N-Q 1 a_divinc.htm PUTNAM DIVERSIFIED INCOME TRUST a_divinc.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
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2011
Date of reporting period: June 30, 2011



Item 1. Schedule of Investments:













Putnam Diversified Income Trust

The fund's portfolio
6/30/11 (Unaudited)
CORPORATE BONDS AND NOTES (35.3%)(a)
Principal amount Value
Basic materials (2.5%)
Associated Materials, LLC 144A company guaranty sr. notes 9 1/8s, 2017 $3,183,000 $3,175,043
Atkore International, Inc. 144A sr. notes 9 7/8s, 2018 3,317,000 3,482,850
Catalyst Paper Corp. 144A company guaranty sr. notes 11s, 2016 (Canada) 1,510,000 1,291,050
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 3,895,000 4,109,225
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 2,735,000 2,796,538
Chemtura Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2018 917,000 960,558
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.247s, 2013 (Netherlands) 989,000 944,495
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 135,000 147,488
Exopack Holding Corp. 144A sr. notes 10s, 2018 2,235,000 2,218,238
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 6,299,000 6,535,213
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 4,748,000 4,841,522
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 2,935,000 2,987,324
Georgia-Pacific, LLC 144A company guaranty 7 1/8s, 2017 2,315,000 2,440,600
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 2,979,000 3,053,475
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 1,725,000 1,794,000
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 2,841,000 3,089,588
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 1,700,000 1,853,000
INEOS Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom) EUR 1,150,000 1,733,753
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) $2,425,000 2,558,375
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 5,160,000 7,227,541
JMC Steel Group 144A sr. notes 8 1/4s, 2018 $945,000 959,175
KRATON Polymers, LLC/KRATON Polymers Capital Corp. sr. notes 6 3/4s, 2019 419,000 419,000
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany) EUR 3,677,600 5,368,337
Lyondell Chemical Co. sr. notes 11s, 2018 $10,015,000 11,216,800
Lyondell Chemical Co. 144A company guaranty sr. notes 8s, 2017 6,352,000 7,066,600
Momentive Performance Materials, Inc. notes 9s, 2021 3,930,000 4,008,600
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 1,841,000 1,716,733
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A company guaranty sr. sub. notes 8 3/8s, 2018 835,000 845,438
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 4,425,000 4,779,000
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 2,471,000 2,486,444
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 3,742,000 6,085,010
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria) $1,365,000 1,542,450
Rhodia SA 144A sr. notes 6 7/8s, 2020 (France) 900,000 1,054,125
Rockwood Specialties Group, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2014 EUR 465,000 683,593
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.67s, 2015 (Germany) EUR 1,050,000 1,502,524
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $569,000 574,690
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs. 7 1/2s, 2025 (Ireland) 82,000 79,130
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 1,533,000 1,663,305
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 4,890,000 5,281,200
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2012 989,000 1,043,395
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 2,451,000 2,573,550
Styrolution GmbH 144A sr. notes 7 5/8s, 2016 (Germany) EUR 905,000 1,270,420
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) $1,000 1,195
Thompson Creek Metals Co., Inc. 144A company guaranty sr. notes 7 3/8s, 2018 (Canada) 1,535,000 1,504,300
TPC Group, LLC 144A sr. notes 8 1/4s, 2017 2,898,000 3,006,675
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 3,021,000 3,119,183
USG Corp. 144A company guaranty sr. notes 8 3/8s, 2018 895,000 881,575
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 2,780,000 2,960,700
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr. notes 8 3/4s, 2019 1,100,000 979,000
131,912,023
Capital goods (1.9%)
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 2,229,000 2,273,580
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 875,000 850,938
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 3,995,000 4,314,600
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 1,229,000 1,213,638
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 590,000 590,000
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 1,147,000 1,250,230
ARD Finance SA 144A 11 1/8s, 2018 (Luxembourg) EUR 670,000 991,888
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) $870,000 889,575
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 500,000 730,087
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 685,000 1,000,220
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $4,330,000 4,524,850
Berry Plastics Corp. company guaranty notes FRN 4.122s, 2014 3,095,000 2,878,350
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 1,347,000 1,336,898
Berry Plastics Corp. notes 9 3/4s, 2021 331,000 320,243
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 2,050,000 2,173,000
Crown Americas, LLC/Crown Americas Capital Corp. III 144A sr. notes 6 1/4s, 2021 1,835,000 1,853,350
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 475,000 705,467
Delphi Corp. 144A sr. notes 6 1/8s, 2021 $2,185,000 2,157,688
Exide Technologies 144A sr. notes 8 5/8s, 2018 1,240,000 1,289,600
Graham Packaging Co., LP/GPC Capital Corp. company guaranty sr. unsec. notes 8 1/4s, 2017 1,425,000 1,588,875
Griffon Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2018 955,000 958,581
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 1,710,000 1,804,050
Kratos Defense & Security Solutions, Inc. 144A sr. notes 10s, 2017 4,300,000 4,536,500
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 3,734,000 4,682,399
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 1,335,000 1,445,138
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 1,981,000 2,035,478
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 1,445,000 1,528,088
Pregis Corp. company guaranty notes FRN 6.327s, 2013 EUR 490,000 682,558
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 $1,470,000 1,457,138
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom) EUR 1,430,000 1,994,032
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 5,212,000 8,126,859
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A company guaranty sr. notes 8 1/2s, 2016 (Luxembourg) $1,410,000 1,469,925
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A sr. notes 8 1/2s, 2016 (Luxembourg) EUR 2,660,000 3,944,587
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 $1,600,000 1,588,000
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 4,375,000 4,320,313
Reynolds Group Issuer, Inc. 144A sr. notes 6 7/8s, 2021 (New Zealand) 465,000 453,375
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/4s, 2021 (New Zealand) 680,000 635,800
Ryerson, Inc. company guaranty sr. notes 12s, 2015 3,661,000 3,889,813
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 2,400,000 2,430,000
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 2,190,000 2,294,025
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 1,830,000 1,862,025
Terex Corp. sr. unsec. sub. notes 8s, 2017 808,000 828,200
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 4,660,000 4,869,700
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 2,611,000 2,800,298
TransDigm, Inc. 144A sr. sub. notes 7 3/4s, 2018 4,200,000 4,410,000
Zinc Capital SA 144A sr. notes 8 7/8s, 2018 (Luxembourg) EUR 1,540,000 2,207,548
100,187,507
Communication services (4.1%)
AMC Networks, Inc. 144A company guaranty sr. unsec notes 7 3/4s, 2021 $1,265,000 1,321,925
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 940,000 982,300
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 800,000 867,000
CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016 1,259,504 1,483,066
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 4,600,000 4,847,250
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 2,602,000 2,562,970
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 2,815,000 2,899,450
Cequel Communications Holdings I LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 6,006,000 6,246,240
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015 804,000 814,050
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 4,835,000 4,581,163
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 1,250,000 1,256,250
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 10,060,000 10,776,775
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 250,000 266,875
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 3,625,000 3,552,500
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 2,065,000 2,225,038
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 4,740,000 5,024,400
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 950,000 999,875
CSC Holdings LLC sr. notes 6 3/4s, 2012 364,000 374,465
CSC Holdings LLC sr. unsec. unsub. notes 8 1/2s, 2014 5,803,000 6,426,823
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 4,769,000 4,947,838
EH Holding Corp. 144A sr. notes 6 1/2s, 2019 2,190,000 2,228,325
EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021 3,945,000 4,023,900
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 2,405,000 2,615,438
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 5,296,000 5,746,160
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 5,928,000 6,283,680
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) 2,960,000 2,941,500
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 17,216,093 18,507,300
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 2,801,000 3,007,574
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 1,920,000 2,064,000
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) EUR 1,855,000 2,733,700
Kabel Deutchland V&S 144A sr. notes 6 1/2s, 2018 (Germany) EUR 1,560,000 2,247,407
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 $4,179,000 4,299,146
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 1,699,000 1,771,208
Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 386,000 407,230
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 6,804,000 7,195,230
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 1,774,000 1,756,260
Musketeer GmbH 144A company guaranty sr. notes 9 1/2s, 2021 (Germany) EUR 665,000 1,020,203
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 $3,892,000 4,514,720
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 2,000,000 2,085,000
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 3,406,000 3,576,300
PAETEC Holding Corp. 144A sr. unsec. notes 9 7/8s, 2018 4,202,000 4,354,323
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 2,520,000 3,846,679
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 $1,530,000 1,552,950
Qwest Communications International, Inc. company guaranty Ser. B, 7 1/2s, 2014 2,400,000 2,436,000
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 610,000 683,963
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012 2,497,000 2,628,093
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 1,375,000 1,423,125
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 3,850,000 4,119,500
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 1,130,000 1,202,038
Sprint Capital Corp. company guaranty 8 3/4s, 2032 2,000,000 2,165,000
Sprint Capital Corp. company guaranty 6 7/8s, 2028 3,610,000 3,420,475
Sprint Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2012 2,495,000 2,594,800
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 9,600,000 10,548,000
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 3,527,000 3,522,591
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) EUR 730,000 1,095,861
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 495,000 726,998
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 540,000 677,477
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 2,398,000 3,752,753
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 1,624,000 2,461,260
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) EUR 1,990,000 3,065,218
Virgin Media Finance PLC company guaranty sr. unsec. bond 8 7/8s, 2019 (United Kingdom) GBP 242,000 428,045
Wind Acquisition Finance SA sr. notes Ser. REGS, 11 3/4s, 2017 (Netherlands) EUR 4,157,000 6,759,495
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Netherlands) EUR 4,110,000 6,083,553
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Netherlands) $1,900,000 1,976,000
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 710,000 752,600
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 2,884,000 3,060,645
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 1,895,000 1,980,275
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 1,000,000 1,047,500
219,845,751
Conglomerates (—%)
SPX Corp. sr. unsec. notes 7 5/8s, 2014 1,096,000 1,211,080
SPX Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2017 750,000 802,500
2,013,580
Consumer cyclicals (6.4%)
Affinion Group Holdings, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 570,000 570,000
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 3,145,000 3,247,213
Affinion Group, Inc. 144A sr. notes 7 7/8s, 2018 6,155,000 5,754,925
AMC Entertainment, Inc. sr. sub. notes 8s, 2014 1,998,000 2,002,995
AMC Entertainment, Inc. 144A sr. sub. notes 9 3/4s, 2020 4,500,000 4,601,250
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 2,467,000 2,578,015
Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021 2,390,000 2,464,688
ARAMARK Holdings Corp. 144A sr. notes 8 5/8s, 2016(PIK) 1,030,000 1,048,025
Aston Martin Capital, Ltd. 144A company guaranty sr. notes 9 1/4s, 2018 (Jersey) GBP 1,560,000 2,390,921
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 $2,870,000 2,991,975
Beazer Homes USA, Inc. 144A sr. notes 9 1/8s, 2019 1,445,000 1,242,700
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 3,635,000 3,635,000
Boyd Gaming Corp. 144A sr. notes 9 1/8s, 2018 600,000 610,500
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 793,000 798,948
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 1,185,000 1,239,806
Building Materials Corp. 144A sr. notes 7s, 2020 2,425,000 2,540,188
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 830,000 846,600
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 1,965,000 1,974,825
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019 1,865,000 1,846,350
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 4,960,000 4,476,400
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 5,125,000 5,656,719
Carlson Wagonlit BV company guaranty sr. sec. notes FRN Ser. REGS, 7.135s, 2015 (Netherlands) EUR 3,120,000 4,338,611
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 $855,000 912,713
Cengage Learning Acquisitions, Inc. 144A sr. notes 10 1/2s, 2015 2,870,000 2,597,350
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 2,760,000 2,677,200
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 590,000 579,675
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021 4,490,000 4,411,425
Cinemark USA, Inc. 144A company guaranty sr. sub. notes 7 3/8s, 2021 680,000 676,600
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017(PIK) 3,838,000 4,164,230
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 606,000 546,915
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2021 5,324,000 5,144,315
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 6,329,000 6,898,610
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 685,000 720,963
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands) EUR 4,472,000 6,659,703
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019 $3,470,000 3,348,550
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016 588,000 640,920
DISH DBS Corp. company guaranty 7 1/8s, 2016 2,345,000 2,473,975
DISH DBS Corp. company guaranty 6 5/8s, 2014 6,614,000 6,961,235
DISH DBS Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 2,807,000 2,877,175
DR Horton, Inc. sr. notes 7 7/8s, 2011 140,000 140,350
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 1,900,000 2,600,874
FelCor Lodging Escrow, LP 144A sr. notes 6 3/4s, 2019(R) $4,355,000 4,180,800
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 3,477,000 3,902,933
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 5,605,000 5,585,837
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 2,635,000 2,631,756
General Motors Financial Co., Inc. 144A sr. notes 6 3/4s, 2018 1,565,000 1,568,913
Goodyear Tire & Rubber Co. (The) sr. unsec. notes 10 1/2s, 2016 722,000 812,250
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 3,045,000 3,166,800
Grohe Holding GmbH 144A company guaranty sr. notes FRN 5.471s, 2017 (Germany) EUR 4,548,000 6,494,207
Grupo Televisa SA sr. unsec. bonds 6 5/8s, 2040 (Mexico) $900,000 947,249
Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico) 1,410,000 1,532,834
Gymboree Corp. 144A sr. unsec. notes 9 1/8s, 2018 1,090,000 1,024,600
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 2,197,000 2,131,090
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 970,000 1,035,475
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016(R) 2,400,000 2,478,000
Interactive Data Corp. 144A company guaranty sr. notes 10 1/4s, 2018 7,600,000 8,265,000
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 1,780,000 1,764,425
Isle of Capri Casinos, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2019 5,588,000 5,643,880
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 7,307,000 10,925,829
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 $3,760,000 3,905,700
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 265,000 388,535
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 $655,000 756,525
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 5,258,000 5,126,550
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 340,000 352,750
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 2,175,000 2,218,500
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy) EUR 6,292,000 9,131,781
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 $1,000,000 983,750
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 2,075,000 2,329,188
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 1,765,000 141,200
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 765,000 760,219
McClatchy Co. (The) company guaranty sr. notes 11 1/2s, 2017 2,650,000 2,815,625
MGM Resorts International company guaranty sr. notes 9s, 2020 1,490,000 1,631,550
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 915,000 857,813
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 1,295,000 1,379,175
MTR Gaming Group, Inc. company guaranty sr. notes 12 5/8s, 2014 3,525,000 3,643,969
Navistar International Corp. sr. notes 8 1/4s, 2021 4,793,000 5,200,405
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 1,890,000 1,904,175
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 7 3/4s, 2018 1,790,000 1,879,500
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 2,240,000 2,072,000
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 2,343,000 2,343,000
Owens Corning company guaranty sr. unsec. notes 9s, 2019 7,852,000 9,343,880
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 2,466,000 2,681,775
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 1,713,000 1,747,260
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 1,280,000 1,356,800
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 1,085,000 1,186,719
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 2,900,000 3,113,875
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 1,295,000 1,317,663
Ply Gem Industries, Inc. 144A sr. notes 8 1/4s, 2018 895,000 848,013
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 5,530,000 8,350,742
QVC Inc. 144A sr. notes 7 1/2s, 2019 $1,890,000 2,003,400
Realogy Corp. company guaranty sr. unsec. unsub. notes 11 1/2s, 2017 5,156,000 5,233,340
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 695,000 688,050
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 3,500,000 3,622,500
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 3,273,000 3,268,909
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 3,139,000 2,762,320
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 1,825,000 1,866,063
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 525,000 526,313
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 1,645,000 1,825,950
Sears Holdings Corp. 144A sr. notes 6 5/8s, 2018 1,678,000 1,556,345
Standard Pacific Corp. company guaranty sr. unsec. notes 8 3/8s, 2021 693,000 679,140
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 206,000 206,515
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 1,010,000 1,030,200
Toys “R” Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 375,000 395,625
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 505,000 510,050
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 2,265,000 2,366,925
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 3,247,000 3,612,288
Travelport LLC company guaranty 11 7/8s, 2016 2,243,000 1,928,980
Travelport LLC company guaranty 9 7/8s, 2014 958,000 881,360
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 4,952,000 4,419,660
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 1,395,000 2,112,193
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $5,495,000 6,099,450
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 270,000 391,068
Universal City Development Partners, Ltd. company guaranty sr. unsec. notes 8 7/8s, 2015 $2,565,000 2,853,563
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 3,715,000 3,705,713
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 2,324,000 2,382,100
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 2,875,000 2,846,250
Visteon Corp. 144A sr. notes 6 3/4s, 2019 3,615,000 3,488,475
Vulcan Materials Co. sr. unsec. unsub. notes 7 1/2s, 2021 1,110,000 1,108,533
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 1,160,000 1,260,050
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 1,831,000 2,146,848
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 7,034,000 7,350,530
Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 1,680,000 1,730,400
YCC Holdings, LLC/Yankee Finance, Inc. 144A sr. unsec. notes 10 1/4s, 2016 4,720,000 4,731,800
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 3,303,000 3,583,755
340,924,608
Consumer staples (2.3%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 16,800,000 10,839,414
Archibald Candy Corp. company guaranty sub. notes 10s, 2011 (In default)(F)(NON) $562,539 18,001
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 1,293,000 1,380,278
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 5,577,000 5,674,598
Bumble Bee Acquisition Corp. 144A company guaranty sr. notes 9s, 2017 2,915,000 2,929,575
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 2,242,000 2,387,730
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 2,243,000 2,315,898
