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


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05635)
Exact name of registrant as specified in charter: Putnam Diversified Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, 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, 2012
Date of reporting period: June 30, 2012



Item 1. Schedule of Investments:













Putnam Diversified Income Trust

The fund's portfolio
6/30/12 (Unaudited)
CORPORATE BONDS AND NOTES (41.2%)(a)
Principal amount Value
Basic materials (1.9%)
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 $3,317,000 $3,217,490
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 3,895,000 4,235,813
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 2,735,000 2,933,288
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.468s, 2013 (Netherlands) 989,000 880,210
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 103,000 110,339
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 804,000 783,900
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 3,918,000 3,976,770
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 2,302,000 2,310,485
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 1,125,000 1,126,230
Grohe Holding GmbH 144A company guaranty sr. notes FRN 4.662s, 2017 (Germany) EUR 3,548,000 4,198,681
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 $452,000 389,850
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 1,725,000 1,759,500
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 2,841,000 3,203,228
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 1,700,000 1,908,250
INEOS Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom) EUR 1,150,000 1,548,960
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) $140,000 147,700
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 1,205,000 1,211,025
LyondellBasell Industries NV 144A company guaranty sr. notes 6s, 2021 (Netherlands) 2,490,000 2,732,775
LyondellBasell Industries NV 144A sr. unsec. notes 5 3/4s, 2024 (Netherlands) 2,335,000 2,498,450
LyondellBasell Industries NV 144A sr. unsec. notes 5s, 2019 (Netherlands) 4,200,000 4,404,750
Momentive Performance Materials, Inc. 144A company guaranty sr. notes 10s, 2020 540,000 541,350
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 1,585,000 1,707,838
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 2,471,000 2,440,113
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 2,255,000 3,037,393
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 $435,000 454,575
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 82,000
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 1,533,000 1,722,709
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 5,048,000 5,880,920
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 2,451,000 2,530,658
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) 1,000 1,116
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 2,295,000 2,426,963
64,978,019
Capital goods (2.0%)
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 3,995,000 4,289,631
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 326,000 345,560
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 1,229,000 1,265,870
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) 973,168 905,046
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) EUR 749,451 842,006
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 500,000 661,426
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 685,000 906,153
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 $369,000 383,760
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 4,330,000 4,784,650
BE Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 1,425,000 1,460,625
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 1,194,000 1,271,610
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 2,050,000 2,193,500
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec notes 10 1/8s, 2020 630,000 644,175
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 475,000 648,173
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $3,085,000 3,324,088
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 3,324,000 4,243,703
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 972,000 1,078,920
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 3,373,000 3,103,160
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 1,445,000 1,533,506
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom) EUR 1,430,000 1,720,791
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 1,019,000 1,395,647
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 $3,375,000 3,366,563
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/2s, 2021 (New Zealand) 680,000 646,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC 144A company guaranty sr. notes 7 3/4s, 2016 1,410,000 1,484,025
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. notes 7 3/4s, 2016 EUR 2,660,000 3,490,071
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019 $885,000 958,013
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019 885,000 915,975
Ryerson, Inc. company guaranty sr. notes 12s, 2015 3,661,000 3,679,305
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 2,190,000 2,376,150
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 1,830,000 1,976,400
Terex Corp. sr. unsec. sub. notes 8s, 2017 808,000 838,300
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 4,057,000 4,148,283
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 1,893,000 2,082,300
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 4,200,000 4,609,500
67,572,885
Communication services (4.6%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 847,000 880,880
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 800,000 892,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 4,663,000 5,071,013
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 1,634,000 1,744,295
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 1,906,000 2,068,010
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 4,006,000 4,316,465
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 3,021,000 2,915,265
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 2,017,000 2,097,680
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 3,103,000 2,823,730
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 3,006,000 2,870,730
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 2,065,000 2,126,950
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 3,740,000 3,969,075
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 950,000 1,018,875
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 3,373,000 3,432,028
Equinix, Inc. sr. unsec. notes 7s, 2021 1,840,000 2,033,200
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 620,000 666,500
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 1,405,000 1,510,375
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 4,000,000 4,240,000
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 1,949,000 2,070,813
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 3,202,000 3,482,175
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 4,928,000 5,260,640
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 1,949,000 2,061,068
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 11,200,093 11,564,096
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 2,801,000 2,885,030
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 1,920,000 1,982,400
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 1,560,000 2,104,850
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $1,699,000 1,834,920
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 1,493,000 1,567,650
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 515,000 528,519
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 386,000 423,635
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 5,905,000 6,148,581
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 654,000 654,818
Nextel Communications, Inc. company guaranty sr. unsec. unsub. notes 5.95s, 2014 684,000 684,855
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 3,892,000 4,057,410
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 353,000 319,906
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 1,647,000 1,412,303
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 3,406,000 3,669,965
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 3,202,000 3,578,235
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 2,520,000 3,552,031
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 $610,000 679,994
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 1,375,000 1,508,856
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 2,503,000 2,740,785
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 735,000 782,775
Sprint Capital Corp. company guaranty 8 3/4s, 2032 1,134,000 1,031,940
Sprint Capital Corp. company guaranty 6 7/8s, 2028 3,610,000 2,906,050
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 4,280,000 4,387,000
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 2,886,000 2,763,345
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 4,027,000 4,520,308
Sprint Nextel Corp. 144A sr. unsec. notes 9 1/8s, 2017 1,625,000 1,706,250
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) EUR 730,000 971,982
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 495,000 667,528
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 540,000 607,538
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 2,398,000 3,292,614
Unitymedia GmbH 144A sr. sub. notes 9 1/2s, 2021 (Germany) EUR 665,000 908,882
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 1,855,000 2,464,876
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 1,624,000 2,184,318
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) EUR 1,990,000 2,689,465
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 242,000 423,470
Virgin Media Finance PLC company guaranty sr. unsec. unsub. notes 5 1/4s, 2022 (United Kingdom) $730,000 748,890
Wind Acquisition Finance SA company guaranty sr. notes Ser. REGS, 7 3/8s, 2018 (Luxembourg) EUR 640,000 690,286
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 4,110,000 4,432,932
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) $1,135,000 993,125
Wind Acquisition Holding company guaranty sr. notes Ser. REGS, 12 1/4s, 2017 (Luxembourg)(PIK) EUR 1,262,887 1,070,782
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $710,000 763,250
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 2,884,000 3,143,560
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 780,000 826,800
154,428,572
Consumer cyclicals (7.4%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 360,000 389,700
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 570,000 450,300
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 4,005,000 3,414,263
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 3,145,000 2,681,113
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 3,600,000 3,888,000
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 3,304,000 3,469,200
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec. notes 7s, 2022 1,520,000 1,558,000
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 1,030,000 1,054,473
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 525,000 525,000
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 2,870,000 3,124,713
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 565,000 576,300
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 1,030,000 988,800
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 956,000 834,110
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 3,635,000 3,071,575
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 600,000 618,000
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 1,185,000 1,262,025
Building Materials Corp. 144A sr. notes 7s, 2020 2,425,000 2,612,938
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 830,000 881,875
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 1,965,000 2,102,550
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 1,865,000 1,976,900
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 3,478,000 2,378,083
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 3,259,000 3,556,384
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 855,000 949,050
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 2,760,000 2,470,200
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 735,000 769,913
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 3,825,000 3,930,188
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 680,000 737,800
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 4,284,279 4,723,418
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 4,178,000 3,634,860
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 4,829,000 5,263,610
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 685,000 711,544
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands) EUR 2,472,000 3,308,004
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 $3,470,000 3,270,475
DISH DBS Corp. company guaranty 7 1/8s, 2016 461,000 505,948
DISH DBS Corp. company guaranty 6 5/8s, 2014 3,500,000 3,753,750
DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015 1,219,000 1,353,090
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 3,413,000 3,686,040
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 3,127,000 3,564,780
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 3,355,000 3,434,681
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 5,605,000 5,951,849
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 1,480,000 1,643,160
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 2,635,000 2,894,545
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 2,045,000 2,126,800
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico) 900,000 1,096,148
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) 775,000 897,770
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 2,197,000 2,312,343
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 970,000 1,068,213
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 2,849,000 3,169,513
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 4,588,000 4,702,700
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 3,485,000 4,404,752
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 265,000 342,142
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 $655,000 733,600
Lamar Media Corp. 144A sr. sub. notes 5 7/8s, 2022 580,000 594,500
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 4,258,000 4,438,965
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 2,175,000 2,381,625
Limited Brands, Inc. sr. notes 5 5/8s, 2022 855,000 880,650
Lottomatica Group SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy) EUR 3,337,000 3,574,914
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 $1,000,000 1,032,500
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 2,075,000 2,398,252
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) 1,420,000 1,462,600
MGM Resorts International company guaranty sr. notes 9s, 2020 637,000 707,070
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 915,000 919,575
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 1,481,000 1,525,430
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 1,120,000 1,139,600
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 1,295,000 1,375,950
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 5,090,325 5,319,390
Navistar International Corp. sr. notes 8 1/4s, 2021 3,313,000 3,180,480
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 1,890,000 1,880,550
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 1,790,000 1,982,425
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 2,343,000 2,460,150
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 2,240,000 2,189,600
Owens Corning company guaranty sr. unsec. notes 9s, 2019 4,225,000 5,260,125
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 2,466,000 2,731,095
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 1,713,000 1,777,238
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 1,280,000 1,398,400
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 1,085,000 1,152,813
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 2,900,000 3,153,750
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 5,050,000 6,409,624
QVC Inc. 144A sr. notes 7 1/2s, 2019 $1,890,000 2,097,900
Realogy Corp. company guaranty sr. unsec. unsub. notes 11 1/2s, 2017 4,000,000 3,790,000
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 695,000 679,363
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 3,500,000 3,850,000
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 545,000 564,075
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 3,139,000 2,966,355
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 1,225,000 1,246,438
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Germany) EUR 2,595,000 3,452,274
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Germany) $535,000 567,100
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 1,825,000 1,957,313
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 888,000 963,489
Sears Holdings Corp. company guaranty 6 5/8s, 2018 1,678,000 1,497,615
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 3,360,000 3,796,800
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 1,125,000 1,161,563
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 1,010,000 1,065,550
Toys “R” Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 375,000 382,500
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 505,000 496,163
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 2,265,000 2,358,431
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 2,247,000 2,454,848
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 2,243,000 857,948
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 162,000 118,463
Travelport, LLC 144A sr. notes 6.461s, 2016(PIK) 694,000 530,910
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 1,853,000 1,297,100
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 1,395,000 1,851,839
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $5,495,000 6,278,038
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 270,000 338,418
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 $1,615,000 1,627,113
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 2,324,000 2,486,680
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 1,500,000 1,545,000
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 1,160,000 1,284,700
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 816,000 909,840
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 5,000,000 5,375,000
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 4,720,000 4,802,600
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 3,053,000 3,243,813
248,188,898
Consumer staples (2.8%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 16,800,000 9,197,216
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 $1,293,000 1,415,835
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 3,000,000 3,086,250
Avis Budget Car Rental, LLC 144A company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 520,000 557,700
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 1,030,000 1,361,547
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 $1,492,000 1,699,015
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 1,484,272 1,634,555
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 3,612,000 3,088,260
Claire's Stores, Inc. 144A sr. notes 9s, 2019 1,705,000 1,724,181
Constellation Brands, Inc. company guaranty sr. unsec. notes 7 1/4s, 2017 2,193,000 2,508,244
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,401,000 2,719,133
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 885,000 951,375
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 4,000,000 4,330,000
Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 560,000 624,400
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 2,498,000 2,654,125
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 4,296,000 4,704,120
Dole Food Co. 144A sr. notes 8s, 2016 1,710,000 1,784,813
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 3,348,000 4,076,822
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $2,115,000 2,321,213
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 1,110,000 1,338,607
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 $800,000 858,000
Hertz Holdings Netherlands BV sr. sec. bonds Ser. REGS, 8 1/2s, 2015 (Netherlands) EUR 1,000,000 1,360,981
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 2,129,000 2,897,529
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 $680,000 661,300
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 3,515,000 3,268,950
Libbey Glass, Inc. 144A company guaranty sr. notes 6 7/8s, 2020 1,183,000 1,215,533
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 725,000 764,875
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 2,730,000 2,989,350
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 4,000,000 4,080,000
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 1,745,000 1,784,263
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 595,000 673,838
Rite Aid Corp. 144A sr. notes 9 1/4s, 2020 1,705,000 1,709,263
Service Corporation International sr. notes 7s, 2019 970,000 1,042,750
Service Corporation International sr. notes 7s, 2017 3,136,000 3,488,800
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 3,865,000 4,410,931
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 2,790,000 2,873,700
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 4,025,000 4,331,947
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 1,026,000 1,087,560
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 2,430,000 2,539,350
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020 490,000 501,025
94,317,356
Energy (8.2%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 605,000 508,200
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 2,010,000 1,718,550
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 221,000 278,225
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 3,610,000 4,099,431
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 319,000 269,555
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019 3,000,000 2,535,000
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 643,000 298,995
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 520,000 543,400
Aurora USA Oil & Gas Inc.. 144A sr. notes 9 7/8s, 2017 1,150,000 1,175,875
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 4,581,000 4,787,145
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 1,640,000 1,822,450
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 260,000 274,950
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 565,000 684,069
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $5,240,000 5,646,100
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 416,000 404,560
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 1,947,000 1,888,590
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 660,000 646,800
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 3,280,000 3,403,000
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 896,000 887,040
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 2,355,000 1,948,513
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 $1,829,000 1,920,450
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 7,000,000 7,262,500
Continental Resources, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 1,905,000 1,933,575
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 5,652,000 5,969,925
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2022 650,000 640,250
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 3,793,000 4,153,335
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. notes 6 7/8s, 2019 765,000 799,425
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. unsec. notes 9 3/8s, 2020 2,650,000 2,746,063
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 5,316,000 4,624,920
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 1,264,000 1,153,400
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 2,205,000 2,083,725
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 2,260,000 2,276,950
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 1,810,000 2,007,942
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 1,280,000 1,452,800
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 3,305,000 4,087,128
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 740,000 874,081
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 6.51s, 2022 (Russia) 1,090,000 1,208,548
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 8,525,000 9,516,799
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 4,000,000 3,810,000
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 175,000 169,750
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 2,818,000 2,818,000
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 773,000 1,245,634
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 $568,000 286,840
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 1,042,000 1,015,950
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 450,000 436,500
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019 540,000 556,200
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 2,918,000 3,253,570
Laredo Petroleum, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 655,000 681,200
Lone Pine Resources Canada, Ltd. 144A company guaranty sr. notes 10 3/8s, 2017 (Canada) 813,000 766,253
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 6 1/8s, 2020 (Russia) 5,000,000 5,243,500
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 2,380,000 2,608,218
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 1,905,000 1,945,481
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 3,295,000 2,504,200
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 3,725,000 3,557,450
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 750,000 783,750
Newfield Exploration Co. sr. unsec. sub. notes 6 7/8s, 2020 1,000,000 1,065,000
Northern Oil and Gas, Inc. 144A company guaranty sr. unsec notes 8s, 2020 1,620,000 1,611,900
Oasis Petroleum, Inc. company guaranty sr. unsec notes 6 7/8s, 2023 1,045,000 1,045,000
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 3,610,000 3,916,850
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 1,425,000 1,546,125
PDC Energy, Inc. company guaranty sr. unsec. notes 12s, 2018 1,465,000 1,567,550
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 6,000,000 6,600,000
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 208,000 210,600
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 6,500,000 7,735,000
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 3,270,000 3,253,650
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 1,575,000 1,914,129
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 3,035,000 3,586,845
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 1,350,000 1,495,716
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 26,185,000 18,136,255
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela) 3,200,000 1,747,168
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 3,000,000 1,647,390
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 5,000,000 3,545,450
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 23,250,000 19,676,708
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 14,010,000 10,695,094
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 13,895,000 11,289,688
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 6,425,000 6,360,750
Petroleos Mexicanos company guaranty sr. unsec. notes 6 1/2s, 2041 (Mexico) 1,000,000 1,167,500
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) 10,500,000 11,865,000
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 9 3/4s, 2019 (Trinidad) 765,000 938,273
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines) 2,790,000 3,599,100
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) 2,100,000 2,635,500
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 500,000 467,500
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 1,710,000 1,665,113
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 1,640,000 1,779,400
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 790,000 780,125
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 3,321,000 3,619,890
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 2,885,000 3,029,250
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 4,260,000 4,238,700
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 68,000 67,150
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 6,298,000 6,376,725
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 1,105,000 1,132,625
SM Energy Co. 144A sr. notes 6 1/2s, 2023 315,000 320,119
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 875,000 882,656
Williams Cos., Inc. (The) notes 7 3/4s, 2031 522,000 647,978
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 690,000 871,420
274,945,652
Financials (7.2%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 1,231,000 1,084,819
Air Lease Corp. 144A sr. notes 5 5/8s, 2017 1,690,000 1,660,425
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 1,815,000 1,911,759
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 1,379,000 1,385,895
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 4,595,000 5,008,550
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 7,290,000 8,192,138
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.667s, 2014 168,000 161,167
Ally Financial, Inc. unsec. sub. notes 8s, 2018 1,333,000 1,476,298
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068 4,248,000 4,609,080
Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil) BRL 1,745,000 938,312
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) $1,500,000 1,526,250
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 6,730,000 6,895,210
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 1,958,000 1,960,448
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 1,235,000 1,309,100
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 1,000,000 1,135,000
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 1,350,000 1,377,000
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017 1,080,000 1,112,400
CIT Group, Inc. 144A bonds 7s, 2017 3,411,048 3,417,444
CIT Group, Inc. 144A bonds 7s, 2016 2,259,000 2,264,648
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 2,885,000 3,108,588
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 1,710,000 1,757,025
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 1,137,000 1,225,118
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 2,420,000 2,395,800
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 3,250,000 2,559,375
Dresdner Funding Trust I 144A bonds 8.151s, 2031 3,659,000 2,881,463
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 2,335,000 2,676,494
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, perpetual maturity (Jersey) 2,541,000 1,651,650
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. bonds FRB 5.13s, perpetual maturity (Jersey) EUR 1,092,000 1,242,378
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 $375,000 382,031
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 270,000 273,713
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 4,000,000 4,250,000
Industry & Construction Bank St. Petersburg OJSC Via Or-ICB unsec. sub. notes FRN 5.01s, 2015 (Russia) 1,695,000 1,639,913
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 345,000 352,763
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 775,000 775,000
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 2,500,000 3,063,880
JPMorgan Chase & Co. 144A sr. unsec. unsub. notes 8s, 2012 76,000,000 1,358,703
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 4,365,000 4,280,882
MetLife Capital Trust X 144A jr. sub. FRB 9 1/4s, 2068 935,000 1,136,025
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 1,140,000 1,148,550
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 1,029,000 1,134,473
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 2,545,000 2,583,175
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, perpetual maturity (United Kingdom) 3,375,000 1,991,250
Royal Bank of Scotland Group PLC jr. sub. notes FRN Ser. MTN, 7.64s, 2049 (United Kingdom) 3,300,000 2,180,383
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 6,575,000 6,939,124
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sub. notes FRN 6s, 2021 (Russia) 6,000,000 5,913,853
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg) 2,100,000 2,187,361
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg) 5,200,000 5,278,000
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 6,000,000 4,788,720
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 1,665,000 1,688,427
UBS AG/Jersey Branch jr. unsec. sub. notes FRN Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 2,000,000 2,304,651
UBS AG/Jersey Branch jr. unsec. sub. FRB 4.28s, perpetual maturity (Jersey) EUR 976,000 1,005,974
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $3,400,000 3,060,272
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 9,600,000 10,041,907
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 4,335,000 4,480,959
VTB Bank OJSC Via VTB Capital SA 144A bank guaranty sr. unsec. notes 6.551s, 2020 (Russia) 5,000,000 5,031,250
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 38,586,000 40,467,068
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 50,831,000 52,542,480
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) 3,375,000 3,416,783
242,621,404
Health care (2.2%)
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 1,901,000 1,958,030
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 819,000 1,059,152
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 $1,876,000 2,003,803
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 1,610,000 1,666,350
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 3,075,000 4,167,583
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 $2,246,000 2,391,990
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 865,000 1,129,084
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $6,000,000 6,030,000
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 2,426,000 2,635,243
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 3,134,000 3,271,113
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 1,880,000 2,044,500
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 1,675,000 1,746,188
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 2,160,000 2,481,300
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 3,523,000 3,778,418
HCA, Inc. company guaranty sr. notes 7 7/8s, 2020 1,500,000 1,665,000
HCA, Inc. sr. notes 6 1/2s, 2020 6,000,000 6,510,000
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 2,650,000 2,875,250
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 3,240,000 3,312,900
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 2,465,000 2,440,350
Kinetics Concept/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 1,985,000 1,796,425
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 1,635,000 1,790,325
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 1,266,000 1,351,455
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 1,505,000 1,508,763
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 834,910 845,346
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 2,400,000 2,550,000
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 1,683,000 1,927,035
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 2,265,000 2,389,575
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 2,627,000 2,948,808
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 350,000 353,500
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 900,000 930,375
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 350,000 364,875
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 238,000 158,270
72,081,006
Technology (1.8%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 3,373,000 3,710,300
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 75,000 62,250
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 1,786,000 1,477,915
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 2,414,000 2,238,985
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 1,453,000 1,409,410
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 3,905,000 3,748,800
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 1,024,000 1,044,480
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 1,239,000 1,393,875
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 831,000 916,178
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 4,394,000 4,399,493
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 3,865,000 3,951,963
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 502,000 473,135
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 1,255,000 1,255,000
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 820,000 887,650
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 1,245,000 1,269,900
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 2,477,000 2,662,775
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 4,480,000 4,872,000
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 2,300,000 2,438,000
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 4,150,000 4,502,750
Lawson Software, Inc. 144A sr. notes 9 3/8s, 2019 555,000 592,463
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 3,473,000 3,959,220
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 1,985,000 2,195,906
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 10 1/4s, 2015 4,159,000 4,273,373
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 2,062,000 2,196,030
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 3,115,000 3,379,775
59,311,626
Transportation (0.5%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 6,917,000 7,542,638
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $745,000 767,350
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 3,325,000 3,441,375
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 2,470,000 2,679,950
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 1,848,000 1,118,040
15,549,353
Utilities and power (2.6%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 5,000,000 5,687,500
AES Corp. (The) 144A sr. notes 7 3/8s, 2021 1,960,000 2,180,500
Calpine Corp. 144A sr. notes 7 1/4s, 2017 6,892,000 7,408,900
Cenrais Electricas Brasileiras SA 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 500,000 581,900
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 2,495,000 2,747,796
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) 4,274,000 2,863,580
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 654,000 367,875
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 1,055,000 643,550
Edison Mission Energy sr. unsec. notes 7.2s, 2019 605,000 337,288
Edison Mission Energy sr. unsec. notes 7s, 2017 90,000 50,400
El Paso Corp. sr. unsec. notes 7s, 2017 4,910,000 5,569,688
El Paso Natural Gas Co. debs. 8 5/8s, 2022 2,976,000 3,809,229
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 7,000,000 7,472,500
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 6,590,000 7,166,625
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 4,506,000 4,945,335
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 3,271,000 3,189,225
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 530,000 524,038
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 490,000 532,263
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) 2,575,000 3,090,000
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 10,660,000 12,641,587
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 760,000 805,600
NRG Energy, Inc. company guaranty 7 3/8s, 2017 2,755,000 2,865,200
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 6,000,000 6,060,000
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 1,370,000 1,529,372
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 520,000 651,072
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 1,440,000 982,800
Vattenfall AB jr. unsec. sub. bonds FRB 5 1/4s, perpetual maturity (Sweden) EUR 819,000 1,051,338
85,755,161
Total corporate bonds and notes (cost $1,361,855,210) $1,379,749,932

