  310,052,838  Sep-09  2,439,382 
Euro-Dollar 90 day (Short)  2,700  647,561,250  Dec-09  5,739,844 
Euro-Dollar 90 day (Short)  85  20,345,813  Mar-10  122,332 
Euro-Schatz 2 yr (Short)  1,451  233,831,033  Sep-08  (478,766) 
Japanese Government Bond 10 yr (Long)  350  447,156,197  Sep-08  3,409,475 
Japanese Government Bond 10 yr Mini (Long)  2  255,122  Sep-08  1,596 
Sterling Interest Rate 90 day (Long)  157  36,681,545  Dec-09  (397,146) 
Sterling Interest Rate 90 day (Long)  1,628  380,650,523  Jun-09  (4,688,565) 
Sterling Interest Rate 90 day (Long)  1,017  237,815,008  Sep-09  (2,696,828) 
Sterling Interest Rate 90 day (Long)  286  66,846,098  Mar-09  (799,484) 
U.K. Gilt 10 yr (Long)  116  24,136,137  Sep-08  (465,056) 
U.S. Treasury Bond 20 yr (Long)  8,898  1,028,553,188  Sep-08  10,411,116 
U.S. Treasury Note 10 yr (Long)  65  7,404,922  Sep-08  5,972 
U.S. Treasury Note 5 yr (Short)  8,368  925,121,625  Sep-08  1,417,016 
U.S. Treasury Note 2 yr (Short)  23,563  4,976,579,234  Sep-08  (13,147,445) 
Total        $(5,920,009) 

WRITTEN OPTIONS OUTSTANDING at 6/30/08 (premiums received $4,629,472) (Unaudited)    
  Contract  Expiration date/   
  amount  strike price  Value 
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  $996,769 
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  1,356,236 
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  555,448 
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  936,347 
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  681,116 
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  272,795 
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  466,889 
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  185,989 
Total      $5,451,589 

TBA SALE COMMITMENTS OUTSTANDING at 6/30/08 (proceeds receivable $1,317,028,945) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, July 1, 2038  $1,017,000,000  7/14/08  $1,002,062,813 
FNMA, 5s, July 1, 2038  334,000,000  7/14/08  320,039,835 
Total      $1,322,102,648 

 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/08 (Unaudited)    
    Upfront    Payments  Payments  Unrealized 
Swap counterparty /   premium  Termination  made by  received by  appreciation/ 
Notional amount   received (paid)  date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.            
$42,000,000    $--  1/27/14  4.35%  3 month USD-LIBOR-BBA  $(577,908) 
223,264,000    --  5/23/10  3 month USD-LIBOR-BBA  3.155%  (1,287,719) 
77,578,000    --  6/6/18  4.6675%  3 month USD-LIBOR-BBA  (75,704) 
185,536,000    --  9/24/09  3 month USD-LIBOR-BBA  4.7375%  5,601,058 
5,000,000    --  9/1/15  3 month USD-LIBOR-BBA  4.53%  77,590 
46,300,000    --  5/8/28  4.95%  3 month USD-LIBOR-BBA  (271,839) 
Citibank, N.A.            
JPY  4,864,700,000    --  9/11/16  1.8675%  6 month JPY-LIBOR-BBA  (576,601) 
$59,890,000    --  9/29/13  5.078%  3 month USD-LIBOR-BBA  (2,961,456) 
21,000,000    --  9/17/09  3 month USD-LIBOR-BBA  4.765%  648,298 
70,920,000    --  7/27/09  5.504%  3 month USD-LIBOR-BBA  (3,035,675) 
124,384,000    --  10/26/12  4.6275%  3 month USD-LIBOR-BBA  (2,577,279) 
60,418,000    --  11/9/09  4.387%  3 month USD-LIBOR-BBA  (1,024,760) 
62,086,000    --  11/9/17  5.0825%  3 month USD-LIBOR-BBA  (2,285,744) 
148,961,000    --  11/23/17  4.885%  3 month USD-LIBOR-BBA  (3,102,621) 
AUD 51,020,000    --  12/11/17  6 month AUD-BBR-BBSW  7.04%  (1,390,299) 
Citibank, N.A., London            
JPY 6,200,000,000    --  2/10/16  6 month JPY-LIBOR-BBA  1.755%  441,294 
Credit Suisse First Boston International        
$42,918,600    --  7/9/14  4.945%  3 month USD-LIBOR-BBA  (2,008,936) 
Credit Suisse International            
CHF 23,610,000    --  3/13/18  6 month CHF-LIBOR-BBA  3.3175%  (833,518) 
CHF  104,340,000    --  3/15/10  2.59%  6 month CHF-LIBOR-BBA  1,334,361 
CHF  109,340,000    --  3/15/10  2.6625%  6 month CHF-LIBOR-BBA  1,246,680 
CHF  24,810,000    --  3/14/18  6 month CHF-LIBOR-BBA  3.3%  (911,631) 
$2,584,000    --  8/29/12  5.04556%  3 month USD-LIBOR-BBA  (127,094) 
4,600,000    --  10/16/17  3 month USD-LIBOR-BBA  5.297%  254,044 
34,608,470    --  11/6/17  4.97021%  3 month USD-LIBOR-BBA  (975,422) 
EUR  120,880,000    --  7/4/15  3.93163%  6 month EUR-EURIBOR-Telerate  9,809,243 
Deutsche Bank AG            
$24,344,349    --  8/2/32  5.86%  3 month USD-LIBOR-BBA  (3,567,867) 
21,693,259    --  8/2/22  3 month USD-LIBOR-BBA  5.7756%  2,517,800 
EUR  19,890,000  (E)  --  4/26/38  6 month EUR-EURIBOR-Reuters  5.065%  410,668 
EUR 180,170,000  (E)  --  4/30/12  6 month EUR-EURIBOR-Reuters  4.31%  (3,819,272) 
EUR  153,970,000  (E)  --  4/30/15  4.475%  6 month EUR-EURIBOR-Reuters  4,476,317 
EUR  43,140,000  (E)  --  4/30/20  6 month EUR-EURIBOR-Reuters  4.7975%  (1,047,653) 
GBP  78,085,000    --  6/26/10  6 month GBP-LIBOR-BBA  6.18%  (152,273) 
ZAR 52,785,000    --  7/6/11  3 month ZAR-JIBAR-SAFEX  9.16%  (578,483) 
$10,536,000    --  10/16/17  3 month USD-LIBOR-BBA  5.297%  581,871 
7,300,000    --  11/7/17  3 month USD-LIBOR-BBA  5.056%  253,982 
Goldman Sachs Capital Markets, L.P.        
48,888,992    --  8/1/32  5.919%  3 month USD-LIBOR-BBA  (7,602,467) 
43,565,000    --  8/1/22  3 month USD-LIBOR-BBA  5.845%  5,394,931 
24,344,349    --  8/12/32  5.689%  3 month USD-LIBOR-BBA  (2,959,644) 
21,693,259    --  8/12/22  3 month USD-LIBOR-BBA  5.601%  2,110,849 
Goldman Sachs International             
SEK  394,630,000  (E)  --  3/2/11  3 month SEK-STIBOR-SIDE  4.2475%  (1,524,641) 
SEK  94,520,000  (E)  --  3/4/19  4.80%  3 month SEK-STIBOR-SIDE  586,136 
$105,536,000    --  3/11/38  5.029%  3 month USD-LIBOR-BBA  (2,384,190) 
EUR  103,570,000    --  3/26/10  6 month EUR-EURIBOR-Reuters  4.129%  (3,388,589) 
GBP 86,280,000    --  3/29/10  6 month GBP-LIBOR-BBA  5.25%  (3,023,452) 
GBP  20,880,000    --  3/27/18  5.0675%  6 month GBP-LIBOR-BBA  1,937,571 
$35,010,000    --  4/2/18  4.076%  3 month USD-LIBOR-BBA  1,506,604 
201,331,000    --  4/3/18  3 month USD-LIBOR-BBA  4.19%  (6,805,512) 
CHF  167,240,000    --  4/5/10  2.89%  6 month CHF-LIBOR-BBA  1,440,408 
CHF 38,210,000    --  4/3/18  6 month CHF-LIBOR-BBA  3.42%  (1,062,734) 
$424,238,000    --  4/8/10  3 month USD-LIBOR-BBA  2.64%  (6,031,604) 
CHF  53,300,000    --  4/1/10  2.9%  6 month CHF-LIBOR-BBA  440,334 
CHF  12,140,000    --  4/2/18  6 month CHF-LIBOR-BBA  3.44%  (317,136) 
$58,036,000    --  4/23/18  4.43%  3 month USD-LIBOR-BBA  920,036 
87,142,000    --  5/19/18  4.525%  3 month USD-LIBOR-BBA  833,795 
300,300,000    --  3/10/10  4.779%  3 month USD-LIBOR-BBA  (10,673,503) 
 