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 1,330,000 1,286,775
CKE Restaurants, Inc. company guaranty sr. notes 11 3/8s, 2018 2,290,000 2,501,825
Claire's Stores, Inc. 144A sr. notes 8 7/8s, 2019 4,065,000 3,800,775
Constellation Brands, Inc. company guaranty sr. unsec. notes 7 1/4s, 2017 2,193,000 2,384,888
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,401,000 2,623,093
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 2,498,000 2,473,020
Dean Foods Co. 144A sr. notes 9 3/4s, 2018 560,000 595,000
DineEquity, Inc. 144A sr. unsec. notes 9 1/2s, 2018 4,296,000 4,661,160
Dole Food Co. 144A sr. notes 8s, 2016 1,710,000 1,791,225
Dunkin Brands, Inc. 144A company guaranty sr. unsec. notes 9 5/8s, 2018 598,000 603,227
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 4,883,000 7,508,716
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $2,115,000 2,202,244
Europcar Groupe SA company guaranty sr. sub. bonds FRB Ser. REGS, 4.92s, 2013 (France) EUR 331,000 474,201
Foodcorp (Pty), Ltd. 144A company guaranty sr. notes 8 3/4s, 2018 (South Africa) EUR 1,045,000 1,479,498
Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014 $58,000 59,450
Hertz Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2018 800,000 824,000
Hertz Holdings Netherlands BV sr. sec. bonds Ser. REGS, 8 1/2s, 2015 (Netherlands) EUR 1,000,000 1,527,170
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 2,129,000 3,251,345
JBS USA LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 $9,125,000 8,874,063
Landry's Restaurants, Inc. company guaranty sr. notes 11 5/8s, 2015 540,000 577,800
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 911,000 974,770
Libbey Glass, Inc. sr. notes 10s, 2015 574,000 622,790
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 1,830,000 1,916,925
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2018 900,000 942,750
Refresco Group BV 144A company guaranty sr. bonds 7 3/8s, 2018 (Netherlands) EUR 2,420,000 3,541,459
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 $5,475,000 5,433,938
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 1,745,000 1,592,313
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 595,000 641,113
Roadhouse Financing, Inc. 144A sr. notes 10 3/4s, 2017 1,410,000 1,480,500
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 1,220,000 1,213,900
Service Corporation International sr. notes 7s, 2019 970,000 1,020,925
Service Corporation International sr. notes 7s, 2017 3,136,000 3,379,040
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 3,865,000 4,483,400
Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018 3,360,000 3,679,200
Stewart Enterprises, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2019 2,790,000 2,786,513
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 2,070,000 2,458,125
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 900,000 900,000
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 5,025,000 5,565,188
West Corp. 144A sr. notes 7 7/8s, 2019 2,430,000 2,357,100
West Corp. 144A sr. unsec. notes 8 5/8s, 2018 1,415,000 1,429,150
121,464,068
Energy (6.3%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 2,185,000 2,190,463
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 2,352,000 2,360,820
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 1,505,000 1,738,376
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 3,610,000 4,041,504
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 1,945,000 2,229,620
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 3,630,000 3,693,525
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 3,000,000 2,992,500
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 3,278,000 3,282,098
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 643,000 652,645
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018 3,619,000 3,944,710
Brigham Exploration Co. 144A company guaranty sr. unsec. notes 6 7/8s, 2019 765,000 761,175
Carrizo Oil & Gas, Inc. company guaranty sr. unsec notes 8 5/8s, 2018 4,411,000 4,543,330
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 1,640,000 1,771,200
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 6,070,000 6,282,450
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 260,000 261,950
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 5,240,000 6,078,400
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 1,947,000 1,922,663
Complete Production Services, Inc. company guaranty 8s, 2016 1,657,000 1,731,565
Compton Petroleum Finance Corp. company guaranty sr. unsec. notes 10s, 2017 (Canada) 610,887 442,893
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 3,280,000 3,288,200
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,829,000 1,993,610
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 8,151,000 8,884,590
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 375,000 373,125
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 5,652,000 6,019,380
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 3,793,000 4,134,370
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 1,285,000 1,297,850
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 5,316,000 5,169,810
Ferrellgas LP/Ferrellgas Finance Corp. 144A sr. unsec. notes 6 1/2s, 2021 1,264,000 1,194,480
Forbes Energy Services Ltd. 144A company guaranty sr. unsec. notes 9s, 2019 2,205,000 2,171,925
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 1/8s, 2018 2,260,000 2,293,900
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 1,810,000 1,972,900
Gazprom OAO Via Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019 (Russia) 3,305,000 4,069,513
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Russia) 1,090,000 1,155,400
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 1,280,000 1,395,200
Gazprom Via Gaz Capital SA 144A company guaranty sr. unsec. bond 8.146s, 2018 (Russia) 740,000 858,615
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) 8,525,000 10,106,899
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 4,480,000 4,480,000
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 6,624,000 6,822,720
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014 3,379,000 3,345,210
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2021 3,846,000 3,846,000
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 773,000 1,290,199
James River Escrow, Inc. 144A sr. notes 7 7/8s, 2019 $965,000 955,350
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 1,310,000 1,296,900
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 2,918,000 3,078,490
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 6 1/8s, 2020 (Russia) 5,000,000 5,156,250
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 7,380,000 7,795,125
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2019 (Russia) 2,920,000 3,200,729
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 1,905,000 1,914,525
Milagro Oil & Gas 144A notes 10 1/2s, 2016 3,295,000 3,097,300
Nak Naftogaz Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 3,725,000 4,045,909
Newfield Exploration Co. sr. unsec. sub. notes 6 7/8s, 2020 1,000,000 1,062,500
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 2,650,000 2,689,750
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 2,895,000 3,148,313
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 715,000 777,563
OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada) (In default)(NON) 2,535,000 1,052,025
OPTI Canada, Inc. company guaranty sr. sec. notes 7 7/8s, 2014 (Canada) (In default)(NON) 2,030,000 832,300
OPTI Canada, Inc. 144A company guaranty sr. notes 9 3/4s, 2013 (Canada) 4,207,000 4,164,930
OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada) 948,000 952,740
Peabody Energy Corp. company guaranty 7 3/8s, 2016 7,463,000 8,433,190
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 208,000 223,600
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 1,140,000 1,201,587
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 6,500,000 6,816,238
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 1,575,000 1,890,000
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 11,705,000 12,470,804
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 6,525,000 6,699,929
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 1,350,000 1,518,750
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 27,200,000 17,068,000
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela) 3,200,000 1,584,000
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 3,000,000 1,515,000
Petroleos de Venezuela SA sr. unsec. bonds zero %, 2011 (Venezuela) 7,960,000 7,956,020
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 5,000,000 3,101,850
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 24,700,000 19,080,750
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 14,010,000 9,460,953
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 12,565,000 9,316,948
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 6,425,000 6,007,375
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) 10,500,000 11,009,250
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 6 1/2s, 2041 (Mexico) 1,000,000 1,009,800
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 9 3/4s, 2019 (Trinidad) 1,165,000 1,406,738
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 1,465,000 1,626,150
Plains Exploration & Production Co. company guaranty 7 3/4s, 2015 2,900,000 3,005,125
Plains Exploration & Production Co. company guaranty 7s, 2017 2,380,000 2,451,400
Plains Exploration & Production Co. company guaranty sr. unsec. notes 10s, 2016 1,180,000 1,327,500
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines) 2,790,000 3,292,200
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) 2,100,000 2,483,250
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 500,000 526,875
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 1,710,000 1,957,950
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 1,640,000 1,697,400
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 3,321,000 3,678,008
Sabine Pass LNG LP sec. notes 7 1/2s, 2016 2,885,000 2,957,125
SandRidge Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 565,000 572,063
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 8,298,000 8,463,960
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 1,105,000 1,107,763
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 875,000 870,352
Williams Cos., Inc. (The) notes 7 3/4s, 2031 844,000 985,112
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 1,115,000 1,381,992
338,461,489
Financials (6.3%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 2,380,000 2,385,950
Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012 212,000 216,028
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 1,379,000 1,423,818
Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012 1,304,000 1,330,080
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 4,595,000 5,134,913
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 7,290,000 7,618,050
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.454s, 2014 168,000 160,681
Ally Financial, Inc. unsec. sub. notes 8s, 2018 1,333,000 1,426,310
Ally Financial, Inc. 144A company guaranty notes 6 1/4s, 2017 1,815,000 1,802,898
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058 4,543,000 4,963,682
Banco Do Brasil 144A sr. unsec. 9 3/4s, 2017 (Brazil) BRL 1,745,000 1,145,868
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $11,405,000 11,294,948
Boparan Holdings LTD 144A sr. notes 9 3/4s, 2018 (United Kingdom) EUR 1,030,000 1,424,850
Bosphorus Financial Services, Ltd. 144A sr. notes FRN 2.061s, 2012 $1,931,063 1,915,761
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 1,958,000 1,977,580
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 1,235,000 1,268,963
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 1,000,000 1,158,750
CIT Group, Inc. sr. bonds 7s, 2014 244,818 247,878
CIT Group, Inc. 144A bonds 7s, 2017 14,030,000 13,994,925
CIT Group, Inc. 144A bonds 7s, 2016 8,296,000 8,264,890
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 2,885,000 3,007,613
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 1,137,000 1,205,220
Commerzbank Capital Funding Trust jr. unsec. sub. bonds bank guaranty zero %, 2016 EUR 3,250,000 3,749,623
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 $2,420,000 2,456,300
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 6,495,000 7,063,313
Dresdner Funding Trust I 144A bonds 8.151s, 2031 3,659,000 3,503,493
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 3,000,000 3,510,000
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, Perpetual maturity (Jersey) 2,541,000 2,197,965
HSBC Capital Funding LP bank guaranty jr. unsec. sub. FRB 5.13s, Perpetual maturity (Jersey) EUR 1,092,000 1,487,500
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 $375,000 381,563
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 270,000 275,400
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 5,270,000 5,349,050
Industry & Construction Bank St. Petersburg OJSC Via Or-ICB for Industry unsec. sub. notes FRN 5.01s, 2015 (Luxembourg) 1,750,000 1,732,500
ING Groep NV jr. unsec. sub. notes 5.775s, Perpetual maturity (Netherlands) 3,310,000 3,045,200
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 770,000 752,675
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 2,500,000 2,578,003
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012 INR 76,000,000 1,722,741
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 $3,482,000 3,612,575
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 4,365,000 4,033,225
MetLife Capital Trust X 144A jr. sub. FRB 9 1/4s, 2038 935,000 1,140,700
MPT Operating Partnership LP/MPT Finance Corp. 144A company guaranty sr. notes 6 7/8s, 2021(R) 1,375,000 1,350,938
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 2,543,000 2,790,943
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 4,159,000 4,252,578
Omega Healthcare Investors, Inc. 144A sr. notes 6 3/4s, 2022(R) 2,376,000 2,343,330
RBS Capital Trust III jr. unsec. sub. notes bank guaranty zero %, 2049 (United Kingdom) 3,375,000 2,463,750
Royal Bank of Scotland Group PLC jr. sub. notes FRN Ser. MTN, 7.64s, 2049 (United Kingdom) 3,300,000 2,508,000
Russian Agricultural Bank OJSC Via RSHB Capital SA sub. bonds FRB 6.97s, 2016 (Russia) 30,110,000 30,097,655
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 3/4s, 2018 (Russia) 1,890,000 2,149,781
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 6,575,000 7,117,438
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sub. notes FRN 6s, 2021 (Russia) 6,000,000 6,026,420
Sabra Health Care LP/Sabra Capital Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018(R) 715,000 715,000
Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South Korea) 1,398,000 1,460,372
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 7,805,000 7,161,088
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 1,665,000 1,710,771
UBS AG/ Jersey Branch jr. unsec. sub. FRB 4.28s, 2015 (Jersey) EUR 1,771,000 2,279,705
UBS AG/ Jersey Branch jr. unsec. sub. notes FRN Ser. EMTN, 7.152s, 2017 (Jersey) EUR 2,000,000 2,917,881
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $3,400,000 3,527,670
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.136s, 2014 245,000 227,850
Vnesheconombank Via VEB Finance PLC 144A bank guaranteed bonds 6.8s, 2025 (Russia) 12,300,000 12,495,570
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 4,335,000 4,540,046
VTB Bank OJSC Via VTB Capital SA 144A bank guaranty sr. unsec. notes 6.551s, 2020 (Russia) 5,000,000 5,075,000
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 7 1/2s, 2011 (Russia) 2,616,000 2,659,164
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 38,586,000 41,402,778
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 50,831,000 53,235,306
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) 12,594,000 13,234,531
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.465s, 2015 (Russia) 3,000,000 3,173,100
338,878,147
Government (0.2%)
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 286,400,000 6,166,544
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 123,450,000 4,315,545
10,482,089
Health care (1.7%)
Aviv Healthcare Properties LP 144A sr. notes 7 3/4s, 2019 $1,901,000 1,943,773
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 819,000 1,167,890
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 $1,876,000 2,044,840
Capella Healthcare, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 1,610,000 1,698,550
CDRT Merger Sub, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 1,532,000 1,532,000
CHS/Community Health Systems, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2015 5,268,000 5,426,040
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 865,000 1,240,833
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $7,250,000 7,503,750
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 595,000 605,413
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 1,770,000 1,792,125
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 2,426,000 2,550,333
Endo Pharmaceuticals Holdings, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 1,880,000 1,927,000
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 2,160,000 2,443,500
Giant Funding Corp. 144A sr. notes 8 1/4s, 2018 (Spain) 3,523,000 3,672,728
HCA Holdings, Inc. 144A sr. unsec. notes 7 3/4s, 2021 4,481,000 4,649,038
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016(PIK) 7,361,000 7,830,264
HCA, Inc. company guaranty sr. notes 7 7/8s, 2020 1,500,000 1,627,500
HCA, Inc. sr. sec. notes 9 1/4s, 2016 5,814,000 6,170,108
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019 5,450,000 5,381,875
Kindred Healthcare, Inc. 144A company guaranty sr. notes 8 1/4s, 2019 866,000 861,670
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 1,635,000 1,737,188
Select Medical Corp. company guaranty 7 5/8s, 2015 448,000 443,520
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 1,505,000 1,553,913
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 834,910 857,870
Talecris Biotherapeutics Holdings Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 1,579,000 1,790,033
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 1,683,000 1,912,309
Tenet Healthcare Corp. sr. notes 9s, 2015 4,307,000 4,619,258
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 2,627,000 2,899,551
Tenet Healthcare Corp. sr. unsec. notes 8s, 2020 1,945,000 1,976,606
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 350,000 338,625
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 900,000 882,000
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 350,000 343,000
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 6,990,000 4,604,663
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) 2,840,000 3,005,331
89,033,097
Technology (1.3%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 660,000 679,800
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 3,357,000 3,424,140
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 2,500,000 2,418,750
Buccaneer Merger Sub, Inc. 144A sr. notes 9 1/8s, 2019 3,115,000 3,239,600
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 1,566,000 1,589,490
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 4,299,000 4,299,000
CommScope, Inc. 144A sr. notes 8 1/4s, 2019 1,795,000 1,848,850
Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 (Canada) 1,755,000 1,691,381
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 859,000 911,614
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 2,376,000 2,521,530
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015(PIK) 7,988,219 8,287,777
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 727,000 716,095
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 820,000 875,350
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 680,000 685,100
First Data Corp. 144A sr. bonds 12 5/8s, 2021 6,103,000 6,530,210
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 6,198,000 6,895,275
Freescale Semiconductor, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2020 2,972,000 3,358,360
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 2,300,000 2,380,500
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 4,150,000 4,357,500
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 4,543,000 5,088,160
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) 2,399,000 2,518,950
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 5,159,000 5,339,565
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 2,062,000 2,082,620
71,739,617
Transportation (0.2%)
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 3,325,000 3,499,563
RailAmerica, Inc. company guaranty sr. notes 9 1/4s, 2017 1,912,000 2,098,420
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 4,130,000 4,372,638
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 1,848,000 1,746,360
11,716,981
Utilities and power (2.1%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 6,690,000 7,091,400
AES Corp. (The) 144A sr. note 7 3/8s, 2021 1,960,000 1,989,400
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 6,917,000 8,334,975
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 $1,995,000 2,049,863
Calpine Corp. 144A sr. notes 7 1/4s, 2017 6,892,000 6,995,380
Cenrais Electricas Brasileiras SA 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 500,000 566,250
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada) 2,495,000 2,730,521
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019 6,270,000 4,561,425
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 654,000 588,600
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 1,055,000 1,061,594
Edison Mission Energy sr. unsec. notes 7.2s, 2019 605,000 480,975
Edison Mission Energy sr. unsec. notes 7s, 2017 90,000 72,900
El Paso Corp. sr. unsec. notes 7s, 2017 4,910,000 5,555,051
El Paso Natural Gas Co. debs. 8 5/8s, 2022 2,976,000 3,848,230
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 8,180,000 8,682,743
Energy Future/Energy Future Intermediate Holdings Finance Co., LLC sr. notes 10s, 2020 7,590,000 8,094,431
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 4,506,000 4,776,360
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 3,475,000 3,631,375
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 530,000 551,200
GenOn Energy, Inc. sr. unsec. unsub. notes 7 5/8s, 2014 1,500,000 1,545,000
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 490,000 543,177
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) 2,575,000 3,044,938
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 10,660,000 12,379,032
NRG Energy, Inc. company guaranty 7 3/8s, 2017 4,975,000 5,211,313
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 8,735,000 8,713,163
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 1,370,000 1,438,337
NV Energy, Inc. sr. unsec. unsub. notes 6 3/4s, 2017 955,000 978,215
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028 520,000 598,673
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 2,175,000 2,136,938
Vattenfall Treasury AB company guaranty jr. unsec. sub. bond FRB 5 1/4s, 2049 (Sweden) EUR 819,000 1,179,116
109,430,575
Total corporate bonds and notes (cost $1,840,914,381) $1,886,089,532