MORTGAGE-BACKED SECURITIES (30.7%)(a)
Principal amount Value
American Home Mortgage Investment Trust Ser. 07-1, Class GIOP, IO, 2.078s, 2047 $13,618,159 $1,659,713
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 $1,170,000 865,800
     Ser. 01-1, Class K, 6 1/8s, 2036 2,477,270 286,905
     Ser. 07-5, Class XW, IO, 0.58s, 2051 215,380,304 3,130,337
Barclays Capital, LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.799s, 2046 180,379,001 7,440,634
     Ser. 09-RR7, Class 2A7, IO, 1.564s, 2047 426,985,466 17,762,595
     Ser. 09-RR7, Class 2A1, IO, 3/4s, 2047 466,461,188 11,894,760
     Ser. 09-RR7, Class 1A1, IO, 3/4s, 2046 484,092,609 12,344,362
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 06-PW12, Class AJ, 5.94s, 2038 5,354,000 4,604,724
     Ser. 05-PWR7, Class C, 5.235s, 2041 4,945,000 4,429,355
     Ser. 05-PWR7, Class B, 5.214s, 2041 7,239,000 6,533,198
     Ser. 05-PWR9, Class AJ, 4.985s, 2042(F) 4,207,000 3,931,969
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 82,622,486 2,164,709
     Ser. 07-AR5, Class 1X2, IO, 1/2s, 2047 51,685,543 1,100,902
     Ser. 06-AR5, Class 1X, IO, 1/2s, 2046 107,957,358 2,051,190
     FRB Ser. 07-AR5, Class 2A2, 0.475s, 2037 10,719,066 3,215,720
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 57,060,055 804,547
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR1, Class A2, 0.405s, 2037 44,551,990 24,058,075
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.096s, 2044 139,501,290 550,321
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom) GBP 2,491,896 3,278,256
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 705,805 983,804
Countrywide Alternative Loan Trust
     Ser. 06-0A19, Class XP, IO, 2.588s, 2047 $128,211,678 8,974,817
     FRB Ser. 05-38, Class A1, 1.647s, 2035 7,177,271 4,521,681
     FRB Ser. 05-62, Class 2A1, 1.147s, 2035 10,865,542 6,356,342
     FRB Ser. 05-38, Class A3, 0.595s, 2035 11,553,959 6,845,721
     FRB Ser. 07-AL1, Class A1, 0.495s, 2037 23,159,883 9,611,351
     FRB Ser. 06-OA16, Class A1C, 0.435s, 2046 13,906,682 10,847,212
     FRB Ser. 06-OA8, Class 1A1, 0.435s, 2046 19,437,181 11,079,193
     FRB Ser. 06-OA21, Class A1, 0.434s, 2047 16,038,378 8,259,765
     FRB Ser. 06-OA12, Class A1B, 0.434s, 2046 37,319,845 17,913,526
     FRB Ser. 07-OA4, Class A1, 0.415s, 2047 25,041,422 15,337,871
     FRB Ser. 06-OC8, Class 2A2B, 0.415s, 2036 36,265,148 19,401,854
     FRB Ser. 07-OA7, Class A1B, 0.385s, 2047 10,882,843 6,116,702
     FRB Ser. 07-OA3, Class 1A1, 0.385s, 2047 15,570,912 9,965,384
     FRB Ser. 06-OC8, Class 2A2A, 0.365s, 2036 27,020,440 13,892,559
     FRB Ser. 06-HY11, Class A1, 0.365s, 2036 27,923,583 15,218,353
Countrywide Home Loans
     FRB Ser. 07-HYB2, Class 3A1, 2.882s, 2047 12,922,293 6,751,898
     FRB Ser. 05-HY10, Class 3A1B, 2.718s, 2036 20,855,481 12,917,363
     FRB Ser. 06-OA4, Class A1, 1.107s, 2046 12,808,127 5,827,698
     FRB Ser. 05-3, Class 1A2, 0.535s, 2035 7,218,878 4,674,224
     FRB Ser. 06-OA4, Class A2, 0.515s, 2046 8,975,309 3,926,698
     FRB Ser. 06-OA5, Class 2A1, 0.445s, 2046 7,696,170 4,014,034
Credit Suisse Mortgage Capital Certificates FRB Ser. 06-C1, Class AJ, 5.593s, 2039 4,637,000 4,349,506
CS First Boston Mortgage Securities Corp. Ser. 05-C6, Class AJ, 5.23s, 2040(F) 8,083,000 7,935,682
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 2,574,143 128,707
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust FRB Ser. 06-OA1, Class A1, 0.445s, 2047 11,203,997 6,386,278
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 2,235,111 2,179,233
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.863s, 2014 (United Kingdom) GBP 142,886 221,543
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.633s, 2032 $1,282,096 2,046,128
     IFB Ser. 3408, Class EK, 24.82s, 2037 832,404 1,355,561
     IFB Ser. 2979, Class AS, 23.387s, 2034 474,994 647,483
     IFB Ser. 3727, Class PS, IO, 6.458s, 2038 31,056,382 3,494,902
     IFB Ser. 3895, Class SM, IO, 6.408s, 2040 17,203,087 2,547,742
     IFB Ser. 4048, Class GS, IO, 6.408s, 2040 20,527,600 4,235,254
     IFB Ser. 3861, Class PS, IO, 6.358s, 2037 17,642,836 2,876,312
     IFB Ser. 4032, Class SA, IO, 6.258s, 2042 26,650,862 3,788,541
     IFB Ser. 3780, Class PS, IO, 6.208s, 2035 22,026,493 2,560,580
     IFB Ser. 3852, Class TB, 5.758s, 2041 44,939,019 48,270,349
     IFB Ser. 3768, Class PS, IO, 5.758s, 2036 27,135,167 2,848,360
     IFB Ser. 3753, Class S, IO, 5.708s, 2040 9,627,613 1,681,824
     Ser. 3687, Class CI, IO, 5s, 2038 27,741,846 3,893,845
     Ser. 3632, Class CI, IO, 5s, 2038 9,626,742 687,349
     Ser. 3626, Class DI, IO, 5s, 2037 6,127,164 251,765
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 55,917,133 7,610,322
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 76,191,417 11,523,952
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 9,848,188 1,045,824
     Ser. 3738, Class MI, IO, 4s, 2034 85,860,923 5,978,663
     Ser. 3748, Class NI, IO, 4s, 2034 32,079,512 2,413,663
     Ser. 3736, Class QI, IO, 4s, 2034 83,011,889 3,851,752
     Ser. 3740, Class KI, IO, 4s, 2033 42,124,485 1,300,804
     Ser. T-56, Class A, IO, 0.524s, 2043 311,055 5,273
     Ser. T-56, Class 3, IO, 0.478s, 2043 10,625,988 139,466
     Ser. T-57, Class 1AX, IO, 0.423s, 2043 20,750,319 256,831
     Ser. T-56, Class 1, IO, 0.296s, 2043 370,227 2,777
     Ser. T-56, Class 2, IO, 0.127s, 2043 340,871 1,065
     Ser. 3314, PO, zero %, 2036 371,633 350,097
     Ser. 3124, Class DO, PO, zero %, 2036 29,033 26,873
     Ser. 2947, Class AO, PO, zero %, 2035 55 55
     Ser. 1208, Class F, PO, zero %, 2022 149,192 138,146
     FRB Ser. 3326, Class WF, zero %, 2035 331,027 304,545
     FRB Ser. 3030, Class EF, zero %, 2035 38,627 38,433
     FRB Ser. 3007, Class LU, zero %, 2035 12,484 10,861
Federal National Mortgage Association
     IFB Ser. 06-8, Class HP, 23.667s, 2036 1,829,764 3,093,435
     IFB Ser. 05-45, Class DA, 23.521s, 2035 3,723,724 6,101,091
     IFB Ser. 05-83, Class QP, 16.756s, 2034 606,056 830,297
     Ser. 98-T2, Class A4, IO, 6 1/2s, 2036 109,848 19,682
     IFB Ser. 12-66, Class HS, IO, 6.455s, 2041 16,097,392 3,499,412
     IFB Ser. 12-2, Class PS, IO, 6.305s, 2041 8,641,352 1,820,085
     IFB Ser. 10-46, Class WS, IO, 5.505s, 2040 73,290,192 8,969,254
     Ser. 399, Class 2, IO, 5 1/2s, 2039 354,313 40,026
     Ser. 374, Class 6, IO, 5 1/2s, 2036 12,251,992 1,573,523
     Ser. 398, Class C5, IO, 5s, 2039 9,414,409 823,761
     Ser. 10-13, Class EI, IO, 5s, 2038 6,146,050 312,232
     Ser. 378, Class 19, IO, 5s, 2035 10,839,427 1,246,534
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 43,122,838 7,503,805
     Ser. 404, Class 2, IO, 4 1/2s, 2040 650,621 87,910
     Ser. 366, Class 22, IO, 4 1/2s, 2035 9,043,584 717,970
     Ser. 406, Class 2, IO, 4s, 2041 62,891,448 8,471,478
     Ser. 406, Class 1, IO, 4s, 2041 40,918,184 5,830,841
     Ser. 409, Class C16, IO, 4s, 2040 42,815,598 5,762,033
     Ser. 405, Class 2, IO, 4s, 2040 703,519 97,177
     Ser. 03-W10, Class 1, IO, 1.426s, 2043 10,775,831 498,803
     Ser. 00-T6, IO, 0.763s, 2030 10,566,637 188,218
     Ser. 01-T1, Class 1, IO, 0.748s, 2040 1,259,983 23,940
     Ser. 01-50, Class B1, IO, 0.411s, 2041 565,610 6,363
     Ser. 02-W8, Class 1, IO, 0.338s, 2042 15,169,226 170,654
     Ser. 99-51, Class N, PO, zero %, 2029 173,806 166,774
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.081s, 2020(F) 15,640,750 337,889
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 3,121,100 1,595,556
GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, Class AJ, 5.481s, 2044(F) 4,682,000 3,814,430
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 6,634 5,949
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.827s, 2041 93,327,932 104,066,243
     IFB Ser. 10-142, Class SA, IO, 6.456s, 2039 38,043,609 5,070,500
     IFB Ser. 10-151, Class SL, IO, 6.456s, 2039 28,273,342 4,666,232
     IFB Ser. 10-163, Class SI, IO, 6.387s, 2037 33,283,804 5,367,013
     IFB Ser. 10-47, Class HS, IO, 6.356s, 2039 15,714,171 2,408,354
     IFB Ser. 11-79, Class AS, IO, 5.866s, 2037 39,300,102 3,867,958
     IFB Ser. 10-116, Class SL, IO, 5.806s, 2039 27,432,469 4,303,606
     IFB Ser. 11-70, Class SM, IO, 5.647s, 2041 32,221,000 9,193,618
     IFB Ser. 11-70, Class SH, IO, 5.647s, 2041 33,097,000 9,534,915
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 31,843,909 3,532,445
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 31,949,843 4,122,169
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 41,106,152 5,379,973
     Ser. 12-8, Class PI, IO, 4s, 2041 15,268,550 2,526,945
     Ser. 11-116, Class BI, IO, 4s, 2026 25,967,524 2,857,466
     Ser. 12-48, Class AI, IO, 3 1/2s, 2036 29,933,657 4,986,648
     Ser. 12-H02, Class AI, IO, 1.765s, 2062 28,644,252 2,121,393
     Ser. 12-H04, Class FI, IO, 0.938s, 2062 75,939,074 3,512,182
     Ser. 11-70, PO, zero %, 2041 73,779,297 59,541,368
     Ser. 06-36, Class OD, PO, zero %, 2036 56,036 52,193
     Ser. 06-64, PO, zero %, 2034 190,384 185,601
     Ser. 99-31, Class MP, PO, zero %, 2029 14,101 13,222
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 56,685,409 2,142,708
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 6,902,000 6,255,303
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.321s, 2039 391,157,467 7,079,950
GSR Mortgage Loan Trust FRB Ser. 06-OA1, Class 3A1, 2.64s, 2046 18,337,582 9,168,791
Harborview Mortgage Loan Trust
     FRB Ser. 05-8, Class 1A2B, 0.603s, 2035 7,184,615 1,656,952
     FRB Ser. 05-16, Class 3A1A, 0.493s, 2036 26,164,898 14,259,869
     FRB Ser. 05-3, Class 2A1A, 0.483s, 2035 7,165,871 4,747,389
     FRB Ser. 06-7, Class 2A1A, 0.443s, 2046 29,009,177 16,897,846
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39, Class A1, 0.425s, 2037 27,814,888 14,880,965
IndyMac Indx Mortgage Loan Trust FRB Ser. 06-AR35, Class 2A1A, 0.415s, 2037 15,666,214 8,328,175
JPMorgan Alternative Loan Trust
     FRB Ser. 06-A7, Class 1A1, 0.405s, 2036 23,569,977 11,136,814
     FRB Ser. 06-A6, Class 1A1, 0.405s, 2036 12,053,407 6,539,781
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 05-CB12, Class AJ, 4.987s, 2037 10,643,000 10,553,067
     FRB Ser. 04-C3, Class C, 4.981s, 2042 4,777,000 4,498,740
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.212s, 2051 275,429,747 2,758,704
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 8,260,023 8,218,723
     Ser. 98-C4, Class J, 5.6s, 2035 3,535,000 3,708,922
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, zero %, 2047 40,562,364 1,166,168
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.529s, 2028(F) 995,164 22,886
Merrill Lynch Mortgage Trust
     FRB Ser. 07-C1, Class A3, 6.041s, 2050 260,000 268,311
     FRB Ser. 07-C1, Class A2, 5.937s, 2050 1,696,036 1,695,129
     Ser. 05-LC1, Class AJ, 5.505s, 2044(F) 5,677,000 5,497,042
     Ser. 05-CKI1, Class AJ, 5.39s, 2037(F) 11,649,000 10,889,096
     Ser. 04-KEY2, Class D, 5.046s, 2039 4,390,000 3,830,275
Merrill Lynch/Countrywide Commercial Mortgage Trust FRB Ser. 06-4, Class A2FL, 0.361s, 2049 1,465,395 1,450,741
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.991s, 2037 5,097,380 382,304
     Ser. 07-C5, Class X, IO, 5.186s, 2049 9,441,310 708,098
Morgan Stanley Capital I Ser. 07-IQ14, Class A2, 5.61s, 2049 58,411 60,436
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039(F) 13,869,752 12,026,032
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.989s, 2012 3,620 1
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 1,590,000 1,590,000
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 1/2s, 2047 163,200,147 3,329,283
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 111,256,561 4,105,367
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 38,988,403 838,251
     FRB Ser. 06-AR3, Class 12A1, 0.465s, 2036 16,979,402 8,404,804
     FRB Ser. 06-AR8, Class A1A, 0.445s, 2036 21,622,024 11,283,994
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 169,335,074 2,269,090
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.005s, 2045 119,423,598 21,496,248
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 05-C20, Class B, 5.417s, 2042 18,287,522 17,609,969
     Ser. 07-C34, IO, 0.544s, 2046 77,938,893 1,200,259
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 05-AR17, Class A1C3, 0.725s, 2045 8,558,030 3,792,277
     FRB Ser. 05-AR15, Class A1C3, 0.725s, 2045 9,056,476 3,486,743
     FRB Ser. 05-AR13, Class A1B2, 0.675s, 2045 9,810,851 6,965,704
     FRB Ser. 05-AR2, Class 2A1B, 0.615s, 2045 5,549,223 4,175,791
Washington Mutual Mortgage Pass-Through Certificates
     FRB Ser. 06-AR11, Class 1A, 1.118s, 2046 5,413,953 3,492,000
     FRB Ser. 06-AR9, Class 2A, 0.992s, 2046 14,703,793 5,881,517
     FRB Ser. 07-OA1, Class A1A, 0.847s, 2047 5,520,634 3,326,181
Total mortgage-backed securities (cost $982,688,625) $1,027,928,330