JPY  16,640,830,000    --  5/7/10  6 month JPY-LIBOR-BBA  1.09125%  (217,833) 
JPY  3,660,980,000  (E)  --  5/7/18  2.205%  6 month JPY-LIBOR-BBA  64,918 
JPY  3,003,000,000    --  6/10/16  1.953%  6 month JPY-LIBOR-BBA  (522,671) 
  $329,900,000  (E)  --  3/8/12  3 month USD-LIBOR-BBA  4.99%  1,976,101 
  9,430,000    --  9/14/14  4.906%  3 month USD-LIBOR-BBA  (380,641) 
  4,600,000    --  9/14/17  5.0625%  3 month USD-LIBOR-BBA  (212,152) 
  12,940,000    --  9/14/09  3 month USD-LIBOR-BBA  4.717%  394,582 
  219,058,200    --  9/19/09  3 month USD-LIBOR-BBA  4.763%  6,759,899 
  333,932,000    --  9/21/09  3 month USD-LIBOR-BBA  4.60%  9,358,166 
  93,119,100    --  9/21/17  5.149%  3 month USD-LIBOR-BBA  (4,822,467) 
GBP  8,940,000  (E)  --  1/25/38  4.41%  6 month GBP-LIBOR-BBA  (509,095) 
CHF  83,370,000    --  2/4/13  6 month CHF-LIBOR-BBA  2.8125%  (2,846,672) 
EUR  54,070,000    --  2/4/13  4.0525%  6 month EUR-EURIBOR-Reuters  3,910,848 
GBP  8,940,000  (E)  --  1/7/38  4.33625%  6 month GBP-LIBOR-BBA  (400,398) 
JPMorgan Chase Bank, N.A.             
  $649,451,000    --  4/27/09  5.034%  3 month USD-LIBOR-BBA  (12,652,418) 
  16,234,000    --  3/7/18  4.45%  3 month USD-LIBOR-BBA  62,407 
  77,188,000    --  3/12/18  3 month USD-LIBOR-BBA  4.4525%  (326,807) 
  65,961,000    --  3/11/38  5.0025%  3 month USD-LIBOR-BBA  (1,212,382) 
  336,858,000    --  3/14/18  4.775%  3 month USD-LIBOR-BBA  (7,379,073) 
  146,495,000    --  3/20/13  3 month USD-LIBOR-BBA  3.145%  (5,597,991) 
  352,958,000    --  3/26/10  3 month USD-LIBOR-BBA  2.33375%  (4,518,457) 
  151,351,000    --  4/8/13  3 month USD-LIBOR-BBA  3.58406%  (3,940,745) 
  3,204,000    --  5/7/13  3.9325%  3 month USD-LIBOR-BBA  38,010 
  167,525,000    --  5/23/10  3 month USD-LIBOR-BBA  3.16%  (948,597) 
  98,000,000    --  6/13/13  4.47%  3 month USD-LIBOR-BBA  (1,018,312) 
  33,130,000    --  10/10/13  5.054%  3 month USD-LIBOR-BBA  (1,346,361) 
  46,090,000    --  10/10/13  5.09%  3 month USD-LIBOR-BBA  (1,963,882) 
  3,000,000    --  6/27/18  3 month USD-LIBOR-BBA  4.8305%  37,274 
  113,000,000    --  5/10/15  3 month USD-LIBOR-BBA  4.687%  1,814,534 
  49,000,000    --  5/10/35  5.062%  3 month USD-LIBOR-BBA  (826,054) 
  15,300,000    --  8/13/12  3 month USD-LIBOR-BBA  5.2%  861,524 
  12,715,000    --  8/29/17  5.2925%  3 month USD-LIBOR-BBA  (830,057) 
  5,812,000    --  8/29/17  5.263%  3 month USD-LIBOR-BBA  (367,038) 
  62,800,000    --  9/11/27  5.27%  3 month USD-LIBOR-BBA  (3,659,836) 
  102,399,000    --  5/4/16  5.62375%  3 month USD-LIBOR-BBA  (7,794,672) 
JPY  21,270,000,000    --  6/6/13  1.83%  6 month JPY-LIBOR-BBA  (3,355,501) 
  $452,683,600    --  9/21/09  3 month USD-LIBOR-BBA  4.6125%  12,769,073 
  126,203,300    --  9/21/17  5.15%  3 month USD-LIBOR-BBA  (6,545,008) 
  6,961,000    --  9/27/17  5.2335%  3 month USD-LIBOR-BBA  (406,406) 
  171,199,000    --  10/30/12  4.68375%  3 month USD-LIBOR-BBA  (3,946,647) 
  3,640,000    --  11/7/17  3 month USD-LIBOR-BBA  5.05771%  127,126 
  60,418,000    --  11/9/09  4.3975%  3 month USD-LIBOR-BBA  (1,034,134) 
  62,086,000    --  11/9/17  5.0895%  3 month USD-LIBOR-BBA  (2,319,277) 
  263,238,000    --  11/30/17  4.705%  3 month USD-LIBOR-BBA  (1,683,808) 
  138,200,000    --  12/11/17  3 month USD-LIBOR-BBA  4.65%  201,779 
  40,100,000    --  8/4/08  3 month USD-LIBOR-BBA  5.40%  804,356 
  22,600,000    --  8/4/16  3 month USD-LIBOR-BBA  5.5195%  1,887,703 
  200,033,000    --  1/31/18  3 month USD-LIBOR-BBA  4.25%  (3,748,016) 
  79,166,000    --  2/5/18  3 month USD-LIBOR-BBA  4.28%  (1,298,598) 
Lehman Brothers Special Financing, Inc.          
  15,251,000    91,729  2/26/18  4.65%  3 month USD-LIBOR-BBA  (106,536) 
  134,837,000    93,349  3/14/18  4.35%  3 month USD-LIBOR-BBA  1,800,062 
  265,879,000    --  3/19/13  3 month USD-LIBOR-BBA  3.0675%  (11,093,801) 
  229,570,000    --  3/20/13  3 month USD-LIBOR-BBA  3.215%  (8,041,024) 
  225,450,000    --  3/26/10  3 month USD-LIBOR-BBA  2.3525%  (2,805,095) 
  225,450,000    --  3/26/10  3 month USD-LIBOR-BBA  2.395%  (2,619,741) 
  20,540,000  (E)  --  3/26/38  5.05%  3 month USD-LIBOR-BBA  380,812 
  146,495,000    --  3/20/13  3 month USD-LIBOR-BBA  3.07%  (6,099,065) 
  42,400,000  (E)  --  3/22/38  5.29%  3 month USD-LIBOR-BBA  (1,272) 
  402,177,000    --  3/20/13  3 month USD-LIBOR-BBA  3.155%  (15,188,131) 
EUR  28,280,000  (E)  --  3/22/38  6 month EUR-EURIBOR-Reuters  4.864%  (117,581) 
  $452,494,000    --  3/25/10  3 month USD-LIBOR-BBA  2.345%  (5,676,113) 