MORTGAGE-BACKED SECURITIES (29.4%)(a)
Principal amount Value
Adjustable Rate Mortgage Trust
     FRB Ser. 07-1, Class 2A1, 5.559s, 2037 $6,000,474 $3,420,270
     FRB Ser. 07-1, Class 5A31, 0.326s, 2037 14,094,256 6,624,300
Banc of America Commercial Mortgage, Inc. Ser. 07-2, Class A2, 5.634s, 2049(F) 1,729,208 1,774,873
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 1,170,000 959,400
     Ser. 01-1, Class K, 6 1/8s, 2036 2,633,000 1,965,535
     Ser. 07-5, Class XW, IO, 0.59s, 2051 227,288,041 3,815,439
Banc of America Funding Corp.
     FRB Ser. 06-D, Class 6A1, 5.387s, 2036 11,180,234 6,875,844
     FRB Ser. 07-B, Class A1, 0.396s, 2047 28,425,157 17,623,598
     FRB Ser. 06-H, Class 6A1, 0.376s, 2036 9,826,108 5,306,099
Barclays Capital, LLC Trust
     FRB Ser. 07-AA2, Class 12A1, 0.396s, 2047 23,157,972 12,273,725
     FRB Ser. 07-AA1, Class 2A1, 0.366s, 2037 38,143,673 21,360,457
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 2A1, 5.161s, 2047 15,058,785 9,336,447
Bear Stearns Alt-A Trust
     FRB Ser. 06-3, Class 36A1, 5.986s, 2036 62,323,940 40,198,941
     FRB Ser. 06-5, Class 2A2, 5.98s, 2036 19,557,561 11,734,537
     FRB Ser. 06-3, Class 35A1, 5.634s, 2036 49,756,103 32,279,272
     FRB Ser. 06-5, Class 2A1, 5.618s, 2036 6,815,761 4,089,457
     FRB Ser. 06-1, Class 23A1, 5.413s, 2036 3,682,775 2,449,045
     FRB Ser. 07-1, Class 21A1, 5.168s, 2047 7,430,976 4,124,192
     Ser. 06-4, Class 22A1, 3.186s, 2036 8,800,196 3,995,289
     FRB Ser. 05-9, Class 11A1, 0.446s, 2035 7,683,899 4,072,466
Bear Stearns Asset Backed Securities Trust
     FRB Ser. 06-IM1, Class A3, 0.466s, 2036 17,713,786 4,782,722
     FRB Ser. 06-IM1, Class A1, 0.416s, 2036 7,124,602 3,419,809
Citigroup Mortgage Loan Trust, Inc.
     FRB Ser. 06-AR5, Class 2A5A, 5.407s, 2036 5,388,720 2,836,003
     FRB Ser. 07-AR5, Class 1A1A, 5.379s, 2037 8,205,719 4,677,547
     FRB Ser. 07-6, Class 1A3A, 5.265s, 2046 14,773,094 7,386,547
     FRB Ser. 05-10, Class 1A4A, 2.863s, 2035 6,052,425 3,583,036
     FRB Ser. 07-AR1, Class A2, 0.346s, 2037 50,565,395 29,444,230
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.116s, 2044 150,440,749 652,015
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.869s, 2014 (United Kingdom) GBP 2,491,896 2,802,785
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 1,094,530 1,319,018
Countrywide Alternative Loan Trust
     Ser. 06-41CB, Class 1A7, 6s, 2037 $8,658,257 5,541,285
     FRB Ser. 05-84, Class 4A1, 5.777s, 2036 70,101,386 43,462,859
     Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 4,779,083 4,583,439
     FRB Ser. 06-OC10, Class 2A2A, 0.366s, 2036 10,593,344 5,101,357
     FRB Ser. 06-HY11, Class A1, 0.306s, 2036 31,321,483 18,166,460
Countrywide Home Loans
     FRB Ser. 05-HYB4, Class 2A1, 2.794s, 2035 3,598,358 2,410,900
     FRB Ser. 06-HYB3, Class 2A1A, 2.77s, 2036 10,759,733 7,360,723
Countrywide Home Loans 144A
     Ser. 05-R3, Class AS, IO, 5.611s, 2035(F) 308,036 39,812
     FRB Ser. 05-R3, Class AF, 0.586s, 2035 302,574 251,136
Credit Suisse Mortgage Capital Certificates
     Ser. 07-C5, Class A3, 5.694s, 2040 15,375,000 16,004,585
     Ser. 07-C1, Class AAB, 5.336s, 2040 5,087,000 5,422,233
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 2,599,000 795,947
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
     FRB Ser. 06-AR6, Class A6, 0.403s, 2037 26,791,443 13,529,678
     FRB Ser. 06-AR4, Class A2, 0.376s, 2036 8,446,492 3,843,154
     FRB Ser. 06-AR3, Class A1, 0.376s, 2036 9,522,268 4,094,575
     FRB Ser. 07-AR3, Class 2A2A, 0.366s, 2037 38,691,073 25,149,198
     FRB Ser. 06-AR6, Class A4, 0.356s, 2037 46,045,198 28,432,910
     FRB Ser. 06-AR3, Class A5, 0.356s, 2036 28,511,802 17,392,199
     FRB Ser. 07-AR2, Class A1, 0.336s, 2037 11,658,713 6,295,705
     FRB Ser. 07-AR2, Class A4, 0.321s, 2037 7,622,547 4,440,134
     FRB Ser. 06-AR1, Class 3A1, 2.951s, 2036 13,426,090 8,726,959
     FRB Ser. 06-AR1, Class 1A3, 0.516s, 2036 62,507,853 27,815,995
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031(F) 2,235,111 2,234,305
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.672s, 2014 (United Kingdom) GBP 950,156 305,342
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.852s, 2032 $1,242,209 2,016,764
     IFB Ser. 3408, Class EK, 25.04s, 2037 1,072,784 1,613,789
     IFB Ser. 2979, Class AS, 23.587s, 2034 659,462 908,673
     IFB Ser. 3727, Class PS, IO, 6.513s, 2038 39,887,742 6,776,927
     IFB Ser. 3287, Class SE, IO, 6.513s, 2037 16,407,797 2,815,086
     IFB Ser. 3398, Class SI, IO, 6.463s, 2036 8,724,996 1,121,511
     IFB Ser. 3485, Class SI, IO, 6.363s, 2036 8,666,914 1,439,748
     IFB Ser. 3751, Class SB, IO, 5.853s, 2039 100,901,075 15,532,712
     IFB Ser. 3852, Class TB, 5.813s, 2041 46,794,632 43,231,220
     IFB Ser. 3725, Class CS, IO, 5.813s, 2040 89,861,882 13,575,435
     IFB Ser. 3768, Class PS, IO, 5.813s, 2036 29,966,483 4,626,825
     Ser. 3672, Class PI, IO, 5 1/2s, 2039 22,420,130 4,380,445
     Ser. 3645, Class ID, IO, 5s, 2040 12,187,411 2,004,220
     Ser. 3687, Class CI, IO, 5s, 2038 32,709,603 5,752,965
     Ser. 3653, Class KI, IO, 5s, 2038 45,341,815 7,529,462
     Ser. 3632, Class CI, IO, 5s, 2038 14,282,558 2,430,177
     Ser. 3626, Class DI, IO, 5s, 2037 10,021,202 1,160,555
     Ser. 3623, Class CI, IO, 5s, 2036 8,979,978 1,601,786
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 11,043,442 1,637,742
     Ser. 3738, Class MI, IO, 4s, 2034 97,609,576 12,250,002
     Ser. 3736, Class QI, IO, 4s, 2034 93,586,001 11,965,116
     Ser. 3740, Class KI, IO, 4s, 2033 52,481,829 6,572,824
     Ser. 3707, Class HI, IO, 4s, 2023 22,447,106 2,269,178
     Ser. 3707, Class KI, IO, 4s, 2023 23,730,434 2,070,955
     Ser. T-56, Class A, IO, 0.524s, 2043 344,997 7,116
     Ser. T-56, Class 3, IO, 0.47s, 2043 11,433,141 28,583
     Ser. T-57, Class 1AX, IO, 0.424s, 2043 9,913,758 158,625
     Ser. T-56, Class 1, IO, 0.292s, 2043 415,832 1,105
     Ser. T-56, Class 2, IO, 0.118s, 2043 373,256 35
     Ser. 3369, PO, zero %, 2037 10,230 9,486
     Ser. 3314, PO, zero %, 2036 543,414 472,303
     Ser. 3124, Class DO, PO, zero %, 2036 71,347 54,314
     Ser. 2947, Class AO, PO, zero %, 2035 16,941 14,360
     Ser. 2692, Class TO, PO, zero %, 2033 21,984 20,551
     Ser. 1208, Class F, PO, zero %, 2022 175,095 154,412
     FRB Ser. 3251, Class TC, zero %, 2036 129,205 128,661
     FRB Ser. 3072, Class TJ, zero %, 2035 42,300 42,270
     FRB Ser. 3326, Class WF, zero %, 2035 466,688 383,319
     FRB Ser. 3030, Class EF, zero %, 2035(F) 102,677 91,286
     FRB Ser. 3033, Class YF, zero %, 2035(F) 8,502 8,474
     FRB Ser. 3412, Class UF, zero %, 2035(F) 45,470 42,468
     FRB Ser. 3007, Class LU, zero %, 2035(F) 20,260 17,203
Federal National Mortgage Association
     IFB Ser. 06-8, Class HP, 23.885s, 2036 2,131,420 3,075,426
     IFB Ser. 05-45, Class DA, 23.739s, 2035 4,404,463 6,554,319
     IFB Ser. 05-83, Class QP, 16.911s, 2034 699,360 921,966
     Ser. 98-T2, Class A4, IO, 6 1/2s, 2036 72,540 12,785
     IFB Ser. 11-51, Class SK, IO, 6.264s, 2041 68,448,327 12,159,161
     IFB Ser. 11-51, Class SM, IO, 5.664s, 2041 95,129,233 13,757,590
     IFB Ser. 10-46, Class WS, IO, 5.564s, 2040 102,152,648 13,392,212
     Ser. 399, Class 2, IO, 5 1/2s, 2039 538,744 106,928
     Ser. 374, Class 6, IO, 5 1/2s, 2036 16,879,357 3,700,968
     Ser. 10-21, Class IP, IO, 5s, 2039 22,248,399 3,932,983
     Ser. 10-92, Class CI, IO, 5s, 2039 22,075,706 4,236,438
     Ser. 398, Class C5, IO, 5s, 2039 14,886,921 3,200,688
     Ser. 09-31, Class PI, IO, 5s, 2038 128,535,361 22,326,592
     Ser. 10-13, Class EI, IO, 5s, 2038 10,460,764 1,375,590
     Ser. 378, Class 19, IO, 5s, 2035 16,368,741 3,317,256
     Ser. 10-110, Class BI, IO, 5s, 2025 85,969,674 10,723,857
     Ser. 404, Class 2, IO, 4 1/2s, 2040 858,583 218,972
     Ser. 366, Class 22, IO, 4 1/2s, 2035 12,721,978 1,343,314
     Ser. 407, Class 1, IO, 4s, 2041 34,981,913 8,899,399
     Ser. 407, Class 2, IO, 4s, 2041 13,829,016 3,518,102
     Ser. 406, Class 2, IO, 4s, 2041 77,937,355 18,704,965
     Ser. 406, Class 1, IO, 4s, 2041 48,773,803 11,705,713
     Ser. 405, Class 2, IO, 4s, 2040 934,186 238,946
     Ser. 03-W10, Class 1, IO, 1.509s, 2043 11,862,606 578,302
     Ser. 00-T6, IO, 0.775s, 2030 11,681,710 276,809
     Ser. 01-T1, Class 1, IO, 0.769s, 2040 699,250 16,762
     Ser. 01-50, Class B1, IO, 0.419s, 2041 682,821 10,242
     Ser. 02-W8, Class 1, IO, 0.341s, 2042 16,928,129 222,182
     Ser. 99-51, Class N, PO, zero %, 2029 209,621 190,681
     IFB Ser. 06-48, Class FG, zero %, 2036 94,718 86,774
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.108s, 2020(F) 16,798,395 497,377
First Horizon Alternative Mortgage Securities FRB Ser. 06-AA4, Class 2A1, 5.348s, 2036 29,453,611 14,137,733
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 3,121,100 2,034,634
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 837,144 770,172
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.891s, 2041 100,987,259 98,317,156
     IFB Ser. 11-56, Class SG, 6.891s, 2041 56,152,675 54,777,496
     IFB Ser. 10-142, Class SA, IO, 6.514s, 2039 43,327,903 7,460,523
     IFB Ser. 10-151, Class SL, IO, 6.514s, 2039 31,243,124 5,976,497
     IFB Ser. 10-85, Class AS, IO, 6.464s, 2039 42,341,344 7,674,369
     IFB Ser. 10-98, Class QS, IO, 6.414s, 2040 47,210,794 8,615,970
     IFB Ser. 10-88, Class SA, IO, 6.364s, 2040 63,850,706 12,351,919
     IFB Ser. 10-157, Class SN, IO, 6.364s, 2038 59,966,070 9,892,603
     IFB Ser. 11-79, Class AS, IO, 5.915s, 2037(F) 50,569,854 7,193,705
     IFB Ser. 10-113, Class DS, IO, 5.914s, 2039 46,965,988 7,527,709
     IFB Ser. 10-115, Class SN, IO, 5.914s, 2038 29,798,402 4,714,405
     IFB Ser. 10-115, Class AS, IO, 5.864s, 2040 81,675,967 14,715,559
     IFB Ser. 10-116, Class SL, IO, 5.864s, 2039 30,144,388 5,061,544
     IFB Ser. 10-168, Class SL, IO, 5.814s, 2040 37,591,991 6,457,928
     IFB Ser. 10-121, Class SE, IO, 5.814s, 2040 53,643,422 9,010,486
     IFB Ser. 10-89, Class SD, IO, 5.744s, 2040 46,567,627 8,147,938
     IFB Ser. 10-116, Class SA, IO, 5.714s, 2040 78,743,456 13,787,192
     IFB Ser. 11-70, Class SM, IO, 5.704s, 2041 32,221,000 7,716,285
     IFB Ser. 11-70, Class SH, IO, 5.704s, 2041 33,097,000 7,911,176
     Ser. 11-70, PO, zero %, 2041 79,144,458 57,807,112
     Ser. 06-36, Class OD, PO, zero %, 2036 82,269 73,991
     Ser. 06-64, PO, zero %, 2034 190,384 168,351
     Ser. 99-31, Class MP, PO, zero %, 2029 16,904 14,865
     FRB Ser. 07-73, Class KI, IO, zero %, 2037 741,185 10,540
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.33s, 2039(F) 456,163,181 7,992,702
GSC Capital Corp. Mortgage Trust FRB Ser. 06-2, Class A1, 0.366s, 2036 3,417,706 1,674,509
GSMPS Mortgage Loan Trust 144A
     Ser. 05-RP1, Class 1AS, IO, 6.015s, 2035(F) 343,249 47,731
     FRB Ser. 05-RP1, Class 1AF, 0.536s, 2035 343,249 274,600
Harborview Mortgage Loan Trust FRB Ser. 05-14, Class 5A1A, 5.559s, 2035 28,770,190 16,974,412
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1, 5.668s, 2037 19,489,352 12,083,398
IndyMac Indx Mortgage Loan Trust
     FRB Ser. 07-AR15, Class 1A1, 5.432s, 2037 20,742,550 13,067,807
     FRB Ser. 06-AR25, Class 5A1, 5.402s, 2036 18,845,670 11,042,726
     FRB Ser. 07-AR9, Class 2A1, 5.36s, 2037 5,718,700 3,652,820
     FRB Ser. 06-AR25, Class 3A1, 5.132s, 2036 7,238,283 3,474,376
     FRB Ser. 06-AR3, Class 3A1B, 5.027s, 2036 6,023,817 3,433,575
     FRB Ser. 07-AR13, Class 4A1, 5.009s, 2037 6,887,913 3,099,561
     FRB Ser. 07-AR5, Class 2A1, 4.961s, 2037 11,706,061 6,438,333
     FRB Ser. 07-AR7, Class 2A1, 4.794s, 2037 10,722,427 5,747,221
     FRB Ser. 07-AR11, Class 1A1, 4.686s, 2037 3,765,611 1,958,118
     FRB Ser. 06-AR3, Class 2A1A, 2.817s, 2036 23,915,092 11,957,546
     FRB Ser. 05-AR31, Class 3A1, 2.668s, 2036 9,178,225 5,415,153
     FRB Ser. 06-AR39, Class A1, 0.366s, 2037 54,601,789 30,713,506
     FRB Ser. 06-AR35, Class 2A1A, 0.356s, 2037 17,968,322 8,960,137
     FRB Ser. 06-AR15, Class A1, 0.306s, 2036 22,876,506 11,323,870
JPMorgan Alternative Loan Trust
     FRB Ser. 07-A2, Class 12A1, 0.386s, 2037 28,447,407 14,223,704
     FRB Ser. 06-A7, Class 1A1, 0.346s, 2036 25,445,131 13,740,371
     FRB Ser. 06-A6, Class 1A1, 0.346s, 2036 4,272,709 2,449,512
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.198s, 2051 284,300,303 3,069,818
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031(F) 1,960,723 1,984,210
     Ser. 98-C4, Class J, 5.6s, 2035 3,535,000 3,643,171
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.316s, 2037 25,911,070 13,020,313
Luminent Mortgage Trust FRB Ser. 06-7, Class 1A1, 0.366s, 2036 15,558,485 8,557,167
Merrill Lynch Mortgage Investors Trust
     FRB Ser. 06-A4, Class 3A1, 3.24s, 2036 16,443,448 9,535,144
     FRB Ser. 06-A1, Class 1A1, 2.834s, 2036 24,269,136 14,398,878
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.386s, 2028(F) 3,761,921 124,487
Merrill Lynch Mortgage Trust
     FRB Ser. 07-C1, Class A3, 6.02s, 2050 1,006,000 1,076,945
     FRB Ser. 07-C1, Class A2, 5.916s, 2050 6,595,525 6,742,633
Merrill Lynch/Countrywide Commercial Mortgage Trust
     Ser. 07-7, Class ASB, 5.745s, 2050 4,138,000 4,377,917
     FRB Ser. 06-4, Class A2FL, 0.31s, 2049 6,313,157 5,965,933
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.175s, 2037 6,017,113 333,348
     Ser. 07-C5, Class X, IO, 5.081s, 2049 10,042,142 702,950
Morgan Stanley Capital I Ser. 07-IQ14, Class A2, 5.61s, 2049 115,833 117,773
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039(F) 13,869,752 12,190,293
Morgan Stanley Mortgage Loan Trust FRB Ser. 06-3AR, Class 3A1, 5.416s, 2036 9,236,359 5,911,270
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.989s, 2012 9,118 61
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2033 880,000 35,200
Residential Accredit Loans, Inc.
     FRB Ser. 07-QA4, Class A1B, 0.396s, 2037 10,014,893 4,431,590
     FRB Ser. 06-QA4, Class A, 0.366s, 2036 9,197,620 4,092,941
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 1,590,000 1,114,590
Structured Adjustable Rate Mortgage Loan Trust
     FRB Ser. 06-9, Class 1A1, 5.159s, 2036 3,218,327 1,961,716
     FRB Ser. 07-4, Class 1A1, 0.426s, 2037 12,813,369 5,509,749
Structured Asset Securities Corp.
     IFB Ser. 07-4, Class 1A3, IO, 6.025s, 2045 136,160,680 20,002,004
     Ser. 07-4, Class 1A4, IO, 1s, 2045 72,750,311 2,953,663
Structured Asset Securities Corp. 144A
     Ser. 05-RF1, Class A, IO, 5.531s, 2035 19,131,006 2,240,241
     Ser. 05-RF3, Class 1A, IO, 5.346s, 2035(F) 17,066,000 2,275,058
     FRB Ser. 05-RF3, Class 1A, 0.536s, 2035 17,066,000 12,799,500
     FRB Ser. 05-RF1, Class A, 0.536s, 2035 19,131,006 14,348,255
Ursus PLC 144A
     FRB Ser. 1-A, Class D, 6.938s, 2012 (Ireland) GBP 1,294,295 103,984
     Ser. 1-A, Class X1, IO, 4.925s, 2012 (Ireland) GBP 5,000 29
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 07-C32, Class A2, 5.927s, 2049 $8,191,783 8,469,271
     Ser. 07-C34, IO, 0.545s, 2046 78,724,608 1,160,401
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 3.487s, 2018 3,292,000 1,975,200
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.336s, 2036 23,751,321 11,163,121
Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 07-0C2, Class A3, 0.496s, 2037 14,709,648 8,127,081
Total mortgage-backed securities (cost $1,571,589,319) $1,569,395,226