PURCHASED OPTIONS OUTSTANDING (15.7%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.085 $34,889,000 $1,016,665
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.064 34,889,000 942,003
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.042 34,889,000 849,896
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 200,152,183 29,178,185
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 200,152,183 200
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 166,793,488 26,673,615
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 166,793,488 24,183,388
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 166,793,488 167
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 166,793,488 167
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 66,717,391 10,613,403
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 66,717,391 67
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 166,793,488 27,013,873
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 166,793,488 167
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.74 153,900,511 28,725,992
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.74 153,900,511 3,146,188
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 28,756,000 61,250
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 147,954,000 4,338,011
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. Aug-16/4.28 20,642,000 3,143,570
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. Aug-16/4.28 20,642,000 547,426
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.67 256,698,000 46,303,185
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.67 256,698,000 5,472,801
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. Sep-15/4.04 153,027,000 22,374,078
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. Sep-15/4.04 153,027,000 3,381,897
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.193 74,761,000 2,758,681
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.169 74,761,000 2,597,945
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/1.9475 206,683,000 3,730,628
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.144 74,761,000 2,433,471
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 28,756,000 61,250
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 147,954,000 4,338,011
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.122 74,761,000 2,314,601
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.375 88,935,500 32,461,458
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.375 88,935,500 3,112,743
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.46 88,935,500 33,884,426
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.46 88,935,500 2,934,872
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.27 64,593,000 2,778,791
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.13375 34,889,000 1,175,062
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.2475 64,593,000 2,666,399
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.1125 34,889,000 1,105,284
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.225 64,593,000 2,542,380
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 28,756,000 61,250
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 110,751,000 10,178,017
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 110,751,000 1,475,203
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.72% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.72 252,259,000 29,357,902
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.72% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.72 252,259,000 2,404,028
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 237,217,000 27,519,544
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 237,217,000 2,258,306
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023. Jan-13/1.8625 28,756,000 541,763
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.855 28,756,000 523,072
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 9,170,000 431,999
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 9,170,000 77,762
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.3675 64,593,000 3,243,215
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 28,574,000 2,690,242
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 28,574,000 718,636
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.845 28,756,000 494,316
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.835 28,756,000 464,409
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 9,170,000 417,235
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 9,170,000 61,072
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.34375 64,593,000 3,136,636
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.82 28,756,000 433,640
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.3175 64,593,000 3,007,450
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 9,170,000 399,812
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 9,170,000 43,466
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 9,170,000 386,332
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 9,170,000 29,069
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 28,574,000 2,281,920
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 28,574,000 310,599
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 9,170,000 370,010
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 9,170,000 13,113
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1825 30,513,000 1,097,858
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 28,756,000 61,250
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 9,170,000 359,372
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 9,170,000 550
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.11875 147,954,000 4,487,445
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.055 46,213,000 1,142,385
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 110,751,000 10,100,491
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 110,751,000 1,375,527
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/5.11 219,811,000 1,657,375
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 237,217,000 27,400,936
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 237,217,000 2,082,765
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.855 10,878,400 1,054,008
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.855 10,878,400 326
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 93,911,146 15,245,535
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 93,911,146 94
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 167,402,762 26,407,786
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 167,402,762 167
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 28,756,000 61,250
Total purchased options outstanding (cost $402,985,630) $524,727,334