  57,300,000    -- 3/25/13  3 month USD-LIBOR-BBA  3.2292%  (1,983,508) 
  19,400,000    -- 3/25/38  4.583%  3 month USD-LIBOR-BBA  956,150 
  452,494,000    -- 3/25/10  3 month USD-LIBOR-BBA  2.268%  (6,348,218) 
  260,136,000    -- 3/25/10  3 month USD-LIBOR-BBA  2.275%  (3,616,080) 
GBP  73,880,000    -- 3/22/10  6 month GBP-LIBOR-BBA  5.075%  (3,069,227) 
GBP  21,000,000    -- 3/20/18  4.99%  6 month GBP-LIBOR-BBA  2,201,693 
EUR  17,470,000  (E)  -- 3/29/38  6 month EUR-EURIBOR-Reuters  4.9625%  141,695 
EUR  200,460,000  (E)  -- 4/12/12  6 month EUR-EURIBOR-Reuters  4.10%  (5,423,803) 
EUR  170,600,000  (E)  -- 4/13/15  4.31%  6 month EUR-EURIBOR-Reuters  6,759,937 
EUR  47,630,000  (E)  -- 4/13/20  6 month EUR-EURIBOR-Reuters  4.6575%  (1,901,567) 
  $266,637,000    -- 4/16/18  4.405%  3 month USD-LIBOR-BBA  4,586,527 
  48,637,000    -- 4/21/38  4.945%  3 month USD-LIBOR-BBA  25,849 
  10,793,000    -- 4/26/38  3 month USD-LIBOR-BBA  4.77%  (308,875) 
  29,835,000  (E)  -- 4/26/38  5.3325%  3 month USD-LIBOR-BBA  (102,334) 
EUR  85,158,000  (E)  -- 6/3/18  6 month EUR-EURIBOR-Reuters  4.912%  (139,480) 
  $126,626,000  (E)  -- 6/3/18  5.28%  3 month USD-LIBOR-BBA  (336,825) 
  1,000,000  (F)  -- 6/30/13  3 month USD-LIBOR-BBA  4.362%  4,711 
  300,070,000  (E)  -- 7/2/18  5.19%  3 month USD-LIBOR-BBA  -- 
EUR  203,410,000  (E)  -- 7/2/18  6 month EUR-EURIBOR-Reuters  4.9425%  -- 
  $343,000,000    -- 6/10/13  3 month USD-LIBOR-BBA  4.127%  (1,603,537) 
  70,701,000    -- 6/10/38  5.1275%  3 month USD-LIBOR-BBA  (1,802,776) 
EUR  43,990,000  (E)  -- 6/11/38  4.52%  6 month EUR-EURIBOR-Reuters  1,946,764 
  $65,950,000  (E)  -- 6/11/38  3 month USD-LIBOR-BBA  5.54%  1,280,749 
EUR  35,350,000  (E)  -- 6/12/38  4.7625%  6 month EUR-EURIBOR-Reuters  534,458 
  $53,015,000  (E)  -- 6/12/38  3 month USD-LIBOR-BBA  5.4175%  532,801 
EUR  85,158,000  (E)  -- 6/12/18  4.7225%  6 month EUR-EURIBOR-Reuters  1,008,547 
  $126,626,000  (E)  -- 6/12/18  3 month USD-LIBOR-BBA  5.1575%  (221,596) 
  242,480,000    -- 6/20/18  3 month USD-LIBOR-BBA  4.0575%  (11,936,448) 
  238,882,000    -- 6/12/17  3 month USD-LIBOR-BBA  5.717%  19,702,219 
  145,451,000    -- 6/14/17  3 month USD-LIBOR-BBA  5.8725%  13,628,774 
  42,650,000    -- 7/2/12  3 month USD-LIBOR-BBA  5.522%  3,083,010 
  19,202,000    8/3/08  5.425%  3 month USD-LIBOR-BBA  (387,512) 
  46,641,000    --  8/3/11  3 month USD-LIBOR-BBA  5.445%  2,885,795 
  18,023,000    --  8/3/16  3 month USD-LIBOR-BBA  5.5675%  1,566,968 
  175,332,000    -- 3/15/09  4.9298%  3 month USD-LIBOR-BBA  (4,634,879) 
  274,079,000    -- 8/31/09  3 month USD-LIBOR-BBA  4.89%  9,221,844 
  57,895,000    -- 8/31/27  5.4925%  3 month USD-LIBOR-BBA  (5,078,461) 
  57,894,000    -- 9/4/27  5.4475%  3 month USD-LIBOR-BBA  (4,722,251) 
  274,075,000    -- 9/4/09  3 month USD-LIBOR-BBA  4.836%  8,934,794 
  297,315,000    -- 9/11/09  3 month USD-LIBOR-BBA  4.6525%  8,824,557 
  11,783,000    -- 9/11/17  5.0525%  3 month USD-LIBOR-BBA  (537,459) 
  5,330,000    -- 9/14/17  3 month USD-LIBOR-BBA  5.055%  242,717 
  16,000,000    -- 9/17/17  3 month USD-LIBOR-BBA  5.131%  816,298 
  149,371,600    -- 9/19/09  3 month USD-LIBOR-BBA  4.755%  4,591,123 
  452,683,600    -- 9/24/09  3 month USD-LIBOR-BBA  4.695%  13,383,677 
  126,203,300    -- 9/24/17  5.285%  3 month USD-LIBOR-BBA  (7,883,734) 
  155,441,000    -- 10/26/12  4.61375%  3 month USD-LIBOR-BBA  (3,131,557) 
JPY  5,475,700,000    -- 6/10/16  1.7775%  6 month JPY-LIBOR-BBA  (271,826) 
  $1,690,000    -- 11/7/17  3 month USD-LIBOR-BBA  5.05521%  58,695 
  60,418,000    -- 11/9/09  4.403%  3 month USD-LIBOR-BBA  (1,038,844) 
  62,086,000    -- 11/9/17  5.067%  3 month USD-LIBOR-BBA  (2,211,093) 
  229,100,000    -- 12/11/17  3 month USD-LIBOR-BBA  4.839%  3,668,623 
JPY  12,649,000,000    -- 10/21/15  1.61%  6 month JPY-LIBOR-BBA  333,361 
  $194,743,000    -- 1/16/18  4.375%  3 month USD-LIBOR-BBA  1,409,236 
  14,683,913    -- 2/8/13  3.441%  3 month USD-LIBOR-BBA  335,642 
  225,750,000    -- 2/14/13  3.563%  3 month USD-LIBOR-BBA  3,923,906 
EUR  13,700,000  (E)  -- 3/26/38  6 month EUR-EURIBOR-Reuters  4.74%  (261,934) 
  $225,450,000    --  3/26/10  3 month USD-LIBOR-BBA  2.325%  (2,925,163) 
EUR  103,570,000    -- 3/29/10  6 month EUR-EURIBOR-Reuters  4.25%  (3,084,527) 
  $26,190,000  (E)  -- 3/29/38  5.31%  3 month USD-LIBOR-BBA  (42,690) 
Merrill Lynch Capital Services, Inc.        
  146,535,000    -- 10/26/12  4.6165%  3 month USD-LIBOR-BBA  (2,968,959) 

