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


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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES



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, 2013
Date of reporting period: October 1, 2012 — March 31, 2013



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Putnam
Diversified
Income Trust

Semiannual report
3 | 31 | 13

Message from the Trustees  1 
About the fund  2 
Performance snapshot  4 
Interview with your fund’s portfolio manager  5 
Your fund’s performance  11 
Your fund’s expenses  13 
Terms and definitions  15 
Other information for shareholders  16 
Financial statements  17 

 

Consider these risks before investing: International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Derivatives also involve the risk, in the case of many over-the-counter instruments, of the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Bond investments are subject to interest-rate risk, which means the prices of the fund’s bond investments are likely to fall if interest rates rise. Bond investments also are subject to credit risk, which is the risk that the issuer of the bond may default on payment of interest or principal. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds, which may be considered speculative. Unlike bonds, funds that invest in bonds have ongoing fees and expenses. The prices of bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including both general financial market conditions and factors related to a specific issuer. You can lose money by investing in the fund.

 


Message from the Trustees

Dear Fellow Shareholder:

Many macroeconomic risks to global growth have diminished in recent months. A widespread financial collapse in Europe, an economic hard landing in China, and significant fallout from budget sequestration and the fiscal cliff in the United States have not come to pass. While these risks have not entirely dissipated, U.S. equity markets have managed to achieve record highs in the first quarter, recouping all of their losses from the 2008 financial crisis.

In the United States, corporate profits and balance sheets are strong. The Federal Reserve has pledged to keep interest rates at historic lows until the nation’s employment situation meaningfully improves. The U.S. housing market, a significant driver of GDP, has been steadily rebounding. And while the federal budget battle is not yet resolved, the markets appear to believe that Washington lawmakers will eventually reach a resolution.

At Putnam, our investment team employs a measured, balanced approach to managing risk while pursuing returns. It is also important to rely on the guidance of your financial advisor, who can help ensure that your portfolio matches your individual goals and tolerance for risk.

We would like to extend a welcome to new shareholders of the fund and to thank all of our investors for your continued confidence in Putnam.






Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 4.00%; had they, returns would have been lower. See pages 5 and 11–12 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

* Returns for the six-month period are not annualized, but cumulative.

4  Diversified Income Trust 

 


Interview with your fund’s portfolio manager


Bill, what was the bond market environment like during the six months ended March 31, 2013?

It was a strong period for the most credit-sensitive categories, particularly high-yield bonds and floating-rate bank-loan securities, which saw their yield spreads — their yield advantage over U.S. Treasuries — tighten further amid persistent investor demand and solid corporate fundamentals. These sectors were among the biggest beneficiaries of the improved risk sentiment that was spurred by global monetary easing during and prior to the period. With interest rates rising across most global developed markets, Treasuries, global government securities, and other defensive categories lagged, posting either negative or nominally positive returns.

Both at home and abroad, political leaders continued to grapple with fiscal challenges. While there were several events that produced negative headlines, including the government-spending sequester in the United States and the banking crisis in Cyprus, the fact that riskier assets performed well in an environment of policy and macroeconomic uncertainty suggests that investors are becoming more attuned to the opportunity cost of remaining on the sidelines.

Against this backdrop, the fund outperformed its benchmark and the average return for its Lipper peer group.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/13. See pages 4 and 11–12 for additional fund performance information. Index descriptions can be found on pages 15–16.

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Turning to performance, the fund outpaced its benchmark by a sizable margin. What factors fueled this solid showing?

An out-of-benchmark stake in non-agency residential mortgage-backed securities [RMBS], along with our prepayment strategy, which was expressed through holdings of government-agency interest-only securities [agency IOs] hedged with agency mortgage pass-throughs, drove the fund’s outperformance. Our holdings of non-agency RMBS performed very well during the period’s first half, driven by investors’ appetite for higher-yielding securities, and by a strengthening U.S. housing market. Our prepayment strategy worked well as we focused our security selection in pools that we believed would experience fewer prepayments. At the same time, 10-year Treasury yields rose during the period’s second half, further reducing borrowers’ incentive to refinance and helping to keep mortgage prepayments at a relatively low level.

Elsewhere, strong security selection among commercial mortgage-backed securities [CMBS] also bolstered relative performance. Within CMBS, we held both Aaa-rated and “seasoned mezzanine” securities. CMBS are created when an underwriter assembles a package of commercial mortgages and issues bonds of varying creditworthiness. Aaa-rated CMBS occupy the top of the underwriter’s capital structure, and thus offer the greatest principal protection. Mezzanine CMBS are slightly lower in the capital structure, but still provide a meaningful amount of principal protection along with higher yields. The mezzanine bonds we selected were issued


Credit qualities are shown as a percentage of the fund’s net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating. Ratings may vary over time.

Credit quality includes bonds and represents only the fixed-income portion of the portfolio. Derivative instruments, including forward currency contracts, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

6  Diversified Income Trust 

 


prior to 2006, when CMBS underwriting standards were stronger than they were later in the decade.


A meaningful allocation to high-yield bonds was another contributor, as the asset class rallied strongly in step with global equity markets and was one of the best-performing fixed-income sectors during the period. Security selection among emerging-market bonds provided a further boost versus the benchmark, led by our holdings in Venezuela.

The fund’s term structure positioning, by which I mean its duration — or interest-rate sensitivity — and yield-curve strategy, also aided relative results. We sought to limit the fund’s interest-rate risk by maintaining a relatively short duration in the United States, while also positioning the fund to benefit should the yield curve steepen. While our duration stance slightly hampered performance, our steeper-yield-curve strategy proved beneficial and more than offset the negative impact of the fund’s short duration.

How did your currency strategy affect performance?

Our active currency strategy, which is implemented with long and short positions using forward currency contracts, was another significant contributor during the period. The fund benefited from short positions in the Japanese yen, the British pound sterling, and


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/13. Short-term holdings, derivatives, and TBA commitments, if any, are excluded. Holdings may vary over time.

Diversified Income Trust  7 

 


the Swiss franc, combined with long positions in the Australian dollar and Mexican peso.

Which strategies detracted from results?

The only notable detractor was a large underweight in investment-grade corporate bonds, which was partially offset by favorable security selection within the sector, particularly among financial institutions.

How did you use derivatives during the period?

We used bond futures and interest-rate swaps — which allow two parties to exchange one stream of future interest payments for another, based on a specified principal amount — to take tactical positions at various points along the yield curve.

In addition, we employed interest-rate swaps and “swaptions” — which give us the option to enter into a swap contract — to hedge the interest-rate risk associated with our collateralized-mortgage-obligation [CMO] holdings. We also used total return swaps as a hedging tool and to help manage the fund’s sector exposure, as well as credit default swaps to hedge the fund’s credit risk.

Lastly, we used forward currency contracts to hedge the foreign exchange risk associated with non-U.S. bonds, and to efficiently gain exposure to foreign currencies as part of our active strategy involving global currency pairings.

What is your outlook for the coming months, and how are you positioning the fund?

We believe the U.S. economy remains solidly in a mid-cycle expansion, buoyed by stronger consumer spending, despite rising gasoline prices and higher payroll taxes. By boosting economic activity and underpinning firmer labor market conditions, the U.S. housing recovery is helping to offset the drag on consumers from fiscal austerity measures. During the six months ending February 2013, more than 10% of new jobs were in construction. Bank lending standards began


This chart shows how the fund’s top weightings have changed over the past six months. Allocations are represented as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.

8  Diversified Income Trust 

 


to loosen, helping to reinforce economic growth. That said, in our view, we do not see the economy growing strongly enough to cause the Federal Reserve to shift from its current accommodative monetary policy stance.

Outside the United States, Japan joined China in early-cycle recoveries, providing a lift to the rest of Asia. It appears that Germany’s economy has begun to pick up, but much of the rest of Europe remains in recession. Business confidence measures fell in March, perhaps because of the poor handling of the banking crisis in Cyprus. The European Central Bank has revised its 2013 growth forecast downward and is anticipating a modest contraction while remaining concerned about downside risks to the eurozone economy.

Within this environment, we plan to continue deemphasizing interest-rate risk in the portfolio and expect to maintain the fund’s bias toward a steepening yield curve in the United States. As long as the Fed continues to inject liquidity into the financial system through targeted bond purchases, we don’t believe that interest rates are likely to move significantly higher than where they are today. We recognize, however, that any strategy that relies on rates declining further to drive performance is risky amid what may be a range-bound and volatile interest-rate environment. For that reason, we intend to keep the portfolio’s overall duration near zero and will rely on other factors to influence the fund’s performance.

At period-end, our allocations to securitized sectors represented the fund’s greatest overweight. In prepayment-sensitive areas, we are more cautious toward lower-coupon pass-throughs — those with coupons below 4% — but favor pools in the middle of the coupon range of 4%–5% that we believe exhibit favorable prepayment profiles. In credit-sensitive areas, we plan to maintain

A word about derivatives

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam may enter into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund.

Diversified Income Trust  9 

 


our diversified exposure to CMBS, as well as modest allocations to high-yield bonds and investment-grade corporate bonds.

Thanks for your time and for bringing us up to date, Bill.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

Portfolio Manager D. William Kohli is Co-Head of Fixed Income at Putnam. He has an M.B.A. from the Haas School of Business at the University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1986.

In addition to Bill, your fund’s portfolio managers are Michael J. Atkin, Kevin F. Murphy, Michael V. Salm, and Paul D. Scanlon, CFA.

IN THE NEWS

The economic outlook for major industrialized nations is slowly improving, with the United States and Japan leading the way, according to a recent report by the Organisation for Economic Co-operation and Development (OECD). Economic expansion is also taking place in most major countries around the world, including the 17-nation eurozone, where Germany’s economy is growing and stabilization is occurring in Italy and France. Growth also is solidifying in Japan, whose new government has launched efforts to bring the country’s long-stagnant economy back to life through various stimulus efforts, and growth is picking up in China, where an economic hard landing has been avoided. The OECD sees growth weakening in India and normal, “around trend” growth taking place in Russia, Brazil, and the United Kingdom. Meanwhile, the World Trade Organization (WTO) has cut its overall 2013 forecast for global trade volume growth to 3.3% from 4.5%. Global trade grew by 2% in 2012, the second-worst figure since this economic statistic began to be tracked in 1981, according to the WTO. The worst trade figure came in 2009 during the global economic crisis.

10  Diversified Income Trust 

 


Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2013, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R and class Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.

Fund performance Total return for periods ended 3/31/13

  Class A  Class B  Class C  Class M  Class R  Class Y 
(inception dates)  (10/3/88)  (3/1/93)  (2/1/99)  (12/1/94)  (12/1/03)  (7/1/96) 
  Before  After          Before  After  Net  Net 
  sales  sales  Before  After  Before  After  sales  sales  asset  asset 
  charge  charge  CDSC  CDSC  CDSC  CDSC  charge  charge  value  value 
Annual average                     
(life of fund)  6.84%  6.66%  6.02%  6.02%  6.02%  6.02%  6.54%  6.40%  6.55%  7.00% 
10 years  82.74  75.43  69.71  69.71  69.08  69.08  78.23  72.44  77.42  86.59 
Annual average  6.21  5.78  5.43  5.43  5.39  5.39  5.95  5.60  5.90  6.44 
5 years  34.67  29.28  29.96  28.24  29.57  29.57  33.19  28.87  32.51  35.88 
Annual average  6.13  5.27  5.38  5.10  5.32  5.32  5.90  5.20  5.79  6.32 
3 years  23.33  18.40  20.57  17.58  20.72  20.72  22.50  18.51  22.38  24.15 
Annual average  7.24  5.79  6.43  5.55  6.48  6.48  7.00  5.83  6.96  7.48 
1 year  10.27  5.86  9.50  4.50  9.55  8.55  10.10  6.53  10.06  10.55 
6 months  7.64  3.33  7.15  2.15  7.33  6.33  7.60  4.10  7.42  7.72 

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Class B share performance does not reflect conversion to class A shares.

Diversified Income Trust  11 

 


Comparative index returns For periods ended 3/31/13

  Barclays U.S. Aggregate  Lipper Multi-Sector Income Funds 
  Bond Index  category average* 
Annual average (life of fund)  7.03%  7.48% 
10 years  63.27  96.73 
Annual average  5.02  6.92 
5 years  30.49  41.02 
Annual average  5.47  7.02 
3 years  17.50  24.02 
Annual average  5.52  7.38 
1 year  3.77  8.29 
6 months  0.09  3.35 

 

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/13, there were 265, 240, 170, 148, 93, and 6 funds, respectively, in this Lipper category.

Fund price and distribution information For the six-month period ended 3/31/13

Distributions  Class A  Class B  Class C  Class M  Class R  Class Y 
Number  6  6  6  6  6  6 
Income  $0.222  $0.192  $0.192  $0.211  $0.211  $0.234 
Capital gains  —  —  —  —  —  — 
Total  $0.222  $0.192  $0.192  $0.211  $0.211  $0.234 
  Before  After  Net  Net  Before  After  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset 
Share value  charge  charge  value  value  charge  charge  value  value 
9/30/12  $7.59  $7.91  $7.53  $7.48  $7.48  $7.73  $7.52  $7.54 
3/31/13  7.94  8.27  7.87  7.83  7.83  8.09  7.86  7.88 
  Before  After  Net  Net  Before  After  Net  Net 
  sales  sales  asset  asset  sales  sales  asset  asset 
Current rate (end of period)  charge  charge  value  value  charge  charge  value  value 
Current dividend rate 1  5.59%  5.37%  4.88%  4.90%  5.36%  5.19%  5.34%  5.94% 
Current 30-day SEC yield 2  N/A  4.67  4.12  4.11  N/A  4.46  4.62  5.12 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (4.00% for class A shares and 3.25% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

12  Diversified Income Trust 

 


Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

  Class A  Class B  Class C  Class M  Class R  Class Y 
Total annual operating expenses             
for the fiscal year ended 9/30/12  0.99%  1.74%  1.74%  1.24%  1.24%  0.74% 
Annualized expense ratio for the             
six-month period ended 3/31/13  1.00%  1.75%  1.75%  1.25%  1.25%  0.75% 

 

Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in the fund from October 1, 2012, to March 31, 2013. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class M  Class R  Class Y 
Expenses paid per $1,000*†  $5.18  $9.04  $9.05  $6.47  $6.46  $3.88 
Ending value (after expenses)  $1,076.40  $1,071.50  $1,073.30  $1,076.00  $1,074.20  $1,077.20 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/13. The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

Diversified Income Trust  13 

 


Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended March 31, 2013, use the following calculation method. To find the value of your investment on October 1, 2012, call Putnam at 1-800-225-1581.


Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class M  Class R  Class Y 
Expenses paid per $1,000*†  $5.04  $8.80  $8.80  $6.29  $6.29  $3.78 
Ending value (after expenses)  $1,019.95  $1,016.21  $1,016.21  $1,018.70  $1,018.70  $1,021.19 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/13. The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

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Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 4.00% maximum sales charge for class A shares and 3.25% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.

Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed-income terms

Current yield is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

• Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

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BofA (Bank of America) Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

S&P 500 Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2012, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2013, Putnam employees had approximately $377,000,000 and the Trustees had approximately $90,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

16  Diversified Income Trust 

 


Financial statements

A guide to financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

Diversified Income Trust  17 

 


The fund’s portfolio 3/31/13 (Unaudited)

MORTGAGE-BACKED SECURITIES (43.9%)*  Principal amount  Value 
 
Agency collateralized mortgage obligations (14.9%)     
Federal Home Loan Mortgage Corp.     
IFB Ser. 3182, Class SP, 27.787s, 2032  $1,120,476  $1,833,507 
IFB Ser. 3408, Class EK, 24.975s, 2037  658,327  1,034,402 
IFB Ser. 2979, Class AS, 23.528s, 2034  315,567  424,176 
IFB Ser. 3727, Class PS, IO, 6.497s, 2038  19,842,995  1,940,428 
IFB Ser. 3895, Class SM, IO, 6.447s, 2040  13,898,016  1,867,287 
IFB Ser. 4048, Class GS, IO, 6.447s, 2040  21,143,987  4,070,006 
IFB Ser. 3860, Class SP, IO, 6.397s, 2040  37,691,091  5,723,015 
IFB Ser. 3861, Class PS, IO, 6.397s, 2037  15,667,165  2,596,519 
IFB Ser. 4032, Class SA, IO, 6.297s, 2042  18,738,345  2,864,653 
IFB Ser. 4125, Class SH, IO, 5.947s, 2042  20,502,270  3,388,615 
IFB Ser. 4105, Class LS, IO, 5.947s, 2041  19,128,326  3,728,876 
Ser. 3687, Class CI, IO, 5s, 2038  23,709,542  2,693,404 
Ser. 3632, Class CI, IO, 5s, 2038  6,287,240  365,163 
Ser. 3626, Class DI, IO, 5s, 2037  3,202,247  104,297 
Ser. 304, Class C27, IO, 4 1/2s, 2043  44,410,436  7,197,155 
Ser. 4122, Class TI, IO, 4 1/2s, 2042  29,941,415  4,560,078 
Ser. 4000, Class PI, IO, 4 1/2s, 2042  44,340,516  5,799,739 
Ser. 4019, Class GI, IO, 4 1/2s, 2041  67,094,667  9,084,618 
Ser. 4024, Class PI, IO, 4 1/2s, 2041  69,116,021  8,466,851 
Ser. 3747, Class HI, IO, 4 1/2s, 2037  8,626,714  736,774 
Ser. 4090, Class BI, IO, 4s, 2042  3,104,207  326,966 
Ser. 3748, Class NI, IO, 4s, 2034  20,299,242  554,575 
Ser. 3740, Class KI, IO, 4s, 2033  14,907,761  195,143 
Ser. 304, Class C22, IO, 3 1/2s, 2043  51,882,425  8,490,040 
Ser. 304, Class C4, IO, 3 1/2s, 2043  24,932,072  5,177,394 
Ser. 4105, Class HI, IO, 3 1/2s, 2041  15,937,413  2,529,905 
Ser. T-56, Class A, IO, 0.524s, 2043  287,243  4,971 
Ser. T-56, Class 3, IO, 0.418s, 2043  9,952,993  130,244 
Ser. T-57, Class 1AX, IO, 0.402s, 2043  19,170,837  227,429 
Ser. T-56, Class 1, IO, 0.215s, 2043  340,331  2,552 
Ser. T-56, Class 2, IO, 0.128s, 2043  313,077  966 
Ser. 4077, Class TO, PO, zero %, 2041  42,121,537  35,286,054 
Ser. 3314, PO, zero %, 2036  243,041  229,730 
Ser. 1208, Class F, PO, zero %, 2022  100,909  94,228 
FRB Ser. 3326, Class WF, zero %, 2035  164,919  162,236 
FRB Ser. 3007, Class LU, zero %, 2035  3,316  3,297 
Federal National Mortgage Association     
IFB Ser. 06-8, Class HP, 23.818s, 2036  1,615,596  2,693,069 
IFB Ser. 05-45, Class DA, 23.671s, 2035  3,242,166  5,319,573 
IFB Ser. 05-83, Class QP, 16.863s, 2034  541,488  739,849 
Ser. 98-T2, Class A4, IO, 6 1/2s, 2036  96,335  16,369 
IFB Ser. 12-66, Class HS, IO, 6.496s, 2041  17,113,568  3,574,511 
IFB Ser. 12-88, Class SB, IO, 6.466s, 2042  43,174,865  6,809,540 
IFB Ser. 10-99, Class NS, IO, 6.396s, 2039  30,695,296  3,713,824 
IFB Ser. 11-87, Class HS, IO, 6.296s, 2041  22,024,673  3,610,064 