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.3%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $19,995,000 $13,596,600
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 3,495,000 3,082,752
Argentina (Republic of) sr. unsec. bonds FRB 0.739s, 2013 10,393,000 1,143,230
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 94,368,000 72,804,912
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 5,388,691 3,462,234
Brazil (Federal Republic of) unsec. notes 10s, 2017 7,250 3,878,319
Brazil (Federal Republic of) unsub. notes 10s, 2014 20,095 10,755,963
Chile (Republic of) notes 5 1/2s, 2020 CLP 1,856,500,000 3,940,748
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 $3,725,000 3,645,695
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 2,095,000 2,084,332
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 286,400,000 4,967,208
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $9,340,000 10,360,302
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 333,000 323,851
Indonesia (Republic of) 144A notes 5 1/4s, 2042 6,875,000 7,192,969
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019 2,560,000 3,740,365
Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021 450,000 490,500
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038 1,875,000 2,578,125
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 1,310,000 1,401,582
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 3,255,000 3,928,720
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 123,450,000 3,652,012
Iraq (Republic of) 144A bonds 5.8s, 2028 $2,905,000 2,353,050
Peru (Republic of) bonds 6.95s, 2031 PEN 22,150,000 9,610,964
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 $823,394 967,867
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 1,200,000 1,261,500
Sri Lanka (Republic of) 144A notes 7.4s, 2015 1,300,000 1,388,361
Turkey (Republic of) sr. unsec. bonds 5 5/8s, 2021 6,800,000 7,285,588
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 10,015,000 11,658,962
Turkey (Republic of) unsec. notes 6 3/4s, 2040 5,080,000 5,788,355
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 2,700,000 2,254,500
Ukraine (Government of) 144A bonds 7 3/4s, 2020 9,780,000 8,860,680
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 10,415,000 9,385,998
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 14,610,000 14,354,325
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027 3,600,000 2,818,368
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 4,150,000 4,238,852
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 4,935,000 4,951,680
Total foreign government and agency bonds and notes (cost $256,216,603) $244,209,469

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (6.5%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.6%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $1,154,155 $1,308,703
     3 1/2s, TBA, July 1, 2042 50,000,000 53,437,500
54,746,203
U.S. Government Agency Mortgage Obligations (4.9%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, TBA, July 1, 2042 27,000,000 28,318,359
Federal National Mortgage Association Pass-Through Certificates
     3 1/2s, TBA, July 1, 2042 105,000,000 110,348,438
     3s, TBA, July 1, 2042 23,000,000 23,583,984
162,250,781
Total U.S. government and agency mortgage obligations (cost $215,793,672) $216,996,984

U.S. TREASURY OBLIGATIONS (1.2%)(a)
Principal amount Value
U.S. Treasury Bonds 4.500%, August 15, 2039(i) $11,087,000 $15,233,649
U.S. Treasury Inflation Protected Securities 2.125%, February 15, 2040(i) 641,713 916,803
U.S. Treasury Inflation Protected Securities 2.000%, January 15, 2014(i) 4,053,232 4,248,841
U.S. Treasury Inflation Protected Securities 1.875%, July 15, 2019(i) 229,459 276,643
U.S. Treasury Inflation Protected Securities 1.875%, July 15, 2013(i) 2,521,021 2,604,542
U.S. Treasury Inflation Protected Securities 1.125%, January 15, 2021(i) 8,650,608 10,012,127
U.S. Treasury Inflation Protected Securities 0.125%, April 15, 2017(i) 380,775 402,308
U.S. Treasury Notes 1.250%, October 31, 2015(i) 4,855,000 4,986,036
U.S. Treasury Notes 0.125%, December 31, 2013(i) 2,817,000 2,809,535
Total U.S. treasury obligations (cost $41,490,484) $41,490,484

ASSET-BACKED SECURITIES (2.8%)(a)
Principal amount Value
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.12s, 2034 $265,627 $78,511
Countrywide Asset Backed Certificates FRB Ser. 07-1, Class 2A2, 0.345s, 2037 26,340,502 24,299,113
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 3,936,546 161,398
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF18, Class A2B, 0.355s, 2037 14,799,606 8,139,783
Granite Mortgages PLC
     FRB Ser. 03-2, Class 2C1, 4.13s, 2043 EUR 7,263,000 7,077,317
     FRB Ser. 03-2, Class 3C, 3.52s, 2043 GBP 2,706,624 3,264,016
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $73,103 71,336
Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, 7.45s, 2025 71,354 63,847
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 2.245s, 2037 614,000 521,900
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.245s, 2030 (Cayman Islands) 2,622,218 1,284,887
HSI Asset Securitization Corp. Trust FRB Ser. 07-NC1, Class A1, 0.345s, 2037 11,986,888 8,690,494
Merrill Lynch First Franklin Mortgage Loan Trust FRB Ser. 07-3, Class A2B, 3/8s, 2037 12,600,457 7,396,468
Merrill Lynch Mortgage Investors Trust
     FRB Ser. 07-HE1, Class A2D, 0.575s, 2037 12,178,197 3,653,459
     FRB Ser. 07-HE2, Class A2B, 0.455s, 2037 25,579,246 8,185,359
     FRB Ser. 07-HE1, Class A2A, 3/8s, 2037 36,601,376 10,980,370
     FRB Ser. 06-HE5, Class A2B, 0.355s, 2037 15,012,589 8,256,924
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.445s, 2034 330,746 96,794
Neon Capital, Ltd. 144A limited recourse notes Ser. 97, 1.105s, 2013 (Cayman Islands)(F)(g) 2,649,208 435,744
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, 3.467s, 2038 2,016,779 1,492,417
Structured Asset Securities Corp. 144A Ser. 98-RF3, Class A, IO, 6.1s, 2028 810,435 123,591
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 4,106,383 410,638
Total asset-backed securities (cost $93,312,258) $94,684,366

SENIOR LOANS (1.8%)(a)(c)
Principal amount Value
Basic materials (0.1%)
Momentive Performance Materials, Inc. bank term loan FRN Ser. B1, 3 3/4s, 2015 $752,145 $717,829
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 1,254,125 1,221,727
1,939,556
Capital goods (—%)
SRAM Corp. bank term loan FRN 8 1/2s, 2018 885,000 882,788
882,788
Communication services (0.1%)
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.72s, 2016 1,306,290 1,293,045
Intelsat SA bank term loan FRN 3.24s, 2014 (Luxembourg) 1,987,780 1,935,104
Level 3 Financing, Inc. bank term loan FRN 2.652s, 2014 161,000 157,579
3,385,728
Consumer cyclicals (0.8%)
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 6 1/4s, 2017 1,401,345 1,392,587
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.489s, 2018 7,079,181 6,256,226
CCM Merger, Inc. bank term loan FRN Ser. B, 6s, 2017 3,161,438 3,125,872
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.49s, 2014 1,948,237 1,800,496
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.889s, 2016 4,921,601 3,905,753
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.49s, 2014 871,401 270,679
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.24s, 2014 2,034,039 631,823
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.24s, 2014 758,970 235,755
Golden Nugget, Inc. bank term loan FRN Ser. B, 3 1/4s, 2014(PIK) 402,194 380,744
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3 1/4s, 2014(PIK) 228,940 216,730
Goodman Global, Inc. bank term loan FRN 9s, 2017 1,602,364 1,620,390
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 222,762 222,205
National Bedding Company, LLC bank term loan FRN Ser. B, 4 3/8s, 2013 226,552 226,552
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 2,362,808 2,331,290
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 62,960 27,450
Realogy Corp. bank term loan FRN Ser. B, 4.77s, 2016 1,674,366 1,573,904
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.795s, 2014 1,064,523 1,049,886
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.74s, 2014 105,565 104,114
Univision Communications, Inc. bank term loan FRN 4.489s, 2017 1,020,833 960,859
26,333,315
Consumer staples (0.2%)
Claire's Stores, Inc. bank term loan FRN 3.056s, 2014 1,457,264 1,379,764
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 1,442,933 1,418,133
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017 2,259,338 2,262,162
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 2,590,405 2,571,440
Rite Aid Corp. bank term loan FRN Ser. B, 1.994s, 2014 411,157 401,264
West Corp. bank term loan FRN Ser. B2, 2.653s, 2013 67,761 67,506
West Corp. bank term loan FRN Ser. B5, 4.489s, 2016 163,938 162,586
8,262,855
Energy (0.1%)
Chesapeake Energy Corp. bank term loan FRN 8 1/2s, 2017 1,580,000 1,564,941
EP Energy, LLC bank term loan FRN 6 1/2s, 2018 590,000 594,278
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 2,046,065 1,864,761
4,023,980
Financials (0.1%)
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 2,505,000 2,354,252
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2017 506,705 507,022
2,861,274
Health care (0.3%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 1,642,766 1,630,445
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 2,337,112 2,308,630
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 2,888,413 2,834,255
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 1,583,889 1,558,811
Quintiles Transnational Corp. bank term loan FRN 7 1/2s, 2017(PIK) 610,000 611,525
8,943,666
Technology (—%)
First Data Corp. bank term loan FRN 4.24s, 2018 574,435 526,595
First Data Corp. bank term loan FRN Ser. B3, 2.99s, 2014 61,131 58,543
585,138
Utilities and power (0.1%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.741s, 2017 4,000,000 2,385,384
2,385,384
Total senior loans (cost $64,465,139) $59,603,684

CONVERTIBLE BONDS AND NOTES (0.2%)(a)
Principal amount Value
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 $1,064,000 $1,478,960
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) 2,883,000 2,504,606
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 1,045,000 1,092,025
Total convertible bonds and notes (cost $4,985,743) $5,075,591

SHORT-TERM INVESTMENTS (11.9%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.12%(e) 25,335,048 $25,335,048
SSgA Prime Money Market Fund 0.09%(P) 78,113,798 78,113,798
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, September 21, 2012 $42,650,000 42,631,093
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, August 22, 2012 50,000,000 49,987,000
Straight-A Funding, LLC commercial paper with an effective yield of 0.148%, July 9, 2012 9,000,000 8,999,700
U.S. Treasury Bills with an effective yield of zero %, November 15, 2012(i) 1,723,000 1,722,139
U.S. Treasury Bills with effective yields ranging from 0.090% to 0.105%, November 15, 2012(SEG)(SEGSF) 148,479,000 148,415,896
U.S. Treasury Bills with effective yields ranging from 0.087% to 0.100%, October 18, 2012(SEGSF) 21,011,000 21,004,382
U.S. Treasury Bills with effective yields ranging from 0.072% to 0.091%, July 26, 2012(SEG)(SEGSF) 16,539,000 16,538,066
U.S. Treasury Bills with effective yields ranging from 0.058% to 0.060%, August 23, 2012(SEGSF) 4,678,000 4,677,591
Total short-term investments (cost $397,431,300) $397,424,713