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (12.9%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (—%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $1,521,436 $1,714,290
1,714,290
U.S. Government Agency Mortgage Obligations (12.9%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, January 1, 2041 1,591,688 1,522,549
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, TBA, July 1, 2041 11,000,000 12,454,063
     5s, TBA, June 1, 2041 13,000,000 13,832,304
     4 1/2s, TBA, July 1, 2041 292,000,000 302,105,945
     4s, TBA, July 1, 2041 359,000,000 359,000,000
     3 1/2s, December 1, 2040 885,665 848,577
689,763,438
Total U.S. government and agency mortgage obligations (cost $695,638,666) $691,477,728

ASSET-BACKED SECURITIES (11.1%)(a)
Principal amount Value
Ace Securities Corp. FRB Ser. 06-HE3, Class A2C, 0.336s, 2036 $429,000 $181,098
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.061s, 2034 279,503 83,607
Bombardier Capital Mortgage Securitization Corp. Ser. 00-A, Class A4, 8.29s, 2030 8,767,104 6,027,384
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1, Class A1A, 0.256s, 2037 3,682,042 1,399,176
Conseco Finance Securitizations Corp.
     Ser. 00-2, Class A5, 8.85s, 2030 6,982,035 5,620,538
     Ser. 00-4, Class A6, 8.31s, 2032 7,254,991 5,531,930
     Ser. 00-5, Class A7, 8.2s, 2032 19,785,782 16,174,877
     Ser. 00-1, Class A5, 8.06s, 2031 2,790,078 2,148,360
     Ser. 00-4, Class A5, 7.97s, 2032 1,155,539 933,098
     Ser. 02-2, Class M1, 7.424s, 2033 16,595,000 17,175,825
     Ser. 00-6, Class A5, 7.27s, 2031 5,176,323 5,436,174
     Ser. 01-3, Class A4, 6.91s, 2033 46,549,748 47,946,240
     FRB Ser. 01-4, Class M1, 1.941s, 2033 2,391,000 1,274,801
Countrywide Asset Backed Certificates
     FRB Ser. 07-12, Class 2A2, 0.686s, 2047 7,545,000 5,507,850
     FRB Ser. 06-BC1, Class 2A3, 0.476s, 2036 9,191,000 6,249,880
     FRB Ser. 07-3, Class 2A2, 0.356s, 2047 12,945,000 8,690,393
     FRB Ser. 07-6, Class 2A2, 0.356s, 2037 7,600,000 5,795,000
     FRB Ser. 06-8, Class 2A3, 0.346s, 2046(F) 8,980,000 4,041,000
     FRB Ser. 07-8, Class 2A2, 0.316s, 2037 26,566,000 19,127,520
     FRB Ser. 06-25, Class 2A2, 0.306s, 2047 11,179,000 10,284,680
     FRB Ser. 07-1, Class 2A2, 0.286s, 2037 27,658,502 20,190,706
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 3,636,760 72,735
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.336s, 2036 15,794,000 7,897,000
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 2.186s, 2037 614,000 214,900
Granite Mortgages PLC
     FRB Ser. 03-2, Class 2C1, 3.562s, 2043(F) EUR 10,080,000 7,535,617
     FRB Ser. 03-2, Class 3C, 3.326s, 2043(F) GBP 4,838,514 3,617,183
Green Tree Financial Corp.
     Ser. 94-6, Class B2, 9s, 2020 $6,412,289 4,142,339
     Ser. 94-4, Class B2, 8.6s, 2019 2,435,352 1,274,671
     Ser. 93-1, Class B, 8.45s, 2018 890,455 695,106
     Ser. 99-5, Class A5, 7.86s, 2029 11,345,350 10,324,269
     Ser. 96-8, Class M1, 7.85s, 2027 5,969,000 6,010,070
     Ser. 99-5, Class A6, 7 1/2s, 2030 7,957,409 6,763,798
     Ser. 95-8, Class B1, 7.3s, 2026 2,796,090 2,785,023
     Ser. 95-4, Class B1, 7.3s, 2025 2,737,142 2,798,260
     Ser. 95-F, Class B2, 7.1s, 2021 111,137 109,407
     Ser. 99-3, Class A7, 6.74s, 2031 5,278,809 5,278,809
     Ser. 99-3, Class A9, 6.53s, 2031 5,705,141 5,255,576
Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, 7.45s, 2025 99,246 85,979
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031 16,326,389 16,540,673
GSAA Home Equity Trust
     FRB Ser. 06-3, Class A3, 0.486s, 2036(F) 40,326,092 20,163,046
     FRB Ser. 05-15, Class 2A2, 0.436s, 2036 9,771,973 6,438,792
     FRB Ser. 05-11, Class 3A4, 0.436s, 2035 16,596,201 13,359,942
     FRB Ser. 06-19, Class A3A, 0.426s, 2036 9,698,799 4,946,387
     FRB Ser. 07-3, Class A4A, 0.406s, 2047 23,749,021 11,637,020
     FRB Ser. 07-4, Class A2, 0.386s, 2037 12,054,810 5,364,390
     FRB Ser. 06-17, Class A2, 0.366s, 2036 10,390,009 4,779,404
     FRB Ser. 06-16, Class A2, 0.356s, 2036 13,540,337 6,228,555
     FRB Ser. 06-11, Class 2A2, 0.346s, 2036 66,406,928 30,547,187
     FRB Ser. 06-9, Class A3, 0.346s, 2036(F) 21,253,482 9,138,997
     FRB Ser. 06-12, Class A2A, 0.336s, 2036 14,671,561 7,629,212
     FRB Ser. 06-9, Class A2, 0.306s, 2036(F) 9,335,424 4,014,232
     FRB Ser. 07-4, Class A1, 0.286s, 2037 21,647,958 10,325,353
     FRB Ser. 06-19, Class A1, 0.276s, 2036 13,123,086 5,872,581
     FRB Ser. 06-17, Class A1, 0.246s, 2036 46,201,563 21,021,711
     FRB Ser. 06-16, Class A1, 0.246s, 2036 51,219,046 23,048,571
     FRB Ser. 06-12, Class A1, 0.236s, 2036 40,556,554 19,430,645
     FRB Ser. 07-3, Class 2A1A, 0.216s, 2047 15,065,588 7,608,122
GSAMP Trust
     FRB Ser. 07-FM1, Class A2D, 0.436s, 2036 24,247,000 7,516,570
     FRB Ser. 07-FM1, Class A2C, 0.356s, 2036 13,499,000 4,184,690
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.186s, 2030 2,568,320 83,470
HSI Asset Securitization Corp. Trust FRB Ser. 06-HE1, Class 2A1, 0.236s, 2036 1,308,720 876,842
JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-WMC3, Class A4, 0.336s, 2036(FWC) 13,017,677 4,686,364
Lehman XS Trust FRB Ser. 05-6, Class 1A4, 0.566s, 2035 17,137,000 6,769,115
Long Beach Mortgage Loan Trust
     FRB Ser. 06-4, Class 2A4, 0.446s, 2036 510,301 177,737
     FRB Ser. 06-WL1, Class 2A3, 0.426s, 2046 7,195,653 4,497,283
Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 3.436s, 2032 8,794,511 7,811,724
Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.356s, 2037 24,165,394 10,995,254
Merrill Lynch Mortgage Investors Trust FRB Ser. 07-HE1, Class A2B, 0.356s, 2037 14,976,203 5,407,158
Mid-State Trust Ser. 11, Class B, 8.221s, 2038 857,204 832,781
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.386s, 2034 368,563 90,522
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, 3.254s, 2038 2,000,000 1,540,000
Neon Capital, Ltd. 144A
     limited recourse sec. notes Ser. 95, 2.319s, 2013 (Cayman Islands)(F)(g) 2,028,770 734,023
     limited recourse sec. notes Ser. 97, 1.105s, 2013 (Cayman Islands)(F)(g) 2,649,208 725,237
Novastar Home Equity Loan
     FRB Ser. 06-1, Class A2C, 0.346s, 2036 506,938 243,024
     FRB Ser. 06-2, Class A2C, 0.336s, 2036 663,000 354,193
Oakwood Mortgage Investors, Inc.
     Ser. 99-D, Class A1, 7.84s, 2029 5,059,375 4,806,406
     Ser. 00-D, Class A4, 7.4s, 2030 15,480,603 10,333,303
     Ser. 02-B, Class A4, 7.09s, 2032 2,847,349 2,929,043
     Ser. 99-B, Class A4, 6.99s, 2026 5,057,325 5,006,752
     Ser. 01-D, Class A4, 6.93s, 2031 131,496 105,978
     Ser. 01-C, Class A2, 5.92s, 2017 7,350,197 3,877,229
     Ser. 02-C, Class A1, 5.41s, 2032 10,873,107 10,438,182
     Ser. 01-C, Class A1, 5.16s, 2012 658,577 307,495
     Ser. 01-E, Class A2, 5.05s, 2031 4,848,864 3,818,480
     Ser. 02-A, Class A2, 5.01s, 2020 319,433 297,459
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030 441,725 422,951
Residential Asset Mortgage Products, Inc.
     FRB Ser. 06-RZ2, Class A3, 0.456s, 2036 13,392,000 5,557,680
     FRB Ser. 07-RZ1, Class A2, 0.346s, 2037 646,403 384,424
SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D, 0.396s, 2036 1,124,000 363,055
Soundview Home Equity Loan Trust FRB Ser. 06-OPT3, Class 2A3, 0.356s, 2036 514,957 392,103
Structured Asset Securities Corp. 144A Ser. 98-RF3, Class A, IO, 6.1s, 2028 1,081,834 162,167
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 3,921,033 470,524
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 2,403,000 1,201,500
Total asset-backed securities (cost $640,310,906) $591,176,417