 

18  Diversified Income Trust 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.  Principal amount  Value 
 
Agency collateralized mortgage obligations cont.     
Federal National Mortgage Association     
IFB Ser. 12-132, Class SB, IO, 5.996s, 2042  $65,278,215  $10,174,263 
IFB Ser. 09-100, Class SA, IO, 5.996s, 2039  10,645,379  1,031,271 
IFB Ser. 13-18, Class SB, IO, 5.946s, 2041  30,595,558  5,987,551 
IFB Ser. 12-113, Class CS, IO, 5.946s, 2041  16,837,427  3,273,196 
IFB Ser. 12-113, Class SG, IO, 5.896s, 2042  17,186,162  3,182,190 
IFB Ser. 10-46, Class WS, IO, 5.546s, 2040  53,428,085  6,672,633 
Ser. 399, Class 2, IO, 5 1/2s, 2039  218,130  21,745 
Ser. 374, Class 6, IO, 5 1/2s, 2036  8,058,257  1,084,722 
Ser. 12-132, Class PI, IO, 5s, 2042  59,515,083  10,953,751 
Ser. 398, Class C5, IO, 5s, 2039  5,258,005  521,068 
Ser. 10-13, Class EI, IO, 5s, 2038  3,253,100  149,726 
Ser. 378, Class 19, IO, 5s, 2035  7,171,706  824,746 
Ser. 12-30, Class HI, IO, 4 1/2s, 2040  40,836,470  6,449,712 
Ser. 409, Class 81, IO, 4 1/2s, 2040  48,013,613  6,813,078 
Ser. 404, Class 2, IO, 4 1/2s, 2040  468,525  67,515 
Ser. 366, Class 22, IO, 4 1/2s, 2035  6,763,358  522,131 
Ser. 12-118, Class PI, IO, 4s, 2042  28,261,378  4,487,624 
Ser. 12-96, Class PI, IO, 4s, 2041  10,227,334  1,408,713 
Ser. 406, Class 2, IO, 4s, 2041  44,775,923  5,820,870 
Ser. 406, Class 1, IO, 4s, 2041  30,269,700  4,183,273 
Ser. 409, Class C16, IO, 4s, 2040  29,865,868  3,700,959 
Ser. 405, Class 2, IO, 4s, 2040  487,552  65,361 
Ser. 12-148, Class CI, IO, 3s, 2042  13,523,661  1,751,449 
Ser. 13-35, Class IP, IO, 3s, 2042  24,186,333  3,015,733 
Ser. 13-30, Class IP, IO, 3s, 2041  42,836,333  4,959,633 
Ser. 03-W10, Class 1, IO, 1.303s, 2043  9,286,040  371,079 
Ser. 00-T6, IO, 0.754s, 2030  9,895,331  210,276 
Ser. 01-T1, Class 1, IO, 0.739s, 2040  1,159,954  21,187 
Ser. 01-50, Class B1, IO, 0.404s, 2041  495,115  4,951 
Ser. 02-W8, Class 1, IO, 0.333s, 2042  14,013,237  166,407 
Ser. 99-51, Class N, PO, zero %, 2029  145,646  140,046 
Government National Mortgage Association     
IFB Ser. 11-56, Class MS, 6.871s, 2041  82,667,870  91,134,640 
IFB Ser. 10-151, Class SL, IO, 6.497s, 2039  23,988,531  3,945,394 
IFB Ser. 10-163, Class SI, IO, 6.426s, 2037  29,859,966  4,105,716 
IFB Ser. 11-3, Class SG, IO, 6.347s, 2041  8,643,136  1,713,588 
IFB Ser. 10-35, Class CS, IO, 6.267s, 2040  20,715,079  3,987,591 
IFB Ser. 10-26, Class QS, IO, 6.047s, 2040  14,301,071  2,672,513 
IFB Ser. 10-20, Class SC, IO, 5.947s, 2040  26,509,121  4,963,568 
IFB Ser. 10-158, Class SA, IO, 5.847s, 2040  15,559,915  2,877,339 
IFB Ser. 10-151, Class SA, 5.847s, 2040  15,466,115  2,859,839 
IFB Ser. 10-61, Class SJ, IO, 5.847s, 2040  21,982,115  3,401,073 
IFB Ser. 11-70, Class SM, IO, 5.687s, 2041  32,221,000  8,717,714 
IFB Ser. 11-70, Class SH, IO, 5.687s, 2041  33,097,000  9,014,961 
IFB Ser. 10-37, Class SG, IO, 5.497s, 2040  21,113,418  3,658,533 
IFB Ser. 10-115, Class BS, IO, 5.197s, 2040  32,015,242  5,199,595 
Ser. 13-3, Class IT, IO, 5s, 2043  21,894,869  4,200,080 

 

Diversified Income Trust  19 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.  Principal amount  Value 
 
Agency collateralized mortgage obligations cont.     
Government National Mortgage Association     
Ser. 13-6, Class IC, IO, 5s, 2043  $19,480,781  $3,556,411 
Ser. 12-146, Class IO, IO, 5s, 2042  41,550,300  7,368,530 
Ser. 13-6, Class CI, IO, 5s, 2042  12,741,101  2,515,093 
Ser. 10-35, Class UI, IO, 5s, 2040  24,204,467  4,663,676 
Ser. 13-24, Class IC, IO, 4 1/2s, 2043  10,506,312  1,988,320 
Ser. 13-24, Class IK, IO, 4 1/2s, 2043  32,802,691  6,068,170 
Ser. 11-140, Class BI, IO, 4 1/2s, 2040  28,034,929  2,833,771 
Ser. 10-35, Class QI, IO, 4 1/2s, 2040  94,993,068  17,612,662 
Ser. 10-168, Class PI, IO, 4 1/2s, 2039  27,704,450  3,443,109 
Ser. 10-158, Class IP, IO, 4 1/2s, 2039  37,417,730  4,606,497 
Ser. 10-98, Class PI, IO, 4 1/2s, 2037  13,554,819  1,397,773 
Ser. 12-48, Class AI, IO, 3 1/2s, 2036  28,720,784  4,883,395 
Ser. 11-70, PO, zero %, 2041  64,666,335  53,687,285 
Ser. 06-36, Class OD, PO, zero %, 2036  41,498  38,219 
Ser. 06-64, PO, zero %, 2034  152,676  150,196 
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO,     
5.984s, 2045  108,956,239  20,837,881 
Structured Asset Securities Corp. 144A Ser. 98-RF3, Class A,     
IO, 6.1s, 2028  577,234  95,244 
    524,607,327 
Commercial mortgage-backed securities (12.2%)     
Banc of America Commercial Mortgage, Inc.     
Ser. 06-4, Class AJ, 5.695s, 2046  14,900,000  14,675,949 
Ser. 06-1, Class B, 5.49s, 2045  4,164,000  3,758,914 
FRB Ser. 05-6, Class B, 5.188s, 2047  7,000,000  7,568,379 
Banc of America Commercial Mortgage, Inc. 144A     
Ser. 01-1, Class J, 6 1/8s, 2036  121,947  106,094 
Ser. 01-1, Class K, 6 1/8s, 2036  2,468,104  1,071,942 
Ser. 07-5, Class XW, IO, 0.369s, 2051  199,228,056  2,350,493 
Bear Stearns Commercial Mortgage Securities, Inc.     
FRB Ser. 07-T28, Class AJ, 5.964s, 2042  3,629,000  3,873,958 
FRB Ser. 07-PW17, Class AJ, 5.893s, 2050  12,097,000  11,613,120 
FRB Ser. 06-PW12, Class AJ, 5.757s, 2038  5,354,000  5,438,197 
Ser. 06-PW13, Class AJ, 5.611s, 2041  9,500,000  9,375,940 
FRB Ser. 06-PW11, Class AJ, 5.45s, 2039  3,607,000  3,602,491 
Ser. 05-PWR7, Class D, 5.304s, 2041  4,190,000  3,779,380 
Ser. 05-PWR7, Class C, 5.235s, 2041  4,945,000  4,425,093 
Ser. 05-PWR7, Class B, 5.214s, 2041  7,239,000  7,416,848 
Ser. 05-PWR9, Class C, 5.055s, 2042  3,745,000  3,528,165 
Ser. 05-PWR9, Class AJ, 4.985s, 2042  4,207,000  4,312,596 
Citigroup Commercial Mortgage Trust     
Ser. 06-C5, Class AJ, 5.482s, 2049  7,097,000  7,063,658 
FRB Ser. 05-C3, Class B, 5.029s, 2043  16,007,000  14,792,069 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A     
Ser. 07-CD5, Class XS, IO, 0.036s, 2044  132,501,233  580,714 
Commercial Mortgage Trust Ser. 07-C9, Class AJ, 5.65s, 2049  4,469,000  4,743,397 

 

20  Diversified Income Trust 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.    Principal amount  Value 
 
Commercial mortgage-backed securities cont.       
Commercial Mortgage Trust 144A       
FRB Ser. 13-CR6, Class D, 4.316s, 2046    $2,789,000  $2,496,494 
FRB Ser. 07-C9, Class AJFL, 0.892s, 2049    19,859,000  16,743,123 
Cornerstone Titan PLC 144A       
FRB Ser. 05-CT2A, Class E, 1.581s, 2014 (Ireland)  GBP  681,923  922,171 
FRB Ser. 05-CT1A, Class D, 1.561s, 2014 (Ireland)  GBP  2,491,896  3,180,501 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)    $4,177,494  171,277 
CS First Boston Mortgage Securities Corp. 144A       
Ser. 02-CP5, Class H, 6.326s, 2035    9,440,000  9,462,042 
Ser. 02-CP5, Class M, 5 1/4s, 2035    2,481,123  124,056 
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB       
Ser. 11-LC2A, Class D, 5.445s, 2044    6,729,000  7,007,029 
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,       
6.04s, 2031    2,235,111  2,235,111 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO,       
1.085s, 2020    14,226,887  312,992 
First Union Commercial Mortgage Trust 144A Ser. 99-C1,       
Class G, 5.35s, 2035    3,121,100  1,818,209 
G-Star, Ltd. 144A FRB Ser. 02-2A, Class BFL, 2.204s, 2037       
(Cayman Islands)    264,369  241,897 
GE Capital Commercial Mortgage Corp.       
FRB Ser. 05-C4, Class AJ, 5.306s, 2045    2,912,000  2,679,040 
FRB Ser. 06-C1, Class AJ, 5.293s, 2044    6,144,000  6,140,068 
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B,       
4.965s, 2041    4,022,000  3,423,728 
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3,       
Class D, 4.986s, 2042    12,139,000  11,875,851 
Greenwich Capital Commercial Funding Corp. 144A FRB       
Ser. 03-C1, Class J, 5.363s, 2035    13,755,000  13,976,456 
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO,       
0.747s, 2039    359,141,749  5,566,697 
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB       
Ser. 05-2A, Class E, 2.204s, 2030 (Cayman Islands)    2,622,218  1,481,553 
JPMorgan Chase Commercial Mortgage Securities Corp.       
FRB Ser. 07-CB20, Class AJ, 6.08s, 2051    17,358,000  17,725,990 
FRB Ser. 06-LDP7, Class AJ, 5.871s, 2045    19,160,000  19,879,477 
FRB Ser. 06-LDP7, Class B, 5.871s, 2045    5,589,000  4,582,421 
Ser. 06-CB16, Class AJ, 5.623s, 2045    13,578,000  12,835,148 
Ser. 06-LDP6, Class AJ, 5.565s, 2043    8,255,000  8,024,686 
FRB Ser. 05-LDP3, Class D, 5.194s, 2042    7,091,000  6,559,175 
FRB Ser. 04-CBX, Class B, 5.021s, 2037    2,344,000  2,311,457 
FRB Ser. 04-C3, Class C, 4.981s, 2042    4,777,000  4,621,748 
FRB Ser. 05-LDP2, Class C, 4.911s, 2042    3,650,000  3,494,875 
FRB Ser. 13-C10, Class D, 4.3s, 2047    6,108,000  5,535,070 
JPMorgan Chase Commercial Mortgage Securities Corp. 144A       
FRB Ser. 11-C3, Class E, 5.534s, 2046    3,280,000  3,402,672 
FRB Ser. 12-LC9, Class E, 4.428s, 2047    5,319,000  4,968,212 
Ser. 07-CB20, Class X1, IO, 0.134s, 2051    258,136,067  2,442,225 

 

Diversified Income Trust  21 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.  Principal amount  Value 
 
Commercial mortgage-backed securities cont.     
LB Commercial Conduit Mortgage Trust 144A     
Ser. 99-C1, Class G, 6.41s, 2031  $8,260,023  $8,425,223 
Ser. 98-C4, Class J, 5.6s, 2035  3,535,000  3,928,799 
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class C,     
5.482s, 2039  4,186,000  3,877,283 
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO,     
2.395s, 2028  466,677  1 
Merrill Lynch Mortgage Trust     
FRB Ser. 08-C1, Class AJ, 6.248s, 2051  4,285,000  4,371,129 
FRB Ser. 07-C1, Class A2, 5.746s, 2050  1,047,515  1,066,410 
Ser. 04-KEY2, Class D, 5.046s, 2039  4,390,000  4,049,775 
Mezz Cap Commercial Mortgage Trust 144A     
Ser. 04-C1, Class X, IO, 8.455s, 2037  2,966,291  137,339 
Ser. 07-C5, Class X, IO, 4.594s, 2049  8,106,939  572,350 
Morgan Stanley Bank of America Merrill Lynch Trust 144A     
Ser. 13-C8, Class D, 4.173s, 2048  6,644,000  6,162,310 
Morgan Stanley Capital I 144A FRB Ser. 04-RR,     
Class F7, 6s, 2039  11,496,823  11,022,579 
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A,     
3.287s, 2038  2,016,779  1,714,262 
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)  1,590,000  1,192,500 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038  4,357,727  653,659 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 06-C26, Class AJ, 5.995s, 2045  15,371,000  15,569,286 
FRB Ser. 07-C34, Class AJ, 5.969s, 2046  8,227,000  8,359,455 
FRB Ser. 06-C25, Class AJ, 5.734s, 2043  5,419,000  5,634,676 
Ser. 06-C24, Class AJ, 5.658s, 2045  5,277,000  5,168,294 
FRB Ser. 05-C20, Class B, 5.248s, 2042  18,287,522  18,104,062 
FRB Ser. 05-C21, Class D, 5.241s, 2044  24,100,000  24,257,108 
Ser. 07-C34, IO, 0.341s, 2046  70,891,947  857,793 
WF-RBS Commercial Mortgage Trust 144A FRB Ser. 13-C11,     
Class D, 4.186s, 2045  3,820,000  3,507,238 
    428,950,379 
Residential mortgage-backed securities (non-agency) (16.8%)     
Adjustable Rate Mortgage Trust FRB Ser. 06-2, Class 1A1,     
3.224s, 2036  9,614,472  8,508,807 
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO,     
zero %, 2047  69,385,308  8,811,934 
Banc of America Funding Corp.     
Ser. 06-2, Class 2A13, 6s, 2036  6,763,129  7,050,562 
FRB Ser. 06-G, Class 2A5, 0.483s, 2036  4,814,492  4,092,318 
Banc of America Funding Corp. 144A     
FRB Ser. 09-R12A, Class A2, 3.039s, 2036  4,199,445  2,876,620 
FRB Ser. 10-R4, Class 3A3, 1.281s, 2046  12,689,147  7,038,670 
Banc of America Mortgage Securities Ser. 05-11,     
Class 1A10, 6s, 2035  5,800,000  5,655,000 
Barclays Capital, LLC Trust     
Ser. 13-RR1, Class 4A3, 20.47s, 2037  2,057,079  1,764,603 
Ser. 13-RR1, Class 3A3, 16.917s, 2037  3,055,110  2,665,980 

 

22  Diversified Income Trust 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.  Principal amount  Value 
 
Residential mortgage-backed securities (non-agency) cont.     
Barclays Capital, LLC Trust     
Ser. 13-RR1, Class 10A2, 16.593s, 2036  $6,381,797  $5,935,072 
Ser. 12-RR10, Class 8A3, 15 3/4s, 2036  1,880,269  996,543 
Ser. 13-RR1, Class 2A4, 11.315s, 2036  4,952,337  4,949,267 
Ser. 13-RR1, Class 9A4, 10.594s, 2036  2,307,000  2,407,885 
Ser. 13-RR1, Class 3A2, 4s, 2037  3,331,036  3,389,329 
Ser. 13-RR1, Class 4A2, 4s, 2037  3,552,948  3,606,242 
Ser. 12-RR10, Class 8A2, 4s, 2036  4,097,984  4,138,964 
Ser. 13-RR1, Class 1A2, 2.874s, 2035  5,838,493  3,914,418 
FRB Ser. 12-RR10, Class 9A2, 2.671s, 2035  9,321,295  7,550,249 
Ser. 12-RR10, Class 4A2, 2.639s, 2036  6,490,341  5,338,305 
Barclays Capital, LLC Trust 144A     
Ser. 12-RR11, Class 9A3, 21.132s, 2037  5,098,902  4,792,968 
FRB Ser. 12-RR12, Class 3A3, 20.031s, 2037  2,968,747  2,449,216 
FRB Ser. 12-RR12, Class 2A3, 14.228s, 2035  3,115,269  3,076,328 
Ser. 12-RR11, Class 4A3, 13.64s, 2037  3,906,682  2,695,611 
FRB Ser. 11-RR4, Class 6A4, 13.206s, 2037  11,283,387  8,913,876 
FRB Ser. 12-RR11, Class 5A3, 13.044s, 2037  1,583,130  1,005,287 
FRB Ser. 13-RR2, Class 4A2, 9.391s, 2036  3,745,596  2,996,477 
FRB Ser. 13-RR2, Class 3A2, 9.04s, 2036  3,193,000  3,134,887 
FRB Ser. 13-RR2, Class 6A2, 7.471s, 2037  3,339,389  2,334,567 
FRB Ser. 13-RR2, Class 1A2, 6.015s, 2037  6,163,516  4,129,556 
FRB Ser. 10-RR12, Class 6A1, 5.999s, 2037  10,645,131  11,257,226 
Ser. 12-RR11, Class 9A2, 4s, 2037  8,851,603  8,895,861 
Ser. 12-RR12, Class 3A2, 4s, 2037  5,477,863  5,532,642 
Ser. 12-RR11, Class 4A2, 4s, 2037  5,173,842  5,212,646 
Ser. 12-RR12, Class 1A2, 4s, 2037  2,143,187  2,164,619 
Ser. 12-RR11, Class 3A2, 4s, 2036  1,766,185  1,770,600 
Ser. 12-RR12, Class 2A2, 4s, 2035  2,946,295  2,983,123 
FRB Ser. 12-RR11, Class 5A2, 4s, 2037  3,196,909  3,244,863 
FRB Ser. 12-RR12, Class 5A2, 2.95s, 2036  9,808,411  7,356,308 
FRB Ser. 12-RR12, Class 4A2, 2.859s, 2036  5,844,755  3,331,510 
FRB Ser. 09-RR6, Class 1A2, 2.47s, 2035  7,751,421  5,757,600 
Ser. 09-RR7, Class 1A7, IO, 1.83s, 2046  394,740,807  17,763,336 
Ser. 09-RR7, Class 2A7, IO, 1.636s, 2047  360,336,856  14,881,912 
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 06-1,     
Class A1, 2.37s, 2036  3,428,595  3,325,737 
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3,     
Class M6, 5.079s, 2034  265,627  22,605 
Bear Stearns Mortgage Funding Trust     
Ser. 06-AR2, Class 1X, IO, 0.7s, 2046  63,890,330  2,057,269 
Ser. 06-AR3, Class 1X, IO, 0.4s, 2036  48,072,955  884,542 
Citigroup Mortgage Loan Trust, Inc. 144A     
FRB Ser. 11-2, Class 3A2, 10.044s, 2037  6,434,161  6,063,232 
FRB Ser. 11-12, Class 2A2, 0.574s, 2035  8,520,000  6,499,482 
Countrywide Alternative Loan Trust Ser. 07-HY9, Class X, IO,     
0.65s, 2047  48,339,258  2,157,381 