TOTAL INVESTMENTS
Total investments (cost $3,821,224,664)(b) $3,991,890,887













FORWARD CURRENCY CONTRACTS at 6/30/12 (aggregate face value $10,821,682,597) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
British Pound Sell 7/18/12 $11,329,430 $11,119,689 $(209,741)
Japanese Yen Sell 7/18/12 10,480,372 10,691,601 211,229
Swiss Franc Buy 7/18/12 7,881,742 7,772,835 108,907
Barclays Bank PLC
Australian Dollar Buy 7/18/12 56,110,311 55,064,487 1,045,824
Australian Dollar Sell 7/18/12 56,110,311 54,140,709 (1,969,602)
Australian Dollar Buy 8/16/12 25,622,219 25,176,061 446,158
Brazilian Real Buy 7/18/12 10,791,799 10,560,375 231,424
Brazilian Real Sell 7/18/12 10,791,799 10,503,233 (288,566)
Brazilian Real Sell 8/16/12 3,073,182 3,066,683 (6,499)
British Pound Buy 7/18/12 25,568,035 25,373,053 194,982
British Pound Sell 7/18/12 25,568,035 25,364,647 (203,388)
British Pound Buy 8/16/12 511,917 507,241 4,676
Canadian Dollar Buy 7/18/12 51,635,950 50,903,181 732,769
Canadian Dollar Sell 7/18/12 51,635,950 50,849,477 (786,473)
Canadian Dollar Sell 8/16/12 1,441,978 1,424,431 (17,547)
Chilean Peso Buy 7/18/12 23,347,557 23,059,097 288,460
Chilean Peso Sell 7/18/12 23,347,557 22,892,991 (454,566)
Chilean Peso Buy 8/16/12 4,924,410 4,924,247 163
Czech Koruna Buy 7/18/12 34,279,872 33,673,716 606,156
Czech Koruna Sell 7/18/12 34,279,872 33,468,885 (810,987)
Czech Koruna Sell 8/16/12 9,731,458 9,755,874 24,416
Euro Buy 7/18/12 90,308,752 88,977,461 1,331,291
Euro Sell 7/18/12 90,308,752 89,687,886 (620,866)
Euro Sell 8/16/12 38,625,041 37,952,485 (672,556)
Hungarian Forint Buy 7/18/12 8,368,888 7,988,533 380,355
Hungarian Forint Sell 7/18/12 8,368,888 7,589,568 (779,320)
Japanese Yen Buy 7/18/12 54,317,702 55,215,440 (897,738)
Japanese Yen Sell 7/18/12 54,317,702 55,446,429 1,128,727
Japanese Yen Sell 8/16/12 18,254,165 18,381,653 127,488
Malaysian Ringgit Buy 7/18/12 73,520 72,972 548
Mexican Peso Buy 7/18/12 9,312,189 9,093,012 219,177
Mexican Peso Sell 7/18/12 9,312,189 8,859,410 (452,779)
Mexican Peso Sell 8/16/12 72,719 72,479 (240)
New Zealand Dollar Sell 7/18/12 8,973,952 8,567,252 (406,700)
Norwegian Krone Buy 7/18/12 40,996,390 40,273,322 723,068
Norwegian Krone Sell 7/18/12 40,996,390 39,979,271 (1,017,119)
Norwegian Krone Sell 8/16/12 2,208,809 2,495,053 286,244
Singapore Dollar Sell 7/18/12 10,117,664 9,988,806 (128,858)
South African Rand Buy 7/18/12 16,177,289 15,872,490 304,799
South African Rand Sell 7/18/12 16,177,289 15,257,648 (919,641)
South Korean Won Buy 7/18/12 7,624,052 7,557,055 66,997
Swedish Krona Buy 7/18/12 25,405,679 25,117,381 288,298
Swedish Krona Sell 7/18/12 25,405,679 24,812,366 (593,313)
Swedish Krona Buy 8/16/12 21,096,797 20,677,317 419,480
Swiss Franc Buy 7/18/12 12,912,275 12,673,791 238,484
Swiss Franc Sell 7/18/12 12,912,275 12,743,925 (168,350)
Swiss Franc Sell 8/16/12 12,921,466 12,685,601 (235,865)
Taiwan Dollar Buy 7/18/12 3,126,893 3,205,525 (78,632)
Turkish Lira Buy 7/18/12 24,560,323 24,470,357 89,966
Turkish Lira Sell 7/18/12 24,560,323 24,453,605 (106,718)
Turkish Lira Sell 8/16/12 7,201,008 7,230,317 29,309
Citibank, N.A.
Australian Dollar Buy 7/18/12 41,876,893 41,129,935 746,958
Australian Dollar Sell 7/18/12 41,876,893 39,759,962 (2,116,931)
Australian Dollar Sell 8/16/12 11,780,823 11,567,131 (213,692)
Brazilian Real Buy 7/18/12 11,150,164 10,983,799 166,365
Brazilian Real Sell 7/18/12 11,150,164 11,006,176 (143,988)
Brazilian Real Buy 8/16/12 3,357,111 3,358,282 (1,171)
Canadian Dollar Buy 7/18/12 25,770,353 25,406,677 363,676
Canadian Dollar Sell 7/18/12 25,770,353 25,488,147 (282,206)
Canadian Dollar Sell 8/16/12 20,701,774 20,440,950 (260,824)
Czech Koruna Buy 7/18/12 19,360,899 19,167,817 193,082
Czech Koruna Sell 7/18/12 19,360,899 19,064,844 (296,055)
Czech Koruna Sell 8/16/12 11,346,606 11,388,830 42,224
Euro Buy 7/18/12 51,965,024 51,040,479 924,545
Euro Sell 7/18/12 51,965,024 51,795,327 (169,697)
Euro Sell 8/16/12 51,866,852 50,942,420 (924,432)
Mexican Peso Buy 7/18/12 8,123,863 7,711,483 412,380
Mexican Peso Sell 7/18/12 8,123,863 7,751,488 (372,375)
Mexican Peso Sell 8/16/12 1,618,770 1,623,265 4,495
Norwegian Krone Buy 7/18/12 55,831 54,445 1,386
Norwegian Krone Sell 7/18/12 55,831 54,768 (1,063)
Norwegian Krone Buy 8/16/12 55,773 54,714 1,059
Singapore Dollar Sell 7/18/12 9,957,491 9,881,327 (76,164)
South African Rand Buy 7/18/12 16,177,277 15,983,268 194,009
South African Rand Sell 7/18/12 16,177,277 15,260,798 (916,479)
South Korean Won Buy 7/18/12 7,198,476 7,099,775 98,701
Swedish Krona Buy 7/18/12 1,118,809 1,091,966 26,843
Swedish Krona Sell 7/18/12 1,118,809 1,074,769 (44,040)
Taiwan Dollar Sell 7/18/12 7,600,554 7,588,390 (12,164)
Turkish Lira Buy 7/18/12 14,316,300 13,919,274 397,026
Turkish Lira Sell 7/18/12 14,316,300 14,061,686 (254,614)
Turkish Lira Buy 8/16/12 6,328,870 6,365,128 (36,258)
Credit Suisse AG
Australian Dollar Buy 7/18/12 69,006,586 67,367,363 1,639,223
Australian Dollar Sell 7/18/12 69,006,586 66,323,371 (2,683,215)
Australian Dollar Buy 8/16/12 18,555,357 18,215,505 339,852
Brazilian Real Buy 7/18/12 9,268,114 8,995,913 272,201
Brazilian Real Sell 7/18/12 9,268,114 9,124,549 (143,565)
Brazilian Real Buy 8/16/12 1,485,486 1,480,958 4,528
British Pound Buy 7/18/12 29,935,242 29,699,420 235,822
British Pound Sell 7/18/12 29,935,242 29,965,978 30,736
British Pound Sell 8/16/12 2,114,535 2,094,585 (19,950)
Canadian Dollar Buy 7/18/12 25,475,488 25,151,230 324,258
Canadian Dollar Sell 7/18/12 25,475,488 25,247,020 (228,468)
Canadian Dollar Sell 8/16/12 41,982,498 41,642,255 (340,243)
Chilean Peso Buy 7/18/12 38,749,638 38,289,039 460,599
Chilean Peso Sell 7/18/12 38,749,638 38,093,671 (655,967)
Chilean Peso Buy 8/16/12 5,074,638 5,104,761 (30,123)
Czech Koruna Buy 7/18/12 23,051,391 22,849,579 201,812
Czech Koruna Sell 7/18/12 23,051,391 22,657,505 (393,886)
Czech Koruna Sell 8/16/12 15,036,786 15,069,794 33,008
Euro Buy 7/18/12 112,343,578 110,522,654 1,820,924
Euro Sell 7/18/12 112,343,578 111,798,194 (545,384)
Euro Sell 8/16/12 50,668,345 49,800,895 (867,450)
Hungarian Forint Buy 7/18/12 15,916,196 15,362,330 553,866
Hungarian Forint Sell 7/18/12 15,916,196 15,080,024 (836,172)
Hungarian Forint Buy 8/16/12 4,004,973 4,019,485 (14,512)
Japanese Yen Buy 7/18/12 9,862,010 10,066,365 (204,355)
Japanese Yen Sell 7/18/12 9,862,010 9,922,664 60,654
Japanese Yen Buy 8/16/12 9,478,391 9,540,740 (62,349)
Mexican Peso Buy 7/18/12 15,898,756 15,382,894 515,862
Mexican Peso Sell 7/18/12 15,898,756 15,230,785 (667,971)
Mexican Peso Sell 8/16/12 5,264,427 5,279,463 15,036
New Zealand Dollar Sell 7/18/12 15,868,865 15,316,547 (552,318)
Norwegian Krone Buy 7/18/12 52,264,865 51,270,472 994,393
Norwegian Krone Sell 7/18/12 52,264,865 51,059,570 (1,205,295)
Norwegian Krone Sell 8/16/12 3,655,389 3,586,969 (68,420)
Philippines Peso Buy 7/18/12 8,103,577 7,892,916 210,661
Polish Zloty Buy 7/18/12 12,908,424 12,881,239 27,185
Polish Zloty Sell 7/18/12 12,908,424 12,585,345 (323,079)
Polish Zloty Sell 8/16/12 5,625,167 5,594,976 (30,191)
Singapore Dollar Buy 7/18/12 2,090,144 2,100,453 (10,309)
South African Rand Buy 7/18/12 15,956,990 15,770,732 186,258
South African Rand Sell 7/18/12 15,956,990 15,302,005 (654,985)
South Korean Won Buy 7/18/12 7,446,039 7,360,667 85,372
Swedish Krona Buy 7/18/12 52,213,583 51,123,442 1,090,141
Swedish Krona Sell 7/18/12 52,213,583 50,625,828 (1,587,755)
Swedish Krona Buy 8/16/12 24,486,111 23,994,419 491,692
Swiss Franc Buy 7/18/12 2,980,948 2,940,330 40,618
Swiss Franc Sell 7/18/12 2,980,948 2,924,620 (56,328)
Swiss Franc Buy 8/16/12 2,983,069 2,927,162 55,907
Taiwan Dollar Sell 7/18/12 7,600,551 7,590,922 (9,629)
Turkish Lira Buy 7/18/12 48,296,803 47,648,289 648,514
Turkish Lira Sell 7/18/12 48,296,803 47,465,495 (831,308)
Turkish Lira Sell 8/16/12 5,329,474 5,350,577 21,103
Deutsche Bank AG
Australian Dollar Buy 7/18/12 25,394,362 25,109,725 284,637
Australian Dollar Sell 7/18/12 25,394,362 24,383,768 (1,010,594)
Australian Dollar Buy 8/16/12 9,215,604 9,031,445 184,159
Brazilian Real Buy 7/18/12 7,774,355 7,678,924 95,431
Brazilian Real Sell 7/18/12 7,774,355 7,633,183 (141,172)
British Pound Buy 7/18/12 24,269,587 23,818,735 450,852
British Pound Sell 7/18/12 24,269,587 24,098,458 (171,129)
British Pound Buy 8/16/12 1,343,606 1,331,370 12,236
Canadian Dollar Buy 7/18/12 51,635,851 50,887,266 748,585
Canadian Dollar Sell 7/18/12 51,635,851 50,854,816 (781,035)
Canadian Dollar Sell 8/16/12 18,612,354 18,338,849 (273,505)
Czech Koruna Buy 7/18/12 23,076,218 22,883,758 192,460
Czech Koruna Sell 7/18/12 23,076,218 22,635,528 (440,690)
Czech Koruna Sell 8/16/12 15,061,601 15,105,171 43,570
Euro Buy 7/18/12 50,536,739 49,662,515 874,224
Euro Sell 7/18/12 50,536,739 50,482,664 (54,075)
Euro Sell 8/16/12 50,550,102 49,675,413 (874,689)
Mexican Peso Buy 7/18/12 8,019,584 8,029,379 (9,795)
Mexican Peso Sell 7/18/12 8,019,584 7,652,681 (366,903)
Mexican Peso Sell 8/16/12 7,997,221 8,003,885 6,664
Polish Zloty Buy 7/18/12 8,260,908 8,230,251 30,657
Polish Zloty Sell 7/18/12 8,260,908 7,661,591 (599,317)
Polish Zloty Sell 8/16/12 5,009,802 5,001,371 (8,431)
Singapore Dollar Sell 7/18/12 2,323,338 2,315,334 (8,004)
South Korean Won Buy 7/18/12 55,786 97,540 (41,754)
South Korean Won Buy 8/16/12 4,995,521 5,018,696 (23,175)
Swedish Krona Buy 7/18/12 25,562,933 25,148,843 414,090
Swedish Krona Sell 7/18/12 25,562,933 25,021,340 (541,593)
Swedish Krona Buy 8/16/12 25,535,737 24,996,948 538,789
Swiss Franc Buy 7/18/12 6,609,643 6,523,874 85,769
Swiss Franc Sell 7/18/12 6,609,643 6,490,023 (119,620)
Swiss Franc Buy 8/16/12 6,449,395 6,332,719 116,676
Turkish Lira Buy 7/18/12 19,102,284 18,790,969 311,315
Turkish Lira Sell 7/18/12 19,102,284 18,820,283 (282,001)
Turkish Lira Buy 8/16/12 11,085,626 11,095,667 (10,041)
Goldman Sachs International
Australian Dollar Buy 7/18/12 54,538,711 53,359,815 1,178,896
Australian Dollar Sell 7/18/12 54,538,711 51,787,579 (2,751,132)
British Pound Buy 7/18/12 2,295,109 2,274,309 20,800
British Pound Sell 7/18/12 2,295,109 2,252,312 (42,797)
British Pound Sell 8/16/12 2,294,935 2,274,148 (20,787)
Canadian Dollar Buy 7/18/12 25,426,884 25,220,680 206,204
Canadian Dollar Sell 7/18/12 25,426,884 25,239,130 (187,754)
Canadian Dollar Sell 8/16/12 1,474,752 1,456,073 (18,679)
Chilean Peso Buy 7/18/12 11,018,851 10,909,702 109,149
Chilean Peso Sell 7/18/12 11,018,851 11,020,654 1,803
Chilean Peso Buy 8/16/12 3,491,619 3,493,931 (2,312)
Czech Koruna Buy 7/18/12 19,564,653 19,649,831 (85,178)
Czech Koruna Sell 7/18/12 19,564,653 19,216,034 (348,619)
Czech Koruna Sell 8/16/12 19,562,950 19,646,895 83,945
Euro Buy 7/18/12 64,934,131 63,860,075 1,074,056
Euro Sell 7/18/12 64,934,131 64,550,690 (383,441)
Euro Sell 8/16/12 59,168,541 58,133,131 (1,035,410)
Japanese Yen Buy 7/18/12 25,228,255 25,402,407 (174,152)
Japanese Yen Sell 7/18/12 25,228,255 25,440,069 211,814
Japanese Yen Sell 8/16/12 25,238,308 25,414,575 176,267
Norwegian Krone Buy 7/18/12 18,165,397 17,706,055 459,342
Norwegian Krone Sell 7/18/12 18,165,397 17,811,796 (353,601)
Norwegian Krone Buy 8/16/12 18,146,465 17,794,500 351,965
Singapore Dollar Sell 7/18/12 7,849,585 7,788,966 (60,619)
South Korean Won Buy 7/18/12 7,780,722 7,717,738 62,984
Swedish Krona Buy 7/18/12 26,339,494 25,653,954 685,540
Swedish Krona Sell 7/18/12 26,339,494 25,432,619 (906,875)
Swedish Krona Buy 8/16/12 3,427,301 3,358,214 69,087
Swiss Franc Buy 7/18/12 1,811,291 1,788,252 23,039
Swiss Franc Sell 7/18/12 1,811,291 1,777,985 (33,306)
Swiss Franc Buy 8/16/12 1,812,581 1,779,181 33,400
Turkish Lira Buy 7/18/12 20,681,212 20,283,802 397,410
Turkish Lira Sell 7/18/12 20,681,212 20,451,362 (229,850)
Turkish Lira Buy 8/16/12 12,654,893 12,718,987 (64,094)
HSBC Bank USA, National Association
Australian Dollar Buy 7/18/12 25,689,154 25,050,455 638,699
Australian Dollar Sell 7/18/12 25,689,154 24,575,910 (1,113,244)
Australian Dollar Buy 8/16/12 16,681,480 16,708,506 (27,026)
British Pound Buy 7/18/12 42,527,828 42,224,498 303,330
British Pound Sell 7/18/12 42,527,828 41,953,840 (573,988)
British Pound Buy 8/16/12 16,271,357 16,125,637 145,720
Canadian Dollar Buy 7/18/12 16,916,759 16,702,159 214,600
Canadian Dollar Sell 7/18/12 16,916,759 16,783,175 (133,584)
Canadian Dollar Sell 8/16/12 16,654,326 16,446,568 (207,758)
Czech Koruna Buy 7/18/12 33,184,159 32,494,624 689,535
Czech Koruna Sell 7/18/12 33,184,159 32,310,008 (874,151)
Czech Koruna Sell 8/16/12 8,546,174 8,569,831 23,657
Euro Buy 7/18/12 158,495,602 155,936,127 2,559,475
Euro Sell 7/18/12 158,495,602 157,163,571 (1,332,031)
Euro Sell 8/16/12 53,968,892 53,044,509 (924,383)
Indian Rupee Sell 7/18/12 12,049,810 12,012,624 (37,186)
Japanese Yen Buy 7/18/12 26,513,750 26,598,396 (84,646)
Japanese Yen Sell 7/18/12 26,513,750 27,057,105 543,355
Japanese Yen Sell 8/16/12 5,417,568 5,453,549 35,981
Norwegian Krone Buy 7/18/12 28,862,721 28,148,554 714,167
Norwegian Krone Sell 7/18/12 28,862,721 27,986,091 (876,630)