  168,070,000  -- 5/19/10  3.2925%  3 month USD-LIBOR-BBA  527,092 
JPY  3,003,000,000  -- 6/10/16  1.99625%  6 month JPY-LIBOR-BBA  (614,573) 
Merrill Lynch Derivative Products AG        
JPY  1,501,500,000  -- 6/11/17  2.05625%  6 month JPY-LIBOR-BBA  (323,540) 
Morgan Stanley Capital Services, Inc.        
  $2,000,000  -- 10/2/10  6.94%  3 month USD-LIBOR-BBA  (162,294) 
  15,000,000  -- 5/17/12  3 month USD-LIBOR-BBA  5.7775%  954,045 
GBP  33,000,000  -- 3/28/18  5.065%  6 month GBP-LIBOR-BBA  3,074,054 
GBP  137,130,000  -- 3/29/10  6 month GBP-LIBOR-BBA  5.21%  (5,007,909) 
  $1,987,000  -- 8/29/17  5.26021%  3 month USD-LIBOR-BBA  (125,046) 
Total          $(96,332,761) 

(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 6/30/08 (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.          
$72,659,000  (1)(F)  7/1/08  Banc of America  The spread  $(1,646,598) 
        Securities AAA  return of Banc   
        10 year Index  of America   
        multiplied by  Securities- CMBS   
        the modified  AAA 10 year Index   
        duration factor     
        minus 125 bp     
 
124,254,000  (1)(F)  11/1/08  Banc of America  The spread  (1,040,130) 
        Securities AAA  return of Banc   
        10 year Index  of America   
        multiplied by  Securities- CMBS   
        the modified  AAA 10 year Index   
        duration factor     
        minus 20 bp     
 
Goldman Sachs International          
6,497,000  (F)  9/15/11  678 bp (1 month  Ford Credit Auto  (90,339) 
        USD-LIBOR-BBA)  Owner Trust   
          Series 2005-B   
          Class D   
 
EUR  85,960,000  (F)  3/26/09  (2.27%)  Eurostat  1,069,607 
          Eurozone HICP   
          excluding tobacco   
 
EUR  48,050,000    4/30/13  2.375%  French Consumer  (1,661,800) 
          Price Index   
          excluding tobacco   
 
EUR  48,050,000  (F)  4/30/13  (2.41%)  Eurostat  2,285,353 
          Eurozone HICP   
          excluding tobacco   
 
EUR  48,050,000    5/6/13  2.34%  French Consumer  (1,748,095) 
          Price Index   
          excluding tobacco   
 
EUR  48,050,000    5/6/13  (2.385%)  Eurostat  1,940,307 
          Eurozone HICP   
          excluding tobacco   
 
GBP  28,830,000    5/9/13  3.10%  GBP Non-revised  (1,933,081) 
          Retail Price   
          Index   
 
GBP  6,436,000    1/7/38  3.485%  GBP Non-revised  (1,396,054) 
          UK Retail Price   
          Index excluding   
          tobacco   
 
GBP  8,588,000    1/7/18  (3.11%)  GBP Non-revised  1,171,739 
          UK Retail Price   
          Index excluding   
          tobacco   
 
GBP  8,588,000  (F)  1/24/18  (3.26%)  GBP Non-revised  913,929 
          UK Retail Price   
          Index excluding   
          tobacco   
 
GBP  6,436,000  (F)  1/24/38  3.6665%  GBP Non-revised  (833,707) 
          UK Retail Price   
          Index excluding   
          tobacco   
 
JPMorgan Chase Bank, N.A.          
$38,200,000  (1)(F)  8/1/08  Change in spread  The spread  (3,929,214) 
        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.        
18,428,000  (1)  7/1/08  Lehman Brothers  The spread  (379,233) 
        SD CMBS AAA 8.5+  return of Lehman   
        Index multiplied  Brothers SD CMBS   
        by the modified  AAA 8.5+ Index   
        duration factor     
        minus 75 bp     
 
123,152,000  (1)  11/1/08  Lehman Brothers  The spread  (1,590,779) 
        SD CMBS AAA 8.5+  return of Lehman   
        Index multiplied  Brothers SD CMBS   
        by the modified  AAA 8.5+ Index   
        duration factor     
        minus 40 bp     
 
58,894,500  (1)(F)  11/1/08  Lehman Brothers  The spread  (856,208) 
        SD CMBS AAA 8.5+  return of Lehman   
        Index multiplied  Brothers SD CMBS   
        by the modified  AAA 8.5+ Index   
        duration factor     
        minus 125 bp     
 
42,980,000    7/2/10  (3.4075%)  USA Non Revised  -- 
          Consumer Price   
          Index- Urban   
          (CPI-U)   

18,428,000  (2)  7/1/08  (Beginning  The spread  (820,273) 
      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 100 bp)     
 
11,728,000  (1)(F)  8/1/08  Lehman Brothers  The spread  (113,246) 
      SD CMBS AAA 8.5+  return of Lehman   
      Index multiplied  Brothers SD CMBS   
      by the modified  AAA 8.5+ Index   
      duration factor     
      plus 40 bp     
 