 

Diversified Income Trust  23 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.    Principal amount  Value 
 
Residential mortgage-backed securities (non-agency) cont.       
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R,       
Class 3A4, 2.83s, 2038    $6,487,000  $5,603,490 
Granite Mortgages PLC       
FRB Ser. 03-2, Class 3C, 3.061s, 2043 (United Kingdom)  GBP  2,706,624  3,528,592 
FRB Ser. 03-2, Class 2C1, 2.754s, 2043 (United Kingdom)  EUR  7,263,000  7,988,050 
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021    $53,176  52,235 
Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2,       
7.45s, 2025    50,102  45,523 
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5,       
2.759s, 2035    4,000,000  3,672,280 
Harborview Mortgage Loan Trust FRB Ser. 05-9, Class 2A1C,       
0.653s, 2035    5,962,674  5,381,313 
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4,       
3.03s, 2035    4,770,814  3,809,299 
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO,       
PO, 0.8s, 2047    34,081,693  1,090,614 
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.554s, 2035    8,618,278  7,239,353 
Nomura Resecuritization Trust 144A FRB Ser. 11-2RA,       
Class 1A2, 5.29s, 2046    13,681,966  13,084,064 
Residential Accredit Loans, Inc. Ser. 05-QR1, Class A, 6s, 2034    26,855,908  28,607,612 
Structured Asset Mortgage Investments Trust Ser. 07-AR6,       
Class X2, IO, 1/2s, 2047    130,802,723  3,113,105 
WAMU Mortgage Pass-Through Certificates       
FRB Ser. 07-HY6, Class 2A1, 4.725s, 2037    23,570,298  19,916,902 
FRB Ser. 06-AR7, Class 3A1B, 2.462s, 2046    5,674,447  3,475,599 
FRB Ser. 04-AR14, Class B1, 2.441s, 2035    6,769,156  4,146,108 
Ser. 05-AR17, Class X, IO, PO, 1.63s, 2045    140,481,255  9,142,941 
Ser. 04-AR10, Class X, IO, PO, 1.61s, 2044    44,943,801  2,669,887 
FRB Ser. 06-AR1, Class 2A1B, 1.247s, 2046    17,310,949  14,930,694 
FRB Ser. 06-AR1, Class 2A1C, 1.247s, 2046    17,180,538  10,050,615 
FRB Ser. 06-AR9, Class 1A, 1.177s, 2046    26,201,495  21,485,226 
FRB Ser. 06-AR4, Class 1A1B, 1.117s, 2046    7,969,723  5,977,292 
Ser. 06-AR11, Class 2XPP, IO, PO, 0.978s, 2046    96,073,251  2,750,577 
FRB Ser. 05-AR8, Class B1, 0.874s, 2045    26,903,280  12,644,542 
FRB Ser. 05-AR19, Class A1C3, 0.704s, 2045    12,973,240  10,119,127 
FRB Ser. 05-AR13, Class A1C3, 0.694s, 2045    39,243,095  30,805,829 
FRB Ser. 05-AR17, Class A1C3, 0.684s, 2045    7,854,633  4,241,502 
FRB Ser. 05-AR15, Class A1C3, 0.684s, 2045    10,823,194  5,628,061 
FRB Ser. 05-AR8, Class 2AC2, 0.664s, 2045    12,279,198  10,652,205 
FRB Ser. 05-AR11, Class A1B2, 0.654s, 2045    7,298,727  6,386,386 
FRB Ser. 05-AR13, Class A1B2, 0.634s, 2045    9,082,037  7,901,372 
FRB Ser. 05-AR17, Class A1B2, 0.614s, 2045    1,886,419  1,575,160 
FRB Ser. 05-AR19, Class A1C4, 0.604s, 2045    4,968,626  3,838,263 
FRB Ser. 05-AR11, Class A1B3, 0.604s, 2045    14,140,004  12,372,504 
FRB Ser. 05-AR8, Class 2AC3, 0.594s, 2045    4,256,300  3,671,059 
FRB Ser. 05-AR1, Class A1B, 0.594s, 2045    6,717,237  5,541,721 
FRB Ser. 05-AR19, Class A1B3, 0.554s, 2045    3,952,128  3,477,872 
FRB Ser. 05-AR6, Class 2AB3, 0.474s, 2045    4,214,854  3,666,923 

 

24  Diversified Income Trust 

 


MORTGAGE-BACKED SECURITIES (43.9%)* cont.  Principal amount  Value 
 
Residential mortgage-backed securities (non-agency) cont.     
Wells Fargo Mortgage Backed Securities Trust     
Ser. 05-16, Class A18, 6s, 2036  $6,180,000  $6,450,684 
Ser. 08-1, Class 4A1, 5 3/4s, 2038  10,092,719  10,698,515 
Ser. 07-12, Class A7, 5 1/2s, 2037  3,103,516  3,235,415 
Ser. 07-5, Class 1A1, 5 1/2s, 2037  14,732,680  15,501,726 
FRB Ser. 06-AR11, Class A6, 5.165s, 2036  7,359,339  6,861,333 
FRB Ser. 05-AR6, Class B1, 5.002s, 2035  5,623,647  5,050,400 
FRB Ser. 05-AR16, Class 4A2, 2.651s, 2035  4,842,847  4,752,286 
FRB Ser. 06-AR2, Class 2A3, 2.641s, 2036  5,737,682  5,622,928 
    595,839,219 
 
Total mortgage-backed securities (cost $1,451,676,845)    $1,549,396,925 
 
 
CORPORATE BONDS AND NOTES (37.8%)*  Principal amount  Value 
 
Basic materials (2.7%)     
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France)  $1,275,000  $1,613,855 
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France)  1,290,000  1,325,475 
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes     
4 3/4s, 2022  1,050,000  1,068,375 
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022  1,871,000  1,894,388 
Ashland, Inc. 144A sr. unsec. unsub. notes 3s, 2016  3,880,000  3,938,200 
Atkore International, Inc. company guaranty sr. notes     
9 7/8s, 2018  3,422,000  3,755,645 
Axiall Corp. 144A company guaranty sr. unsec. notes     
4 7/8s, 2023  155,000  157,713 
Boise Cascade LLC/Boise Cascade Finance Corp. 144A sr.     
unsec. notes 6 3/8s, 2020 (United Kingdom)  280,000  296,100 
Celanese US Holdings, LLC company guaranty sr. unsec. unsub.     
notes 4 5/8s, 2022 (Germany)  990,000  992,475 
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)  2,735,000  2,981,150 
Cemex Finance, LLC 144A company guaranty sr. bonds     
9 1/2s, 2016  2,360,000  2,554,700 
Cemex Finance, LLC 144A company guaranty sr. notes     
9 3/8s, 2022  955,000  1,110,188 
CEMEX SAB de CV 144A company guaranty sr. notes 9 1/2s,     
2018 (Mexico)  845,000  982,313 
CEMEX SAB de CV 144A company guaranty sr. notes 5 7/8s,     
2019 (Mexico)  580,000  585,800 
Compass Minerals International, Inc. company guaranty sr.     
unsec. notes 8s, 2019  103,000  111,755 
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes     
4 5/8s, 2021  1,830,000  1,862,025 
Edgen Murray Corp. 144A company guaranty sr. notes     
8 3/4s, 2020  940,000  975,250 
Ferro Corp. sr. unsec. notes 7 7/8s, 2018  1,674,000  1,736,775 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s,     
2015 (Australia)  2,579,000  2,695,055 
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s,     
2018 (Australia)  2,302,000  2,422,855 
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes     
6 7/8s, 2022 (Australia)  1,125,000  1,178,438 

 

Diversified Income Trust  25 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Basic materials cont.       
Graphic Packaging International, Inc. company guaranty sr.       
unsec. notes 4 3/4s, 2021    $290,000  $294,350 
Grohe Holding GmbH 144A company company guaranty sr.       
FRN notes 4.203s, 2017 (Germany)  EUR  3,548,000  4,543,550 
HD Supply, Inc. company guaranty sr. unsec. unsub. notes       
11 1/2s, 2020    $2,984,000  3,536,040 
HD Supply, Inc. company guaranty sr. unsec. sub. notes       
10 1/2s, 2021    814,000  846,560 
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020    1,400,000  1,473,500 
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020    1,980,000  1,984,950 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC       
company guaranty sr. notes 8 7/8s, 2018    1,725,000  1,785,375 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC       
144A company guaranty sr. notes 8 7/8s, 2018    424,000  439,900 
Huntsman International, LLC company guaranty sr. unsec. sub.       
notes 8 5/8s, 2021    2,841,000  3,196,125 
Huntsman International, LLC company guaranty sr. unsec. sub.       
notes 8 5/8s, 2020    1,100,000  1,229,250 
Huntsman International, LLC company guaranty sr. unsec.       
unsub. notes 4 7/8s, 2020    995,000  1,002,463 
Huntsman International, LLC 144A sr. unsec. notes 4 7/8s, 2020    660,000  664,950 
IAMGOLD Corp. 144A company guaranty sr. unsec. notes       
6 3/4s, 2020 (Canada)    591,000  568,838 
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015       
(United Kingdom)    140,000  147,350 
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s,       
2020 (United Kingdom)    1,205,000  1,310,438 
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019    2,472,000  2,790,270 
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub.       
notes 7 1/2s, 2020    1,614,000  1,835,925 
LyondellBasell Industries NV sr. unsec. notes 6s, 2021    2,490,000  2,950,650 
LyondellBasell Industries NV sr. unsec. unsub. notes       
5 3/4s, 2024    2,335,000  2,737,788 
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019    4,200,000  4,746,000 
Momentive Performance Materials, Inc. company guaranty sr.       
notes 10s, 2020    392,000  392,000 
Momentive Performance Materials, Inc. company guaranty sr.       
notes 8 7/8s, 2020    750,000  774,375 
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada)    794,000  834,018 
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020    1,585,000  1,787,088 
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s,       
2019 (Australia)    548,000  579,510 
Orion Engineered Carbons Bondco GmbH 144A company       
guaranty sr. notes 9 5/8s, 2018 (Germany)    154,000  171,325 
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s,       
2017 (Sweden)    1,560,000  1,649,700 
PetroLogistics LP/Petrologistics Finance Corp. 144A company       
guaranty sr. unsec. notes 6 1/4s, 2020    290,000  293,625 
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023    1,325,000  1,334,938 
PQ Corp. 144A sr. notes 8 3/4s, 2018    1,255,000  1,342,850 

 

26  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Basic materials cont.       
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A       
company guaranty sr. unsec. notes 10s, 2020    $435,000  $491,550 
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company       
guaranty sr. notes 9s, 2017    1,304,000  1,424,620 
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020    909,000  991,946 
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023    1,065,000  1,071,656 
Smurfit Kappa Acquisitions 144A company guaranty sr. notes       
4 7/8s, 2018 (Ireland)    675,000  688,945 
Smurfit Kappa Treasury company guaranty sr. unsec. unsub.       
debs 7 1/2s, 2025 (Ireland)    82,000  90,200 
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes       
6 3/8s, 2022    305,000  329,400 
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes       
6 1/8s, 2019    405,000  437,400 
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes       
5 1/4s, 2023    190,000  190,950 
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020    1,340,000  1,396,950 
Tronox Finance, LLC 144A company guaranty sr. unsec. notes       
6 3/8s, 2020    2,730,000  2,648,100 
US Coatings Acquisition, Inc./Flash Dutch 2 BV 144A company       
guaranty sr. unsec. notes 7 3/8s, 2021 (Netherlands)    445,000  468,363 
US Coatings Acquisition, Inc./Flash Dutch 2 BV 144A company       
guaranty sr. notes 5 3/4s, 2021 (Netherlands)    320,000  419,422 
USG Corp. sr. unsec. notes 9 3/4s, 2018    1,317,000  1,560,645 
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec.       
notes 6s, 2023    505,000  520,150 
      94,212,528 
Capital goods (2.2%)       
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020    2,255,000  2,429,763 
American Axle & Manufacturing, Inc. company guaranty sr.       
unsec. notes 7 3/4s, 2019    3,121,000  3,440,903 
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg) ‡‡    1,027,300  1,119,757 
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg) ‡‡  EUR  791,139  1,101,976 
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s,       
2017 (Ireland)  EUR  500,000  690,815 
Ardagh Packaging Finance PLC 144A company guaranty sr.       
notes 7 3/8s, 2017 (Ireland)  EUR  685,000  946,417 
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.       
144A company guaranty sr. notes 7 3/8s, 2017 (Ireland)    $250,000  273,750 
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.       
144A sr. unsec. notes 7s, 2020 (Ireland)    1,450,000  1,493,500 
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.       
144A sr. notes 4 7/8s, 2022 (Ireland)    735,000  727,650 
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020    4,330,000  4,790,063 
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022    1,425,000  1,473,094 
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018    1,194,000  1,332,803 
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017 ‡‡    650,000  697,125 
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada)    455,000  470,925 
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada)    1,091,000  1,131,913 
Briggs & Stratton Corp. company guaranty sr. unsec. notes       
6 7/8s, 2020    3,139,000  3,515,680 

 

Diversified Income Trust  27 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Capital goods cont.       
Consolidated Container Co. LLC/Consolidated Container       
Capital, Inc. 144A company guaranty sr. unsec. notes       
10 1/8s, 2020    $181,000  $198,195 
Crown Americas LLC/Crown Americas Capital Corp. IV 144A       
company guaranty sr. unsec. notes 4 1/2s, 2023    540,000  525,150 
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)  EUR  475,000  660,262 
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023    $1,390,000  1,466,450 
Dematic SA/DH Services Luxembourg Sarl 144A company       
guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg)    1,875,000  1,950,000 
Exide Technologies sr. notes 8 5/8s, 2018    572,000  491,205 
GrafTech International, Ltd. 144A company guaranty sr. unsec.       
notes 6 3/8s, 2020    1,808,000  1,871,280 
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg)    590,000  807,448 
Kratos Defense & Security Solutions, Inc. company guaranty sr.       
notes 10s, 2017    2,585,000  2,843,500 
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France)    3,324,000  4,451,603 
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes       
5 7/8s, 2022    1,838,000  1,929,900 
MasTec, Inc. company guaranty sr. unsec. unsub. notes       
4 7/8s, 2023    670,000  664,138 
Milacron LLC/Mcron Finance Corp. 144A sr. unsec. notes       
7 3/4s, 2021    290,000  299,788 
Mueller Water Products, Inc. company guaranty sr. unsec.       
unsub. notes 8 3/4s, 2020    864,000  982,800 
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016    3,373,000  3,432,028 
Polypore International, Inc. company guaranty sr. unsec. notes       
7 1/2s, 2017    1,445,000  1,549,763 
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067       
(United Kingdom)  EUR  560,000  751,381 
Rexel SA company guaranty sr. unsec. notes 8 1/4s,       
2016 (France)  EUR  1,019,000  1,420,747 
Rexel SA 144A company guaranty sr. unsec. unsub. notes       
6 1/8s, 2019 (France)    $2,425,000  2,564,438 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/       
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub.       
notes 9 7/8s, 2019    885,000  969,075 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/       
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub.       
notes 9s, 2019    3,375,000  3,569,063 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/       
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub.       
notes 8 1/4s, 2021    680,000  700,400 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/       
Reynolds Group Issuer Lu company guaranty sr. notes       
7 7/8s, 2019    1,325,000  1,460,813 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/       
Reynolds Group Issuer Lu company guaranty sr. notes       
5 3/4s, 2020    965,000  983,094 
Silver II Borrower/Silver II US Holdings, LLC 144A company       
guaranty sr. unsec. unsub. notes 7 3/4s, 2020 (Luxembourg)    525,000  559,125 

 

28  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.  Principal amount  Value 
 
Capital goods cont.     
Tenneco, Inc. company guaranty sr. unsec. unsub. notes     
7 3/4s, 2018  $2,190,000  $2,409,000 
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020  1,830,000  2,010,713 
Terex Corp. company guaranty sr. unsec. unsub. notes     
6 1/2s, 2020  415,000  442,494 
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021  1,980,000  2,086,425 
Thermadyne Holdings Corp. company guaranty sr.     
notes 9s, 2017  3,154,000  3,437,860 
Thermon Industries, Inc. company guaranty sr. notes     
9 1/2s, 2017  1,893,000  2,101,230 
TransDigm, Inc. company guaranty unsec. sub. notes     
7 3/4s, 2018  2,171,000  2,382,673 
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021  1,395,000  1,408,950 
    79,017,125 
Communication services (5.2%)     
Altice Finco SA 144A sr. unsec. notes 9 7/8s,     
2020 (Luxembourg)  910,000  1,019,200 
Bresnan Broadband Holdings, LLC 144A company guaranty sr.     
unsec. unsub. notes 8s, 2018  847,000  923,230 
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017  1,483,000  1,727,695 
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018  179,000  200,704 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. notes 6 1/2s, 2021  1,634,000  1,725,913 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsec. unsub. notes 5 1/8s, 2023  630,000  613,463 
CCO Holdings, LLC/CCO Holdings Capital Corp. company     
guaranty sr. unsub. notes 7s, 2019  3,076,000  3,314,390 
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020  380,000  388,550 
Cequel Communications Escrow Capital Corp. 144A sr. unsec.     
notes 6 3/8s, 2020  375,000  389,063 
Cincinnati Bell, Inc. company guaranty sr. unsec. notes     
8 3/8s, 2020  531,000  552,240 
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes     
8 3/4s, 2018  302,000  300,490 
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes     
8 1/4s, 2017  2,017,000  2,138,020 
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A     
company guaranty sr. notes 12s, 2015  3,103,000  3,347,361 
Cricket Communications, Inc. company guaranty sr. unsec.     
notes 7 3/4s, 2020  2,501,000  2,494,748 
Cricket Communications, Inc. company guaranty sr. unsub.     
notes 7 3/4s, 2016  3,523,000  3,677,131 
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019  950,000  1,037,875 
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023  1,255,000  1,276,963 
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021  2,275,000  2,559,375 
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)  3,373,000  3,566,948 
DISH DBS Corp. company guaranty notes 7 1/8s, 2016  1,370,000  1,522,413 
DISH DBS Corp. company guaranty notes 6 5/8s, 2014  3,500,000  3,723,125 
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021  2,657,000  2,949,270 
Equinix, Inc. sr. unsec. notes 7s, 2021  1,840,000  2,037,800 

 