FOREIGN GOVERNMENT BONDS AND NOTES (8.5%)(a)
Principal amount/Units Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $19,995,000 $18,365,408
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 3,495,000 3,538,093
Argentina (Republic of) sr. unsec. bonds FRB 0.45s, 2013 13,993,000 3,278,000
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 94,368,000 90,538,547
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012 ARS 6,340,000 1,498,922
Argentina (Republic of) sr. unsec. unsub. bonds FRB 0.467s, 2012 $286,186,000 68,976,550
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 5,255,940 4,488,572
Banco Nacional de Desenvolvimento Economico e Social 144A notes 5 1/2s, 2020 (Brazil) $4,080,000 4,319,700
Brazil (Federal Republic of) notes 10s, 2017 BRL 7,250 4,432,149
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 20,095 12,797,063
Chile (Republic of) notes 5 1/2s, 2020 CLP 1,856,500,000 4,005,921
Colombia (Government of) bonds 6 1/8s, 2041 $2,875,000 3,126,563
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 3,725,000 3,874,000
Germany (Federal Republic of) bonds 2 1/4s, 2020 EUR 31,680,000 43,574,274
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $9,340,000 10,480,788
Hungary (Republic of) sr. unsec. unsub. notes 7 5/8s, 2041 4,230,000 4,566,287
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 3,945,000 4,142,250
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019 2,560,000 3,743,590
Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021 7,920,000 8,108,100
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038 1,875,000 2,350,781
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 7/8s, 2018 3,775,000 4,416,750
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 1,310,000 1,456,668
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 3,255,000 3,578,612
Iraq (Republic of) 144A bonds 5.8s, 2028 2,905,000 2,626,120
Peru (Republic of) bonds 6.95s, 2031 PEN 30,650,000 10,822,153
Philippines (Republic of) sr. unsec. unsub. bonds 6 1/2s, 2020 $4,450,000 5,178,910
Philippines (Republic of) sr. unsec. unsub. bonds 6 3/8s, 2034 7,100,000 7,716,209
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 884,765 1,037,971
South Africa (Republic of) sr. unsec. unsub. notes 6 7/8s, 2019 2,565,000 3,058,763
Sri Lanka (Republic of) 144A notes 7.4s, 2015 1,300,000 1,414,257
Turkey (Republic of) bonds 16s, 2012 TRY 885,000 570,457
Turkey (Republic of) sr. unsec. bonds 5 5/8s, 2021 $6,800,000 7,106,000
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019 1,660,000 1,951,430
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 11,515,000 13,475,774
Turkey (Republic of) unsec. notes 6 3/4s, 2040 6,760,000 7,234,349
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 2,700,000 2,821,500
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 5,075,000 5,169,750
Ukraine (Government of) 144A bonds 7 3/4s, 2020 30,730,000 31,882,375
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 21,865,000 22,657,825
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 4,310,000 4,525,500
United Mexican States sr. unsec. notes Ser. A, 6.05s, 2040 725,000 771,400
Venezuela (Republic of) bonds 8 1/2s, 2014 2,850,000 2,563,775
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027 3,600,000 2,712,600
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 4,150,000 4,091,236
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 4,935,000 4,879,777
Total foreign government bonds and notes (cost $417,844,797) $453,925,719

SENIOR LOANS (1.9%)(c)(a)
Principal amount Value
Basic materials (0.2%)
American Rock Salt Co., LLC / American Rock Capital Corp. bank term loan FRN 5 1/2s, 2017 $725,000 $723,188
Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017 1,305,000 1,301,738
Georgia-Pacific, LLC bank term loan FRN Ser. B2, 2.307s, 2012 221,949 221,626
INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 (United Kingdom) 1,287,025 1,329,256
INEOS Holdings, Ltd. bank term loan FRN Ser. B2, 7.501s, 2013 (United Kingdom) 1,212,975 1,252,776
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013 1,707,124 1,668,002
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 1,266,825 1,263,263
Univar, Inc. bank term loan FRN Ser. B, 5s, 2017 1,266,817 1,263,877
9,023,726
Capital goods (—%)
SRAM Corp. bank term loan FRN Ser. 2nd, 8 1/2s, 2018 885,000 885,000
885,000
Communication services (0.1%)
Charter Communications Operating, LLC bank term loan FRN Ser. l, 7 1/4s, 2014 26,741 26,848
Charter Communications, Inc. bank term loan FRN Ser. C, 3.56s, 2016 2,704,301 2,702,351
Intelsat Jackson Holdings SA bank term loan FRN 3.285s, 2014 (Luxembourg) 1,987,780 1,913,238
Level 3 Communications, Inc. bank term loan FRN 2.533s, 2014 3,754,000 3,628,868
Level 3 Financing, Inc. bank term loan FRN Ser. B, 11 1/2s, 2014 280,000 296,217
8,567,522
Consumer cyclicals (0.9%)
Advantage Sales & Marketing, LLC bank term loan FRN 9 1/4s, 2018 270,000 274,388
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 5,397,875 5,458,601
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 1,486,275 1,480,887
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.274s, 2015 2,870,000 2,576,723
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3.246s, 2015 3,653,635 3,276,094
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 3,348,479 3,385,105
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.44s, 2014 3,688,887 3,308,798
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.841s, 2016 6,299,276 5,307,140
Compucom Systems, Inc. bank term loan FRN 3.7s, 2014 458,143 444,399
Dex Media West, LLC bank term loan FRN Ser. A, 7s, 2014 679,363 563,871
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5.252s, 2018 2,638,388 2,627,552
Federal Mogul Corp. bank term loan FRN Ser. B, 2.128s, 2014 467,560 442,011
Federal Mogul Corp. bank term loan FRN Ser. C, 2.128s, 2015 238,551 225,516
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.44s, 2014 874,808 307,458
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.19s, 2014(FWC) 2,041,991 717,674
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.2s, 2014(FWC) 761,937 267,789
Golden Nugget, Inc. bank term loan FRN 2.2s, 2014(PIK) 228,567 199,615
Golden Nugget, Inc. bank term loan FRN Ser. B, 2.2s, 2014(PIK) 401,529 350,668
Goodman Global, Inc. bank term loan FRN 9s, 2017 1,758,000 1,802,683
Goodman Global, Inc. bank term loan FRN Ser. 1st, 5 3/4s, 2016 3,048,960 3,054,043
KAR Auction Services, Inc. bank term loan FRN Ser. B, 5s, 2017 1,045,000 1,046,959
Michaels Stores, Inc. bank term loan FRN Ser. B, 2.546s, 2013 467,248 458,540
National Bedding Co., LLC bank term loan FRN Ser. B, 3.756s, 2013 229,206 226,914
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 2,362,808 2,330,588
Nortek, Inc. bank term loan FRN Ser. B, 5.253s, 2017 830,824 830,824
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 69,416 47,290
Realogy Corp. bank term loan FRN Ser. B, 4.518s, 2016 1,674,366 1,488,791
Revel Entertainment, LLC bank term loan FRN Ser. B, 9s, 2017 600,000 565,000
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.713s, 2014 2,434,807 2,363,117
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.7s, 2014 242,306 235,172
Six Flags Theme Parks bank term loan FRN Ser. B, 5 1/4s, 2016 2,075,357 2,084,005
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)(NON) 3,221,563 2,178,582
Univision Communications, Inc. bank term loan FRN 4.441s, 2017 1,020,833 974,895
50,901,692
Consumer staples (0.2%)
Amscan Holdings, Inc. bank term loan FRN 6.752s, 2017 1,488,750 1,490,921
Claire's Stores, Inc. bank term loan FRN 3.051s, 2014 2,531,201 2,302,338
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 1,505,000 1,500,062
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 3,612,486 3,612,486
Rite-Aid Corp. bank term loan FRN Ser. B, 1.943s, 2014 411,157 392,226
West Corp. bank term loan FRN Ser. B2, 2.645s, 2013 67,761 67,112
West Corp. bank term loan FRN Ser. B5, 4.52s, 2016 164,805 165,011
9,530,156
Energy (0.1%)
EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.193s, 2012 809,091 792,909
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016(FWC) 2,226,772 2,221,553
Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013 593,407 591,645
3,606,107
Financials (0.1%)
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 2,505,000 2,452,290
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014 511,883 510,987
Nuveen Investments, Inc. bank term loan FRN Ser. B, 5.791s, 2017 1,000,000 999,583
3,962,860
Health care (0.2%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 1,592,808 1,593,306
Grifols SA bank term loan FRN Ser. B, 6s, 2016 (Spain) 1,230,000 1,234,357
Health Management Associates, Inc. bank term loan FRN 2.057s, 2014 2,562,921 2,477,691
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 3,920,175 3,914,295
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 1,742,278 1,735,201
10,954,850
Technology (—%)
First Data Corp. bank term loan FRN 4.186s, 2018 574,435 526,334
First Data Corp. bank term loan FRN Ser. B3, 2.936s, 2014 61,131 56,554
582,888
Utilities and power (0.1%)
NRG Energy, Inc. bank term loan FRN 3.557s, 2015 642,505 640,999
NRG Energy, Inc. bank term loan FRN Ser. B, 3.452s, 2015 759,163 758,847
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.73s, 2017 5,566,231 4,334,702
5,734,548
Total senior loans (cost $107,327,513) $103,749,349

PURCHASED OPTIONS OUTSTANDING (1.3%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.5025% versus the three month USD-LIBOR-BBA maturing July 7, 2016. Jul-11/2.5025 $195,590,000 $14
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.565% versus the three month USD-LIBOR-BBA maturing August 8, 2016. Aug-11/2.565 221,110,000 148,144
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.64% versus the three month USD-LIBOR-BBA maturing September 8, 2016. Sep-11/2.64 238,090,000 464,276
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing December 16, 2041. Dec-11/4.12 $98,101,786 5,203,319
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.0025% versus the three month USD-LIBOR-BBA maturing July 7, 2016. Jul-11/2.0025 195,590,000 305,120
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.065% versus the three month USD-LIBOR-BBA maturing August 8, 2016. Aug-11/2.065 221,110,000 1,167,461
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.14% versus the three month USD-LIBOR-BBA maturing September 8, 2016. Sep-11/2.14 238,090,000 1,861,864
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing December 16, 2041. Dec-11/4.12 98,101,786 4,319,422
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.045% versus the three month USD-LIBOR-BBA maturing December 13, 2041. Dec-11/4.045 17,458,139 1,036,839
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.1175% versus the three month USD-LIBOR-BBA maturing December 9, 2041. Dec-11/4.1175 83,402,550 4,279,562
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.045% versus the three month USD-LIBOR-BBA maturing December 13, 2041. Dec-11/4.045 17,458,139 656,426
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.1175% versus the three month USD-LIBOR-BBA maturing December 9, 2041. Dec-11/4.1175 83,402,550 3,596,318
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013. Dec-11/1.578 CHF 200,160,000 7,640
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013. Dec-11/1.602 CHF 200,160,000 6,475
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. Jan-12/1.70175 CHF 186,840,000 12,505
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.09% versus the three month USD-LIBOR-BBA maturing August 25, 2041. Aug-11/4.09 $130,665,214 3,683,452
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.355% versus the three month USD-LIBOR-BBA maturing December 6, 2041. Dec-11/4.355 99,164,306 3,173,258
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 3.855% versus the three month USD-LIBOR-BBA maturing December 6, 2041. Dec-11/3.855 99,164,306 2,445,392
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.09% versus the three month USD-LIBOR-BBA maturing August 25, 2041. Aug-11/4.09 130,665,214 3,365,936
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 3.99% versus the three month USD-LIBOR-BBA maturing September 29, 2041. Sep-11/3.99 185,337,246 8,959,202
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.0325% versus the three month USD-LIBOR-BBA maturing November 4, 2041. Nov-11/4.0325 86,610,632 4,553,121
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing January 5, 2042. Jan-12/4.60 131,138,536 3,066,019
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.60% versus the three month USD-LIBOR-BBA maturing January 5, 2042. Jan-12/3.60 131,138,536 2,099,528
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.99% versus the three month USD-LIBOR-BBA maturing September 29, 2041. Sep-11/3.99 185,337,246 4,577,830
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.0325% versus the three month USD-LIBOR-BBA maturing November 4, 2041. Nov-11/4.0325 86,610,632 2,826,105
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 4.0275% versus the three month USD-LIBOR-BBA maturing September 8, 2041. Sep-11/4.0275 140,126,000 5,325,271
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 4.0275% versus the three month USD-LIBOR-BBA maturing September 8, 2041. Sep-11/4.0275 140,126,000 3,361,927
Option on an interest rate swap with UBS AG for the right to pay a fixed rate of 1.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. Jan-12/1.722 CHF 213,480,000 13,337
Total purchased options outstanding (cost $75,917,310) $70,515,763

CONVERTIBLE BONDS AND NOTES (0.2%)(a)
Principal amount Value
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 $1,064,000 $1,823,430
Meritor, Inc. cv. company guaranty sr. unsec. notes 4s, 2027 2,400,000 2,292,000
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 1,045,000 1,246,163
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 2,670,000 2,786,756
Total convertible bonds and notes (cost $7,681,476) $8,148,349

SHORT-TERM INVESTMENTS (23.0%)(a)
Principal amount/shares Value
Federal Home Loan Bank discount notes with an effective yield of 0.009%, July 27, 2011 $6,000,000 $5,999,957
Federal Home Loan Bank discount notes with an effective yield of 0.037%, July 15, 2011 47,000,000 46,999,269
Federal Home Loan Bank discount notes with an effective yield of 0.048%, July 13, 2011 30,000,000 29,999,500
Federal Home Loan Mortgage Corp. with an effective yield of 0.039%, July 11, 2011(SEGSF) 50,000,000 49,999,444
Putnam Money Market Liquidity Fund 0.04%(e) 358,806,162 358,806,162
Straight-A Funding, LLC with an effecitive yield of 0.148%, August 16, 2011 $50,000,000 49,990,417
Straight-A Funding, LLC with an effecitive yield of 0.148%, August 16, 2011 32,907,000 32,900,693
U.S. Treasury Bills with an effective yield of 0.109%, February 9, 2012(SEG)(SEGSF) 6,833,000 6,820,728
U.S. Treasury Bills with an effective yield of 0.100%, April 5, 2012(SEGSF) 37,750,000 37,714,515
U.S. Treasury Bills with an effective yield of 0.064%, August 4, 2011(SEG)(SEGSF) 127,000,000 126,992,205
U.S. Treasury Bills with effective yields ranging from 0.079% to 0.109%, November 17, 2011(SEG)(SEGSF) 133,103,000 133,054,151
U.S. Treasury Bills with effective yields ranging from 0.098% to 0.100%, December 1, 2011(SEG)(SEGSF) 202,166,000 202,079,271
U.S. Treasury Bills with effective yields ranging from 0.214% to 0.236%, July 28, 2011(SEG)(SEGSF) 126,394,000 126,372,276
U.S. Treasury Bills with effective yields ranging from 0.237% to 0.242%, August 25, 2011(SEG)(SEGSF) 22,793,000 22,784,539
Total short-term investments (cost $1,230,529,916) $1,230,513,127