11,728,000  (1)(F)  8/1/08  Lehman Brothers  The spread  (107,382) 
      SD CMBS AAA 8.5+  return of Lehman   
      Index multiplied  Brothers SD CMBS   
      by the modified  AAA 8.5+ Index   
      duration factor     
      plus 50 bp     
 
23,640,000  (1)(F)  8/1/08  Lehman Brothers  The spread  (305,098) 
      SD CMBS AAA 8.5+  return of Lehman   
      Index multiplied  Brothers SD CMBS   
      by the modified  AAA 8.5+ Index   
      duration factor     
      minus 25 bp     
 
Merrill Lynch Capital Services        
301,677,814    7/14/08  (2.61%) 5.50%  FNMA 5.50% 30 YR  (1,709,559) 
        TBA   
 
Morgan Stanley Capital Services, Inc.        
23,999,000  (1)(F)  8/1/08  Beginning  The spread  (252,877) 
      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   
 
Total          $(13,032,738) 

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

(1) Fund receives the net fixed and total return payment if positive and pays the net fixed and total return payment if negative.

(2) Fund pays the net fixed and total return payment if positive and receives the net fixed and total return payment if negative.

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/08 (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  $(16,822) 
DJ ABX NA CMBX BBB Index  623    906,000  (F)  10/12/52  (134 bp)  259,252 
DJ ABX NA HE AAA Index  532,387    4,585,912  (F)  7/25/45  18 bp  156,939 
DJ CDX NA HY Series 9               
Index  55,331    29,509,920    12/20/12  (375 bp)  2,640,818 
Financial Security               
Assurance Inc.  --    2,480,000  (F)  12/20/12  95 bp  (468,046) 
Ford Motor Co., 7.45%,               
7/16/31  --    2,000,000    3/20/12  (525 bp)  524,392 
Ford Motor Credit Co.,               
7%, 10/1/13  --    6,000,000    3/20/12  285 bp  (1,462,795) 
Idearc, Inc T/L Bank               
Loan  --    2,400,000    6/20/12  (152 bp)  250,933 
Lehman Brothers               
Holdings, 6 5/8%,               
1/18/12  --    4,785,000    9/20/13  269 bp  (14,976) 
Visteon Corp., 7%,               
3/10/14  (626,875)    2,360,000    9/20/13  (500 bp)  177,444 
Barclays Bank PLC               
Peru CD  --    4,507,349    1/7/09  170 bp  33,969 
Peru CD  --    4,278,686    11/10/08  170 bp  29,907 
Bear Stearns Credit Products, Inc.               
Claire's Stores,               
9 5/8%, 6/1/15  --    285,000    6/20/12  230 bp  (44,314) 
Citibank, N.A.               
Abitibibowater Inc.,               
6 1/2%, 6/15/13  --    570,000    12/20/08  725 bp  (12,223) 
Abitibibowater Inc.,               
6 1/2%, 6/15/13  --    560,000    12/20/08  800 bp  (9,949) 
Abitibibowater Inc.,               
6 1/2%, 6/15/13  --    560,000    12/20/08  825 bp  (9,262) 
Advanced Micro Devices               
Inc., 7.75%, 11/1/12  --    9,940,000    3/20/09  575 bp  8,916 
DJ ABX HE A Index  11,045,115    15,556,500    1/25/38  369 bp  (3,007,071) 
DJ ABX HE AAA Index  2,706,831    9,333,900    1/25/38  76 bp  (2,344,676) 
DJ ABX NA HE AAA Index  910,047    8,550,640    7/25/45  18 bp  203,100 
DJ ABX NA HE AAA Index  1,782,368    21,401,251    7/25/45  18 bp  12,963 
DJ ABX NA HE AAA Index  1,728,356    21,401,251    7/25/45  18 bp  (41,048) 
Freescale               
Semiconductor, 8 7/8%,               
12/15/14  --    960,000    9/20/12  495 bp  (108,401) 
Lear Corp., term loan  --    1,305,000    6/20/13  (225 bp)  91,236 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  --    1,155,000    6/20/13  585 bp  (42,403) 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  --    235,000    3/20/09  275 bp  (1,436) 
Sara Lee Corp., 6 1/8%,               
11/1/32  --    1,340,000    9/20/11  (43 bp)  (1,704) 
Seat Pagine Gialle               
S.P.A., 8%, 4/30/14  --  EUR  2,090,000    3/20/13  815 bp  (13,379) 
Wind Acquisition               
9 3/4%, 12/1/15  --  EUR  1,089,000    3/20/13  (495 bp)  (25,149) 
Credit Suisse First Boston International            
Ukraine Government,               
7.65%, 6/11/13  --    $4,715,000    10/20/11  194 bp  (161,318) 
Credit Suisse International               
Advanced Micro Devices,               
7 3/4%, 11/1/12  --    870,000    6/20/09  165 bp  (33,831) 
DJ ABX NA HE AAA Index  1,080,891    7,109,100    7/25/45  18 bp  497,777 
DJ CMB NA CMBX AA Index  (1,019,771)    4,562,000  (F)  10/12/52  (25 bp)  (263,266) 
DJ CMB NA CMBX AAA Index  654,297    3,931,000  (F)  12/13/49  8 bp  332,274 
DJ CMB NA CMBX AAA Index  6,853,489    43,748,500  (F)  2/17/51  35 bp  3,906,856 

Dynegy Holdings Inc.,               
6 7/8%, 4/1/11  --    610,000    6/20/17  297 bp  (66,851) 
 
Freeport-McMoRan Copper               
& Gold, Inc.  --    2,440,000    3/20/12  41 bp  (11,361) 
 
Freeport-McMoRan Copper               
& Gold, Inc.  --    2,439,300    3/20/12  (82 bp)  (4,660) 
 
Harrahs Operating Co.               
Inc., 5 5/8%, 6/1/15  --    735,000    3/20/09  600 bp  (7,098) 
 
Republic of Peru,               
8 3/4%, 11/21/33  --    2,500,000    4/20/17  125 bp  (37,787) 
 
Deutsche Bank AG               
DJ ABX NA HE AAA Index  426,465    4,121,503    7/25/45  18 bp  76,403 
 
DJ ABX NA HE AAA Index  1,151,143    15,204,206    7/25/45  18 bp  (140,236) 
 
DJ iTraxx Europe Series               
8 Version 1  (240,767)  EUR  2,510,000    12/20/12  (375 bp)  (72,049) 
 
DJ iTraxx Europe Series               
9 Version 1  711,462  EUR  10,415,000    6/20/13  (650 bp)  (102,173) 
 
General Electric               
Capital Corp., 6%,               
6/15/12  --    $1,470,000    9/20/13  109 bp  (35,848) 
 
Grohe Holding GmBh,               
8 5/8%, 10/1/14  --  EUR  600,000    6/20/09  400 bp  6,649 
 
Grohe Holding GmBh,               
8 5/8%, 10/1/14  --  EUR  2,195,000    6/20/09  400 bp  24,323 
 