Diversified Income Trust  29 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Communication services cont.       
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021    $620,000  $711,450 
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017    710,000  830,700 
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018    4,695,000  5,340,563 
Frontier Communications Corp. sr. unsec. unsub. notes       
7 5/8s, 2024    475,000  489,250 
Hughes Satellite Systems Corp. company guaranty sr. notes       
6 1/2s, 2019    1,949,000  2,139,028 
Hughes Satellite Systems Corp. company guaranty sr. unsec.       
notes 7 5/8s, 2021    3,202,000  3,662,288 
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s,       
2017 (United Kingdom)    4,928,000  5,248,320 
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes       
7 1/2s, 2021 (Bermuda)    1,949,000  2,168,263 
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s,       
2022 (Bermuda)    770,000  815,238 
Intelsat Luxembourg SA company guaranty sr. unsec. notes       
11 1/2s, 2017 (Luxembourg)    7,278,093  7,729,335 
Intelsat Luxembourg SA company guaranty sr. unsec. notes       
11 1/4s, 2017 (Luxembourg)    2,801,000  2,983,065 
Intelsat Luxembourg SA 144A company guaranty sr. unsec.       
notes 8 1/8s, 2023 (Luxembourg) ##    1,190,000  1,209,338 
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021       
(Luxembourg) ##    3,378,000  3,437,115 
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018       
(Luxembourg) ##    2,470,000  2,544,100 
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s,       
2018 (Germany)  EUR  1,560,000  2,129,007 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub.       
notes 9 3/8s, 2019    $1,699,000  1,904,919 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub.       
notes 8 5/8s, 2020    1,493,000  1,664,695 
Level 3 Financing, Inc. company guaranty sr. unsec. unsub.       
notes 8 1/8s, 2019    515,000  566,500 
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub.       
notes 7s, 2020    183,000  191,693 
Lynx I Corp. 144A sr. notes 6s, 2021    2,160,000  3,372,267 
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes       
9 1/8s, 2019    386,000  430,873 
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes       
7 7/8s, 2018    4,456,000  4,879,320 
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec.       
unsub. notes 6 5/8s, 2023    2,090,000  2,131,800 
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec.       
unsub. notes 6 1/4s, 2021    1,900,000  1,933,250 
NII Capital Corp. company guaranty sr. unsec. unsub.       
notes 10s, 2016    3,892,000  3,493,070 
NII Capital Corp. company guaranty sr. unsec. unsub. notes       
8 7/8s, 2019    353,000  265,633 
NII Capital Corp. company guaranty sr. unsec. unsub. notes       
7 5/8s, 2021    1,502,000  1,081,440 

 

30  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Communication services cont.       
NII International Telecom Sarl 144A company guaranty sr. unsec.       
notes 11 3/8s, 2019 (Luxembourg)    $525,000  $548,625 
PAETEC Holding Corp. company guaranty sr. unsec. notes       
9 7/8s, 2018    3,202,000  3,674,295 
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018       
(United Kingdom)  GBP  2,520,000  3,982,174 
Quebecor Media, Inc. 144A sr. unsec. notes 5 3/4s,       
2023 (Canada)    $1,638,000  1,670,760 
Qwest Corp. sr. unsec. notes 7 1/2s, 2014    610,000  664,878 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025    1,375,000  1,561,929 
SBA Telecommunications, Inc. company guaranty sr. unsec.       
notes 8 1/4s, 2019    2,503,000  2,759,558 
SBA Telecommunications, Inc. 144A company guaranty sr.       
unsec. unsub. notes 5 3/4s, 2020    520,000  540,800 
Sprint Capital Corp. company guaranty 8 3/4s, 2032    1,134,000  1,352,295 
Sprint Capital Corp. company guaranty 6 7/8s, 2028    3,610,000  3,691,225 
Sprint Nextel Corp. sr. notes 8 3/8s, 2017    4,280,000  4,980,850 
Sprint Nextel Corp. sr. unsec. notes 6s, 2016    1,886,000  2,046,310 
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017    1,625,000  1,921,563 
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020    1,152,000  1,267,200 
Sprint Nextel Corp. 144A company guaranty sr. unsec.       
notes 9s, 2018    4,027,000  4,978,379 
Sunrise Communications International SA 144A company       
guaranty sr. notes 7s, 2017 (Luxembourg)  EUR  495,000  678,012 
Sunrise Communications International SA 144A company       
guaranty sr. notes 7s, 2017 (Luxembourg)  CHF  540,000  605,667 
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s,       
2024 (Luxembourg)  EUR  2,690,000  3,620,691 
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s,       
2022 (Luxembourg)    $790,000  1,054,677 
Unitymedia GmbH company guaranty sr. notes Ser. REGS,       
9 5/8s, 2019 (Germany)  EUR  2,398,000  3,435,028 
Unitymedia GmbH 144A sr. sub. notes 9 1/2s, 2021 (Germany)  EUR  665,000  974,260 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr.       
notes 7 1/2s, 2019 (Germany)  EUR  1,855,000  2,584,086 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH       
144A company guaranty sr. notes 8 1/8s, 2017 (Germany)  EUR  627,054  861,936 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH       
144A company guaranty sr. notes 5 1/8s, 2023 (Germany)    $3,270,000  4,056,723 
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands)    1,986,000  2,786,406 
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s,       
2022 (Canada)    1,518,000  1,540,770 
Virgin Media Finance PLC company guaranty sr. unsec. bonds       
8 7/8s, 2019 (United Kingdom)  GBP  162,000  271,962 
Virgin Media Finance PLC company guaranty sr. unsec. unsub.       
notes 5 1/4s, 2022 (United Kingdom)    $730,000  741,830 
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018    1,026,000  1,113,210 
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019    2,430,000  2,587,950 
WideOpenWest Finance, LLC/WideOpenWest Capital Corp.       
144A company guaranty sr. unsec. notes 10 1/4s, 2019    2,992,000  3,328,600 

 

Diversified Income Trust  31 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Communication services cont.       
Wind Acquisition Finance SA company guaranty sr. notes       
Ser. REGS, 7 3/8s, 2018 (Luxembourg)  EUR  301,000  $399,774 
Wind Acquisition Finance SA 144A company guaranty sr. notes       
7 3/8s, 2018 (Luxembourg)  EUR  4,110,000  5,366,557 
Wind Acquisition Finance SA 144A company guaranty sr. notes       
7 1/4s, 2018 (Luxembourg)    $1,135,000  1,181,819 
Wind Acquisition Holdings Finance SA company guaranty sr.       
notes 12 1/4s, 2017 (Luxembourg) ‡‡    1,422,328  1,864,235 
Windstream Corp. company guaranty sr. unsec. unsub. notes       
8 1/8s, 2018    710,000  777,450 
Windstream Corp. company guaranty sr. unsec. unsub. notes       
7 7/8s, 2017    2,884,000  3,294,970 
Windstream Corp. company guaranty sr. unsec. unsub. notes       
7 3/4s, 2021    780,000  850,200 
Windstream Corp. 144A company guaranty sr. unsec. notes       
6 3/8s, 2023    815,000  808,888 
      185,265,029 
Consumer cyclicals (6.3%)       
Academy, Ltd./Academy Finance Corp. 144A company       
guaranty sr. unsec. notes 9 1/4s, 2019    360,000  405,900 
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes       
11 5/8s, 2015    570,000  361,950 
Affinion Group, Inc. company guaranty sr. unsec. notes       
7 7/8s, 2018    4,005,000  3,163,950 
Affinion Group, Inc. company guaranty sr. unsec. sub. notes       
11 1/2s, 2015    3,145,000  2,744,013 
AMC Entertainment, Inc. company guaranty sr. sub. notes       
9 3/4s, 2020    2,673,000  3,083,974 
American Casino & Entertainment Properties LLC sr.       
notes 11s, 2014    3,304,000  3,328,780 
Ashtead Capital, Inc. 144A company guaranty sr. notes       
6 1/2s, 2022    765,000  831,938 
Autonation, Inc. company guaranty sr. unsec. notes       
6 3/4s, 2018    2,870,000  3,264,625 
Autonation, Inc. company guaranty sr. unsec. unsub. notes       
5 1/2s, 2020    565,000  613,025 
Beazer Homes USA, Inc. company guaranty sr. unsec. notes       
8 1/8s, 2016    550,000  595,375 
Beazer Homes USA, Inc. 144A company guaranty sr. unsec.       
notes 7 1/4s, 2023    1,909,000  1,947,180 
Bon-Ton Department Stores, Inc. (The) company guaranty notes       
10 5/8s, 2017    2,390,000  2,392,988 
Boyd Gaming Corp. company guaranty sr. unsec. notes       
9 1/8s, 2018    600,000  636,375 
Brookfield Residential Properties, Inc. 144A company guaranty       
sr. unsec. notes 6 1/2s, 2020 (Canada)    2,065,000  2,209,550 
Building Materials Corp. 144A company guaranty sr. notes       
7 1/2s, 2020    1,185,000  1,293,131 
Building Materials Corp. 144A sr. notes 7s, 2020    2,425,000  2,631,125 
Building Materials Corp. 144A sr. notes 6 3/4s, 2021    1,965,000  2,146,763 
Burlington Coat Factory Warehouse Corp. company guaranty sr.       
unsec. notes 10s, 2019    1,865,000  2,070,150 

 

32  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Consumer cyclicals cont.       
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A       
sr. unsec. notes 9s, 2018 ‡‡    $580,000  $588,700 
Caesars Entertainment Operating Co., Inc. company guaranty sr.       
notes 10s, 2018    2,674,000  1,821,663 
Caesars Entertainment Operating Co., Inc. sr. notes       
11 1/4s, 2017    3,259,000  3,466,761 
Caesars Entertainment Operating Co., Inc. 144A company       
guaranty sr. notes 9s, 2020    4,650,000  4,679,063 
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management       
Corp. company guaranty sr. unsec. notes 9 1/8s, 2018    855,000  957,600 
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management       
Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021    945,000  939,094 
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018    2,760,000  2,760,000 
Choice Hotels International, Inc. company guaranty sr. unsec.       
unsub. notes 5 3/4s, 2022    735,000  814,931 
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes       
8 1/4s, 2021    3,825,000  4,269,656 
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes       
7 3/8s, 2021    680,000  759,900 
CityCenter Holdings LLC/CityCenter Finance Corp. company       
guaranty notes 10 3/4s, 2017    4,530,625  5,006,341 
Clear Channel Communications, Inc. company guaranty sr.       
notes 9s, 2021    4,178,000  3,901,208 
Clear Channel Communications, Inc. 144A company guaranty sr.       
notes 9s, 2019    1,221,000  1,173,686 
Clear Channel Worldwide Holdings, Inc. company guaranty sr.       
unsec. notes 7 5/8s, 2020    703,000  733,756 
Cumulus Media Holdings, Inc. company guaranty sr. unsec.       
unsub. notes 7 3/4s, 2019    3,470,000  3,565,425 
FelCor Lodging LP company guaranty sr. notes 10s, 2014 R    1,487,000  1,661,723 
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R    3,355,000  3,640,175 
FelCor Lodging LP 144A sr. notes 5 5/8s, 2023 R    450,000  458,438 
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018    3,940,000  4,339,555 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021    1,480,000  1,691,725 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021    2,635,000  2,987,761 
Gray Television, Inc. company guaranty sr. unsec. notes       
7 1/2s, 2020    1,200,000  1,281,000 
Great Canadian Gaming Corp. 144A company guaranty sr.       
unsec. notes 6 5/8s, 2022 (Canada)  CAD  2,495,000  2,563,279 
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico)    $900,000  1,096,153 
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico)    775,000  902,674 
Hanesbrands, Inc. company guaranty sr. unsec. notes       
6 3/8s, 2020    2,197,000  2,391,984 
Hanesbrands, Inc. sr. unsec. notes 8s, 2016    485,000  525,619 
Igloo Holdings Corp. 144A sr. unsec. unsub. notes       
8 1/4s, 2017 ‡‡    900,000  929,250 
Interactive Data Corp. company guaranty sr. unsec. notes       
10 1/4s, 2018    1,769,000  2,012,238 
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub.       
notes 8 7/8s, 2020    1,235,000  1,343,063 

 

Diversified Income Trust  33 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Consumer cyclicals cont.       
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub.       
notes 7 3/4s, 2019    $4,588,000  $4,989,450 
Isle of Capri Casinos, Inc. 144A sr. unsec. notes 5 7/8s, 2021    1,725,000  1,725,000 
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s,       
2016 (Denmark)  EUR  2,485,000  3,280,961 
Jaguar Land Rover Automotive PLC 144A company guaranty sr.       
unsec. unsub. notes 5 5/8s, 2023 (United Kingdom)    $450,000  468,031 
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1,       
7 1/2s, 2020  EUR  265,000  359,301 
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes       
9 3/4s, 2019 ‡‡    $700,000  735,000 
K Hovnanian Enterprises, Inc. 144A company guaranty notes       
9 1/8s, 2020    485,000  541,381 
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020    1,060,000  1,176,600 
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014    655,000  705,763 
Lamar Media Corp. company guaranty sr. sub. notes       
5 7/8s, 2022    580,000  627,850 
Lear Corp. 144A company guaranty sr. unsec. notes       
4 3/4s, 2023    1,815,000  1,769,625 
Lender Processing Services, Inc. company guaranty sr. unsec.       
unsub. notes 5 3/4s, 2023    1,875,000  1,954,688 
Lennar Corp. 144A company guaranty sr. unsec. notes       
4 3/4s, 2022    645,000  632,100 
Limited Brands, Inc. company guaranty sr. unsec. notes       
6 5/8s, 2021    2,755,000  3,113,150 
Limited Brands, Inc. sr. notes 5 5/8s, 2022    855,000  906,300 
Lottomatica Group SpA sub. FRN notes Ser. REGS, 8 1/4s,       
2066 (Italy)  EUR  3,337,000  4,482,002 
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018    $1,000,000  1,110,000 
Macy’s Retail Holdings, Inc. company guaranty sr. unsec.       
notes 5.9s, 2016    883,000  1,025,418 
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s,       
2015 (In default) †    1,765,000  123,550 
Masonite International Corp., 144A company guaranty sr. notes       
8 1/4s, 2021 (Canada)    1,420,000  1,576,200 
MGM Resorts International company guaranty sr. unsec. notes       
7 5/8s, 2017    2,555,000  2,836,050 
MGM Resorts International company guaranty sr. unsec. notes       
6 7/8s, 2016    915,000  995,063 
MGM Resorts International company guaranty sr. unsec. unsub.       
notes 7 3/4s, 2022    1,120,000  1,250,200 
MGM Resorts International company guaranty sr. unsec. unsub.       
notes 6 5/8s, 2021    360,000  378,450 
MGM Resorts International 144A company guaranty sr. unsec.       
notes 6 3/4s, 2020    1,160,000  1,229,600 
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016    843,000  881,997 
MTR Gaming Group, Inc. company guaranty notes       
11 1/2s, 2019 ‡‡    4,615,776  4,788,868 
Navistar International Corp. sr. notes 8 1/4s, 2021    2,516,000  2,560,030 
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019    2,625,000  2,743,125 

 

34  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Consumer cyclicals cont.       
New Academy Finance Co., LLC/New Academy Finance Corp.       
144A sr. unsec. notes 8s, 2018 ‡‡    $365,000  $377,775 
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec.       
unsub. notes 6 7/8s, 2020    800,000  844,000 
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr.       
unsec. notes 7 3/4s, 2018    337,000  374,070 
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes       
4 1/2s, 2020    900,000  898,875 
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018    2,343,000  2,624,160 
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021    1,625,000  1,803,750 
Owens Corning company guaranty sr. unsec. notes 9s, 2019    679,000  869,120 
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019    2,466,000  2,786,580 
Penske Automotive Group, Inc. 144A company guaranty sr. sub.       
notes 5 3/4s, 2022    1,510,000  1,574,175 
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes       
9 1/4s, 2018    1,280,000  1,404,800 
Petco Holdings, Inc. 144A sr. notes 8 1/2s, 2017 ‡‡    665,000  687,444 
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes       
8 5/8s, 2017    2,900,000  3,077,625 
Realogy Corp. company guaranty sr. unsec. unsub. notes       
11 1/2s, 2017    4,000,000  4,255,000 
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019    695,000  761,025 
Regal Entertainment Group company guaranty sr. unsec. notes       
9 1/8s, 2018    3,500,000  3,928,750 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.       
144A sr. notes 9 1/2s, 2019    545,000  594,050 
RSI Home Products, Inc. 144A company guaranty notes       
6 7/8s, 2018    1,270,000  1,295,400 
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016    3,139,000  3,452,900 
Sabre, Inc. 144A sr. notes 8 1/2s, 2019    1,705,000  1,849,925 
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s,       
2019 (Germany)  EUR  2,595,000  3,767,151 
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s,       
2019 (Germany)    $535,000  609,900 
Sealy Mattress Co. 144A company guaranty sr. notes       
10 7/8s, 2016    772,000  816,398 
Sinclair Television Group, Inc. 144A company guaranty sr. unsec.       
notes 5 3/8s, 2021    665,000  660,013 
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022    670,000  701,825 
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022    200,000  203,750 
Six Flags Entertainment Corp. 144A company guaranty sr.       
unsec. unsub. notes 5 1/4s, 2021    1,185,000  1,186,481 
Spectrum Brands Escrow Corp. 144A sr. unsec. notes       
6 5/8s, 2022    90,000  97,875 
Spectrum Brands Escrow Corp. 144A sr. unsec. notes       
6 3/8s, 2020    115,000  123,625 
Spectrum Brands, Inc. company guaranty sr. unsec. unsub.       
notes 6 3/4s, 2020    1,125,000  1,213,594 
Tempur-Pedic International, Inc. 144A company guaranty sr.       
unsec. unsub. notes 6 7/8s, 2020    1,095,000  1,168,913 

 

Diversified Income Trust  35 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Consumer cyclicals cont.       
Toys R Us Property Co., LLC company guaranty sr. notes       
8 1/2s, 2017    $2,265,000  $2,392,406 
Toys R Us Property Co., LLC company guaranty sr. unsec. notes       
10 3/4s, 2017    1,583,000  1,703,704 
Travelport, LLC company guaranty sr. unsec. sub. notes       
11 7/8s, 2016    2,243,000  1,906,550 
Travelport, LLC company guaranty sr. unsec. unsub. notes       
9 7/8s, 2014    997,000  1,001,985 
Travelport, LLC 144A sr. notes Ser. B, 6.308s, 2016 ‡‡    717,043  659,680 
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec.       
notes 9s, 2016    1,853,000  1,859,949 
TRW Automotive, Inc. 144A company guaranty sr. notes       
7 1/4s, 2017    4,975,000  5,752,344 
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes       
4 1/2s, 2021    475,000  482,125 
TVN Finance Corp. III AB 144A company guaranty sr. unsec.       
notes 7 7/8s, 2018 (Sweden)  EUR  270,000  362,609 
Univision Communications, Inc. 144A company guaranty sr.       
unsec. notes 8 1/2s, 2021    $1,584,000  1,710,720 
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020    2,324,000  2,556,400 
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019    1,500,000  1,605,000 
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018    3,384,000  3,735,090 
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes       
10 1/4s, 2016 ‡‡    4,720,000  4,867,500 
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016    3,053,000  3,274,343 
      223,828,320 
Consumer staples (2.3%)       
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr.       
unsec. notes 9 3/4s, 2015  BRL  16,800,000  8,986,659 
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company       
guaranty sr. unsec. unsub. notes 8 1/4s, 2019    $520,000  576,550 
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A       
5 1/2s, 2023    710,000  708,225 
Burger King Corp. company guaranty sr. unsec. notes       
9 7/8s, 2018    1,492,000  1,713,935 
CKE, Inc. 144A sr. unsec. notes 10 1/2s, 2016 ‡‡    1,567,762  1,665,747 
Claire’s Stores, Inc. company guaranty sr. notes 8 7/8s, 2019    3,612,000  3,810,660 
Claire’s Stores, Inc. 144A company guaranty sr. notes       
6 1/8s, 2020    475,000  484,500 
Claire’s Stores, Inc. 144A sr. notes 9s, 2019    2,975,000  3,361,750 
Constellation Brands, Inc. company guaranty sr. unsec. unsub.       
notes 7 1/4s, 2016    2,401,000  2,725,135 
Constellation Brands, Inc. company guaranty sr. unsec. unsub.       
notes 6s, 2022    885,000  966,863 
Corrections Corp. of America 144A sr. unsec. notes       
4 5/8s, 2023 R    480,000  491,400 
Corrections Corp. of America 144A sr. unsec. notes       
4 1/8s, 2020 R    380,000  387,125 
Dean Foods Co. company guaranty sr. unsec. unsub. notes       
9 3/4s, 2018    212,000  245,390 