Norwegian Krone Buy 8/16/12 2,362,181 2,315,793 46,388
Singapore Dollar Sell 7/18/12 2,325,391 2,288,162 (37,229)
South Korean Won Buy 7/18/12 8,024,287 7,847,684 176,603
South Korean Won Sell 7/18/12 8,024,287 7,745,196 (279,091)
Turkish Lira Buy 7/18/12 17,264,517 17,032,676 231,841
Turkish Lira Sell 7/18/12 17,264,517 17,236,304 (28,213)
Turkish Lira Buy 8/16/12 17,158,884 17,145,765 13,119
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 7/18/12 27,269,611 26,839,892 429,719
Australian Dollar Sell 7/18/12 27,269,611 25,904,971 (1,364,640)
Australian Dollar Buy 8/16/12 16,674,889 16,700,759 (25,870)
British Pound Buy 7/18/12 27,579,681 27,554,626 25,055
British Pound Sell 7/18/12 27,579,681 27,195,085 (384,596)
British Pound Buy 8/16/12 13,730,462 13,606,182 124,280
Canadian Dollar Buy 7/18/12 42,686,915 41,945,311 741,604
Canadian Dollar Sell 7/18/12 42,686,915 42,272,061 (414,854)
Canadian Dollar Sell 8/16/12 16,596,726 16,391,274 (205,452)
Chilean Peso Buy 7/18/12 23,304,217 22,847,650 456,567
Chilean Peso Sell 7/18/12 23,304,217 22,850,567 (453,650)
Chilean Peso Buy 8/16/12 4,881,247 4,881,570 (323)
Czech Koruna Buy 7/18/12 15,445,495 15,489,597 (44,102)
Czech Koruna Sell 7/18/12 15,445,495 15,288,986 (156,509)
Czech Koruna Sell 8/16/12 15,444,150 15,487,287 43,137
Euro Buy 7/18/12 165,739,925 162,961,227 2,778,698
Euro Sell 7/18/12 165,739,925 163,899,823 (1,840,102)
Euro Sell 8/16/12 88,633,429 87,067,702 (1,565,727)
Hungarian Forint Buy 7/18/12 8,368,889 7,987,876 381,013
Hungarian Forint Sell 7/18/12 8,368,889 7,590,482 (778,407)
Japanese Yen Buy 7/18/12 25,057,143 25,596,468 (539,325)
Japanese Yen Sell 7/18/12 25,057,143 25,520,094 462,951
Japanese Yen Buy 8/16/12 4,684,135 4,717,385 (33,250)
Mexican Peso Buy 7/18/12 15,944,866 15,734,655 210,211
Mexican Peso Sell 7/18/12 15,944,866 15,124,563 (820,303)
Mexican Peso Sell 8/16/12 6,521,845 6,538,466 16,621
New Zealand Dollar Sell 7/18/12 9,042,003 8,392,686 (649,317)
Norwegian Krone Buy 7/18/12 48,289,996 47,374,623 915,373
Norwegian Krone Sell 7/18/12 48,289,996 47,121,807 (1,168,189)
Norwegian Krone Buy 8/16/12 4,749,118 4,675,502 73,616
Peruvian New Sol Buy 7/18/12 12,488,430 12,524,878 (36,448)
Peruvian New Sol Sell 7/18/12 12,488,430 12,307,496 (180,934)
Peruvian New Sol Sell 8/16/12 9,760,664 9,784,450 23,786
Polish Zloty Buy 7/18/12 8,260,878 7,985,953 274,925
Polish Zloty Sell 7/18/12 8,260,878 7,661,989 (598,889)
Russian Ruble Buy 7/18/12 3,886,555 3,895,324 (8,769)
Russian Ruble Sell 7/18/12 3,886,555 3,800,202 (86,353)
Russian Ruble Sell 8/16/12 3,866,368 3,875,587 9,219
Singapore Dollar Buy 7/18/12 1,914,578 1,825,978 88,600
South African Rand Buy 7/18/12 15,716,992 15,513,975 203,017
South African Rand Sell 7/18/12 15,716,992 15,222,023 (494,969)
South African Rand Buy 8/16/12 5,632,432 5,610,623 21,809
South Korean Won Buy 7/18/12 7,638,466 7,559,847 78,619
Swedish Krona Buy 7/18/12 62,999,381 61,851,362 1,148,019
Swedish Krona Sell 7/18/12 62,999,381 61,254,674 (1,744,707)
Swedish Krona Buy 8/16/12 5,032,894 5,314,017 (281,123)
Swiss Franc Buy 7/18/12 3,637,654 3,591,571 46,083
Swiss Franc Sell 7/18/12 3,637,654 3,570,394 (67,260)
Swiss Franc Buy 8/16/12 3,640,243 3,573,462 66,781
Taiwan Dollar Sell 7/18/12 7,570,854 7,571,386 532
Turkish Lira Buy 7/18/12 24,277,077 23,978,783 298,294
Turkish Lira Sell 7/18/12 24,277,077 24,032,480 (244,597)
Turkish Lira Buy 8/16/12 16,228,757 16,280,488 (51,731)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 7/18/12 54,652,567 53,192,674 1,459,893
Australian Dollar Sell 7/18/12 54,652,567 52,075,897 (2,576,670)
Australian Dollar Sell 8/16/12 28,384,872 27,836,861 (548,011)
Brazilian Real Buy 7/18/12 1,194,650 1,178,325 16,325
Brazilian Real Sell 7/18/12 1,194,650 1,190,935 (3,715)
Brazilian Real Buy 8/16/12 1,182,604 1,179,406 3,198
British Pound Buy 7/18/12 25,789,480 25,645,835 143,645
British Pound Sell 7/18/12 25,789,480 25,507,050 (282,430)
British Pound Buy 8/16/12 21,692,971 21,487,339 205,632
Canadian Dollar Buy 7/18/12 16,403,912 16,214,986 188,926
Canadian Dollar Sell 7/18/12 16,403,912 16,079,211 (324,701)
Canadian Dollar Sell 8/16/12 16,393,406 16,203,820 (189,586)
Chilean Peso Buy 7/18/12 7,971,448 7,773,643 197,805
Chilean Peso Sell 7/18/12 7,971,448 7,971,291 (157)
Chilean Peso Buy 8/16/12 456,611 456,823 (212)
Czech Koruna Buy 7/18/12 19,400,002 19,195,259 204,743
Czech Koruna Sell 7/18/12 19,400,002 19,052,717 (347,285)
Czech Koruna Sell 8/16/12 11,385,705 11,414,385 28,680
Euro Buy 7/18/12 115,939,667 115,167,992 771,675
Euro Sell 7/18/12 115,939,667 114,612,537 (1,327,130)
Euro Sell 8/16/12 37,654,791 37,663,004 8,213
Japanese Yen Buy 7/18/12 50,798,961 51,530,034 (731,073)
Japanese Yen Sell 7/18/12 50,798,961 51,707,879 908,918
Japanese Yen Sell 8/16/12 9,000,483 9,055,783 55,300
Mexican Peso Buy 7/18/12 9,226,212 9,005,247 220,965
Mexican Peso Sell 7/18/12 9,226,212 8,759,697 (466,515)
Mexican Peso Sell 8/16/12 1,453,691 1,456,862 3,171
New Zealand Dollar Sell 7/18/12 7,933,753 7,583,918 (349,835)
Norwegian Krone Buy 7/18/12 48,733,203 47,795,989 937,214
Norwegian Krone Sell 7/18/12 48,733,203 47,700,859 (1,032,344)
Norwegian Krone Buy 8/16/12 5,900,300 5,781,292 119,008
Polish Zloty Buy 7/18/12 8,260,878 7,986,346 274,532
Polish Zloty Sell 7/18/12 8,260,878 7,662,415 (598,463)
Singapore Dollar Sell 7/18/12 8,036,520 7,924,253 (112,267)
South African Rand Buy 7/18/12 7,922,425 7,887,979 34,446
South African Rand Sell 7/18/12 7,922,425 7,444,247 (478,178)
South Korean Won Buy 7/18/12 6,918,242 6,887,799 30,443
Swedish Krona Buy 7/18/12 29,343,227 28,586,993 756,234
Swedish Krona Sell 7/18/12 29,343,227 28,038,591 (1,304,636)
Swiss Franc Buy 7/18/12 12,583,764 12,422,023 161,741
Swiss Franc Sell 7/18/12 12,583,764 12,347,260 (236,504)
Swiss Franc Buy 8/16/12 12,592,721 12,357,867 234,854
Taiwan Dollar Sell 7/18/12 7,622,982 7,613,580 (9,402)
Turkish Lira Buy 7/18/12 17,013,722 16,713,507 300,215
Turkish Lira Sell 7/18/12 17,013,722 17,027,128 13,406
Turkish Lira Buy 8/16/12 16,909,623 16,932,829 (23,206)
State Street Bank and Trust Co.
Australian Dollar Buy 7/18/12 85,864,822 83,698,084 2,166,738
Australian Dollar Sell 7/18/12 85,864,822 82,099,109 (3,765,713)
Australian Dollar Buy 8/16/12 17,028,069 16,717,694 310,375
Brazilian Real Buy 7/18/12 9,608,365 9,477,338 131,027
Brazilian Real Sell 7/18/12 9,608,365 9,345,357 (263,008)
Brazilian Real Sell 8/16/12 1,874,192 1,873,458 (734)
British Pound Buy 7/18/12 25,265,622 25,162,807 102,815
British Pound Sell 7/18/12 25,265,622 24,932,127 (333,495)
British Pound Sell 8/16/12 2,248,113 2,402,195 154,082
Canadian Dollar Buy 7/18/12 51,060,262 50,573,687 486,575
Canadian Dollar Sell 7/18/12 51,060,262 50,265,989 (794,273)
Canadian Dollar Sell 8/16/12 25,216,013 24,900,485 (315,528)
Chilean Peso Buy 7/18/12 15,392,952 15,307,840 85,112
Chilean Peso Sell 7/18/12 15,392,952 15,383,499 (9,453)
Chilean Peso Buy 8/16/12 7,847,929 7,857,809 (9,880)
Czech Koruna Buy 7/18/12 30,654,465 30,438,707 215,758
Czech Koruna Sell 7/18/12 30,654,465 30,070,025 (584,440)
Czech Koruna Sell 8/16/12 18,646,319 18,696,540 50,221
Euro Buy 7/18/12 177,865,223 175,394,313 2,470,910
Euro Sell 7/18/12 177,865,223 176,497,967 (1,367,256)
Euro Sell 8/16/12 74,771,665 73,423,196 (1,348,469)
Hungarian Forint Buy 7/18/12 14,763,190 13,688,213 1,074,977
Hungarian Forint Sell 7/18/12 14,763,190 14,012,372 (750,818)
Hungarian Forint Buy 8/16/12 6,368,953 6,398,249 (29,296)
Japanese Yen Buy 7/18/12 75,278,749 75,827,209 (548,460)
Japanese Yen Sell 7/18/12 75,278,749 76,407,711 1,128,962
Japanese Yen Buy 8/16/12 1,248,740 1,257,334 (8,594)
Mexican Peso Buy 7/18/12 8,174,764 8,195,805 (21,041)
Mexican Peso Sell 7/18/12 8,174,764 7,797,539 (377,225)
Mexican Peso Sell 8/16/12 8,151,969 8,170,909 18,940
New Zealand Dollar Sell 7/18/12 15,791,938 15,324,317 (467,621)
Norwegian Krone Buy 7/18/12 58,924,768 57,660,716 1,264,052
Norwegian Krone Sell 7/18/12 58,924,768 57,299,183 (1,625,585)
Norwegian Krone Buy 8/16/12 5,930,662 5,816,015 114,647
Polish Zloty Buy 7/18/12 1,673,555 1,631,616 41,939
Polish Zloty Sell 7/18/12 1,673,555 1,578,055 (95,500)
Singapore Dollar Buy 7/18/12 1,985,467 2,022,921 (37,454)
South African Rand Buy 7/18/12 3,422,828 3,742,570 (319,742)
South Korean Won Buy 7/18/12 6,787,499 6,794,599 (7,100)
Swedish Krona Buy 7/18/12 55,221,954 54,662,274 559,680
Swedish Krona Sell 7/18/12 55,221,954 53,223,668 (1,998,286)
Swedish Krona Buy 8/16/12 34,567,918 33,904,144 663,774
Taiwan Dollar Sell 7/18/12 1,959,451 1,905,610 (53,841)
Thai Baht Buy 7/18/12 7,880,422 7,952,689 (72,267)
Turkish Lira Buy 7/18/12 14,976,951 14,817,798 159,153
Turkish Lira Sell 7/18/12 14,976,951 15,051,827 74,876
Turkish Lira Buy 8/16/12 14,885,313 14,968,943 (83,630)
UBS AG
Australian Dollar Buy 7/18/12 78,317,219 76,578,395 1,738,824
Australian Dollar Sell 7/18/12 78,317,219 75,468,031 (2,849,188)
Australian Dollar Buy 8/16/12 13,942,407 13,687,454 254,953
British Pound Buy 7/18/12 26,177,715 25,707,262 470,453
British Pound Sell 7/18/12 26,177,715 25,680,808 (496,907)
British Pound Buy 8/16/12 9,083 9,000 83
Canadian Dollar Buy 7/18/12 51,695,355 51,199,524 495,831
Canadian Dollar Sell 7/18/12 51,695,355 51,008,181 (687,174)
Canadian Dollar Sell 8/16/12 37,018,053 36,737,467 (280,586)
Czech Koruna Buy 7/18/12 23,205,763 23,013,787 191,976
Czech Koruna Sell 7/18/12 23,205,763 22,793,811 (411,952)
Czech Koruna Sell 8/16/12 15,191,136 15,234,474 43,338
Euro Buy 7/18/12 77,352,048 76,228,459 1,123,589
Euro Sell 7/18/12 77,352,048 76,937,934 (414,114)
Euro Sell 8/16/12 24,738,591 24,305,330 (433,261)
Hungarian Forint Buy 7/18/12 16,141,269 15,437,035 704,234
Hungarian Forint Sell 7/18/12 16,141,269 15,326,793 (814,476)
Hungarian Forint Buy 8/16/12 4,929,609 4,953,862 (24,253)
Indian Rupee Sell 7/18/12 7,681,137 7,689,596 8,459
Japanese Yen Buy 7/18/12 50,602,176 51,391,764 (789,588)
Japanese Yen Sell 7/18/12 50,602,176 51,307,307 705,131
Japanese Yen Buy 8/16/12 24,771,057 24,946,199 (175,142)
Mexican Peso Buy 7/18/12 16,229,559 15,464,524 765,035
Mexican Peso Sell 7/18/12 16,229,559 15,337,594 (891,965)
Mexican Peso Sell 8/16/12 175,917 176,165 248
New Zealand Dollar Sell 7/18/12 3,598,233 3,260,845 (337,388)
Norwegian Krone Buy 7/18/12 37,073,942 36,425,462 648,480
Norwegian Krone Sell 7/18/12 37,073,942 36,133,057 (940,885)
Norwegian Krone Sell 8/16/12 10,994,111 10,781,582 (212,529)
Philippines Peso Buy 7/18/12 8,103,579 7,902,955 200,624
Polish Zloty Buy 7/18/12 12,193,253 11,827,995 365,258
Polish Zloty Sell 7/18/12 12,193,253 11,643,878 (549,375)
Polish Zloty Buy 8/16/12 869,399 869,481 (82)
Singapore Dollar Sell 7/18/12 6,023,423 5,964,930 (58,493)
South African Rand Buy 7/18/12 8,100,630 7,771,407 329,223
South African Rand Sell 7/18/12 8,100,630 7,907,258 (193,372)
South Korean Won Buy 7/18/12 7,988,519 7,765,163 223,356
South Korean Won Sell 7/18/12 7,988,519 7,764,664 (223,855)
Swedish Krona Buy 7/18/12 26,936,247 25,917,371 1,018,876
Swedish Krona Sell 7/18/12 26,936,247 25,995,629 (940,618)
Swedish Krona Buy 8/16/12 6,708,557 6,573,381 135,176
Swiss Franc Buy 7/18/12 27,586,834 27,075,356 511,478
Swiss Franc Sell 7/18/12 27,586,834 27,225,458 (361,376)
Swiss Franc Sell 8/16/12 27,606,470 27,094,133 (512,337)
Taiwan Dollar Sell 7/18/12 1,025,169 983,484 (41,685)
Thai Baht Buy 7/18/12 7,880,422 7,957,993 (77,571)
Turkish Lira Buy 7/18/12 12,911,804 12,679,415 232,389
Turkish Lira Sell 7/18/12 12,911,804 12,952,689 40,885
Turkish Lira Buy 8/16/12 12,832,803 12,880,006 (47,203)
Westpac Banking Corp.
Australian Dollar Buy 7/18/12 39,381,364 38,728,755 652,609
Australian Dollar Sell 7/18/12 39,381,364 37,415,053 (1,966,311)
Australian Dollar Buy 8/16/12 20,026,277 19,954,885 71,392
British Pound Buy 7/18/12 25,789,480 25,645,176 144,304
British Pound Sell 7/18/12 25,789,480 25,495,181 (294,299)
British Pound Buy 8/16/12 19,696,824 19,518,037 178,787
Canadian Dollar Buy 7/18/12 25,482,656 25,164,744 317,912
Canadian Dollar Sell 7/18/12 25,482,656 25,479,000 (3,656)
Canadian Dollar Sell 8/16/12 25,466,335 25,150,111 (316,224)
Euro Buy 7/18/12 93,667,785 91,943,766 1,724,019
Euro Sell 7/18/12 93,667,785 92,966,944 (700,841)
Euro Sell 8/16/12 67,409,184 66,230,102 (1,179,082)
Japanese Yen Buy 7/18/12 21,098,340 21,146,204 (47,864)
Japanese Yen Sell 7/18/12 21,098,340 21,491,705 393,365
Japanese Yen Buy 8/16/12 3,395,973 3,419,906 (23,933)
Mexican Peso Buy 7/18/12 15,925,629 15,691,241 234,388
Mexican Peso Sell 7/18/12 15,925,629 15,225,736 (699,893)
Mexican Peso Sell 8/16/12 7,647,358 7,668,281 20,923
Norwegian Krone Buy 7/18/12 36,956,163 36,021,489 934,674
Norwegian Krone Sell 7/18/12 36,956,163 35,942,670 (1,013,493)
Norwegian Krone Buy 8/16/12 10,447,221 10,252,858 194,363
Swedish Krona Buy 7/18/12 28,699,330 27,871,399 827,931
Swedish Krona Sell 7/18/12 28,699,330 28,129,477 (569,853)
Swedish Krona Buy 8/16/12 28,668,796 28,102,574 566,222
Total $(26,733,216)