India Government Bond,               
5.87%, 1/2/10  --    $17,880,000  (F)  1/11/10  170 bp  127,350 
 
iStar Financial, Inc.,               
6%, 12/15/10  117,787    1,745,000    3/20/09  500 bp  62,961 
 
Korea Monetary STAB               
Bond, 5%, 2/14/09  --    6,120,000  (F)  2/23/09  105 bp  10,574 
 
Korea Monetary STAB               
Bond, 5.04%, 1/24/09  --    4,960,000  (F)  2/2/09  130 bp  21,014 
 
Korea Monetary STAB               
Bond, 5.15%, 2/12/10  --    6,120,000  (F)  2/19/10  115 bp  24,420 
 
Malaysian Government,               
6.844%, 10/1/09  --    7,548,000    10/1/09  90 bp  50,308 
 
Republic of Argentina,               
8.28%, 12/31/33  --    987,500    4/20/13  (565 bp)  19,862 
 
Republic of Argentina,               
8.28%, 12/31/33  --    2,875,000    8/20/12  (380 bp)  200,003 
 
Republic of Argentina,               
8.28%, 12/31/33  --    6,155,000    3/20/13  (551 bp)  115,685 
 
Republic of Brazil,               
12 1/4%, 3/6/30  --    3,770,000    10/20/17  105 bp  (114,164) 
 
Republic of China, zero               
coupon, 12/5/08  --    10,200,000  (F)  12/12/08  115 bp  35,692 
 
Republic of Indonesia,               
6.75%, 2014  --    2,130,000    9/20/16  292 bp  (37,036) 
 
Republic of Peru,               
8 3/4%, 11/21/33  --    2,500,000    4/20/17  126 bp  (34,812) 
 
Republic of South               
Korea, 5.45%, 1/23/10  --    6,185,000  (F)  2/1/10  101 bp  11,595 
 
Republic of Turkey,               
11 7/8%, 1/15/30  --    3,735,000    6/20/14  195 bp  (232,697) 
 
Republic of Venezuela,               
9 1/4%, 9/15/27  --    2,420,000    6/20/14  220 bp  (363,195) 
 
Russian Federation,               
7 1/2%, 3/31/30  --    987,500    4/20/13  (112 bp)  (4,237) 
 
Russian Federation,               
7.5%, 3/31/30  --    3,115,000    8/20/17  86 bp  (82,008) 
 
Smurfit Kappa Funding,               
10 1/8%, 10/1/12  --    2,065,000    6/20/09  135 bp  395 
 
United Mexican States,               
7.5%, 4/8/33  --    6,115,000    3/20/14  56 bp  (184,195) 
 
United Mexican States,               
7.5%, 4/8/33  --    2,230,000    4/20/17  66 bp  (105,429) 
 
Unity Media GmBh,               
8 3/4%, 2/15/15  --    1,985,000    6/20/13  460 bp  (77,672) 

Virgin Media Finance               
PLC, 8 3/4%, 4/15/14  --  EUR  1,975,000    9/20/13  477 bp  (52,194) 
 
Goldman Sachs International               
Advanced Micro Devices,               
7 3/4%, 11/1/12  --    $1,715,000    3/20/09  515 bp  (5,945) 
 
Any one of the               
underlying securities               
in the basket of BB               
CMBS securities  --    28,743,000    (a)  2.461%  (4,213,633) 
 
DJ ABX HE A Index  2,358,761    3,520,000    1/25/38  369 bp  (817,101) 
 
DJ ABX HE AAA Index  827,274    3,520,000  (F)  1/25/38  76 bp  (1,077,304) 
 
DJ ABX NA HE AAA Index  556,162    7,345,742    7/25/45  18 bp  (26,200) 
 
DJ CDX NA CMBX AAA Index  211,407    5,780,000    3/15/49  7 bp  (197,805) 
 
DJ CDX NA HY Series 9               
Index  2,417,920    50,242,500    12/20/12  375 bp  (1,984,034) 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    12,400,000    12/20/10  429 bp  445,790 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    12,551,000    12/20/10  108.65 bp  (508,793) 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    14,540,000    12/20/10  305 bp  92,212 
 
DJ CDX NA IG Series 10               
Index  (217,566)    29,480,000    6/20/13  155 bp  (11,689) 
 
DJ CDX NA IG Series 10               
Index  449,699    23,428,000    6/20/18  (150 bp)  151,734 
 
DJ CDX NA IG Series 10               
Index 30-100% tranche  --    96,265,000    6/20/13  (50 bp)  70,638 
 
General Motors Corp.,               
7 1/8%, 7/15/13  --    1,260,000    9/20/08  620 bp  (12,405) 
 
General Motors Corp.,               
7 1/8%, 7/15/13  --    5,930,000    9/20/08  620 bp  (58,384) 
 
Lehman Brothers               
Holdings, 6 5/8%,               
1/18/12  --    4,785,000    9/20/17  (67.8 bp)  493,873 
 
Lighthouse               
International Co, SA,               
8%, 4/30/14  --  EUR  1,835,000    3/20/13  680 bp  (123,717) 
 
Merrill Lynch & Co.,               
5%, 1/15/15  --    $4,785,000    9/20/17  (59.8 bp)  466,333 
 
Rhodia SA, Euribor+275,               
10/15/13  --  EUR  1,000,000    9/20/13  (367 bp)  34,214 
 
Rhodia SA, Euribor+275,               
10/15/13  --  EUR  835,000    9/20/13  (387 bp)  18,259 
 
Wind Acquisition               
9 3/4%, 12/1/15  --  EUR  1,835,000    3/20/13  597 bp  151,240 
 
Wind Acquisition               
9 3/4%, 12/1/15  --  EUR  2,480,000    12/20/10  (340 bp)  (22,380) 
 
JPMorgan Chase Bank, N.A.               
Codere Finance               
(Luxembourg) S.A.,               
8.25%, 6/15/15  --  EUR  1,835,000    3/20/13  795 bp  184,906 
 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    $12,886,000    12/20/10  105.5 bp  (532,033) 
 
DJ CDX NA IG Series 10               
Index  (42,377)    7,090,000    6/20/13  155 bp  7,137 
 
DJ CDX NA IG Series 9               
Index  --    42,530,000  (F)  12/20/12  (13.55 bp)  655,370 
 
DJ iTraxx Europe               
Crossover Series 8               
Version 1  (980,758)  EUR  7,340,000    12/20/12  (375 bp)  (487,375) 
 
Freeport-McMoRan Copper               
& Gold, Inc.  --    $4,878,600    3/20/12  (85 bp)  (14,293) 
 
Idearc, Inc T/L Bank               
Loan  --    2,400,000    6/20/12  79 bp  (298,197) 
 
iStar Financial, Inc.,               
6%, 12/15/10  115,500    1,650,000  (F)  3/20/09  500 bp  67,713 
 
Republic of Argentina,               
8.28%, 12/31/33  --    2,860,000    6/20/14  235 bp  (520,440) 
 