 

36  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Consumer staples cont.       
Dean Foods Co. company guaranty sr. unsec. unsub.       
notes 7s, 2016    $2,498,000  $2,766,535 
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018    4,296,000  4,897,440 
Dole Food Co., Inc. 144A sr. notes 8s, 2016    1,710,000  1,778,400 
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021    2,115,000  2,350,294 
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018       
(United Kingdom)  GBP  1,688,000  2,535,105 
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s,       
2023 (Austria)    $1,220,000  1,219,819 
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020    2,160,000  2,162,700 
HDTFS, Inc. company guaranty sr. unsec. notes 6 1/4s, 2022    280,000  303,800 
Hertz Corp. (The) company guaranty sr. unsec. notes       
7 1/2s, 2018    800,000  883,000 
Hertz Corp. (The) company guaranty sr. unsec. notes       
5 7/8s, 2020    280,000  295,400 
Hertz Holdings Netherlands BV sr. bonds Ser. REGS, 8 1/2s,       
2015 (Netherlands)  EUR  1,000,000  1,353,455 
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s,       
2015 (Netherlands)  EUR  2,129,000  2,881,506 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes       
8 1/4s, 2020    $680,000  742,900 
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes       
7 1/4s, 2021    3,515,000  3,690,750 
Landry’s Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018    955,000  1,000,363 
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020    1,828,000  1,969,670 
Post Holdings, Inc. company guaranty sr. unsec. notes       
7 3/8s, 2022    910,000  995,313 
Prestige Brands, Inc. company guaranty sr. unsec. notes       
8 1/4s, 2018    2,730,000  2,975,700 
Revlon Consumer Products Corp. 144A company guaranty sr.       
unsec. notes 5 3/4s, 2021    1,855,000  1,861,956 
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017    4,000,000  4,115,000 
Rite Aid Corp. company guaranty sr. unsec. unsub. notes       
9 1/2s, 2017    1,745,000  1,830,069 
Rite Aid Corp. company guaranty sr. unsec. unsub. notes       
9 1/4s, 2020    2,220,000  2,505,825 
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020    595,000  672,350 
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022    1,405,000  1,534,963 
Spectrum Brands Holdings, Inc. company guaranty sr. notes       
9 1/2s, 2018    3,360,000  3,805,200 
United Rentals North America, Inc. company guaranty sr. unsec.       
notes 7 5/8s, 2022    1,987,000  2,215,505 
United Rentals North America, Inc. company guaranty sr. unsec.       
unsub. notes 6 1/8s, 2023    370,000  396,825 
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020    653,000  688,915 
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020    260,000  278,200 
      80,830,897 

 

Diversified Income Trust  37 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Energy (7.1%)       
Access Midstream Partners, LP/ACMP Finance Corp. company       
guaranty sr. unsec. unsub. notes 6 1/8s, 2022    $765,000  $820,463 
Access Midstream Partners, LP/ACMP Finance Corp. company       
guaranty sr. unsec. notes 5 7/8s, 2021    1,947,000  2,063,820 
Access Midstream Partners, LP/ACMP Finance Corp. company       
guaranty sr. unsec. unsub. notes 4 7/8s, 2023    2,015,000  1,984,775 
Alpha Natural Resources, Inc. company guaranty sr. unsec.       
notes 6 1/4s, 2021    605,000  544,500 
Alpha Natural Resources, Inc. company guaranty sr. unsec.       
notes 6s, 2019    2,010,000  1,849,200 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016    3,610,000  4,155,015 
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020    319,000  287,100 
Arch Coal, Inc. company guaranty sr. unsec. unsub.       
notes 7s, 2019    2,176,000  1,963,840 
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 144A       
company guaranty sr. notes 6 5/8s, 2020    570,000  594,225 
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020    520,000  565,500 
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017    1,560,000  1,712,100 
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes       
8 5/8s, 2018    3,906,000  4,277,070 
Chaparral Energy, Inc. company guaranty sr. unsec. notes       
9 7/8s, 2020    1,640,000  1,894,200 
Chaparral Energy, Inc. company guaranty sr. unsec. notes       
8 1/4s, 2021    260,000  294,450 
Chesapeake Energy Corp. company guaranty sr. unsec. bonds       
6 1/4s, 2017  EUR  565,000  774,921 
Chesapeake Energy Corp. company guaranty sr. unsec. notes       
9 1/2s, 2015    $4,650,000  5,254,500 
Chesapeake Energy Corp. company guaranty sr. unsec. notes       
5 3/4s, 2023    475,000  481,531 
Concho Resources, Inc. company guaranty sr. unsec. notes       
6 1/2s, 2022    3,280,000  3,575,200 
Concho Resources, Inc. company guaranty sr. unsec. unsub.       
notes 5 1/2s, 2023    500,000  518,750 
Concho Resources, Inc. company guaranty sr. unsec. unsub.       
notes 5 1/2s, 2022    896,000  931,840 
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada)  CAD  2,355,000  1,483,684 
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)    $827,000  543,753 
CONSOL Energy, Inc. company guaranty sr. unsec. notes       
8 1/4s, 2020    1,829,000  2,025,618 
CONSOL Energy, Inc. company guaranty sr. unsec.       
notes 8s, 2017    7,000,000  7,560,000 
Continental Resources, Inc. company guaranty sr. unsec.       
notes 5s, 2022    3,415,000  3,628,438 
Crosstex Energy LP/Crosstex Energy Finance Corp. company       
guaranty sr. unsec. notes 8 7/8s, 2018    5,652,000  6,118,290 
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A       
company guaranty sr. unsec. notes 7 1/8s, 2022    650,000  689,000 
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes       
8 1/4s, 2020    3,793,000  4,257,643 
EXCO Resources, Inc. company guaranty sr. unsec. notes       
7 1/2s, 2018    4,962,000  4,726,305 

 

38  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.  Principal amount  Value 
 
Energy cont.     
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes     
6 1/2s, 2021  $1,264,000  $1,305,080 
Forbes Energy Services Ltd. company guaranty sr. unsec.     
notes 9s, 2019  2,205,000  2,138,850 
FTS International Services, LLC/FTS International Bonds, Inc.     
144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018  1,643,000  1,721,043 
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia)  1,810,000  2,185,177 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s,     
2037 (Russia)  1,280,000  1,548,800 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes     
9 1/4s, 2019 (Russia)  3,305,000  4,265,466 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes     
8.146s, 2018 (Russia)  740,000  894,949 
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub.     
notes 8 7/8s, 2019  4,000,000  4,140,000 
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes     
7 3/4s, 2020  2,883,000  3,041,565 
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021  3,443,000  3,709,833 
Hercules Offshore, Inc. 144A company guaranty sr. notes     
7 1/8s, 2017  175,000  188,563 
Hiland Partners LP/Hiland Partners Finance Corp. 144A     
company guaranty sr. notes 7 1/4s, 2020  780,000  852,150 
Key Energy Services, Inc. company guaranty unsec. unsub.     
notes 6 3/4s, 2021  1,492,000  1,555,410 
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub.     
notes 8 1/8s, 2019  540,000  610,200 
Laredo Petroleum, Inc. company guaranty sr. unsec. notes     
7 3/8s, 2022  655,000  717,225 
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub.     
notes 9 1/2s, 2019  2,918,000  3,297,340 
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec.     
notes 10 3/8s, 2017 (Canada)  813,000  727,635 
Lukoil International Finance BV 144A company guaranty sr.     
unsec. notes 6 1/8s, 2020 (Russia)  5,000,000  5,675,000 
Lukoil International Finance BV 144A company guaranty sr.     
unsec. unsub. bonds 6.656s, 2022 (Russia)  2,380,000  2,820,300 
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6 1/2s, 2021 (Canada)  1,624,000  1,729,560 
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6 3/8s, 2023 (Canada)  901,000  937,040 
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016  3,295,000  2,570,100 
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes     
9 1/2s, 2014 (Ukraine)  3,725,000  3,821,925 
Neon Capital, Ltd. 144A limited recourse notes Ser. 97, 1.105s,     
2013 (Cayman Islands) F g  2,649,208  308,080 
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022  750,000  800,625 
Newfield Exploration Co. sr. unsec. sub. notes 6 7/8s, 2020  1,000,000  1,072,500 
Northern Oil and Gas, Inc. company guaranty sr. unsec.     
notes 8s, 2020  1,620,000  1,688,850 
Oasis Petroleum, Inc. company guaranty sr. unsec. notes     
6 7/8s, 2023  1,045,000  1,146,888 

 

Diversified Income Trust  39 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.  Principal amount  Value 
 
Energy cont.     
Offshore Group Investment, Ltd. 144A company guaranty sr.     
notes 7 1/2s, 2019 (Cayman Islands)  $2,250,000  $2,385,000 
Offshore Group Investment, Ltd. 144A company guaranty sr.     
notes 7 1/8s, 2023 (Cayman Islands)  1,425,000  1,457,063 
Peabody Energy Corp. company guaranty sr. unsec. notes     
7 3/8s, 2016  2,848,000  3,246,720 
Peabody Energy Corp. company guaranty sr. unsec. unsub.     
notes 6 1/2s, 2020  208,000  221,520 
Pemex Project Funding Master Trust company guaranty unsec.     
unsub. notes 6 5/8s, 2038 (Mexico)  760,000  908,200 
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s,     
2022 (Indonesia)  720,000  748,800 
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s,     
2020 (Canada)  3,270,000  3,335,400 
Petrohawk Energy Corp. company guaranty sr. unsec. notes     
10 1/2s, 2014  1,350,000  1,427,537 
Petroleos de Venezuela SA company guaranty sr. unsec. notes     
5 1/4s, 2017 (Venezuela)  26,185,000  22,526,694 
Petroleos de Venezuela SA company guaranty sr. unsec. unsub.     
notes 5 3/8s, 2027 (Venezuela)  3,000,000  2,064,450 
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s,     
2016 (Venezuela)  5,000,000  4,376,700 
Petroleos de Venezuela SA sr. unsec. notes 4.9s,     
2014 (Venezuela)  23,250,000  22,390,215 
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s,     
2015 (Venezuela)  16,885,000  15,612,378 
Petroleos de Venezuela SA 144A company guaranty sr. notes     
8 1/2s, 2017 (Venezuela)  11,495,000  11,178,888 
Petroleos de Venezuela SA 144A company guaranty sr. unsec.     
notes 12 3/4s, 2022 (Venezuela)  2,400,000  2,712,000 
Petroleos de Venezuela SA 144A company guaranty sr. unsec.     
notes 8s, 2013 (Venezuela)  6,425,000  6,444,275 
Petroleos Mexicanos company guaranty sr. unsec. notes 6 1/2s,     
2041 (Mexico)  1,000,000  1,177,500 
Quicksilver Resources, Inc. company guaranty sr. unsec. notes     
8 1/4s, 2015  500,000  491,875 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  1,710,000  1,744,200 
Range Resources Corp. company guaranty sr. sub. notes     
6 3/4s, 2020  1,640,000  1,804,000 
Range Resources Corp. company guaranty sr. unsec. sub.     
notes 5s, 2022  790,000  805,800 
Rosetta Resources, Inc. company guaranty sr. unsec. notes     
9 1/2s, 2018  3,321,000  3,661,403 
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016  2,885,000  3,187,925 
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020  705,000  742,013 
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020  3,925,000  4,170,313 
SandRidge Energy, Inc. company guaranty sr. unsec. unsub.     
notes 7 1/2s, 2021  678,000  705,120 
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018  1,545,000  1,637,700 
SM Energy Co. sr. unsec. notes 6 5/8s, 2019  1,105,000  1,185,113 
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023  985,000  1,083,500 

 

40  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Energy cont.       
Suburban Propane Partners LP/Suburban Energy Finance Corp.       
sr. unsec. notes 7 3/8s, 2021    $2,379,000  $2,622,848 
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021    1,915,000  2,005,963 
Williams Cos., Inc. (The) notes 7 3/4s, 2031    522,000  650,377 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021    690,000  881,671 
      250,639,046 
Financials (5.5%)       
ACE Cash Express, Inc. 144A sr. notes 11s, 2019    1,231,000  1,221,768 
Air Lease Corp. company guaranty sr. unsec. unsub. notes       
4 3/4s, 2020    825,000  845,625 
Air Lease Corp. sr. unsec. notes 6 1/8s, 2017    1,690,000  1,829,425 
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017    1,815,000  2,029,720 
Ally Financial, Inc. company guaranty sr. unsec. unsub.       
notes 8.3s, 2015    4,595,000  5,100,450 
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes       
7 1/2s, 2020    7,290,000  8,893,800 
Ally Financial, Inc. unsec. sub. notes 8s, 2018    1,333,000  1,594,601 
American International Group, Inc. jr. sub. FRB bonds       
8.175s, 2068    3,027,000  4,075,099 
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil)    1,200,000  1,290,000 
Boparan Finance PLC 144A company guaranty sr. unsec. unsub.       
bonds 9 3/4s, 2018 (United Kingdom)  EUR  1,030,000  1,471,376 
Boparan Holdings, Ltd. 144A company guaranty sr. unsec.       
unsub. notes 9 7/8s, 2018 (United Kingdom)    $1,365,000  2,308,002 
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes       
6 5/8s, 2020    1,235,000  1,339,975 
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub.       
notes 11 5/8s, 2017    951,000  1,023,514 
CBRE Services, Inc. company guaranty sr. unsec. unsub.       
notes 5s, 2023    782,000  790,798 
CIT Group, Inc. sr. unsec. notes 5s, 2022    2,000,000  2,135,576 
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020    1,350,000  1,481,625 
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018    2,885,000  3,288,900 
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019    1,710,000  1,876,725 
Community Choice Financial, Inc. company guaranty sr. notes       
10 3/4s, 2019    2,420,000  2,292,950 
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031    3,250,000  3,424,688 
Dresdner Funding Trust I 144A bonds 8.151s, 2031    3,659,000  3,855,671 
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019    3,141,000  3,321,608 
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub.       
FRB bonds 5.13s, perpetual maturity (Jersey)  EUR  1,092,000  1,414,633 
Hub International Ltd. 144A company guaranty sr. notes       
8 1/8s, 2018    $630,000  659,925 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company       
guaranty sr. unsec. notes 8s, 2018    4,000,000  4,280,000 
Industry & Construction Bank St. Petersburg OJSC Via Or-ICB       
unsec. sub. FRN notes 5.01s, 2015 (Russia)    1,695,000  1,748,393 
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019    345,000  379,500 
International Lease Finance Corp. sr. unsec. unsub. notes       
5 7/8s, 2022    1,895,000  2,044,231 

 

Diversified Income Trust  41 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Financials cont.       
International Lease Finance Corp. sr. unsec. unsub. notes       
4 7/8s, 2015    $775,000  $813,750 
International Lease Finance Corp. sr. unsec. unsub. notes       
4 5/8s, 2021    660,000  659,175 
International Lease Finance Corp. sr. unsec. unsub. notes       
3 7/8s, 2018    1,675,000  1,670,813 
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R    1,050,000  1,102,500 
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s,       
perpetual maturity (United Kingdom)    2,158,000  2,254,506 
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097    2,775,000  3,037,410 
MetLife Capital Trust X 144A jr. sub. FRB bonds 9 1/4s, 2068    935,000  1,301,988 
MPT Operating Partnership LP/MPT Finance Corp. company       
guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R    1,140,000  1,222,650 
National Money Mart Co. company guaranty sr. unsec. unsub.       
notes 10 3/8s, 2016 (Canada)    1,029,000  1,134,473 
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A       
company guaranty sr. unsec. notes 7 7/8s, 2020    740,000  817,700 
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A       
company guaranty sr. unsec. unsub. notes 6 1/2s, 2021    2,002,000  2,087,085 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020    1,682,000  1,757,690 
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017    1,774,000  1,831,655 
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021    1,938,000  1,928,310 
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016    1,085,000  1,266,738 
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019    1,240,000  1,399,650 
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s,       
perpetual maturity (United Kingdom)    3,375,000  2,649,375 
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds       
7.092s, 2049 (United Kingdom)    2,550,000  2,876,473 
Royal Bank of Scotland PLC (The) jr. sub. FRN notes Ser. MTN,       
7.64s, perpetual maturity (United Kingdom)    3,300,000  2,970,000 
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sub.       
FRN notes 6s, 2021 (Russia)    6,000,000  6,209,265 
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s,       
2022 (Luxembourg)    2,100,000  2,346,604 
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s,       
2017 (Luxembourg)    5,200,000  5,538,000 
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017    6,000,000  6,030,000 
State Bank of India/London 144A sr. unsec. notes 4 1/2s,       
2015 (India)    1,665,000  1,753,628 
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s,       
perpetual maturity (Jersey)  EUR  976,000  1,239,802 
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN,       
7.152s, perpetual maturity (Jersey)  EUR  2,000,000  2,797,614 
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds       
8 3/8s, 2015 (United Kingdom)    $3,400,000  3,460,996 
Vnesheconombank Via VEB Finance PLC 144A bank guaranty,       
sr. unsec. unsub. bonds 6.8s, 2025 (Russia)    1,956,000  2,288,520 
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s,       
2049 (Ireland)    1,600,000  1,713,956 
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s,       
2035 (Russia)    4,335,000  4,681,453 

 

42  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Financials cont.       
VTB Bank OJSC Via VTB Capital SA 144A bank guaranty sr.       
unsec. notes 6.551s, 2020 (Russia)    $5,000,000  $5,487,500 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes       
6 7/8s, 2018 (Russia)    22,451,000  24,752,228 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes       
6 1/4s, 2035 (Russia)    23,618,000  25,505,551 
      192,605,636 
Health care (2.5%)       
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec.       
notes 6 1/8s, 2021    955,000  986,038 
AmSurg Corp. 144A company guaranty sr. unsec. unsub. notes       
5 5/8s, 2020    1,210,000  1,273,525 
Aviv Healthcare Properties LP company guaranty sr. unsec.       
notes 7 3/4s, 2019    1,901,000  2,043,575 
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany)  EUR  819,000  1,100,490 
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020    $2,085,000  2,212,706 
Capella Healthcare, Inc. company guaranty sr. unsec. notes       
9 1/4s, 2017    1,610,000  1,742,825 
Capsugel FinanceCo SCA 144A company guaranty sr. unsec.       
notes 9 7/8s, 2019  EUR  3,075,000  4,429,278 
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017 ‡‡    $1,925,000  1,992,375 
CHS/Community Health Systems, Inc. company guaranty sr.       
notes 5 1/8s, 2018    1,505,000  1,576,488 
CHS/Community Health Systems, Inc. company guaranty sr.       
unsec. unsub. notes 8s, 2019    721,000  798,508 
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s,       
2017 (Luxembourg)  EUR  865,000  1,182,425 
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s,       
2018 (Luxembourg)    $6,000,000  6,690,000 
Emergency Medical Services Corp. company guaranty sr. unsec.       
notes 8 1/8s, 2019    2,594,000  2,846,915 
Endo Health Solutions, Inc. company guaranty sr. unsec.       
notes 7s, 2019    1,880,000  2,009,250 
Fresenius Medical Care US Finance II, Inc. 144A company       
guaranty sr. unsec. notes 5 5/8s, 2019    1,675,000  1,838,313 
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015    2,160,000  2,473,200 
HCA, Inc. company guaranty sr. notes 7 7/8s, 2020    1,500,000  1,657,500 
HCA, Inc. sr. notes 6 1/2s, 2020    5,698,000  6,424,495 
HCA, Inc. sr. unsec. notes 7 1/2s, 2022    741,000  853,076 
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017    3,240,000  3,466,800 
Hologic, Inc. company guaranty sr. unsec. unsub. notes       
6 1/4s, 2020    455,000  484,006 
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr.       
unsec. notes 8 3/8s, 2019    1,906,000  2,003,683 
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020    816,000  850,680 
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 ‡‡    775,000  832,156 
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec.       
notes 9 1/2s, 2019    1,349,000  1,547,978 
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes       
10 1/2s, 2018    1,524,000  1,653,540 