TOTAL INVESTMENTS
Total investments (cost $6,587,754,284)(b) $6,604,991,210













FORWARD CURRENCY CONTRACTS at 6/30/11 (aggregate face value $3,048,957,430) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Buy 8/17/11 $168,473 $164,315 $4,158
Brazilian Real Buy 8/17/11 4,851,426 4,847,275 4,151
British Pound Sell 8/17/11 24,124,543 24,026,310 (98,233)
Canadian Dollar Sell 8/17/11 13,807,996 13,487,317 (320,679)
Chilean Peso Buy 8/17/11 8,545,162 8,484,798 60,364
Czech Koruna Buy 8/17/11 5,470,994 5,470,978 16
Euro Sell 8/17/11 32,414,957 31,761,713 (653,244)
Japanese Yen Sell 8/17/11 7,896,687 7,853,943 (42,744)
Mexican Peso Buy 8/17/11 7,541,004 7,504,173 36,831
Norwegian Krone Sell 8/17/11 1,970,600 1,941,327 (29,273)
Russian Ruble Buy 8/17/11 8,421,807 8,421,807 —
Singapore Dollar Buy 8/17/11 13,952,623 13,952,623 —
South African Rand Buy 7/21/11 8,127,704 8,132,749 (5,045)
South Korean Won Buy 8/17/11 12,714,074 12,524,935 189,139
Swedish Krona Buy 8/17/11 19,626,126 19,238,782 387,344
Swiss Franc Sell 8/17/11 30,081,260 30,086,529 5,269
Taiwan Dollar Sell 8/17/11 8,580,712 8,580,712 —
Turkish Lira Buy 8/17/11 2,698,945 2,698,945 —
Barclays Bank PLC
Australian Dollar Buy 8/17/11 12,219,561 12,120,621 98,940
Brazilian Real Buy 8/17/11 19,361,241 19,239,054 122,187
British Pound Sell 8/17/11 13,174,915 13,099,897 (75,018)
Canadian Dollar Buy 8/17/11 7,021,454 7,011,024 10,430
Chilean Peso Buy 8/17/11 8,366,407 8,249,470 116,937
Czech Koruna Buy 8/17/11 268,602 268,602 —
Euro Sell 8/17/11 40,281,236 39,510,994 (770,242)
Hungarian Forint Sell 8/17/11 12,011,007 12,011,007 —
Indian Rupee Sell 8/17/11 16,050,778 15,959,135 (91,643)
Japanese Yen Sell 8/17/11 29,962,860 29,800,304 (162,556)
Malaysian Ringgit Buy 8/17/11 12,920,771 12,920,771 —
Mexican Peso Sell 8/17/11 2,104,965 2,079,555 (25,410)
New Zealand Dollar Sell 7/21/11 8,363,431 8,243,315 (120,116)
Norwegian Krone Buy 8/17/11 9,999,911 9,850,105 149,806
Philippines Peso Buy 8/17/11 6,544,342 6,544,342 —
Polish Zloty Sell 8/17/11 2,382,260 2,382,260 —
Russian Ruble Buy 8/17/11 8,421,807 8,421,807 —
Singapore Dollar Buy 8/17/11 7,514,638 7,514,638 —
South Korean Won Buy 8/17/11 10,271,561 10,111,296 160,265
Swedish Krona Buy 8/17/11 13,123,458 12,853,505 269,953
Swiss Franc Buy 8/17/11 647,248 649,846 (2,598)
Taiwan Dollar Sell 8/17/11 9,815,266 9,815,266 —
Thai Baht Buy 8/17/11 6,278,519 6,278,519 —
Turkish Lira Sell 8/17/11 1,377,689 1,377,689 —
Citibank, N.A.
Australian Dollar Buy 8/17/11 7,258,842 7,078,698 180,144
Brazilian Real Buy 8/17/11 10,650,557 10,641,445 9,112
British Pound Sell 8/17/11 32,464,593 32,302,987 (161,606)
Canadian Dollar Sell 8/17/11 21,127,807 20,632,327 (495,480)
Chilean Peso Buy 8/17/11 5,807,924 5,701,367 106,557
Czech Koruna Buy 8/17/11 4,481,929 4,481,929 —
Danish Krone Buy 7/21/11 2,086,732 2,102,063 (15,331)
Euro Sell 8/17/11 12,998,611 12,751,580 (247,031)
Hungarian Forint Buy 8/17/11 7,931,319 7,931,319 —
Japanese Yen Sell 8/17/11 41,137,255 40,918,123 (219,132)
Mexican Peso Buy 8/17/11 10,745,073 10,715,178 29,895
New Zealand Dollar Buy 7/21/11 289,566 285,424 4,142
Norwegian Krone Sell 8/17/11 21,302,294 20,992,175 (310,119)
Polish Zloty Sell 8/17/11 655,860 655,860 —
Singapore Dollar Buy 8/17/11 4,076,273 4,076,273 —
South African Rand Buy 7/21/11 8,840,894 8,917,413 (76,519)
South Korean Won Buy 8/17/11 11,474,280 11,315,799 158,481
Swedish Krona Buy 8/17/11 5,504,033 5,399,350 104,683
Swiss Franc Sell 8/17/11 4,792,516 4,815,982 23,466
Taiwan Dollar Sell 8/17/11 8,595,054 8,595,054 —
Turkish Lira Buy 8/17/11 1,572,874 1,572,874 —
Credit Suisse AG
Australian Dollar Buy 8/17/11 5,161,948 5,029,633 132,315
Brazilian Real Buy 8/17/11 8,177,021 8,165,368 11,653
British Pound Sell 8/17/11 33,490,759 33,307,477 (183,282)
Canadian Dollar Sell 8/17/11 3,899,898 3,805,511 (94,387)
Czech Koruna Buy 8/17/11 6,963 6,950 13
Euro Sell 8/17/11 71,064,207 70,687,943 (376,264)
Indian Rupee Sell 8/17/11 9,338,850 9,285,530 (53,320)
Japanese Yen Sell 8/17/11 16,018,091 15,940,845 (77,246)
Malaysian Ringgit Buy 8/17/11 18,712,394 18,712,394 —
Mexican Peso Buy 8/17/11 8,979,144 8,952,870 26,274
Norwegian Krone Buy 8/17/11 23,043,391 22,706,059 337,332
Polish Zloty Sell 8/17/11 289,483 289,483 —
Russian Ruble Buy 8/17/11 8,419,107 8,419,107 —
South African Rand Buy 7/21/11 14,426,483 14,477,231 (50,748)
South Korean Won Buy 8/17/11 6,632,158 6,530,784 101,374
Swedish Krona Buy 8/17/11 35,103,922 34,978,582 125,340
Swiss Franc Buy 8/17/11 30,285,541 30,386,212 (100,671)
Taiwan Dollar Sell 8/17/11 10,225,451 10,225,451 —
Turkish Lira Sell 8/17/11 5,691,586 5,691,586 —
Deutsche Bank AG
Australian Dollar Buy 8/17/11 24,322,077 23,651,223 670,854
Brazilian Real Buy 8/17/11 3,524,688 3,502,805 21,883
British Pound Sell 8/17/11 15,401,648 15,316,636 (85,012)
Canadian Dollar Sell 8/17/11 20,334,227 19,901,682 (432,545)
Chilean Peso Buy 8/17/11 2,821,748 2,797,060 24,688
Czech Koruna Buy 8/17/11 4,207,069 4,207,069 —
Euro Sell 8/17/11 42,842,327 42,033,157 (809,170)
Hungarian Forint Buy 8/17/11 7,174,663 7,111,871 62,792
Malaysian Ringgit Buy 8/17/11 10,972,813 11,022,049 (49,236)
Mexican Peso Buy 8/17/11 1,144,731 1,138,706 6,025
New Zealand Dollar Sell 7/21/11 5,070,499 5,002,216 (68,283)
Norwegian Krone Sell 8/17/11 1,465,173 1,443,935 (21,238)
Peruvian New Sol Sell 8/17/11 8,028,693 7,965,827 (62,866)
Philippines Peso Buy 8/17/11 6,480,145 6,480,145 —
Polish Zloty Buy 8/17/11 1,053,769 1,053,769 —
Singapore Dollar Buy 8/17/11 4,519,293 4,519,293 —
South Korean Won Buy 8/17/11 16,688,202 16,432,364 255,838
Swedish Krona Buy 8/17/11 14,479,129 14,191,609 287,520
Swiss Franc Buy 8/17/11 12,033,790 12,077,758 (43,968)
Taiwan Dollar Sell 8/17/11 3,549,327 3,549,327 —
Turkish Lira Buy 8/17/11 6,285,723 6,285,723 —
Goldman Sachs International
Australian Dollar Buy 8/17/11 20,324,502 19,821,151 503,351
British Pound Sell 8/17/11 26,621,547 26,490,188 (131,359)
Canadian Dollar Sell 8/17/11 26,095,593 25,481,546 (614,047)
Chilean Peso Buy 8/17/11 8,717,688 8,649,673 68,015
Euro Sell 8/17/11 76,911,167 75,467,550 (1,443,617)
Hungarian Forint Sell 8/17/11 6,569,354 6,569,354 —
Japanese Yen Sell 8/17/11 28,171,137 28,021,767 (149,370)
Norwegian Krone Buy 8/17/11 13,450,193 13,383,549 66,644
Polish Zloty Buy 8/17/11 2,672,953 2,672,953 —
South African Rand Buy 7/21/11 9,543,667 9,608,679 (65,012)
Swedish Krona Buy 8/17/11 2,685,342 2,631,732 53,610
Swiss Franc Buy 8/17/11 30,372,682 30,484,748 (112,066)
HSBC Bank USA, National Association
Australian Dollar Buy 8/17/11 39,505,294 38,565,240 940,054
British Pound Sell 8/17/11 17,650,277 17,551,974 (98,303)
Euro Sell 8/17/11 88,501,548 86,858,079 (1,643,469)
Indian Rupee Sell 8/17/11 6,943,683 6,923,899 (19,784)
Japanese Yen Sell 8/17/11 35,599,627 35,405,615 (194,012)
Norwegian Krone Buy 8/17/11 23,391,936 23,081,321 310,615
Philippines Peso Buy 8/17/11 6,480,893 6,480,893 —
Singapore Dollar Buy 8/17/11 5,085,012 5,082,230 2,782
South Korean Won Buy 8/17/11 9,657,005 9,526,879 130,126
Swiss Franc Buy 8/17/11 170,115 170,787 (672)
Taiwan Dollar Sell 8/17/11 9,126,954 9,126,954 —
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 8/17/11 11,391,388 11,109,646 281,742
Brazilian Real Buy 8/17/11 19,118,511 18,990,002 128,509
British Pound Sell 8/17/11 25,627,981 25,484,687 (143,294)
Canadian Dollar Sell 8/17/11 8,704,820 8,500,076 (204,744)
Chilean Peso Buy 8/17/11 7,333,444 7,280,093 53,351
Czech Koruna Buy 8/17/11 14,349,279 14,287,594 61,685
Euro Sell 8/17/11 21,984,977 21,572,321 (412,656)
Hungarian Forint Buy 8/17/11 7,235,423 7,171,455 63,968
Japanese Yen Sell 8/17/11 38,244,736 38,035,368 (209,368)
Malaysian Ringgit Buy 8/17/11 12,121,333 12,121,333 —
Mexican Peso Buy 8/17/11 9,421,128 9,377,496 43,632
New Zealand Dollar Sell 7/21/11 4,205,935 4,144,512 (61,423)
Norwegian Krone Sell 8/17/11 2,412,503 2,377,230 (35,273)
Peruvian New Sol Sell 8/17/11 4,093,034 4,081,901 (11,133)
Polish Zloty Sell 8/17/11 4,961,246 4,961,246 —
Russian Ruble Buy 8/17/11 8,414,012 8,412,664 1,348
Singapore Dollar Buy 8/17/11 9,832,289 9,823,029 9,260
South African Rand Buy 7/21/11 5,257,059 5,292,320 (35,261)
South Korean Won Buy 8/17/11 16,585,713 16,322,415 263,298
Swedish Krona Buy 8/17/11 7,545,658 7,396,278 149,380
Swiss Franc Buy 8/17/11 9,040,044 9,072,207 (32,163)
Taiwan Dollar Sell 8/17/11 14,096,504 14,081,812 (14,692)
Thai Baht Buy 8/17/11 6,395,999 6,395,999 —
Turkish Lira Buy 8/17/11 497,416 498,913 (1,497)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 8/17/11 14,083,752 13,992,818 90,934
Brazilian Real Buy 8/17/11 13,902,578 13,828,465 74,113
British Pound Sell 8/17/11 22,653,223 22,527,338 (125,885)
Canadian Dollar Sell 8/17/11 18,536,826 18,100,459 (436,367)
Chilean Peso Buy 8/17/11 9,025,117 8,931,950 93,167
Czech Koruna Buy 8/17/11 5,745,679 5,745,679 —
Euro Sell 8/17/11 53,167,171 52,186,459 (980,712)
Hungarian Forint Sell 8/17/11 6,704,572 6,710,413 5,841
Indian Rupee Sell 8/17/11 13,565,420 13,484,992 (80,428)
Japanese Yen Sell 8/17/11 19,745,277 19,667,331 (77,946)
Malaysian Ringgit Buy 8/17/11 10,343,546 10,343,546 —
Mexican Peso Buy 8/17/11 8,534,080 8,493,477 40,603
New Zealand Dollar Sell 7/21/11 610,402 522,060 (88,342)
Norwegian Krone Buy 8/17/11 374,766 369,149 5,617
Polish Zloty Buy 8/17/11 2,969,611 2,969,611 —
Russian Ruble Buy 8/17/11 8,429,316 8,429,316 —
Singapore Dollar Buy 8/17/11 8,724,520 8,724,520 —
South African Rand Buy 7/21/11 6,547,306 6,588,647 (41,341)
South Korean Won Buy 8/17/11 12,729,099 12,529,911 199,188
Swedish Krona Sell 8/17/11 17,933,749 17,573,139 (360,610)
Swiss Franc Buy 8/17/11 4,764,660 4,783,554 (18,894)
Taiwan Dollar Sell 8/17/11 17,062,093 17,062,093 —
Turkish Lira Buy 8/17/11 1,801,593 1,801,593 —
State Street Bank and Trust Co.
Australian Dollar Buy 8/17/11 14,545,852 14,449,753 96,099
Brazilian Real Buy 8/17/11 5,040,370 5,012,868 27,502
British Pound Buy 8/17/11 1,985,046 1,975,236 9,810
Canadian Dollar Sell 8/17/11 16,011,569 15,637,624 (373,945)
Euro Sell 8/17/11 80,042,887 78,523,929 (1,518,958)
Hungarian Forint Sell 8/17/11 9,114,454 9,114,454 —
Japanese Yen Sell 8/17/11 29,102,022 28,952,071 (149,951)
Malaysian Ringgit Buy 8/17/11 14,235,399 14,235,399 —
Mexican Peso Buy 8/17/11 11,141,474 11,089,404 52,070
Norwegian Krone Sell 8/17/11 24,199,767 23,835,409 (364,358)
Philippines Peso Buy 8/17/11 6,481,341 6,481,341 —
Polish Zloty Sell 8/17/11 13,261,984 13,261,984 —
Russian Ruble Buy 8/17/11 8,444,676 8,444,676 —
Singapore Dollar Buy 8/17/11 5,373,648 5,373,648 —
South African Rand Buy 7/21/11 8,372,821 8,297,796 75,025
Swedish Krona Sell 8/17/11 11,240,566 11,020,905 (219,661)
Swiss Franc Buy 8/17/11 31,564,086 31,689,255 (125,169)
Taiwan Dollar Sell 8/17/11 14,445,789 14,445,789 —
Thai Baht Buy 8/17/11 6,414,716 6,414,716 —
UBS AG
Australian Dollar Buy 8/17/11 26,881,392 26,699,513 181,879
Brazilian Real Buy 8/17/11 12,240,383 12,224,187 16,196
British Pound Sell 8/17/11 22,857,813 22,764,455 (93,358)
Canadian Dollar Buy 8/17/11 4,223,861 4,126,184 97,677
Czech Koruna Buy 8/17/11 7,491,408 7,491,408 —
Euro Sell 8/17/11 131,633,902 129,678,649 (1,955,253)
Hungarian Forint Buy 8/17/11 3,228,746 3,228,746 —
Indian Rupee Sell 8/17/11 18,878,545 18,774,900 (103,645)
Japanese Yen Sell 8/17/11 891,319 886,751 (4,568)
Mexican Peso Buy 8/17/11 5,628,838 5,611,368 17,470
New Zealand Dollar Sell 7/21/11 9,205,263 9,062,208 (143,055)
Norwegian Krone Sell 8/17/11 2,542,237 2,504,930 (37,307)
Polish Zloty Sell 8/17/11 3,859,526 3,859,526 —
Russian Ruble Buy 8/17/11 8,431,260 8,431,260 —
Singapore Dollar Buy 8/17/11 4,988,850 4,988,850 —
South African Rand Buy 7/21/11 15,598,922 15,554,303 44,619
South Korean Won Buy 8/17/11 12,196,588 11,999,650 196,938
Swedish Krona Buy 8/17/11 9,752,399 9,558,740 193,659
Swiss Franc Buy 8/17/11 1,925,078 1,932,827 (7,749)
Taiwan Dollar Sell 8/17/11 13,800,720 13,814,529 13,809
Thai Baht Buy 8/17/11 6,282,599 6,282,599 —
Turkish Lira Buy 8/17/11 416,366 417,657 (1,291)
Westpac Banking Corp.
Australian Dollar Buy 8/17/11 18,931,054 18,444,381 486,673
British Pound Sell 8/17/11 18,493,796 18,402,657 (91,139)
Canadian Dollar Buy 8/17/11 1,071,619 1,046,594 25,025
Euro Sell 8/17/11 79,799,380 78,302,927 (1,496,453)
Japanese Yen Sell 8/17/11 19,217,481 19,118,185 (99,296)
New Zealand Dollar Buy 7/21/11 2,175,008 2,144,270 30,738
Norwegian Krone Sell 8/17/11 29,779,995 29,350,906 (429,089)
Swedish Krona Buy 8/17/11 15,152,400 14,857,720 294,680
Swiss Franc Buy 8/17/11 4,251,099 4,267,702 (16,603)
Total $(11,707,970)