FUTURES CONTRACTS OUTSTANDING at 6/30/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 3 yr (Short) 465 $52,538,132             Sep-12 $192,259
Australian Government Treasury Bond 10 yr (Short) 20 2,568,119             Sep-12 15,047
Canadian Government Bond 10 yr (Long) 358 48,683,921             Sep-12 437,509
Euro-Swiss Franc 3 Month (Short) 547 144,105,094             Dec-12 (2,102,379)
Japanese Government Bond 10 yr (Long) 9 16,178,270             Sep-12 46,060
Japanese Government Bond 10 yr Mini (Long) 59 10,606,493             Sep-12 32,144
U.K. Gilt 10 yr (Short) 103 19,214,058             Sep-12 133,444
U.S. Treasury Note 10 yr (Long) 152 20,273,000             Sep-12 (16,967)
Total $(1,262,883)












WRITTEN OPTIONS OUTSTANDING at 6/30/12 (premiums received $201,792,634) (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 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. $41,851,085       Aug-16/4.35 $7,002,942
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 106,463,926       Aug-16/4.68 2,138,860
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. 106,463,926       Aug-16/4.68 20,323,325
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 86,626,761       Jul-16/4.67 1,748,128
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. 86,626,761       Jul-16/4.67 16,476,237
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 35,487,976       Jul-16/4.80 665,045
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. 35,487,976       Jul-16/4.80 7,101,925
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 2021. 123,579,123       Jun-16/4.89 1,045,727
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 2021. 123,579,123       Jun-16/4.39 12,591,477
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 2021. 125,585,277       Jun-16/5.12 991,370
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 2021. 125,585,277       Jun-16/4.12 11,550,957
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 2021. 377,999,419       May-16/4.705 3,499,519
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 2021. 377,999,419       May-16/4.705 43,965,868
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 13,802,000       Jul-12/2.1714 482,242
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 May 2021. 97,522,326       May-16/5.11 766,721
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 May 2021. 97,522,326       May-16/4.11 8,940,652
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 10,878,400       Aug-12/2.855 326
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. 10,878,400       Aug-12/2.855 1,054,008
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 13,802,000       Jul-12/2.1714 482,242
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 13,802,000       Jul-12/2.1714 482,242
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 May 2021. 100,615,452       May-16/4.60 943,773
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 May 2021. 100,615,452       May-16/4.60 11,470,162
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 2021. 8,885,697       May-16/4.765 79,971
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 2021. 8,885,697       May-16/4.765 1,075,169
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. 42,739,547       Sep-16/3.49 1,836,518
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. 42,739,547       Sep-16/3.49 4,275,237
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 13,802,000       Jul-12/2.1714 482,242
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 May 2021. 101,118,714       May-16/4.86 913,102
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 May 2021. 101,118,714       May-16/4.36 10,253,438
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 88,935,500       Aug-15/4.375 3,090,509
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 88,935,500       Aug-15/4.375 30,669,407
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 88,935,500       Aug-15/4.46 2,877,953
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 88,935,500       Aug-15/4.46 31,982,985
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 49,952,737       Jul-16/4.79 938,112
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 49,952,737       Jul-16/4.79 9,407,099
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 89,044,022       Jul-16/4.74 1,714,097
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 89,044,022       Jul-16/4.74 16,446,431
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 122,794,492       Jun-16/4.575 1,172,687
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 122,794,492       Jun-16/4.575 13,443,541
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 153,027,000       Sep-15/4.04 3,166,129
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 153,027,000       Sep-15/4.04 22,113,932
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 13,802,000       Jul-12/2.1714 482,240
Total $310,144,547












TBA SALE COMMITMENTS OUTSTANDING at 6/30/12 (proceeds receivable $32,554,844) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association 3 1/2s, July 1, 2042 $31,000,000       7/12/12 $32,579,063
Total $32,579,063