 

Diversified Income Trust  43 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.  Principal amount  Value 
 
Health care cont.     
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr.     
unsec. notes 12 1/2s, 2019  $1,213,000  $1,199,354 
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018  1,910,000  2,122,488 
Omega Healthcare Invepstors, Inc. company guaranty sr. unsec.     
notes 6 3/4s, 2022 R  1,266,000  1,395,765 
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s,     
2018 (United Kingdom)  2,990,000  4,684,265 
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland)  1,085,000  1,399,083 
Service Corporation International sr. notes 7s, 2019  970,000  1,052,450 
Service Corporation International sr. notes 7s, 2017  3,136,000  3,563,280 
Sky Growth Acquisition Corp. 144A company guaranty sr.     
unsec. notes 7 3/8s, 2020  1,913,000  2,022,998 
Stewart Enterprises, Inc. company guaranty sr. unsec. notes     
6 1/2s, 2019  2,790,000  2,978,325 
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017  1,505,000  1,567,081 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015  834,910  845,346 
Teleflex, Inc. company guaranty sr. unsec. sub. notes     
6 7/8s, 2019  2,400,000  2,598,000 
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018  2,265,000  2,514,150 
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019  2,627,000  2,955,375 
Tenet Healthcare Corp. 144A company guaranty sr. notes     
4 1/2s, 2021  450,000  441,000 
Valeant Pharmaceuticals International 144A company guaranty     
sr. notes 7s, 2020  350,000  377,125 
Valeant Pharmaceuticals International 144A company guaranty     
sr. unsec. notes 6 7/8s, 2018  900,000  966,938 
Valeant Pharmaceuticals International 144A sr. notes     
6 3/4s, 2017  350,000  375,813 
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020  290,000  305,950 
    88,334,611 
Technology (1.4%)     
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021  1,786,000  1,701,165 
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019  2,414,000  2,359,685 
Ceridian Corp. company guaranty sr. unsec. notes     
12 1/4s, 2015 ‡‡  1,453,000  1,502,039 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  3,905,000  4,031,913 
Ceridian Corp. 144A sr. notes 8 7/8s, 2019  520,000  605,800 
CyrusOne LP/CyrusOne Finance Corp. 144A company guaranty     
sr. unsec. unsub. notes 6 3/8s, 2022  395,000  413,763 
Epicor Software Corp. company guaranty sr. unsec. notes     
8 5/8s, 2019  1,024,000  1,108,480 
Fidelity National Information Services, Inc. company guaranty sr.     
unsec. notes 7 7/8s, 2020  1,239,000  1,396,973 
First Data Corp. company guaranty sr. unsec. notes     
12 5/8s, 2021  4,738,000  5,134,808 
First Data Corp. 144A company guaranty notes 8 1/4s, 2021  1,255,000  1,305,200 
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020  820,000  916,350 
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019  1,245,000  1,324,369 
First Data Corp. 144A company guaranty sr. unsec. notes     
11 1/4s, 2021  1,240,000  1,289,600 

 

44  Diversified Income Trust 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Technology cont.       
Freescale Semiconductor, Inc. company guaranty sr. unsec.       
notes 10 3/4s, 2020    $1,977,000  $2,243,895 
Freescale Semiconductor, Inc. 144A company guaranty sr. notes       
10 1/8s, 2018    4,480,000  4,961,600 
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019    555,000  629,231 
Iron Mountain, Inc. company guaranty sr. unsec. sub.       
notes 8s, 2020    2,300,000  2,415,000 
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021    4,150,000  4,559,813 
NXP BV/NXP Funding, LLC 144A sr. unsec. notes 5 3/4s,       
2023 (Netherlands)    1,035,000  1,055,700 
SunGard Data Systems, Inc. 144A company guaranty sr. sub.       
notes 6 5/8s, 2019    1,060,000  1,094,450 
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020    2,062,000  2,234,693 
Syniverse Holdings, Inc. company guaranty sr. unsec. notes       
9 1/8s, 2019    3,115,000  3,418,713 
Techem Energy Metering Service GmbH 144A sr. sub. bonds       
7 7/8s, 2020 (Germany)    1,550,000  2,118,519 
      47,821,759 
Transportation (0.5%)       
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s,       
2018 (Luxembourg)  CHF  6,917,000  7,796,471 
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s,       
2018 (Luxembourg)    $545,000  584,513 
Air Medical Group Holdings, Inc. company guaranty sr. notes       
9 1/4s, 2018    2,993,000  3,303,524 
Swift Services Holdings, Inc. company guaranty sr.       
notes 10s, 2018    3,585,000  4,104,825 
Watco Cos LLC/Watco Finance Corp. 144A company guaranty       
sr. unsec. notes 6 3/8s, 2023    670,000  689,263 
Western Express, Inc. 144A sr. notes 12 1/2s, 2015    472,000  344,560 
      16,823,156 
Utilities and power (2.1%)       
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017    5,000,000  5,881,250 
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021    1,960,000  2,273,600 
Calpine Corp. 144A sr. notes 7 1/4s, 2017    6,203,000  6,575,180 
Cenrais Electricas Brasileiras SA 144A sr. unsec. unsub. notes       
5 3/4s, 2021 (Brazil)    500,000  533,125 
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada)    2,495,000  3,026,428 
El Paso Corp. sr. unsec. notes 7s, 2017    4,910,000  5,615,700 
El Paso Natural Gas Co. debs. 8 5/8s, 2022    2,976,000  4,090,848 
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.       
sr. notes 10s, 2020    6,590,000  7,471,413 
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.       
144A notes 11 3/4s, 2022    875,000  1,006,250 
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.       
144A sr. notes 10s, 2020    7,000,000  7,875,000 
Energy Transfer Equity LP company guaranty sr. unsec. notes       
7 1/2s, 2020    4,506,000  5,193,165 
EP Energy, LLC/Everest Acquisition Finance, Inc. company       
guaranty sr. notes 6 7/8s, 2019    765,000  837,675 
EP Energy, LLC/Everest Acquisition Finance, Inc. company       
guaranty sr. unsec. notes 7 3/4s, 2022    485,000  535,925 

 

Diversified Income Trust  45 

 


CORPORATE BONDS AND NOTES (37.8%)* cont.    Principal amount  Value 
 
Utilities and power cont.       
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020    $2,730,000  $3,153,150 
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec.       
notes 8 1/8s, 2017 ‡‡    950,000  988,000 
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023    605,000  611,885 
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020    3,271,000  3,745,295 
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018    530,000  624,075 
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016    490,000  550,025 
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019    760,000  851,200 
NRG Energy, Inc. company guaranty sr. unsec. notes 7/8s, 2021    6,000,000  6,675,000 
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020    1,370,000  1,654,627 
Regency Energy Partners company guaranty sr. unsec. unsub.       
notes 5 1/2s, 2023    1,140,000  1,219,800 
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028    520,000  705,813 
Texas Competitive/Texas Competitive Electric Holdings Co., LLC       
144A company guaranty sr. notes 11 1/2s, 2020    1,440,000  1,076,400 
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual       
maturity (Sweden)  EUR  819,000  1,100,637 
      73,871,466 
 
Total corporate bonds and notes (cost $1,261,700,568)      $1,333,249,573 
 
 
U.S. GOVERNMENT AND AGENCY       
MORTGAGE OBLIGATIONS (17.9%)*    Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations (1.6%)       
Government National Mortgage Association Pass-Through Certificates     
6 1/2s, November 20, 2038    $892,518  $1,012,554 
3s, TBA, May 1, 2043    24,000,000  24,993,749 
3s, TBA, April 1, 2043    24,000,000  25,059,374 
3s, TBA, April 1, 2043    3,000,000  3,135,234 
      54,200,911 
U.S. Government Agency Mortgage Obligations (16.3%)       
Federal National Mortgage Association Pass-Through Certificates       
3s, TBA, May 1, 2043    165,000,000  169,698,639 
3s, TBA, April 1, 2043    394,000,000  406,281,729 
      575,980,368 
 
Total U.S. government and agency mortgage obligations (cost $628,776,979)  $630,181,279 
 
 
U.S. TREASURY OBLIGATIONS (—%)*    Principal amount  Value 
 
U.S. Treasury Notes       
0.250%, May 31, 2014 i    $133,000  $133,202 
0.250%, April 30, 2014 i    263,000  263,468 
Total U.S. treasury obligations (cost $396,670)      $396,670 
 
 
FOREIGN GOVERNMENT AND AGENCY       
BONDS AND NOTES (6.9%)*  Principal amount/units  Value 
 
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina)    $12,925,000  $10,372,313 
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s,       
2013 (Argentina)    3,495,000  3,463,545 
Argentina (Republic of) sr. unsec. bonds FRB 0.448s,       
2013 (Argentina)    10,393,000  1,278,339 

 

46  Diversified Income Trust 

 


FOREIGN GOVERNMENT AND AGENCY       
BONDS AND NOTES (6.9%)* cont.  Principal amount/units  Value 
 
Argentina (Republic of) sr. unsec. unsub. bonds 7s,       
2015 (Argentina)    $52,418,000  $44,162,165 
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil)  units  7,250  3,753,363 
Brazil (Federal Republic of) unsub. notes 10s, 2014 (Brazil)  units  20,095  10,319,328 
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s,       
2013 (India)  INR  182,100,000  3,247,746 
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana)    $4,340,000  4,975,680 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2042 (Greece) ††  EUR  1,601,000  717,177 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2041 (Greece) ††  EUR  1,141,000  512,302 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2040 (Greece) ††  EUR  1,601,000  719,722 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2039 (Greece) ††  EUR  2,521,000  1,131,493 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2038 (Greece) ††  EUR  8,951,000  4,033,631 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2037 (Greece) ††  EUR  2,051,000  920,466 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2036 (Greece) ††  EUR  4,111,000  1,862,624 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2035 (Greece) ††  EUR  5,751,000  2,589,241 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2034 (Greece) ††  EUR  3,431,000  1,560,201 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2033 (Greece) ††  EUR  1,601,000  731,296 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2032 (Greece) ††  EUR  3,671,000  1,693,855 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2031 (Greece) ††  EUR  681,000  316,720 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2030 (Greece) ††  EUR  10,181,000  4,800,635 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2029 (Greece) ††  EUR  1,141,000  549,408 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2028 (Greece) ††  EUR  5,751,000  2,804,870 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2027 (Greece) ††  EUR  1,141,000  574,433 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2026 (Greece) ††  EUR  4,831,000  2,528,819 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2025 (Greece) ††  EUR  15,941,000  8,703,242 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2024 (Greece) ††  EUR  1,451,000  828,912 

 

Diversified Income Trust  47 

 


FOREIGN GOVERNMENT AND AGENCY       
BONDS AND NOTES (6.9%)* cont.    Principal amount  Value 
 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 2s (3s, 2/24/15), 2023 (Greece) ††  EUR  6,781,000  $4,089,260 
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s,       
2018 (Hungary)    $3,740,000  3,553,791 
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s,       
2037 (Indonesia)    3,255,000  4,034,312 
International Bank for Reconstruction & Development sr. disc.       
unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation)  RUB  123,450,000  3,912,761 
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq)    $2,905,000  2,684,220 
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland)  EUR  14,029,000  19,934,070 
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s,       
2017 (Portugal)    $4,199,000  5,215,204 
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s,       
2030 (Russia)    792,709  979,201 
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia)    2,050,000  2,025,412 
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain)  EUR  4,199,000  5,775,090 
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka)    $1,300,000  1,386,931 
Turkey (Republic of) sr. unsec. bonds 5 5/8s, 2021 (Turkey)    6,800,000  7,749,960 
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey)    5,015,000  5,992,925 
Turkey (Republic of) unsec. notes 6 3/4s, 2040 (Turkey)    5,080,000  6,242,710 
Ukraine (Government of) Financing of Infrastructural Projects       
State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 (Ukraine)    2,700,000  2,737,125 
Ukraine (Government of) 144A bonds 7 3/4s, 2020 (Ukraine)    7,125,000  7,402,875 
Ukraine (Government of) 144A notes 9 1/4s, 2017 (Ukraine)    3,330,000  3,586,172 
Ukraine (Government of) 144A sr. unsec. bonds 7.95s,       
2014 (Ukraine)    5,200,000  5,316,650 
Ukraine (Government of) 144A sr. unsec. notes 7.8s,       
2022 (Ukraine)    4,500,000  4,578,750 
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s,       
2013 (Ukraine)    14,610,000  14,681,589 
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 (Venezuela)    2,900,000  2,252,604 
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 (Venezuela)    4,150,000  4,218,309 
Venezuela (Republic of) 144A unsec. bonds 13 5/8s,       
2018 (Venezuela)    4,935,000  5,699,777 
Total foreign government and agency bonds and notes (cost $255,607,638)  $243,201,224 
 
 
SENIOR LOANS (1.2%)*c    Principal amount  Value 
 
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018    $1,251,863  $1,270,640 
Burlington Coat Factory Warehouse Corp. bank term loan FRN       
Ser. B1, 5 1/2s, 2017    714,894  723,048 
Caesars Entertainment Operating Co., Inc. bank term loan FRN       
Ser. B6, 5.454s, 2018    5,776,936  5,347,999 
Charter Communications Operating, LLC bank term loan FRN       
Ser. C, 3.47s, 2016    199,094  199,729 
Chesapeake Energy Corp. bank term loan FRN Ser. B,       
5 3/4s, 2017    2,091,000  2,153,356 
Clear Channel Communications, Inc. bank term loan FRN Ser. B,       
3.854s, 2016    4,921,601  4,357,158 
Emergency Medical Services Corp. bank term loan FRN       
Ser. B, 4s, 2018    2,136,856  2,158,225 
First Data Corp. bank term loan FRN 5.204s, 2017    61,131  61,284 

 

48  Diversified Income Trust 

 


SENIOR LOANS (1.2%)*c cont.    Principal amount  Value 
First Data Corp. bank term loan FRN 4.204s, 2018    $574,435  $572,424 
Frac Tech International, LLC bank term loan FRN Ser. B,     
8 1/2s, 2016    1,758,535  1,666,945 
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.21s, 2014 ‡‡  402,133  388,260 
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.21s, 2014 ‡‡  228,899  221,002 
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020  1,420,000  1,432,070 
Intelsat SA bank term loan FRN 3.205s, 2014 (Luxembourg)  1,987,780  1,985,918 
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 R  1,121,739  1,130,152 
Motor City Casino bank term loan FRN 6s, 2017    3,107,202  3,130,506 
Navistar, Inc. bank term loan FRN Ser. B, 7s, 2017    708,225  714,675 
Neiman Marcus Group, Inc. (The) bank term loan FRN 4s, 2018  2,362,808  2,383,482 
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017  1,244,600  1,247,712 
Plains Exploration & Production Co. bank term loan FRN     
Class B, 4s, 2019    1,520,000  1,520,543 
Quintiles Transnational Holdings, Inc. bank term loan FRN     
7 1/2s, 2017 ‡‡    610,000  623,725 
Servicemaster Co. bank term loan FRN 4.46s, 2017    579,265  584,153 
Springleaf Financial Funding Co. bank term loan FRN Ser. B,     
5 1/2s, 2017    1,845,000  1,855,378 
SRAM Corp. bank term loan FRN 8 1/2s, 2018    885,000  898,275 
Texas Competitive Electric Holdings Co., LLC bank term loan     
FRN 4.733s, 2017    4,000,000  2,836,000 
Thomson Learning bank term loan FRN Ser. B, 2.71s, 2014  1,148,010  881,815 
Travelport, LLC bank term loan FRN Ser. B, 5.056s, 2015  1,038,004  1,032,165 
Travelport, LLC bank term loan FRN Ser. S, 5.061s, 2015  326,996  325,157 
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020    1,260,000  1,275,300 
West Corp. bank term loan FRN Ser. B8, 4 1/4s, 2018    161,601  164,025 
Total senior loans (cost $44,012,867)      $43,141,121 
 
 
PURCHASED SWAP OPTIONS OUTSTANDING (0.5%)*       
Counterparty       
Fixed right % to receive or (pay)/  Expiration  Contract   
Floating rate index/Maturity date  date/strike  amount  Value 
 
Goldman Sachs International       
(1.53)/3 month USD-LIBOR-BBA/Jan-18  Jan-16/1.53  $647,819,000  $6,270,888 
(1.5725)/3 month USD-LIBOR-BBA/Jan-18  Jan-16/1.5725  647,819,000  5,888,675 
JPMorgan Chase Bank N.A.       
(1.555)/3 month USD-LIBOR-BBA/Jan-18  Jan-16/1.555  647,819,000  5,966,413 
Total purchased swap options outstanding (cost $18,926,680)    $18,125,976 
 
 
CONVERTIBLE BONDS AND NOTES (0.1%)*    Principal amount  Value 
 
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R  $910,000  $1,069,819 
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014  1,053,000  1,074,718 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014    1,045,000  1,173,013 
Total convertible bonds and notes (cost $3,030,624)      $3,317,550 

 

Diversified Income Trust  49 

 


SHORT-TERM INVESTMENTS (9.7%)*  Principal amount/shares  Value 
 
Putnam Short Term Investment Fund 0.08% L  145,246,147  $145,246,147 
SSgA Prime Money Market Fund 0.02% P  7,710,000  7,710,000 
Straight-A Funding, LLC 144A, Ser. 1 commercial paper with     
an effective yield of 0.19%, April 22, 2013  $25,015,000  25,012,228 
Straight-A Funding, LLC 144A, Ser. 1 commercial paper with     
an effective yield of 0.19%, April 19, 2013  29,700,000  29,697,178 
Straight-A Funding, LLC 144A, Ser. 1 commercial paper with     
an effective yield of 0.18%, June 14, 2013  25,000,000  24,990,750 
U.S. Treasury Bills with effective yields ranging from 0.15%     
to 0.17%, July 25, 2013 # ∆  108,941,000  108,883,844 
Total short-term investments (cost $341,540,147)    $341,540,147 
 
 
TOTAL INVESTMENTS     
Total investments (cost $4,005,669,018)    $4,162,550,465 

 

Key to holding’s currency abbreviations

 

AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
CHF  Swiss Franc 
CZK  Czech Koruna 
EUR  Euro 
GBP  British Pound 
INR  Indian Rupee 
JPY  Japanese Yen 
MXN  Mexican Peso 
PLN  Polish Zloty 
RUB  Russian Ruble 
SEK  Swedish Krona 
USD/$  United States Dollar 

 

Key to holding’s abbreviations

 

bp  Basis Points 
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 
OTC  Over-the-counter 
PO  Principal Only 
TBA  To Be Announced Commitments 

 

50  Diversified Income Trust 

 


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, 2012 through March 31, 2013 (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 “OTC”, if any, represent over-the-counter.