Republic of Hungary,               
4 3/4%, 2/3/15  --    2,595,000    4/20/13  (171.5 bp)  (49,108) 

Republic of Indonesia,               
6.75%, 3/10/14  --    3,925,000    6/20/17  171.5 bp  (393,976) 
Republic of Turkey,               
11 7/8%, 1/15/30  --    4,010,000    5/20/17  230 bp  (344,365) 
Republic of Turkey,               
11 7/8%, 1/15/30  --    2,960,000    5/20/17  244 bp  (227,367) 
Russian Federation,               
7 1/2%, 3/31/30  --    1,955,000    5/20/17  60 bp  (89,285) 
Russian Federation,               
7.5%, 3/31/30  --    4,675,000    8/20/12  65 bp  (53,653) 
Russian Federation,               
7.5%, 3/31/30  --    3,115,000    8/20/17  85 bp  (84,365) 
Sanmina-Sci Corp.,               
8 1/8%, 3/1/16  --    920,000    6/20/13  595 bp  (25,874) 
Smurfit-Stone Container               
Enterprises, 7 1/2%,               
6/1/13  --    545,000  (F)  3/20/13  685 bp  (29,360) 
Lehman Brothers Special Financing, Inc.            
Advanced Micro Devices,               
7 3/4%, 11/1/12  --    3,430,000    3/20/09  525 bp  (9,418) 
Bear Stearns Co. Inc.,               
5.3%, 10/30/15  --    4,785,000    9/20/17  (77 bp)  92,995 
Community Health               
Systems, 8 7/8%, 7/15/15  --    858,000    12/20/12  360 bp  (30,502) 
DJ ABX HE A Index  2,358,761    3,520,000    1/25/38  369 bp  (814,175) 
DJ ABX HE A Index  2,451,265    3,527,000    1/25/38  369 bp  (727,981) 
DJ ABX HE AAA Index  827,274    3,520,000  (F)  1/25/38  76 bp  (1,077,304) 
DJ ABX HE AAA Index  987,560    3,527,000  (F)  1/25/38  76 bp  (920,806) 
DJ ABX HE AAA Index  1,804,554    6,222,600  (F)  1/25/38  76 bp  (1,562,329) 
DJ ABX HE PEN AAA Index  108,245    1,546,352  (F)  5/25/46  11 bp  (117,494) 
DJ ABX HE PEN AAA Index  110,642    1,552,869  (F)  5/25/46  11 bp  (116,048) 
DJ ABX NA HE AAA Index  1,781,957    23,535,953  (F)  7/25/45  18 bp  (144,931) 
DJ ABX NA HE AAA Index  701,514    9,113,650  (F)  7/25/45  18 bp  (44,620) 
DJ CDX NA CMBX AA Index  (14,829)    468,000  (F)  3/15/49  (15 bp)  96,020 
DJ CDX NA CMBX AAA Index  299,047    5,410,000  (F)  12/13/49  8 bp  (144,134) 
DJ CDX NA HY Series 10               
Index  3,093,131    49,990,000    6/20/13  500 bp  211,596 
DJ CDX NA HY Series 10               
Index  4,299,316    67,440,253    6/20/13  500 bp  411,910 
DJ CDX NA HY Series 8               
Index 35-60% tranche  --    175,133,000    6/20/12  95 bp  (13,707,419) 
DJ CDX NA HY Series 8               
Index 35-60% tranche  --    33,227,000    6/20/12  104 bp  (2,489,670) 
DJ CDX NA HY Series 9               
Index  99,000    79,200,000    12/20/12  (375 bp)  7,038,042 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    50,900,000    12/20/10  104.5 bp  (2,113,912) 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    50,900,000    12/20/10  90 bp  (2,290,245) 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    125,100,000    12/20/10  171 bp  (3,208,502) 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    37,590,000    12/20/10  203 bp  (676,985) 
DJ CDX NA HY Series 9               
Index 25-35% tranche  --    37,590,000    12/20/10  212 bp  (596,261) 
DJ CDX NA HY Series 9               
Index, 25-35% tranche  --    47,470,000    12/20/10  163 bp  (1,308,365) 
DJ CDX NA IG Series 10               
Index  821,486    54,300,000    6/20/18  (150 bp)  130,880 
DJ CDX NA IG Series 10               
Index 30-100% tranche  --    49,036,900  (F)  6/20/13  (42 bp)  184,706 
DJ CDX NA IG Series 9               
Index  (1,913,224)    41,305,000    12/20/17  (80 bp)  (267,404) 
DJ iTraxx Europe Series               
9 Version 1  (343,515)  EUR  2,470,000    6/20/13  650 bp  (150,555) 
DJ LCDX NA Series 9               

Index, 30-100% tranche  --  $25,950,000  (F)  12/20/12  96 bp  151,479 
 
Domtar Corp., 7 1/8%,             
8/15/15  --  640,000    12/20/11  (250 bp)  6,884 
 
Federal Republic of             
Brazil, 12 1/4%, 3/6/30  --  2,590,000    4/20/13  170 bp  61,407 
 
Freescale             
Semiconductor, 8 7/8%,             
12/15/14  --  2,329,000    6/20/12  355 bp  (343,959) 
 
Freescale             
Semiconductor, 8 7/8%,             
12/15/14  --  2,329,000    6/20/10  (228 bp)  159,218 
 
General Electric             
Capital Corp., 6%,             
6/15/12  --  2,940,000    9/20/13  115 bp  (63,906) 
 
Goldman Sachs Group,             
Inc., 6.6%, 1/15/12  --  4,785,000    9/20/17  (58 bp)  265,246 
 
Goldman Sachs Group,             
Inc., 6.6%, 1/15/12  --  3,525,000    9/20/12  45.5 bp  (117,879) 
 
Harrahs Operating Co.             
Inc., 5 5/8%, 6/1/15  --  515,000    3/20/09  610 bp  (4,602) 
 
Jefferson Smurfit             
Corp., 7 1/2%, 6/1/13  --  875,000  (F)  3/20/13  645 bp  (58,746) 
 
MediaCom LLC/ Cap             
Corp., 9 1/2%, 1/15/13  --  575,000    6/20/13  740 bp  (13,006) 
 
MediaCom LLC/ Cap             
Corp., 9 1/2%, 1/15/13  --  930,000    9/20/13  820 bp  1,052 
 
Morgan Stanley Dean             
Witter, 6.6%, 4/1/12  --  4,785,000    9/20/17  (60.5 bp)  394,716 
 
Morgan Stanley Dean             
Witter, 6.6%, 4/1/12  --  4,785,000    9/20/12  48 bp  (274,945) 
 
Republic of Argentina,             
8.28%, 12/31/33  --  987,500    4/20/13  (565 bp)  19,862 
 
Republic of Argentina,             
8.28%, 12/31/33  --  1,435,000    9/20/12  (469 bp)  61,635 
 
Republic of Argentina,             
8.28%, 12/31/33  --  4,060,000    5/20/17  296 bp  (846,537) 
 