FUTURES CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Short) 1,599 $162,632,762             Sep-11 $1,075,506
Canadian Government Bond 10 yr (Short) 2,027 260,835,172             Sep-11 3,502,270
Euro-Bobl 5 yr (Long) 63 10,664,272             Sep-11 12,628
Euro-Bund 10 yr (Long) 1,125 204,971,650             Sep-11 (1,176,431)
Euro-Dollar 90 day (Short) 16,670 4,141,869,875             Jun-12 (9,545,752)
Euro-Schatz 2 yr (Short) 441 68,870,908             Sep-11 (81,999)
Euro-Swiss Franc 3 Month (Short) 534 158,468,194             Dec-11 (628,287)
Euro-Swiss Franc 3 Month (Short) 541 160,255,757             Jun-12 (1,052,879)
Euro-Swiss Franc 3 Month (Short) 547 161,658,762             Dec-12 (1,265,449)
Euro-Swiss Franc 3 Month (Short) 538 159,527,165             Mar-12 (831,302)
Euro-Swiss Franc 3 Month (Short) 532 157,969,652             Sep-11 (388,562)
Japanese Government Bond 10 yr (Long) 104 182,281,099             Sep-11 347,777
Japanese Government Bond 10 yr Mini (Long) 30 5,261,091             Sep-11 12,135
U.K. Gilt 10 yr (Long) 2,269 438,046,372             Sep-11 (5,746,780)
U.S. Treasury Bond 30 yr (Long) 633 79,916,250             Sep-11 (1,328,362)
U.S. Treasury Bond 20 yr (Long) 924 113,680,875             Sep-11 (2,286,923)
U.S. Treasury Note 10 yr (Short) 577 70,583,328             Sep-11 (86,626)
U.S. Treasury Note 5 yr (Long) 9,554 1,138,792,016             Sep-11 (2,343,293)
U.S. Treasury Note 2 yr (Short) 6,437 1,411,915,719             Sep-11 1,013,735
Total $(20,798,594)












WRITTEN OPTIONS OUTSTANDING at 6/30/11 (premiums received $407,152,473) (Unaudited)


Contract       Expiration date/
amount       strike price Value
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. $49,291,000       Aug-11/4.475 $4,970,012
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 73,698,000       Aug-11/4.55 7,932,853
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. 79,191,000       Aug-11/4.70 9,656,551
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. 122,408,000       Aug-11/4.765 15,498,077
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. 49,291,000       Aug-11/4.475 1,972
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 73,698,000       Aug-11/4.55 1,474
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. 79,191,000       Aug-11/4.70 122
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. 122,408,000       Aug-11/4.765 573
Option on an interest rate swap with Barclay's Bank PLC for the obligation to pay a fixed rate of 2.065% versus the three month USD-LIBOR-BBA maturing September 8, 2016. 193,465,001       Sep-11/2.065 1,170,463
Option on an interest rate swap with Barclay's Bank PLC for the obligation to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing December 16, 2016. 241,970,624       Dec-11/2.28 2,681,035
Option on an interest rate swap with Barclay's Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 123,579,123       Jun-16/4.39 4,028,679
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 13, 2025. 17,581,660       Feb-15/5.36 1,653,379
Option on an interest rate swap with Barclay's Bank PLC for the obligation to receive a fixed rate of 2.065% versus the three month USD-LIBOR-BBA maturing September 8, 2016. 193,465,001       Sep-11/2.065 2,037,186
Option on an interest rate swap with Barclay's Bank PLC for the obligation to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing December 16, 2016. 241,970,624       Dec-11/2.28 3,704,570
Option on an interest rate swap with Barclay's Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 123,579,123       Jun-16/4.89 4,621,859
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 13, 2025. 17,581,660       Feb-15/5.36 780,479
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing December 9, 2016. 212,321,761       Dec-11/2.225 2,085,000
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 102,700,709       May-16/4.11 2,799,450
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 125,585,277       Jun-16/4.12 3,445,943
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 147,396,000       Aug-11/4.49 15,091,876
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 138,138,000       Jul-11/4.52 14,965,871
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 69,069,000       Jul-11/4.5475 7,649,392
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 17, 2021. 377,999,419       May-16/4.705 14,738,197
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing December 9, 2016. 212,321,761       Dec-11/2.225 3,300,811
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 147,396,000       Aug-11/4.49 4,422
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 138,138,000       Jul-11/4.52 15
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 69,069,000       Jul-11/4.5475 6
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 17, 2021. 377,999,419       May-16/4.705 15,271,177
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 102,700,709       May-16/5.11 3,463,766
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 125,585,277       Jun-16/5.12 4,220,082
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013. CHF 200,160,000       Dec-11/0.578 246,750
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013. CHF 200,160,000       Dec-11/0.602 294,936
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. CHF 186,840,000       Jan-12/0.70175 427,358
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 3.55% versus the three month USD-LIBOR-BBA maturing July 21, 2021. $246,010,752       Jul-11/3.55 6,029,724
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 100,615,452       May-16/4.60 3,683,532
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 23, 2021. 261,144,697       May-16/4.765 10,516,297
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 3.55% versus the three month USD-LIBOR-BBA maturing July 21, 2021. 246,010,752       Jul-11/3.55 319,814
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 100,615,452       May-16/4.60 4,281,187
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 23, 2021. 261,144,697       May-16/4.765 10,294,324
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.31% versus the three month USD-LIBOR-BBA maturing November 30, 2016. 68,994,186       Nov-11/2.31 825,860
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 101,118,714       May-16/4.36 3,226,698
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 2.31% versus the three month USD-LIBOR-BBA maturing November 30, 2016. 68,994,186       Nov-11/2.31 907,963
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 101,118,714       May-16/4.86 3,825,321
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 11, 2025. 403,795,500       Sep-15/4.04 16,171,323
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 10, 2045. 88,935,500       Aug-15/4.375 8,075,343
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 7, 2045. 88,935,500       Aug-15/4.46 8,556,484
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 147,297,000       Jul-11/4.46 15,180,429
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 147,297,000       Jul-11/4.525 16,022,968
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 122,794,492       Jun-16/4.575 4,429,197
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. 220,945,500       Jul-11/4.745 28,161,713
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 10, 2026. 83,790,163       Jun-16/4.815 5,381,004
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. 132,437,000       Sep-13/4.82 8,743,021
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 12, 2022. 95,125,800       Apr-12/4.8675 10,580,843
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 12, 2025. 51,844,360       Feb-15/5.27 4,644,218
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 May 14, 2022. 21,412,000       May-12/5.51 3,389,091
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 11, 2025. 403,795,500       Sep-15/4.04 39,462,934
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 10, 2045. 88,935,500       Aug-15/4.375 12,977,468
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 7, 2045. 88,935,500       Aug-15/4.46 12,332,686
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 147,297,000       Jul-11/4.46 34
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 147,297,000       Jul-11/4.525 16
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 122,794,492       Jun-16/4.575 5,296,126
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. 220,945,500       Jul-11/4.745 9
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 10, 2026. 83,790,163       Jun-16/4.815 6,047,974
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. 132,437,000       Sep-13/4.82 1,808,197
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 12, 2022. 95,125,800       Apr-12/4.8675 563,847
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 12, 2025. 51,844,360       Feb-15/5.27 2,417,400
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 May 14, 2022. 21,412,000       May-12/5.51 51,389
Option on an interest rate swap with UBS AG for the obligation to pay a fixed rate of 0.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. CHF 213,480,000       Jan-12/0.722 542,507
Total $401,491,277












TBA SALE COMMITMENTS OUTSTANDING at 6/30/11 (proceeds receivable $447,803,750) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 6 1/2s, July 1, 2041 $11,000,000       7/14/11 $12,454,063
Federal National Mortgage Association, 5s, June 1, 2041 13,000,000       6/13/11 13,832,304
Federal National Mortgage Association, 4 1/2s, July 1, 2041 118,000,000       7/14/11 122,083,909
Federal National Mortgage Association, 4s, July 1, 2041 297,000,000       7/14/11 297,000,000
Total $445,370,276















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/11 (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.
$1,179,340,500 $(715,726)     4/12/13 0.97% 3 month USD-LIBOR-BBA $(9,931,462)
AUD 36,350,000 —      4/18/21 6.10% 6 month AUD-BBR-BBSW (863,813)
CAD 56,810,000 —      6/28/21 3.25% 3 month CAD-BA-CDOR 759,456
EUR 233,400,000 —      6/14/13 1 year EUR-EONIA-OIS-COMPOUND 1.711561% 165,623
GBP 147,907,000 —      6/29/20 6 month GBP-LIBOR-BBA 3.355% (816,772)
GBP 45,410,000 —      6/30/21 6 month GBP-LIBOR-BBA 3.4725% —
GBP 205,760,000 —      2/3/13 1.875% 6 month GBP-LIBOR-BBA (3,943,630)
GBP 92,060,000 —      2/3/16 3.0625% 6 month GBP-LIBOR-BBA (5,613,162)
GBP 133,730,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.87% (85,951)
Barclays Bank PLC
$1,349,256,900 254,429      6/17/13 0.64% 3 month USD-LIBOR-BBA 923,592
600,476,100 1,219,947      6/17/21 3.20% 3 month USD-LIBOR-BBA 3,304,100
571,044,000 (1,048,216)     6/17/16 3 month USD-LIBOR-BBA 1.93% (2,484,233)
1,209,608,400 (2,922,753)     6/17/20 3 month USD-LIBOR-BBA 3.04% (6,639,947)
315,129,400 1,169,299      6/17/41 4.04% 3 month USD-LIBOR-BBA 2,358,650
180,300,000 —      6/20/16 3 month USD-LIBOR-BBA 1.8125% (1,529,214)
105,400,000 —      6/20/41 3.91625% 3 month USD-LIBOR-BBA 2,756,072
12,018,000 —      6/20/21 3 month USD-LIBOR-BBA 3.104% (148,144)
30,767,000 —      6/20/21 3 month USD-LIBOR-BBA 3.093% (409,208)
215,694,700 —      3/10/18 3.06% 3 month USD-LIBOR-BBA (8,506,788)
100,431,000 —      6/23/20 2.955% 3 month USD-LIBOR-BBA 1,069,378
53,500,000 —      6/24/20 2.92375% 3 month USD-LIBOR-BBA 710,974
70,925,500 —      6/24/21 3.103% 3 month USD-LIBOR-BBA 910,284
939,520,000 —      6/27/20 2.89485% 3 month USD-LIBOR-BBA 15,084,688
353,610,000 —      6/27/41 3 month USD-LIBOR-BBA 3.88882% (11,225,455)
64,687,000 —      6/28/13 3 month USD-LIBOR-BBA 0.628% (70,438)
76,223,000 —      6/28/21 3.042% 3 month USD-LIBOR-BBA 1,423,619
5,169,000 —      6/28/41 3 month USD-LIBOR-BBA 3.885% (168,131)
46,740,000 —      6/28/41 3 month USD-LIBOR-BBA 3.88% (1,561,919)
134,610,000 —      6/28/20 2.855% 3 month USD-LIBOR-BBA 2,605,054
366,430,000 —      6/29/20 2.841084% 3 month USD-LIBOR-BBA 7,477,303
147,160,000 —      6/29/14 3 month USD-LIBOR-BBA 3.85488% (5,543,443)
110,230,000 —      6/29/13 3 month USD-LIBOR-BBA 0.6425% (86,857)
136,800,000 —      6/30/13 3 month USD-LIBOR-BBA 0.66% (62,101)
93,200,000 —      6/30/20 2.8825% 3 month USD-LIBOR-BBA 1,599,942
87,800,000 —      6/30/14 3 month USD-LIBOR-BBA 3.92% (2,299,301)
13,648,000 —      7/1/21 3.198% 3 month USD-LIBOR-BBA 73,290
104,855,300 —      7/5/41 4.08% 3 month USD-LIBOR-BBA —
6,453,400 8,320      3/30/31 3 month USD-LIBOR-BBA 4.17% 293,936
1,189,837,800 (53,469)     5/4/13 0.78% 3 month USD-LIBOR-BBA (4,246,644)
AUD 77,670,000 —      6/29/21 5.735% 6 month AUD-BBR-BBSW 662,911
AUD 155,340,000 —      6/30/16 5.42% 6 month AUD-BBR-BBSW 533,400
AUD 248,160,000 —      3/21/16 5.57% 6 month AUD-BBR-BBSW (1,555,296)
AUD 188,630,000 —      3/21/21 6 month AUD-BBR-BBSW 5.88% 1,310,551
AUD 56,760,000 —      4/21/21 6.0675% 6 month AUD-BBR-BBSW (1,198,914)
EUR 412,460,000 —      6/15/13 1 year EUR-EONIA-OIS-COMPOUND 1.67% (96,077)
EUR 515,575,000 —      6/15/13 1.95% 3 month EUR-EURIBOR-REUTERS 739,479
EUR 91,712,000 —      2/9/21 3.53% 6 month EUR-EURIBOR-REUTERS (2,823,815)
GBP 78,830,000 —      6/13/21 6 month GBP-LIBOR-BBA 3.406% (1,281,666)
GBP 78,830,000 —      6/13/21 6 month GBP-LIBOR-BBA 3.406% (1,281,666)
GBP 251,860,000 —      4/6/16 6 month GBP-LIBOR-BBA 3.05% 13,114,679
GBP 85,600,000 —      4/6/31 4.2375% 6 month GBP-LIBOR-BBA (4,740,979)
GBP 113,500,000 —      1/18/21 3.7875% 6 month GBP-LIBOR-BBA (6,872,542)
GBP 123,490,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% (188,503)
GBP 288,060,000 —      2/3/13 1.895% 6 month GBP-LIBOR-BBA (5,704,013)
GBP 205,810,000 —      5/17/13 1.555% 6 month GBP-LIBOR-BBA (1,047,131)
GBP 205,810,000 —      5/18/13 1.555% 6 month GBP-LIBOR-BBA (1,033,093)
Citibank, N.A.
$689,174,200 132,026      7/9/20 3 month USD-LIBOR-BBA 3.01% 4,409,128
5,085,040 —      6/29/21 3 month USD-LIBOR-BBA 3.05375% (89,517)
655,481,000 329,000      5/11/14 1.21% 3 month USD-LIBOR-BBA (3,291,927)
500,000,000 103,000      5/11/14 1.2% 3 month USD-LIBOR-BBA (2,512,094)
GBP 251,860,000 —      4/5/16 6 month GBP-LIBOR-BBA 3.075% 13,630,081
GBP 85,600,000 —      4/5/31 4.21075% 6 month GBP-LIBOR-BBA (4,230,855)
GBP 491,000,000 —      8/3/15 2.9225% 6 month GBP-LIBOR-BBA (27,828,069)
GBP 145,660,000 —      8/3/20 6 month GBP-LIBOR-BBA 3.885% 11,465,685
GBP 613,760,000 —      8/3/12 6 month GBP-LIBOR-BBA 1.61% 6,500,655
SEK 206,000,000 —      6/10/21 3.62% 3 month SEK-STIBOR-SIDE (268,208)
SEK 285,890,000 —      3/24/21 3 month SEK-STIBOR-SIDE 3.8025% 1,584,876
SEK 202,250,000 —      4/15/21 3.93% 3 month SEK-STIBOR-SIDE (1,233,097)
SEK 239,700,000 —      5/23/21 3.6575% 3 month SEK-STIBOR-SIDE (533,572)
SEK 206,000,000 —      6/9/21 3.6225% 3 month SEK-STIBOR-SIDE (275,880)
SEK 205,600,000 —      2/4/21 3.79% 3 month SEK-STIBOR-SIDE (1,146,852)
Credit Suisse International
$491,508,700 (141,193)     5/27/21 3.21% 3 month USD-LIBOR-BBA (64,634)
267,527,000 —      6/30/21 3 month USD-LIBOR-BBA 3.159% (2,257,681)
988,351,500 (1,317,266)     3/14/16 3 month USD-LIBOR-BBA 2.35% 26,225,496
381,800,000 (E) —      3/21/13 1.15625% 3 month USD-LIBOR-BBA (1,519,564)
19,014,000 —      7/5/21 3.265% 3 month USD-LIBOR-BBA —
176,000,000 —      7/5/21 3.288% 3 month USD-LIBOR-BBA —
645,412,900 (132,044)     2/24/15 2.04% 3 month USD-LIBOR-BBA (18,800,523)
290,545,700 85,015      2/24/26 4.16% 3 month USD-LIBOR-BBA (18,696,949)
1,822,596,900 —      4/15/13 0.93125% 3 month USD-LIBOR-BBA (12,997,597)
1,296,679,200 92,459      5/27/13 0.72% 3 month USD-LIBOR-BBA (2,130,982)
CHF 82,800,000 —      6/14/21 6 month CHF-LIBOR-BBA 2.075% (283,309)
CHF 41,350,000 —      5/13/21 2.225% 6 month CHF-LIBOR-BBA (646,498)
CHF 41,350,000 —      5/16/21 2.185% 6 month CHF-LIBOR-BBA (455,447)
CHF 720,200,000 —      5/19/13 0.7125% 6 month CHF-LIBOR-BBA (3,928,145)
CHF 82,800,000 —      5/20/21 2.24% 6 month CHF-LIBOR-BBA (1,382,837)
EUR 34,400,000 —      4/19/21 3.691% 6 month EUR-EURIBOR-REUTERS (1,454,024)
GBP 147,690,000 —      2/3/16 3.065% 6 month GBP-LIBOR-BBA (9,031,246)
GBP 81,650,000 —      2/3/21 6 month GBP-LIBOR-BBA 3.93% 6,358,169
MXN 364,910,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% (609,167)
SEK 205,600,000 —      2/7/21 3.82% 3 month SEK-STIBOR-SIDE (1,230,293)
SEK 199,790,000 —      3/29/21 3 month SEK-STIBOR-SIDE 3.81125% 1,120,878
SEK 157,310,000 —      4/4/21 3.815% 3 month SEK-STIBOR-SIDE (728,429)
SEK 364,140,000 —      3/4/21 3 month SEK-STIBOR-SIDE 3.78% 1,950,376
Deutsche Bank AG
$881,506,000 —      6/10/13 0.59125% 3 month USD-LIBOR-BBA 1,102,837
19,673,000 —      6/16/20 3.013% 3 month USD-LIBOR-BBA 101,056
234,164,000 —      7/1/16 3 month USD-LIBOR-BBA 1.955% (641,609)
1,389,454,800 3,254,932      7/27/20 3 month USD-LIBOR-BBA 2.94% 771,137
860,492,900 151,712      12/31/14 1.91% 3 month USD-LIBOR-BBA (16,426,742)
898,335,000 —      2/5/14 2.44661% 3 month USD-LIBOR-BBA (43,062,027)
1,245,519,500 (832,633)     4/21/13 0.81% 3 month USD-LIBOR-BBA (6,493,649)
EUR 299,300,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (5,656,187)
KRW 49,744,000,000 —      5/9/16 4.115% 3 month KRW-CD-KSDA-BLOOMBERG (452,475)
KRW 49,744,000,000 —      4/22/16 4.135% 3 month KRW-CD-KSDA-BLOOMBERG (513,605)
KRW 49,330,000,000 —      4/29/16 4.14% 3 month KRW-CD-KSDA-BLOOMBERG (512,921)
MXN 364,910,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% (480,790)
Goldman Sachs International
$952,190,300 1,557,315      2/15/15 2.16% 3 month USD-LIBOR-BBA (31,090,262)
715,782,900 (3,172,703)     2/15/20 3 month USD-LIBOR-BBA 3.67% 42,122,944
18,268,000 —      6/20/21 3 month USD-LIBOR-BBA 3.075% (271,933)
354,317,000 —      7/1/14 3 month USD-LIBOR-BBA 1.105% (187,788)
1,507,000 —      7/1/41 3 month USD-LIBOR-BBA 4.02625% (11,830)
27,300,000 —      7/1/21 3.232% 3 month USD-LIBOR-BBA 64,701
390,274,000 —      7/1/16 3 month USD-LIBOR-BBA 1.9625% (924,949)
1,204,832,900 —      7/5/14 3 month USD-LIBOR-BBA 1.13% —
498,601,800 —      7/5/21 3.2525% 3 month USD-LIBOR-BBA —
49,749,200 —      7/5/41 3 month USD-LIBOR-BBA 4.055% —
245,540,700 (E) —      3/19/13 1.09375% 3 month USD-LIBOR-BBA (834,838)
731,150,200 (2,089,868)     5/9/20 3 month USD-LIBOR-BBA 3.15% 5,408,134
1,215,994,400 (755,086)     5/20/13 0.71% 3 month USD-LIBOR-BBA (2,865,175)
CHF 304,870,000 —      12/15/12 0.538% 6 month CHF-LIBOR-BBA (1,832,817)
CHF 81,880,000 —      5/5/21 6 month CHF-LIBOR-BBA 2.3725% 2,650,977
EUR 167,890,000 —      6/9/21 6 month EUR-EURIBOR-REUTERS 3.409% 311,935
EUR 515,575,000 —      6/17/13 1 year EUR-EONIA-OIS-COMPOUND 1.665% (589,464)
EUR 515,575,000 —      6/17/13 1.92% 3 month EUR-EURIBOR-REUTERS 763,380
EUR 479,460,000 —      6/20/13 1.91% 3 month EUR-EURIBOR-REUTERS 903,807
EUR 479,460,000 —      6/20/13 1 year EUR-EONIA-OIS-COMPOUND 1.615% (1,513,452)
EUR 178,830,000 —      6/21/13 1 year EUR-EONIA-OIS-COMPOUND 1.632% (331,630)
EUR 309,320,000 —      5/26/13 2.224% 6 month EUR-EURIBOR-REUTERS (863,060)
GBP 57,360,000 —      1/21/21 3.81% 6 month GBP-LIBOR-BBA (3,628,760)
KRW 47,671,000,000 —      4/21/16 4.12% 3 month KRW-CD-KSDA-BLOOMBERG (462,227)
SEK 204,500,000 —      12/10/20 3.5775% 3 month SEK-STIBOR-SIDE (819,613)
SEK 364,140,000 —      3/2/21 3 month SEK-STIBOR-SIDE 3.7575% 1,837,096
JPMorgan Chase Bank, N.A.
$36,780,200 —      3/9/26 3 month USD-LIBOR-BBA 4.07% 1,919,131
717,700,000 (E) —      3/21/13 1.1685% 3 month USD-LIBOR-BBA (2,947,967)
385,700,000 (E) —      3/22/13 1.185% 3 month USD-LIBOR-BBA (1,635,831)
992,739,700 45,982      4/27/13 0.83% 3 month USD-LIBOR-BBA (4,670,807)
1,279,500,000 —      5/9/13 0.7475% 3 month USD-LIBOR-BBA (3,574,678)
CAD 41,210,000 —      9/21/20 3.105% 3 month CAD-BA-CDOR 425,514
EUR 412,460,000 —      6/13/13 1 year EUR-EONIA-OIS-COMPOUND 1.74% 182,284
EUR 412,460,000 —      6/13/13 1.9865% 3 month EUR-EURIBOR-REUTERS 121,627
EUR 194,050,000 —      6/15/21 6 month EUR-EURIBOR-REUTERS 3.2715% (3,034,465)
EUR 242,870,000 —      6/15/13 2.085% 6 month EUR-EURIBOR-REUTERS 433,281
EUR 97,820,000 —      5/31/15 6 month EUR-EURIBOR-REUTERS 2.0975% (2,503,371)
EUR 9,800,000 —      2/4/40 6 month EUR-EURIBOR-REUTERS 3.79% 21,492
JPY 8,172,000,000 —      2/22/21 1.36375% 6 month JPY-LIBOR-BBA (2,817,019)
JPY 13,447,610,000 —      5/25/15 0.674375% 6 month JPY-LIBOR-BBA (1,429,106)
JPY 13,410,360,000 —      9/16/15 6 month JPY-LIBOR-BBA 0.59125% 855,805
JPY 2,192,700,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 218,534
JPY 2,948,000,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA 186,105
MXN 52,130,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% (59,403)
MXN 325,230,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% (1,105,765)
MXN 528,640,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% (1,515,169)
UBS, AG
AUD 43,200,000 (E) —      4/11/21 6 month AUD-BBR-BBSW 6.65% 540,045
AUD 43,200,000 (E) —      4/12/21 6 month AUD-BBR-BBSW 6.61% 479,319
CHF 419,232,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (2,753,305)
Total $(167,658,927)
(E)   See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.










TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
$10,079,110 $—      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools $(24,329)
10,430,833 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 77,799
10,079,110 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (24,329)
10,430,833 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 77,799
22,254,741 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (146,212)
22,310,454 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 166,404
Barclays Bank PLC
40,423,174 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools (51,804)
12,384,231 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (11,219)
25,829,263 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (192,649)
6,083,043 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 39,965
37,216,236 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 277,580
4,897,525 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 9,687
4,460,734 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 33,957
4,897,525 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (19,744)
4,836,534 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (24,285)
4,547,789 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (13,833)
8,526,774 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 63,598
51,719,537 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (393,713)
24,079,203 120,395      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 286,735
60,014,853 309,452      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 724,033
35,937,145 218,992      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 467,245
10,598,096 (9,936)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (289)
10,518,663 24,653      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (20,301)
5,282,642 45,398      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 32,587
27,347,575 (34,184)     1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (174,176)
50,748,466 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 41,163
27,346,828 8,546      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (131,442)
37,989,970 213,694      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools —
69,683,923 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 457,818
56,467,637 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 421,168
32,979,993 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 251,059
19,798,934 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 130,078
11,344,539 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 86,360
72,920,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (386,838)
74,290,056 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 49,125
6,683,934 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (16,134)
10,079,536 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (24,330)
10,430,833 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 77,799
24,209,360 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (58,437)
25,072,787 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 164,726
3,900,026 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (9,414)
18,605,723 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (141,635)
18,341,610 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 136,802
82,028,604 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (54,242)
51,133,226 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (240,769)
137,569,174 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,026,069
37,232,683 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 277,703
101,089,294 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 753,981
31,613,269 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 207,697
43,936,883 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 327,706
11,932,699 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 89,001
44,931,423 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (295,196)
73,383,768 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (482,126)
941,861 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Ginnie Mae II pools (2,210)
104,879,249 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (335,352)
52,408,337 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 390,891
314,297,983 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 402,790
126,415,442 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 942,878
320,431,731 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (974,650)
159,335,398 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,188,414
87,800,632 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 112,521
9,635,855 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (29,309)
9,451,404 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,112
10,851,714 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (9,830)
35,190,324 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (31,878)
25,512,293 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (23,111)
21,847,777 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 17,721
390,677 —      1/12/39 (6.00%)1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools (419)
15,622,237 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools 37,709
45,463,038 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 36,876
Citibank, N.A.
9,809,658 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (23,679)
10,572,716 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 69,462
22,987,252 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 69,920
36,466,503 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 46,734
GBP 73,890,000 —      5/18/13 (3.38%) GBP Non-revised UK Retail Price Index 3,400,881
Credit Suisse International
$72,688,215 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (221,094)
21,411,524 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 27,440
20,919,828 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 63,631
107,112,186 (284,517)     1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools (403,700)
4,460,734 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,717
37,145,028 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (24,563)
10,430,833 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 77,799
10,079,110 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (24,329)
1,483,805 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,807)
2,032,601 —      1/12/36 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,793)
2,354,104 —      1/12/39 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (658)
22,254,741 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (146,212)
22,188,584 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 168,910
Deutsche Bank AG
27,346,828 42,729      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (97,258)
9,256,877 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (43,587)
37,145,028 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (24,563)
4,547,789 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (31,288)
1,028,329 —      1/12/34 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 462
1,881,008 —      1/12/36 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 3,198
Goldman Sachs International
37,378,459 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (278,790)
15,808,845 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 117,911
36,945,000 —      7/28/11 (0.685%) USA Non Revised Consumer Price Index- Urban (CPI-U) 1,045,983
36,945,000 —      7/29/11 (0.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) 1,023,096
36,945,000 —      7/30/11 (0.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) 1,039,001
4,836,534 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,374
4,547,789 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 31,288
41,680,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) (163,845)
31,260,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) (152,414)
23,360,991 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools 56,389
25,041,325 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 186,772
7,318,188 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (17,665)
109,894,481 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (819,656)
53,254,802 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools 128,548
7,618,195 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (13,761)
8,048,089 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 5,322
8,522,289 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,720
7,449,296 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 5,689
8,713,112 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 27,860
890,847 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,996
978,628 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Ginnie Mae II pools (968)
70,550,755 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (214,593)
Total $10,475,231










CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America, N.A.
  Ford Motor Credit Co., 7%, 10/1/13 Ba2 $— $6,000,000 3/20/12 285 bp $82,265
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — (147,863) 16,610,000 12/20/19 (100 bp) 1,586,690
  Ukraine (Government of), 7.65%, 6/11/13 B2 — 4,715,000 10/20/11 194 bp 12,872
Deutsche Bank AG
  Federal Republic of Brazil, 12 1/4%, 3/6/30 Baa2 — 3,770,000 10/20/17 105 bp (36,871)
  Russian Federation, 7 1/2%, 3/31/30 — — 987,500 4/20/13 (112 bp) (9,101)
  United Mexican States, 7.5%, 4/8/33 Baa1 — 6,115,000 3/20/14 56 bp (20,475)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B2 — EUR 2,045,000 9/20/13 715 bp 361,505
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 1,975,000 9/20/13 477 bp 193,955
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 1,975,000 9/20/13 535 bp 230,417
Goldman Sachs International
  Lighthouse International Co, SA, 8%, 4/30/14 Ca — EUR 1,835,000 3/20/13 680 bp (1,417,728)
JPMorgan Chase Bank, N.A.
  DJ CDX NA HY Series 16 Version 1 Index B+ (678,541) $32,899,000 6/20/16 500 bp (107,817)
  Republic of Argentina, 8.28%, 12/31/33 B3 — 2,860,000 6/20/14 235 bp (229,193)
  Russian Federation, 7 1/2%, 3/31/30 Baa1 — 495,000 9/20/13 276 bp 25,091
Morgan Stanley Capital Services, Inc.
  Dominican Republic, 8 5/8%, 4/20/27 — — 5,020,000 11/20/11 (170 bp) 15,802
  Republic of Venezuela, 9 1/4%, 9/15/27 B2 — 3,545,000 10/20/12 339 bp (159,504)
Total $527,908
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2011.   










Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
PEN Peruvian Neuvo Sol
RUB Russian Ruble
SEK Swedish Krona
TRY Turkish Lira
USD / $ United States Dollar
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds
FRN Floating Rate Notes
IFB Inverse Floating Rate Bonds
IO Interest Only
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2010 through June 30, 2011 (the reporting period).
(a) Percentages indicated are based on net assets of $5,343,328,097.
(b) The aggregate identified cost on a tax basis is $6,609,862,064, resulting in gross unrealized appreciation and depreciation of $170,554,812 and $175,425,666, respectively, or net unrealized depreciation of $4,870,854.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivatives contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $319,822 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $1,564,048,267 and $1,321,582,849, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs.
(g) The notes are secured by debt and equity securities and equity participation agreements held by Neon Capital, Ltd.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $4,656,366,637 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
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 the close of the reporting period.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):
United States 82.6%
Russia 3.1
Argentina 2.9
Venezuela 1.4
Germany 1.2
Ukraine 1.1
Netherlands 1.0
Luxembourg 0.9
Brazil 0.8
United Kingdom 0.8
Indonesia 0.6
Turkey 0.5
Other 3.1
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. ertain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses futures contracts to hedge interest rate risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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.
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”. The fund had an average number of contracts of approximately 29,500 on futures contracts for the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. The fund had an average contract amount of approximately $2,758,300,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately $6,570,300,000 on written options contracts for the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. 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. Outstanding contracts on forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Total return swap contracts: The fund enters 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 hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors/industries, to gain exposure to rates of inflation in specific regions/countries and to hedge inflation in specific regions/countries. 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 an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. The fund had an average notional amount of approximately $1,943,500,000 on total return swap contracts for the reporting period.
Interest rate swap contracts: The fund enters into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. 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 an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. The fund had an average notional amount of approximately $44,696,300,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund enters into credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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 an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $31,223,769 at the close of the reporting period. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $522,773,736 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $547,449,399.
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 ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. 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 the 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.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $578,564,357 $12,612,060
Convertible bonds and notes — 8,148,349 —
Corporate bonds and notes — 1,886,071,531 18,001
Foreign government bonds and notes — 453,925,719 —
Mortgage-backed securities — 1,551,224,354 18,170,872
Purchased options outstanding — 70,515,763 —
Senior loans — 103,749,349 —
U.S. Government and Agency Mortgage Obligations — 691,477,728 —
Short-term investments 358,806,162 871,706,965 —
Totals by level $358,806,162 $6,215,384,115 $30,800,933



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $(11,707,970) $—
Futures contracts (20,798,594) — —
Written options — (401,491,277) —
TBA sale commitments — (445,370,276) —
Interest rate swap contracts — (162,881,406) —
Total return swap contracts — 9,820,009 —
Credit default contracts — 1,354,312 —
Totals by level $(20,798,594) $(1,010,276,608) $—


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $3,227,184 $1,872,872
Foreign exchange contracts 9,796,873 21,504,843
Interest rate contracts 288,979,398 793,814,903
Total $302,003,455 $817,192,618


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 26, 2011

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 26, 2011

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 26, 2011