* Percentages indicated are based on net assets of $3,526,637,142.

† Non-income-producing security.

†† 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.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# 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.

∆ 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.

## Forward commitment, in part or in entirety (Note 1).

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 (Notes 1 and 7).

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 was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).

L Affiliated company (Note 6). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P Security was pledged, or purchased with cash 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 (Note 1).

R Real Estate Investment Trust.

At the close of the reporting period, the fund maintained liquid assets totaling $731,566,468 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.

See Note 1 to the financial statements regarding TBA’s.

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

Diversified Income Trust  51 

 


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  83.7%  Greece  1.0% 
  
Venezuela  2.4  Ireland  0.8 
  
Russia  2.1  Germany  0.7 
  
Luxembourg  1.6  Canada  0.6 
  
Argentina  1.4  Turkey  0.5 
  
United Kingdom  1.2  Other  3.0 
  
Ukraine  1.0  Total  100.0% 

 

FORWARD CURRENCY CONTRACTS at 3/31/13 (aggregate face value $1,610,304,009) (Unaudited)

 

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America N.A.           
  British Pound  Sell  6/19/13  $8,813,842  $8,790,332  $(23,510) 
  Canadian Dollar  Sell  4/17/13  1,010,631  1,072,040  61,409 
  Chilean Peso  Buy  4/17/13  10,003,356  9,906,605  96,751 
  Euro  Sell  6/19/13  8,666,391  8,710,118  43,727 
  Japanese Yen  Sell  5/15/13  12,537,641  12,632,234  94,593 
  Peruvian New Sol  Buy  4/17/13  9,679,994  9,804,741  (124,747) 
  Swiss Franc  Sell  6/19/13  14,747,639  14,876,639  129,000 
Barclays Bank PLC           
  Australian Dollar  Buy  4/17/13  12,891,670  12,842,960  48,710 
  Brazilian Real  Buy  4/17/13  6,275,495  6,358,026  (82,531) 
  British Pound  Sell  6/19/13  21,913,402  21,818,560  (94,842) 
  Canadian Dollar  Sell  4/17/13  8,818,372  8,907,792  89,420 
  Chilean Peso  Buy  4/17/13  13,643,217  13,501,642  141,575 
  Euro  Sell  6/19/13  22,858,311  23,201,980  343,669 
  Indonesian Rupiah  Buy  5/15/13  7,675,355  7,675,727  (372) 
  Japanese Yen  Sell  5/15/13  3,007,535  3,493,297  485,762 
  Malaysian Ringgit  Buy  5/15/13  7,120,856  7,123,299  (2,443) 
  Mexican Peso  Buy  4/17/13  7,948,832  7,617,942  330,890 
  New Taiwan Dollar  Buy  5/15/13  1,480,762  1,502,981  (22,219) 
  New Zealand Dollar  Buy  4/17/13  11,857,100  11,666,468  190,632 
  New Zealand Dollar  Sell  4/17/13  11,857,100  11,581,706  (275,394) 
  Norwegian Krone  Sell  6/19/13  8,335,964  8,429,138  93,174 
  Russian Ruble  Buy  6/19/13  1,883,855  1,887,126  (3,271) 
  Singapore Dollar  Buy  5/15/13  1,192,132  1,195,338  (3,206) 
  Singapore Dollar  Sell  5/15/13  1,192,132  1,184,531  (7,601) 
  South Korean Won  Buy  5/15/13  9,077,764  9,242,106  (164,342) 
  South Korean Won  Sell  5/15/13  9,077,764  9,074,014  (3,750) 
  Swedish Krona  Buy  6/19/13  22,255,575  22,447,930  (192,355) 
  Swiss Franc  Sell  6/19/13  10,641,506  10,667,108  25,602 
  Turkish Lira  Buy  6/19/13  8,392,630  8,400,855  (8,225) 
  Turkish Lira  Sell  6/19/13  8,392,630  8,353,313  (39,317) 

 

52  Diversified Income Trust 

 


FORWARD CURRENCY CONTRACTS at 3/31/13 (aggregate face value $1,610,304,009) (Unaudited) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Citibank, N.A.             
  Australian Dollar  Buy  4/17/13  $29,256,418  $29,029,056  $227,362 
  Brazilian Real  Buy  4/17/13  10,255,339  10,436,790  (181,451) 
  Brazilian Real  Sell  4/17/13  10,255,339  10,510,684  255,345 
  British Pound  Sell  6/19/13  4,854,979  4,700,862  (154,117) 
  Canadian Dollar  Sell  4/17/13  8,080,719  8,209,794  129,075 
  Euro  Sell  6/19/13  41,206,754  41,781,749  574,995 
  Japanese Yen  Buy  5/15/13  26,321,601  26,124,282  197,319 
  Japanese Yen  Sell  5/15/13  26,321,601  26,757,343  435,742 
  New Taiwan Dollar  Buy  5/15/13  154,253  156,642  (2,389) 
  New Taiwan Dollar  Sell  5/15/13  154,253  154,748  495 
  South Korean Won  Buy  5/15/13  4,025,480  4,227,226  (201,746) 
  Swedish Krona  Buy  6/19/13  11,683,581  11,822,078  (138,497) 
  Swiss Franc  Sell  6/19/13  16,278,594  16,363,694  85,100 
  Thai Baht  Buy  5/15/13  7,894,624  7,731,215  163,409 
  Turkish Lira  Buy  6/19/13  4,261,735  4,323,256  (61,521) 
Credit Suisse International           
  Australian Dollar  Buy  4/17/13  24,784,360  24,665,563  118,797 
  Brazilian Real  Buy  4/17/13  3,765,089  3,824,298  (59,209) 
  British Pound  Sell  6/19/13  8,130,970  8,072,708  (58,262) 
  Canadian Dollar  Sell  4/17/13  10,297,416  10,280,410  (17,006) 
  Chilean Peso  Buy  4/17/13  10,003,355  9,901,625  101,730 
  Chinese Yuan  Buy  5/15/13  6,086,272  6,056,605  29,667 
  Czech Koruna  Buy  6/19/13  164,396  228,211  (63,815) 
  Euro  Sell  6/19/13  19,707,444  20,083,313  375,869 
  Japanese Yen  Sell  5/15/13  5,089,268  5,573,737  484,469 
  Mexican Peso  Buy  4/17/13  8,792,531  8,410,694  381,837 
  New Taiwan Dollar  Buy  5/15/13  1,018,008  1,033,418  (15,410) 
  New Zealand Dollar  Buy  4/17/13  218,927  215,373  3,554 
  Norwegian Krone  Buy  6/19/13  8,757,142  8,811,480  (54,338) 
  Norwegian Krone  Sell  6/19/13  8,757,142  8,799,796  42,654 
  Philippine Peso  Buy  5/15/13  4,667,406  4,699,031  (31,625) 
  Polish Zloty  Buy  6/19/13  2,386,676  2,373,515  13,161 
  Russian Ruble  Buy  6/19/13  15,626,598  15,733,611  (107,013) 
  South Korean Won  Buy  5/15/13  9,077,764  9,253,811  (176,047) 
  South Korean Won  Sell  5/15/13  9,077,764  9,071,354  (6,410) 
  Swedish Krona  Buy  6/19/13  7,221,916  7,311,054  (89,138) 
  Swiss Franc  Sell  6/19/13  9,675,314  9,725,842  50,528 
  Turkish Lira  Buy  6/19/13  8,392,630  8,383,229  9,401 
  Turkish Lira  Sell  6/19/13  8,392,630  8,354,314  (38,316) 
Deutsche Bank AG           
  Australian Dollar  Buy  4/17/13  14,287,537  14,230,778  56,759 
  Brazilian Real  Buy  4/17/13  10,255,339  10,507,362  (252,023) 
  Brazilian Real  Sell  4/17/13  10,255,339  10,514,410  259,071 

 

Diversified Income Trust  53 

 


FORWARD CURRENCY CONTRACTS at 3/31/13 (aggregate face value $1,610,304,009) (Unaudited) cont.

          Unrealized 
  Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Deutsche Bank AG cont.         
Canadian Dollar  Sell  4/17/13  $22,562,266  $22,678,380  $116,114 
Euro  Sell  6/19/13  10,762,993  10,920,747  157,754 
Japanese Yen  Sell  5/15/13  16,061,515  16,396,834  335,319 
Mexican Peso  Buy  4/17/13  5,712,283  5,408,346  303,937 
Norwegian Krone  Sell  6/19/13  11,395,575  11,334,027  (61,548) 
Polish Zloty  Buy  6/19/13  5,343,963  5,462,988  (119,025) 
Singapore Dollar  Buy  5/15/13  9,324,510  9,330,956  (6,446) 
Singapore Dollar  Sell  5/15/13  9,324,510  9,256,481  (68,029) 
South Korean Won  Buy  5/15/13  4,777,238  5,004,221  (226,983) 
Swedish Krona  Buy  6/19/13  16,661,029  16,796,541  (135,512) 
Swiss Franc  Sell  6/19/13  16,463,861  16,548,702  84,841 
Turkish Lira  Buy  6/19/13  6,812,668  6,829,671  (17,003) 
Goldman Sachs International         
British Pound  Buy  6/19/13  5,841,468  5,836,959  4,509 
British Pound  Sell  6/19/13  5,841,468  5,793,615  (47,853) 
Canadian Dollar  Sell  4/17/13  8,717,309  8,543,049  (174,260) 
Euro  Sell  6/19/13  25,667,889  26,051,820  383,931 
Japanese Yen  Sell  5/15/13  16,605,280  16,854,754  249,474 
Norwegian Krone  Sell  6/19/13  8,438,075  8,598,763  160,688 
HSBC Bank USA, National Association       
Australian Dollar  Buy  4/17/13  13,279,821  13,230,385  49,436 
British Pound  Buy  6/19/13  2,112,558  2,110,941  1,617 
British Pound  Sell  6/19/13  2,112,558  2,086,865  (25,693) 
Canadian Dollar  Sell  4/17/13  5,045,480  5,054,834  9,354 
Euro  Sell  6/19/13  16,345,724  16,572,337  226,613 
Indian Rupee  Sell  5/15/13  3,330,630  3,368,272  37,642 
Japanese Yen  Sell  5/15/13  17,985,193  18,214,724  229,531 
Norwegian Krone  Buy  6/19/13  40,148  40,151  (3) 
Norwegian Krone  Sell  6/19/13  40,148  40,577  429 
Philippine Peso  Buy  5/15/13  2,394,589  2,420,246  (25,657) 
Russian Ruble  Buy  6/19/13  14,202,286  14,318,402  (116,116) 
South Korean Won  Buy  5/15/13  4,092,377  4,305,058  (212,681) 
Swiss Franc  Sell  6/19/13  16,421,262  16,555,142  133,880 
Turkish Lira  Buy  6/19/13  5,391,834  5,419,235  (27,401) 
JPMorgan Chase Bank N.A.       
Australian Dollar  Buy  4/17/13  23,351,467  23,089,796  261,671 
Brazilian Real  Buy  4/17/13  4,052,615  4,131,187  (78,572) 
British Pound  Sell  6/19/13  6,599,674  6,518,876  (80,798) 
Canadian Dollar  Buy  4/17/13  17,601,514  17,415,991  185,523 
Canadian Dollar  Sell  4/17/13  17,601,514  17,700,083  98,569 
Chilean Peso  Buy  4/17/13  8,888,451  8,758,123  130,328 
Chinese Yuan  Buy  5/15/13  6,086,272  6,060,461  25,811 
Euro  Sell  6/19/13  20,385,278  20,891,353  506,075 

 

54  Diversified Income Trust 

 


FORWARD CURRENCY CONTRACTS at 3/31/13 (aggregate face value $1,610,304,009) (Unaudited) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
JPMorgan Chase Bank N.A. cont.           
  Japanese Yen  Sell  5/15/13  $2,793,656  $3,463,067  $669,411 
  Malaysian Ringgit  Buy  5/15/13  5,817,365  5,809,456  7,909 
  Mexican Peso  Buy  4/17/13  7,152,743  6,767,046  385,697 
  New Taiwan Dollar  Buy  5/15/13  756,530  796,653  (40,123) 
  Norwegian Krone  Buy  6/19/13  3,287,048  3,270,904  16,144 
  Polish Zloty  Buy  6/19/13  1,013,953  1,035,469  (21,516) 
  Russian Ruble  Sell  6/19/13  1,373,320  1,383,068  9,748 
  South Korean Won  Buy  5/15/13  1,735,903  1,913,469  (177,566) 
  Swedish Krona  Buy  6/19/13  11,507,057  11,705,867  (198,810) 
  Swiss Franc  Sell  6/19/13  11,841,997  12,001,384  159,387 
  Turkish Lira  Buy  6/19/13  1,999,017  2,052,622  (53,605) 
State Street Bank and Trust Co.           
  Australian Dollar  Buy  4/17/13  6,465,024  6,404,218  60,806 
  Brazilian Real  Buy  4/17/13  5,133,746  5,211,788  (78,042) 
  British Pound  Buy  6/19/13  1,562,129  1,543,192  18,937 
  British Pound  Sell  6/19/13  1,562,129  1,560,913  (1,216) 
  Canadian Dollar  Sell  4/17/13  12,270,263  12,411,627  141,364 
  Chilean Peso  Buy  4/17/13  11,142,248  11,021,460  120,788 
  Colombian Peso  Buy  4/17/13  9,612,032  9,774,373  (162,341) 
  Czech Koruna  Buy  6/19/13  2,449,483  2,479,279  (29,796) 
  Czech Koruna  Sell  6/19/13  2,449,483  2,496,751  47,268 
  Euro  Sell  6/19/13  21,298,718  21,620,257  321,539 
  Japanese Yen  Sell  5/15/13  1,122,462  1,917,008  794,546 
  Mexican Peso  Buy  4/17/13  6,939,098  6,635,001  304,097 
  Polish Zloty  Buy  6/19/13  2,559,697  2,610,604  (50,907) 
  South Korean Won  Buy  5/15/13  1,066,518  1,341,293  (274,775) 
  Swedish Krona  Sell  6/19/13  412,154  369,577  (42,577) 
  Swiss Franc  Sell  6/19/13  20,233,835  20,442,874  209,039 
  Turkish Lira  Buy  6/19/13  5,575,643  5,634,700  (59,057) 
UBS AG             
  Australian Dollar  Buy  4/17/13  24,757,943  24,501,164  256,779 
  British Pound  Sell  6/19/13  8,812,628  8,805,935  (6,693) 
  Canadian Dollar  Sell  4/17/13  8,275,170  8,356,486  81,316 
  Chilean Peso  Buy  4/17/13  836,653  757,283  79,370 
  Czech Koruna  Buy  6/19/13  2,445,815  2,475,708  (29,893) 
  Czech Koruna  Sell  6/19/13  2,445,815  2,492,174  46,359 
  Euro  Sell  6/19/13  23,431,359  23,812,059  380,700 
  Japanese Yen  Buy  5/15/13  20,043,547  19,749,916  293,631 
  Japanese Yen  Sell  5/15/13  20,043,547  20,351,238  307,691 
  Mexican Peso  Buy  4/17/13  8,633,029  8,282,421  350,608 
  New Taiwan Dollar  Buy  5/15/13  4,093,585  4,154,141  (60,556) 
  Norwegian Krone  Buy  6/19/13  8,757,125  8,811,766  (54,641) 
  Norwegian Krone  Sell  6/19/13  8,757,125  8,838,258  81,133 

 

Diversified Income Trust  55 

 


FORWARD CURRENCY CONTRACTS at 3/31/13 (aggregate face value $1,610,304,009) (Unaudited) cont.

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
UBS AG cont.             
  Philippine Peso  Buy  5/15/13  $3,349,607  $3,376,430  $(26,823) 
  Russian Ruble  Buy  6/19/13  170,901  177,109  (6,208) 
  Singapore Dollar  Buy  5/15/13  9,324,591  9,331,716  (7,125) 
  Singapore Dollar  Sell  5/15/13  9,324,591  9,256,636  (67,955) 
  Swedish Krona  Buy  6/19/13  7,979,443  8,146,422  (166,979) 
  Swiss Franc  Sell  6/19/13  19,060,338  19,155,554  95,216 
  Turkish Lira  Buy  6/19/13  9,054,974  9,070,503  (15,529) 
WestPac Banking Corp.           
  Australian Dollar  Buy  4/17/13  19,492,006  19,415,789  76,217 
  British Pound  Buy  6/19/13  8,709,802  8,628,559  81,243 
  British Pound  Sell  6/19/13  8,709,802  8,626,471  (83,331) 
  Canadian Dollar  Sell  4/17/13  15,081,235  15,354,607  273,372 
  Euro  Sell  6/19/13  11,690,156  11,880,827  190,671 
  Japanese Yen  Buy  5/15/13  15,589,682  15,341,163  248,519 
  Japanese Yen  Sell  5/15/13  15,589,682  15,874,116  284,434 
  New Zealand Dollar  Buy  4/17/13  11,858,521  11,669,284  189,237 
  New Zealand Dollar  Sell  4/17/13  11,858,521  11,574,952  (283,569) 
Total            $10,267,804 

 

FUTURES CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Australian Government Treasury         
Bond 3 yr (Short)  465  $52,754,220  Jun-13  $(191,335) 
Australian Government Treasury         
Bond 10 yr (Short)  19  2,405,496  Jun-13  (32,579) 
Canadian Government Bond         
10 yr (Long)  358  47,582,970  Jun-13  1,066,318 
Euro-Bobl 5 yr (Short)  155  25,177,600  Jun-13  (177,268) 
Euro-Bund 10 yr (Short)  37  6,900,369  Jun-13  (105,870) 
Euro-Dollar 90 day (Long)  10,240  2,551,552,000  Jun-13  (767,015) 
Japanese Government Bond         
10 yr (Long)  23  35,637,967  Jun-13  268,541 
Japanese Government Bond         
10 yr Mini (Long)  29  4,492,559  Jun-13  32,825 
U.K. Gilt 10 yr (Long)  3  541,441  Jun-13  21,827 
U.S. Treasury Note 10 yr (Short)  44  5,807,313  Jun-13  (8,693) 
Total        $106,751 

 

56  Diversified Income Trust 

 


WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/13 (premiums $16,894,416) (Unaudited)

Counterparty         
Fixed Obligation % to receive or (pay)/  Expiration    Contract   
Floating rate index/Maturity date  date/strike    amount  Value 
Goldman Sachs International         
1.51/6 month EUR-EURIBOR_Reuters/Jan-18  Jan-16/1.51  EUR  488,025,000  $4,522,906 
1.47/6 month EUR-EURIBOR_Reuters/Jan-18  Jan-16/1.47  EUR  488,025,000  4,823,182 
JPMorgan Chase Bank N.A.         
1.474/6 month EUR-EURIBOR_Reuters/Jan-18  Jan-16/1.474  EUR  488,025,000  4,666,788 
Total        $14,012,876 

 

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)

 