Republic of Ecuador,             
10%, 8/15/30  --  2,295,000    6/20/12  600 bp  42,396 
 
Republic of Ecuador,             
10%, 8/15/30  --  1,145,000    5/20/12  540 bp  6,652 
 
Republic of Peru,             
8 3/4%, 11/21/33  --  5,045,000    10/20/16  215 bp  236,421 
 
Republic of Turkey,             
11 7/8%, 1/15/30  --  5,740,000    5/20/17  228 bp  (500,356) 
 
Republic of Venezuela,             
9 1/4%, 9/15/27  --  4,830,000    5/20/12  183 bp  (523,650) 
 
Russian Federation,             
7 1/2%, 3/31/30  --  987,500    4/20/13  (112 bp)  (4,237) 
 
United Mexican States,             
7.5%, 4/8/33  --  2,705,000    4/20/17  67 bp  (124,119) 
 
Wind Acquisition             
9 3/4%, 12/1/15  --   EUR  1,060,000  (F)  12/20/10  (357 bp)  (20,755) 
 
Merrill Lynch Capital Services, Inc.          
Bombardier, Inc,             
6 3/4%, 5/1/12  --  $4,865,000    6/20/12  (150 bp)  50,896 
 
D.R. Horton Inc.,             
7 7/8%, 8/15/11  --  3,320,000    9/20/11  (426 bp)  50,923 
 
General Motors Corp.,             
7 1/8%, 7/15/13  --  4,125,000    9/20/08  500 bp  (53,510) 
 
Pulte Homes Inc.,             
5.25%, 1/15/14  --  3,111,000    9/20/11  (482 bp)  (99,343) 
 
Merrill Lynch International          
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --  610,000    6/20/17  295 bp  (67,538) 
 
KinderMorgan, 6 1/2%,             
9/1/12  --  6,397,000    9/20/12  (128 bp)  60,125 
 
Morgan Stanley Capital Services, Inc.          
Advanced Micro Devices,             
7 3/4%, 11/1/12  --  1,250,000    6/20/09  190 bp  (45,612) 
 
Aramark Services, Inc.,             
8.5%, 2/1/15  --  560,000    12/20/12  355 bp  (25,901) 

Bombardier, Inc,             
6 3/4%, 5/1/12  --  2,430,000    6/20/12  (114 bp)  64,160 
Bundesrepublic of             
Deutschland, 6%, 6/20/16  --  11,537,000    6/20/18  8 bp  (7,537) 
DJ ABX NA CMBX AAA Index  834,782  11,728,000  (F)  3/15/49  7 bp  19,174 
DJ ABX NA CMBX BBB Index  177  244,027  (F)  10/12/52  (134 bp)  69,838 
DJ CDX NA HY Series 7             
Index  254,076  5,348,970    12/20/09  (325 bp)  317,277 
DJ CDX NA HY Series 9             
Index  298,178  7,454,450    12/20/12  375 bp  (354,937) 
DJ CDX NA IG Series 10             
Index  1,784,599  91,602,000    6/20/18  (150 bp)  619,574 
DJ CDX NA IG Series 10             
Index 30-100% tranche  --  186,061,000  (F)  6/20/13  (52 bp)  (145,107) 
DJ CDX NA IG Series 10             
Index 30-100% tranche  --  54,755,000  (F)  6/20/13  (38.6 bp)  290,862 
DJ CDX NA IG Series 7             
Index 10-15% tranche  216,120  5,403,000    12/20/09  0 bp  (422,592) 
DJ CMB NA CMBX AA Index  (1,487,347)  6,519,000  (F)  10/12/52  (25 bp)  (406,318) 
DJ CMB NA CMBX AAA Index  5,306,479  44,236,000  (F)  12/13/49  8 bp  1,682,719 
DJ CMB NA CMBX AAA Index  23,904,293  220,274,000  (F)  2/17/51  35 bp  9,067,974 
Dominican Republic,             
8 5/8%, 4/20/27  --  5,020,000    11/20/11  (170 bp)  131,182 
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --  610,000    6/20/12  225 bp  (40,255) 
Freeport-McMoRan Copper             
& Gold, Inc.  --  7,317,200    3/20/12  44 bp  (80,091) 
Freeport-McMoRan Copper             
& Gold, Inc.  --  2,439,300    3/20/12  (83 bp)  (5,497) 
Nalco, Co. 7.75%,             
11/15/11  --  835,000    3/20/13  460 bp  11,795 
Republic of Austria,             
5 1/4%, 1/4/11  --  11,537,000    6/20/18  (17 bp)  (29,756) 
Republic of Venezuela,             
9 1/4%, 9/15/27  --  3,545,000    10/12/12  339 bp  (205,058) 
Total            $(24,698,616) 

* 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  Argentine Peso 
AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
CHF  Swiss Franc 
EGP  Egyptian Pound 
EUR  Euro 
GBP  British Pound 
IDR  Indonesian Rupiah 
INR  Indian Rupee 
JPY  Japanese Yen 
MXN  Mexican Peso 
RUB  Russian Ruble 
SEK  Swedish Krona 
USD / $  United States Dollar 
ZAR  South African Rand 

NOTES

(a) Percentages indicated are based on net assets of $2,220,506,577.

(b) The aggregate identified cost on a tax basis is $4,588,152,311, resulting in gross unrealized appreciation and depreciation of $102,256,648 and $168,917,155, respectively, or net unrealized depreciation of $66,660,507.

(NON) Non-income-producing security.

(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at June 30, 2008 was $939,262 or less than 0.1% of net assets.

(PIK) Income may be received in cash or additional securities at the discretion of the issuer.

(SEG) These securities were pledged and segregated with the custodian to cover margin requirements for futures contracts at June 30, 2008.

(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 June 30, 2008. 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 June 30, 2008, the value of securities loaned amounted to $21,249,755. The fund received cash collateral of $21,684,200 which is pooled with collateral of other Putnam funds into 65 issues of short-term investments.

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 $961,146 for the period ended June 30, 2008. During the period ended June 30, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $374,904,123 and $374,904,123, 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 June 30, 2008.

(U) These securities, in part or in entirety, represent unfunded loan commitments. As of June 30, 2008, the fund had unfunded loan commitments of $1,110,354, 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.  28,366 
NRG Energy, Inc.  730,000 
 
Totals  $1,110,354 

At June 30, 2008, liquid assets totaling $1,157,390,190 have been designated as collateral for open forward commitments, swap contracts and forward contracts.

144A after the name of an issuer represents securities exempt from registration under Rule 144A 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 June 30, 2008.

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 June 30, 2008.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at June 30, 2008 (as a percentage of Portfolio Value):

United States  86.8% 
Japan  2.3 
United Kingdom  1.8 
Luxembourg  1.3 
Sweden  0.9 
Argentina  0.8 
Canada  0.8 
Cayman Islands  0.7 
Other  4.6 
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. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security 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.

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.

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, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as a realized gain 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.

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.

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.

TBA purchase commitments The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss.

Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.

TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

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

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: August 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: August, 28 2008

By (Signature and Title):

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