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/12 (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.
$199,305,000 $—      5/14/14 0.58% 3 month USD-LIBOR-BBA $(170,357)
220,862,000 —      5/14/17 3 month USD-LIBOR-BBA 1.0925% 1,761,121
306,682,000 —      5/14/14 3 month USD-LIBOR-BBA 0.577% 242,536
295,858,000 —      5/14/17 1.1005% 3 month USD-LIBOR-BBA (2,474,510)
13,516,000 358,749      6/20/22 2.183% 3 month USD-LIBOR-BBA (156,536)
CAD 28,405,000 —      6/13/14 1.285% 3 month CAD-BA-CDOR (15,880)
CAD 48,444,000 —      6/13/17 1.5875% 3 month CAD-BA-CDOR (82,189)
CAD 12,157,000 —      6/13/22 2.20% 3 month CAD-BA-CDOR (37,461)
Barclay’s Bank, PLC
$665,533,000 (E) 10,685,101      9/19/22 2.00% 3 month USD-LIBOR-BBA 868,489
108,094,000 (E) (130,553)     9/19/14 0.60% 3 month USD-LIBOR-BBA (187,843)
9,000,000 (E) 4,950      9/19/14 3 month USD-LIBOR-BBA 0.60% 9,720
28,000,000 (E) (53,760)     9/19/17 1.10% 3 month USD-LIBOR-BBA (140,840)
227,069,000 (E) (3,088,301)     9/19/22 3 month USD-LIBOR-BBA 2.00% 260,967
35,000,000 (E) (2,026,500)     9/19/42 3 month USD-LIBOR-BBA 2.75% (422,450)
27,810,000 —      6/15/22 1.807% 3 month USD-LIBOR-BBA (91,083)
13,516,000 356,147      6/20/22 2.183% 3 month USD-LIBOR-BBA (159,138)
AUD 7,717,000 —      6/22/22 6 month AUD-BBR-BBSW 4.035% 28,015
AUD 34,670,000 —      6/22/22 4.06% 6 month AUD-BBR-BBSW (199,174)
AUD 36,601,000 —      6/29/22 3.9275% 6 month AUD-BBR-BBSW 196,999
EUR 170,294,000 —      6/18/14 0.935% 6 month EUR-EURIBOR-REUTERS (323,875)
EUR 87,172,000 —      6/18/17 1.365% 6 month EUR-EURIBOR-REUTERS (322,332)
EUR 52,994,000 —      6/18/22 1.945% 6 month EUR-EURIBOR-REUTERS 250,842
EUR 5,200,000 —      6/18/42 6 month EUR-EURIBOR-REUTERS 2.24% (83,209)
EUR 59,047,000 —      6/19/22 6 month EUR-EURIBOR-REUTERS 1.934% (357,271)
EUR 19,427,000 —      6/19/22 1.885% 6 month EUR-EURIBOR-REUTERS 229,313
EUR 30,198,000 —      6/25/22 6 month EUR-EURIBOR-REUTERS 1.97682% (44,241)
GBP 43,243,000 —      6/14/17 6 month GBP-LIBOR-BBA 1.3775% 368,633
GBP 8,656,000 —      6/14/22 6 month GBP-LIBOR-BBA 2.13% 37,586
GBP 81,650,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (11,738,421)
GBP 36,488,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (7,948,421)
GBP 123,490,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 16,046,719
Citibank, N.A.
$10,846,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 281,562
612,030,000 (E) 887,153      9/19/17 1.10% 3 month USD-LIBOR-BBA (1,016,260)
15,026,000 (E) 88,654      9/19/17 3 month USD-LIBOR-BBA 1.10% 135,384
311,046,000 (E) 3,773,468      9/19/22 2.00% 3 month USD-LIBOR-BBA (814,461)
70,457,000 (E) 6,378      9/19/14 0.60% 3 month USD-LIBOR-BBA (30,964)
113,238,000 (E) (1,526,395)     9/19/22 3 month USD-LIBOR-BBA 2.00% 143,865
8,420,000 (E) (505,620)     9/19/42 3 month USD-LIBOR-BBA 2.75% (119,731)
Credit Suisse International
578,893,000 (E) (3,989,524)     9/19/22 3 month USD-LIBOR-BBA 2.00% 4,549,149
496,018,000 (E) 392,746      9/19/14 3 month USD-LIBOR-BBA 0.60% 655,634
363,693,000 (E) (465,501)     9/19/17 3 month USD-LIBOR-BBA 1.10% 665,586
12,717,000 (E) (548,625)     9/19/42 3 month USD-LIBOR-BBA 2.75% 34,196
1,417,853,700 (E) 11,377,766      9/19/22 2.00% 3 month USD-LIBOR-BBA (9,535,577)
83,312,000 (E) 3,401,697      9/19/42 2.75% 3 month USD-LIBOR-BBA (416,491)
284,053,000 (E) (43,648)     9/19/14 0.60% 3 month USD-LIBOR-BBA (194,195)
214,167,000 (E) (719,188)     9/19/17 1.10% 3 month USD-LIBOR-BBA (1,385,248)
39,163,000 —      6/25/22 3 month USD-LIBOR-BBA 1.7975% 63,118
20,335,000 —      7/2/22 1.7175% 3 month USD-LIBOR-BBA 129,941
12,257,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 719,854
CAD 213,478,000 —      6/13/14 1.28797% 3 month CAD-BA-CDOR (132,229)
CAD 7,676,000 —      6/13/17 3 month CAD-BA-CDOR 1.57927% 10,052
CAD 90,954,000 —      6/13/22 3 month CAD-BA-CDOR 2.19177% 212,905
CAD 28,425,000 —      6/15/22 2.135% 3 month CAD-BA-CDOR 80,621
CAD 25,159,000 —      6/29/22 2.1725% 3 month CAD-BA-CDOR 6,981
CHF 6,285,000 —      5/11/22 6 month CHF-LIBOR-BBA 0.975% (5,803)
CHF 52,573,000 —      5/14/22 1.0125% 6 month CHF-LIBOR-BBA (150,944)
CHF 53,217,000 —      6/19/22 0.94% 6 month CHF-LIBOR-BBA 400,198
EUR 119,996,000 —      6/15/14 6 month EUR-EURIBOR-REUTERS 0.943% 253,259
EUR 48,466,000 —      6/15/17 6 month EUR-EURIBOR-REUTERS 1.377% 224,075
EUR 45,797,000 —      6/15/22 6 month EUR-EURIBOR-REUTERS 1.947% (193,282)
EUR 161,600,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS 19,509
EUR 19,246,000 —      7/2/22 6 month EUR-EURIBOR-REUTERS 1.937% (127,624)
EUR 18,241,000 —      7/3/22 6 month EUR-EURIBOR-REUTERS 1.985% (19,239)
EUR 16,298,000 —      7/3/22 6 month EUR-EURIBOR-REUTERS 1.976% (34,398)
GBP 37,196,000 —      6/13/17 1.44% 6 month GBP-LIBOR-BBA (496,062)
GBP 38,210,000 —      6/13/22 6 month GBP-LIBOR-BBA 2.1675% 377,784
GBP 38,635,000 —      6/15/22 6 month GBP-LIBOR-BBA 2.0125% (476,980)
GBP 14,034,000 —      6/15/22 1.96% 6 month GBP-LIBOR-BBA 280,366
GBP 81,675,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 10,907,806
MXN 364,910,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% 2,252,388
SEK 921,110,000 —      5/16/22 2.205% 3 month SEK-STIBOR-SIDE 2,195,773
SEK 98,415,000 —      6/19/22 3 month SEK-STIBOR-SIDE 2.38% (19,224)
SEK 122,845,000 —      7/2/22 3 month SEK-STIBOR-SIDE 2.325% (115,254)
Deutsche Bank AG
$5,491,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 138,812
247,418,000 (E) 2,115,960      9/19/22 2.00% 3 month USD-LIBOR-BBA (1,533,457)
47,331,000 (E) (724,638)     9/19/22 3 month USD-LIBOR-BBA 2.00% (26,505)
7,002,000 (E) (6,162)     9/19/17 3 month USD-LIBOR-BBA 1.10% 15,614
KRW 42,221,000,000 —      4/24/17 3.54% 3 month KRW-CD-KSDA-BLOOMBERG (394,213)
MXN 364,910,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% 2,314,490
PLN 73,361,000 —      4/16/17 5.01% 6 month PLN-WIBOR-WIBO (398,817)
ZAR 158,430,000 —      4/17/17 3 month ZAR-JIBAR-SAFEX 6.76% 490,549
Goldman Sachs International
$2,322,096,000 (E) 1,265,323      9/19/14 0.60% 3 month USD-LIBOR-BBA 34,610
99,039,000 (E) 184,213      9/19/14 3 month USD-LIBOR-BBA 0.60% 236,703
698,058,000 (E) 8,657,942      9/19/22 2.00% 3 month USD-LIBOR-BBA (1,638,414)
166,043,000 (E) (2,150,530)     9/19/22 3 month USD-LIBOR-BBA 2.00% 298,604
9,297,000 (E) (4,091)     9/19/17 1.10% 3 month USD-LIBOR-BBA (33,004)
30,579,000 (E) (1,792,717)     9/19/42 3 month USD-LIBOR-BBA 2.75% (391,282)
169,095,300 —      2/22/14 1 month USD-FEDERAL FUNDS-H.15 0.1925% 8,949
45,563,000 —      2/23/14 0.19625% 1 month USD-FEDERAL FUNDS-H.15 (5,690)
AUD 18,034,000 —      6/21/22 4.005% 6 month AUD-BBR-BBSW (14,726)
AUD 6,426,000 —      6/22/22 4.035% 6 month AUD-BBR-BBSW (23,328)
CHF 82,034,000 —      6/29/22 0.985% 6 month CHF-LIBOR-BBA 281,404
EUR 14,784,000 —      6/15/17 1.381% 6 month EUR-EURIBOR-REUTERS (71,939)
EUR 29,142,000 —      6/15/22 6 month EUR-EURIBOR-REUTERS 1.952% (105,945)
EUR 4,139,000 —      6/15/42 2.262% 6 month EUR-EURIBOR-REUTERS 40,153
EUR 58,686,000 —      6/19/22 6 month EUR-EURIBOR-REUTERS 1.919% (458,686)
GBP 70,096,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 2,633,643
GBP 36,428,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 3,433,180
GBP 66,299,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (1,984,271)
GBP 71,573,000 —      6/13/22 6 month GBP-LIBOR-BBA 2.1725% 759,484
GBP 23,291,000 —      6/13/17 1.4425% 6 month GBP-LIBOR-BBA (315,406)
GBP 8,632,000 —      6/20/22 6 month GBP-LIBOR-BBA 2.085% (16,680)
GBP 63,643,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (6,224,672)
GBP 63,644,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (5,612,758)
GBP 7,383,000 —      6/28/22 2.02375% 6 month GBP-LIBOR-BBA 84,769
SEK 98,145,000 —      5/16/22 3 month SEK-STIBOR-SIDE 2.205% (233,961)
SEK 252,260,000 —      5/29/22 3 month SEK-STIBOR-SIDE 2.215% (571,341)
SEK 212,159,000 —      6/11/22 2.28% 3 month SEK-STIBOR-SIDE 311,781
JPMorgan Chase Bank NA
$457,935,200 (E) 5,411,693      9/19/22 2.00% 3 month USD-LIBOR-BBA (1,342,851)
34,953,000 (E) 25,771      9/19/14 0.60% 3 month USD-LIBOR-BBA 7,245
20,117,000 (E) 17,301      9/19/17 1.10% 3 month USD-LIBOR-BBA (45,263)
37,250,000 (E) (642,563)     9/19/22 3 month USD-LIBOR-BBA 2.00% (93,125)
4,393,000 (E) 402,662      9/19/42 2.75% 3 month USD-LIBOR-BBA 201,331
18,422,000 (E) (1,200,264)     9/19/42 3 month USD-LIBOR-BBA 2.75% (355,983)
CAD 41,210,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (1,155,280)
CAD 72,924,000 —      5/2/15 3 month CAD-BA-CDOR 1.6575% 672,086
CAD 245,603,000 —      6/13/14 3 month CAD-BA-CDOR 1.2825% 124,945
CAD 40,671,000 —      6/13/17 3 month CAD-BA-CDOR 1.56% 16,132
CAD 23,251,000 —      6/13/22 2.175% 3 month CAD-BA-CDOR (19,525)
CAD 21,865,000 —      6/25/22 2.1725% 3 month CAD-BA-CDOR 1,482
EUR 1,258,000 —      6/15/42 2.245% 6 month EUR-EURIBOR-REUTERS 18,186
EUR 30,378,000 —      3/23/14 1 month EUR-EONIA-OIS-COMPOUND 0.506% 179,840
EUR 49,836,000 —      3/23/17 1 month EUR-EONIA-OIS-COMPOUND 1.147% 1,370,421
GBP 16,737,000 —      6/13/17 6 month GBP-LIBOR-BBA 1.446% 230,891
GBP 7,322,000 —      6/13/22 6 month GBP-LIBOR-BBA 2.175% 80,348
JPY 5,487,600,000 —      6/25/22 0.85% 6 month JPY-LIBOR-BBA (88,851)
JPY 7,598,700,000 —      7/2/22 6 month JPY-LIBOR-BBA 0.8225% (160,653)
JPY 8,709,509,000 —      2/20/22 6 month JPY-LIBOR-BBA 0.965% 1,911,997
JPY 2,192,700,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 1,330,131
JPY 2,948,000,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (276,600)
JPY 7,400,300,000 —      3/6/22 1.0175% 6 month JPY-LIBOR-BBA (2,046,010)
MXN 232,234,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (1,324,177)
MXN 299,735,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (1,739,797)
MXN 52,130,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% 341,204
MXN 325,230,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (1,161,676)
MXN 778,041,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (2,779,054)
MXN 325,230,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 1,547,770
MXN 528,640,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 2,830,501
The Royal Bank of Scotland PLC
$42,883,000 (E) 42,883      9/19/22 2.00% 3 month USD-LIBOR-BBA (589,641)
UBS AG
CHF 419,232,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (2,710,654)
Total $(9,335,231)
(E)   See Interest rate swap contracts note regarding extended effective dates.











TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/12 (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)
Barclay’s Bank, PLC
$9,466,693 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $31,069
1,634,908 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 99
4,313,180 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 7,882
3,689,030 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 5,035
4,313,180 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 3,347
3,947,147 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 14,581
3,619,138 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 12,623
11,751,363 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 38,567
9,384,893 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 35,185
16,284,047 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (84,051)
20,652,670 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 66,626
12,944,273 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 780
5,884,406 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 355
5,164,643 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 19,363
5,901,998 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 19,040
3,276,661 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 11,431
3,616,156 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,868
40,544,885 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (209,275)
30,891,203 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 115,814
11,702,891 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 37,754
1,367,577 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 942
2,092,952 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 3,209
11,480,947 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (59,260)
72,920,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (2,131,670)
25,992,087 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 20,167
5,454,448 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 4,232
54,922,178 197,377      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 122,091
5,097,239 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 13,530
61,976,998 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (319,898)
38,579,498 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 124,459
17,112,902 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (88,329)
809,647 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Ginnie Mae II pools (1,145)
58,086,468 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 202,639
166,460,119 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 624,072
12,076,905 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 9,370
46,997,509 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 176,197
8,295,214 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 27,224
26,900,015 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 88,283
19,501,982 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 64,003
276,316 —      1/12/39 (6.00%)1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 438
4,410,392 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,888
Citibank, N.A.
5,013,392 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 18,796
30,157,823 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 113,064
Credit Suisse International
17,707,346 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 66,386
92,076,343 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools 263,394
8,339,532 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 503
1,635,126 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (529)
18,388,178 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,109
3,689,030 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,830
28,065,056 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (144,859)
268,463 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 241
1,035,119 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,045
1,456,356 —      1/12/36 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,918
1,518,623 —      1/12/39 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,749
4,285,706 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (1,300)
4,285,706 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 14,278
Deutsche Bank AG
6,984,220 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 22,531
28,065,056 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (144,859)
747,568 —      1/12/34 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 2,416
1,419,743 —      1/12/36 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 4,367
Goldman Sachs International
24,625,459 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,485
3,947,147 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 238
3,619,138 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,172
41,680,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 758,993
31,260,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 538,297
9,750,268 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 14,948
8,416,896 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 507
470,500 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 28
14,113,683 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (72,849)
5,302,191 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (27,368)
3,508,132 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (18,107)
19,063,929 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,149
720,570 1,576      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,388
5,388,169 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (23,045)
6,080,762 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 31,386
6,514,566 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools (21,380)
5,047,985 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 15,536
6,229,174 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools (21,731)
35,063,294 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,114
8,366,372 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 504
16,023,837 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 966
15,779,903 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 951
15,011,788 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 905
19,334,251 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (99,795)
721,478 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 309
879,190 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Ginnie Mae II pools (1,698)
962,865 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,970)
2,568,654 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,258)
877,267 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,528)
34,850,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) 503,966
34,850,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) 554,707
12,777,703 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 770
34,850,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) 564,291
34,850,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) 822,112
26,198,002 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,579
12,799,807 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 772
GBP 21,746,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (825,894)
GBP 21,746,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (920,574)
GBP 21,746,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (929,770)
GBP 21,746,000 —      4/3/22 (3.21%) GBP Non-revised UK Retail Price Index (1,353,105)
The Royal Bank of Scotland PLC
$3,947,147 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 238
Total $(1,254,146)











CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/12 (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)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(147,863) $16,610,000 12/20/19 (100 bp) $3,470,849
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 334,446 2,860,000 3/20/17 500 bp (363,446)
  Russian Federation, 7 1/2%, 3/31/30 — — 987,500 4/20/13 (112 bp) (5,392)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B1 — EUR 2,045,000 9/20/13 715 bp 204,871
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 1,975,000 9/20/13 477 bp 120,631
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 1,975,000 9/20/13 535 bp 138,865
JPMorgan Chase Bank NA
  Russian Federation, 7 1/2%, 3/31/30 Baa1 — $495,000 9/20/13 276 bp 15,031
Morgan Stanley Capital Services LLC
  Republic of Venezuela, 9 1/4%, 9/15/27 B2 — 3,545,000 10/20/12 339 bp 19,781
Total $3,601,190
*   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, 2012.  










Key to holding's currency abbreviations
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
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
USD / $ United States Dollar
ZAR South African Rand
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which 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 rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
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, 2011 through June 30, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.
(a) Percentages indicated are based on net assets of $3,348,758,109.
(b) The aggregate identified cost on a tax basis is $3,876,231,604, resulting in gross unrealized appreciation and depreciation of $296,800,152 and $181,140,869, respectively, or net unrealized appreciation of $115,659,283.
(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 derivative contracts at the close of the reporting period.
(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 Management. 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 $69,964 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $1,325,260,791 and $1,388,802,029, 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 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.
(i) Security purchased with cash or security received, that was pledged to the fund for collateral on certain derivative contracts.
(P) Security purchased with cash or security received, that was pledged to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $549,202,506 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 dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 80.7%
Russia 4.1
Argentina 2.4
Venezuela 2.2
Luxembourg 1.4
Ukraine 1.0
Indonesia 0.9
United Kingdom 0.9
Netherlands 0.8
Brazil 0.8
Germany 0.7
Turkey 0.6
Mexico 0.6
Other 2.9
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.
Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. 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. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security 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.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates and to hedge against changes in values of securities it owns, owned or expects to own.
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 $9,899,000,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately $6,797,700,000 on written options contracts for the reporting period.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, 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 contract amount of approximately 5,100 futures contracts outstanding 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 were 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. 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 when the contract matures or by delivery of the currency. 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.
The fund had an average contract amount of approximately $5,192,800,000 on forward currency contracts for the reporting period.
Total return swap contracts: The fund entered 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 or industries and to gain exposure to rates of inflation in specific regions or 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.
Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Interest rate swap contracts: The fund entered 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 $34,541,800,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund entered 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 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. 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.
The fund had an average notional amount of approximately $82,900,000 on credit default swap contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps 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 $172,288,082 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 $126,016,218 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $119,523,736.
TBA purchase commitments: The fund may enter into TBA 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.












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 $— $94,248,622 $435,744
Convertible bonds and notes — 5,075,591 —
Corporate bonds and notes — 1,379,749,932 —
Foreign government and agency bonds and notes — 244,209,469 —
Mortgage-backed securities — 1,027,928,330 —
Purchased options outstanding — 524,727,334 —
Senior loans — 59,603,684 —
U.S. Government and agency mortgage obligations — 216,996,984 —
U.S. Treasury obligations — 41,490,484 —
Short-term investments 103,448,846 293,975,867 —
Totals by level $103,448,846 $3,888,006,297 $435,744



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


Forward currency contracts $— $(26,733,216) $—
Futures contracts (1,262,883) — —
Written options — (310,144,547) —
TBA sale commitments — (32,579,063) —
Interest rate swap contracts — (39,173,208) —
Total return swap contracts — (1,453,099) —
Credit default contracts — 3,414,607 —
Totals by level $(1,262,883) $(406,668,526) $—


At the start and 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 $4,117,891 $703,284
Foreign exchange contracts 83,275,766 110,008,982
Interest rate contracts 614,053,646 441,360,049
Total $701,447,303 $552,072,315


For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

Putnam Diversified Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 28, 2012

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 28, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 28, 2012