Counterparty      Unrealized 
Fixed right or obligation % to receive or (pay)/  Expiration  Contract  appreciation/ 
Floating rate index/Maturity date  date/strike  amount  (depreciation) 
Barclays Bank PLC       
1.90/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/1.90  $22,243,000  $2,669 
(2.40)/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/2.40  22,243,000  (158,370) 
2.40/3 month USD-LIBOR-BBA/Jun-23 (Written)  Jun-13/2.40  27,190,000  118,277 
Citibank, N.A.       
2.40/3 month USD-LIBOR-BBA/Jun-23 (Written)  Jun-13/2.40  27,190,000  117,189 
Credit Suisse International       
1.90/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/1.90  26,250,000  (4,988) 
1.83375/3 month USD-LIBOR-BBA/       
Apr-23 (Purchased)  Apr-13/1.83375  162,959,600  (57,036) 
1.83/3 month USD-LIBOR-BBA/       
Apr-23 (Purchased)  Apr-13/1.83  165,959,600  (99,576) 
1.82875/3 month USD-LIBOR-BBA/       
Apr-23 (Purchased)  Apr-13/1.82875  166,959,600  (101,845) 
(2.40)/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/2.40  26,250,000  (172,725) 
(1.39)/3 month USD-LIBOR-BBA/       
May-18 (Purchased)  May-13/1.39  686,733,000  (1,311,659) 
2.386/3 month USD-LIBOR-BBA/       
May-23 (Written)  May-13/2.386  176,833,000  938,984 
0.876/3 month USD-LIBOR-BBA/       
May-16 (Written)  May-13/0.876  566,554,000  266,280 
2.33375/3 month USD-LIBOR-BBA/       
Apr-23 (Written)  Apr-13/2.33375  162,959,600  127,108 
2.40/3 month USD-LIBOR-BBA/Jun-23 (Written)  Jun-13/2.40  27,190,000  116,373 
2.33/3 month USD-LIBOR-BBA/       
Apr-23 (Written)  Apr-13/2.33  165,959,600  46,469 
2.32875/3 month USD-LIBOR-BBA/       
Apr-23 (Written)  Apr-13/2.32875  166,959,600  45,079 

 

Diversified Income Trust  57 

 


FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

Counterparty      Unrealized 
Fixed right or obligation % to receive or (pay)/  Expiration  Contract  appreciation/ 
Floating rate index/Maturity date  date/strike  amount  (depreciation) 
Deutsche Bank AG       
1.90/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/1.90  $26,250,000  $(3,150) 
(2.40)/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/2.40  26,250,000  (168,525) 
(1.4075)/3 month USD-LIBOR-BBA/       
May-18 (Purchased)  May-13/1.4075  343,366,000  (697,033) 
(1.37)/3 month USD-LIBOR-BBA/       
May-18 (Purchased)  May-13/1.37  686,733,000  (1,242,986) 
(1.38)/3 month USD-LIBOR-BBA/       
May-18 (Purchased)  May-13/1.38  686,733,000  (1,284,190) 
2.395/3 month USD-LIBOR-BBA/       
May-23 (Written)  May-13/2.395  176,833,000  928,373 
2.38/3 month USD-LIBOR-BBA/       
May-23 (Written)  May-13/2.38  176,833,000  891,238 
2.425/3 month USD-LIBOR-BBA/       
May-23 (Written)  May-13/2.425  88,416,000  507,508 
0.87/3 month USD-LIBOR-BBA/       
May-16 (Written)  May-13/0.87  566,554,000  266,280 
0.865/3 month USD-LIBOR-BBA/       
May-16 (Written)  May-13/0.865  566,554,000  249,284 
0.8975/3 month USD-LIBOR-BBA/       
May-16 (Written)  May-13/0.8975  283,276,000  150,136 
2.40/3 month USD-LIBOR-BBA/Jun-23 (Written)  Jun-13/2.40  27,190,000  121,267 
Goldman Sachs International       
1.91/3 month USD-LIBOR-BBA/       
Apr-23 (Purchased)  Apr-13/1.91  151,159,600  42,325 
1.90/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/1.90  138,061,743  (157,390) 
(1.37625)/3 month USD-LIBOR-BBA/       
May-18 (Purchased)  May-13/1.37625  343,366,000  (618,059) 
(1.42125)/3 month USD-LIBOR-BBA/       
May-18 (Purchased)  May-13/1.42125  343,366,000  (655,829) 
(2.40)/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/2.40  138,061,743  (748,295) 
2.44/3 month USD-LIBOR-BBA/       
May-23 (Written)  May-13/2.44  88,416,000  488,056 
2.386/3 month USD-LIBOR-BBA/       
May-23 (Written)  May-13/2.386  88,416,000  442,964 
2.41/3 month USD-LIBOR-BBA/       
Apr-23 (Written)  Apr-13/2.41  151,159,600  140,578 
0.90/3 month USD-LIBOR-BBA/       
May-16 (Written)  May-13/0.90  283,276,000  130,307 
0.876/3 month USD-LIBOR-BBA/       
May-16 (Written)  May-13/0.876  283,276,000  127,474 

 

58  Diversified Income Trust 

 


FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

Counterparty      Unrealized 
Fixed right or obligation % to receive or (pay)/  Expiration  Contract  appreciation/ 
Floating rate index/Maturity date  date/strike  amount  (depreciation) 
JPMorgan Chase Bank N.A.       
1.90/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/1.90  $79,618,901  $(62,103) 
(2.40)/3 month USD-LIBOR-BBA/       
Jun-23 (Purchased)  Jun-13/2.40  79,618,901  (516,727) 
Total      $(1,796,268) 

 

TBA SALE COMMITMENTS OUTSTANDING at 3/31/13 (proceeds receivable $303,471,484) (Unaudited)

 

  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 3s, April 1, 2043  $268,000,000  4/11/13  $276,354,070 
Government National Mortgage Association, 3s,       
April 1, 2043  24,000,000  4/18/13  25,059,374 
Government National Mortgage Association, 3s,       
April 1, 2043  3,000,000  4/18/13  3,135,234 
Total      $304,548,678 

 

OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (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.           
  $105,811,600 E  $1,210,485  6/19/23  3 month USD-  2.00%  $283,575 
        LIBOR-BBA     
  171,264,000 E  (1,699,204)  6/19/23  2.00%  3 month USD-  (198,931) 
          LIBOR-BBA   
CAD  101,833,000  —  2/25/23  2.33%  3 month CAD-  (411,376) 
          BA-CDOR   
Barclays Bank PLC           
  $38,825,000  —  2/4/23  3 month USD-  2.0615%  346,338 
        LIBOR-BBA     
  41,518,000 E  46,153  6/19/15  3 month USD-  0.40%  1,314 
        LIBOR-BBA     
  262,085,000 E  (980,977)  6/19/18  1.00%  3 month USD-  (333,627) 
          LIBOR-BBA   
  96,963,000 E  1,295,550  6/19/23  3 month USD-  2.00%  446,154 
        LIBOR-BBA     
  42,555,000  —  2/28/23  1.96125%  3 month USD-  105,832 
          LIBOR-BBA   
  31,456,000 E  (39,637)  6/19/15  0.40%  3 month USD-  (5,664) 
          LIBOR-BBA   
  43,544,000 E  (674,119)  6/19/23  2.00%  3 month USD-  (292,673) 
          LIBOR-BBA   
  10,074,000 E  142,436  6/19/43  3 month USD-  3.00%  72,321 
        LIBOR-BBA     
CHF  28,474,000  —  12/7/22  0.87%  6 month CHF-  483,950 
          LIBOR-BBA   

 

Diversified Income Trust  59 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Barclays Bank PLC cont.           
EUR  198,611,000  $—  10/16/22  1.747%  6 month EUR-  $(4,675,428) 
          EURIBOR-   
          REUTERS   
EUR  398,858,000 E  —  8/3/17  1 month EUR-  1.41727%  2,500,140 
        EONIA-OIS-     
        COMPOUND     
EUR  101,959,000  —  3/14/23  1.755%  6 month EUR-  (1,241,819) 
          EURIBOR-   
          Telerate   
EUR  33,356,000  —  3/18/23  6 month EUR-  1.7425%  341,022 
        EURIBOR-Telerate     
EUR  38,645,000  —  3/18/23  6 month EUR-  1.748%  420,954 
        EURIBOR-Telerate     
GBP  36,488,000  —  8/15/31  3.60%  6 month GBP-  (8,010,511) 
          LIBOR-BBA   
GBP  17,252,000  —  7/25/42  6 month GBP-  2.8425%  (797,192) 
        LIBOR-BBA     
GBP  30,633,000  —  7/25/22  1.885%  6 month GBP-  (444,989) 
          LIBOR-BBA   
GBP  47,243,000  —  3/12/23  2.03%  6 month GBP-  (897,871) 
          LIBOR-BBA   
SEK  94,636,000  —  3/14/23  3 month SEK-  2.42%  161,340 
        STIBOR-SIDE     
SEK  240,860,000  —  3/18/23  2.40%  3 month SEK-  (337,008) 
          STIBOR-SIDE   
Citibank, N.A.           
  $42,809,000  —  2/26/23  2.038%  3 month USD-  (206,309) 
          LIBOR-BBA   
  35,720,000  —  2/8/23  2.063%  3 month USD-  (314,835) 
          LIBOR-BBA   
  52,848,000  —  2/21/23  2.068%  3 month USD-  (430,954) 
          LIBOR-BBA   
  696,857,000 E  (673,810)  6/19/15  0.40%  3 month USD-  78,795 
          LIBOR-BBA   
  155,415,000 E  (1,585,316)  6/19/23  2.00%  3 month USD-  (223,881) 
          LIBOR-BBA   
  3,103,000 E  (24,206)  6/19/43  3.00%  3 month USD-  (2,609) 
          LIBOR-BBA   
  70,967,000 E  (189,046)  6/19/18  1.00%  3 month USD-  (13,757) 
          LIBOR-BBA   
CZK  237,584,000  —  1/17/23  6 month CZK-  1.41%  158,431 
        PRIBOR-PRBO     
GBP  35,162,000  —  2/1/23  6 month GBP-  2.10%  1,175,990 
        LIBOR-BBA     
PLN  38,459,000  —  1/17/23  3.84%  6 month PLN-  (242,004) 
          WIBOR-WIBO   

 

60  Diversified Income Trust 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Citibank, N.A. cont.           
SEK  181,616,000  $—  8/2/22  3 month SEK-  2.285%  $423,780 
        STIBOR-SIDE     
SEK  86,430,000  —  12/20/22  2.045%  3 month SEK-  215,710 
          STIBOR-SIDE   
SEK  210,668,000  —  3/1/23  2.345%  3 month SEK-  (159,788) 
          STIBOR-SIDE   
Credit Suisse International           
  $113,147,000  —  1/9/16  3 month USD-  0.515%  92,592 
        LIBOR-BBA     
  56,919,000  —  1/11/16  3 month USD-  0.50%  19,542 
        LIBOR-BBA     
  68,783,000  —  1/11/18  0.88%  3 month USD-  1,529 
          LIBOR-BBA   
  17,987,000  —  1/11/23  3 month USD-  1.88%  (109,181) 
        LIBOR-BBA     
  93,762,000  —  1/7/16  3 month USD-  0.54%  151,738 
        LIBOR-BBA     
  35,768,000  —  1/9/23  3 month USD-  1.93%  (41,799) 
        LIBOR-BBA     
  137,567,000  —  1/9/18  0.9125%  3 month USD-  (233,004) 
          LIBOR-BBA   
  29,390,000  —  1/7/23  3 month USD-  1.94%  (3,968) 
        LIBOR-BBA     
  113,073,000  —  1/7/18  0.93%  3 month USD-  (296,063) 
          LIBOR-BBA   
  29,421,000  —  2/6/23  2.05%  3 month USD-  (227,680) 
          LIBOR-BBA   
  31,521,000  —  2/12/23  2.0645%  3 month USD-  (269,841) 
          LIBOR-BBA   
  25,871,000  —  2/14/23  2.058%  3 month USD-  (202,146) 
          LIBOR-BBA   
  68,425,000  —  3/4/18  0.9275%  3 month USD-  20,368 
          LIBOR-BBA   
  5,428,000 E  (41,627)  6/19/43  3.00%  3 month USD-  (3,848) 
          LIBOR-BBA   
  124,551,000 E  (1,648,283)  6/19/23  2.00%  3 month USD-  (557,216) 
          LIBOR-BBA   
  17,789,000  —  3/8/23  3 month USD-  2.01875%  39,196 
        LIBOR-BBA     
  17,789,000  —  3/11/23  3 month USD-  2.065%  110,711 
        LIBOR-BBA     
  68,425,000  —  3/11/18  0.9875%  3 month USD-  (159,083) 
          LIBOR-BBA   
  198,931,000  —  3/20/18  0.968125%  3 month USD-  (185,493) 
          LIBOR-BBA   

 

Diversified Income Trust  61 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Credit Suisse International cont.         
  $56,655,000  $—  3/4/16  3 month USD-  0.5025%  $(25,292) 
        LIBOR-BBA     
  17,926,000  —  3/4/23  3 month USD-  1.975%  (30,332) 
        LIBOR-BBA     
  52,893,000  —  3/5/23  1.952%  3 month USD-  206,457 
          LIBOR-BBA   
  237,279,000 E  (262,059)  6/19/15  0.40%  3 month USD-  (5,797) 
          LIBOR-BBA   
  458,303,000 E  (1,500,282)  6/19/18  1.00%  3 month USD-  (368,273) 
          LIBOR-BBA   
  84,845,000  —  3/6/16  3 month USD-  0.495%  (60,300) 
        LIBOR-BBA     
  26,686,000  —  3/6/23  3 month USD-  1.9575%  (91,135) 
        LIBOR-BBA     
  102,636,000  —  3/6/18  0.915%  3 month USD-  100,485 
          LIBOR-BBA   
  1,000,000 E  2,010  6/19/18  3 month USD-  1.00%  (460) 
        LIBOR-BBA     
  1,000,000 E  (1,610)  6/19/43  3 month USD-  3.00%  (8,570) 
        LIBOR-BBA     
  317,065,000 E  4,193,538  6/19/23  3 month USD-  2.00%  1,416,048 
        LIBOR-BBA     
  567,974,000 E  594,594  6/19/15  3 month USD-  0.40%  (18,818) 
        LIBOR-BBA     
  56,108,000  —  3/8/16  3 month USD-  0.5175%  (2,568) 
        LIBOR-BBA     
  68,423,000  —  3/8/18  0.955%  3 month USD-  (62,521) 
          LIBOR-BBA   
  56,108,000  —  3/11/16  3 month USD-  0.535%  23,764 
        LIBOR-BBA     
  97,598,000  —  3/14/23  3 month USD-  2.10125%  923,444 
        LIBOR-BBA     
  52,344,000  —  3/20/23  3 month USD-  2.045%  189,564 
        LIBOR-BBA     
  164,735,000  —  3/20/16  3 month USD-  0.521465%  (27,022) 
        LIBOR-BBA     
AUD  14,192,000  —  12/5/22  6 month AUD-BBR-  3.82%  (205,110) 
        BBSW     
AUD  21,270,000  —  2/26/23  6 month AUD-BBR-  4.07%  99,434 
        BBSW     
AUD  20,883,000  —  3/7/23  6 month AUD-BBR-  4.0325%  18,346 
        BBSW     
CAD  97,054,000  —  3/14/23  2.4525%  3 month CAD-  (1,384,614) 
          BA-CDOR   
CAD  87,283,000  —  2/25/23  3 month CAD-BA-  2.34%  431,603 
        CDOR     

 

62  Diversified Income Trust 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Credit Suisse International cont.         
CHF  10,744,000  $—  2/18/23  6 month CHF-  1.185%  $114,992 
        LIBOR-BBA     
CHF  21,738,000  —  2/27/23  1.20%  6 month CHF-  (256,399) 
          LIBOR-BBA   
CHF  32,316,000  —  3/8/23  6 month CHF-  1.1075%  55,455 
        LIBOR-BBA     
EUR  161,600,000  —  6/28/14  0.85%  6 month EUR-  (2,239,394) 
          EURIBOR-   
          REUTERS   
EUR  63,043,000  —  2/4/23  1.89%  6 month EUR-  (1,990,795) 
          EURIBOR-   
          REUTERS   
EUR  27,122,000  —  2/15/23  6 month EUR-  1.919%  930,316 
        EURIBOR-Telerate     
EUR  73,095,000  —  3/18/23  6 month EUR-  1.7525%  836,655 
        EURIBOR-Telerate     
EUR  9,589,000  —  3/19/23  6 month EUR-  1.729%  81,753 
        EURIBOR-Telerate     
GBP  10,582,000  —  1/31/23  2.11%  6 month GBP-  (371,075) 
          LIBOR-BBA   
GBP  11,027,000  —  3/1/23  6 month GBP-  1.9675%  124,235 
        LIBOR-BBA     
GBP  37,072,000  —  3/1/23  6 month GBP-  1.975%  457,456 
        LIBOR-BBA     
MXN  364,910,000  —  7/21/20  1 month MXN-TIIE-  6.895%  3,073,022 
        BANXICO     
SEK  329,122,000  —  3/15/23  3 month SEK-  2.405%  490,608 
        STIBOR-SIDE     
SEK  113,700,000  —  3/19/23  2.41%  3 month SEK-  (174,649) 
          STIBOR-SIDE   
Deutsche Bank AG           
  $94,668,000 E  763,865  6/19/23  3 month USD-  2.00%  (65,426) 
        LIBOR-BBA     
  73,120,000 E  83,861  6/19/15  3 month USD-  0.40%  4,891 
        LIBOR-BBA     
  23,772,000 E  (60,833)  6/19/18  1.00%  3 month USD-  (2,117) 
          LIBOR-BBA   
  10,513,000 E  (219,266)  6/19/23  2.00%  3 month USD-  (127,172) 
          LIBOR-BBA   
  3,813,000 E  8,649  6/19/43  3 month USD-  3.00%  (17,890) 
        LIBOR-BBA     
MXN  364,910,000  —  7/17/20  1 month MXN-TIIE-  6.95%  3,081,271 
        BANXICO     

 

Diversified Income Trust  63 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Goldman Sachs International         
  $56,516,000 E  $602,789  6/19/23  3 month USD-  2.00%  $107,709 
        LIBOR-BBA     
  47,736,000  —  2/4/23  3 month USD-  2.06625%  447,191 
        LIBOR-BBA     
  51,691,000  —  2/19/23  2.0675%  3 month USD-  (423,954) 
          LIBOR-BBA   
  42,526,000  —  2/28/23  1.94%  3 month USD-  191,215 
          LIBOR-BBA   
  52,701,000  —  3/7/23  1.9775%  3 month USD-  84,684 
          LIBOR-BBA   
  1,765,337,000 E  (2,286,257)  6/19/15  0.40%  3 month USD-  (379,693) 
          LIBOR-BBA   
  151,159,600 E  (3,310,395)  6/19/23  2.00%  3 month USD-  (1,986,238) 
          LIBOR-BBA   
  108,676,000 E  700,015  6/19/43  3 month USD-  3.00%  (56,370) 
        LIBOR-BBA     
AUD  167,048,000  —  2/5/23  6 month AUD-BBR-  3.97%  (552,257) 
        BBSW     
CAD  21,156,000  —  2/25/23  3 month CAD-BA-  2.385%  191,099 
        CDOR     
CAD  36,368,000  —  2/25/23  3 month CAD-BA-  2.34%  179,835 
        CDOR     
CAD  21,238,000  —  2/26/23  3 month CAD-BA-  2.27%  (30,314) 
        CDOR     
CAD  45,374,000  —  3/15/23  2.4025%  3 month CAD-  (439,412) 
          BA-CDOR   
CHF  25,901,000  —  2/21/23  1.1825%  6 month CHF-  (267,252) 
          LIBOR-BBA   
CHF  21,203,000  —  3/1/23  1.1075%  6 month CHF-  (44,854) 
          LIBOR-BBA   
CHF  42,490,000  —  3/4/23  1.1225%  6 month CHF-  (144,752) 
          LIBOR-BBA   
CHF  63,633,000  —  3/7/23  6 month CHF-  1.1025%  80,703 
        LIBOR-BBA     
CHF  32,316,000  —  3/8/23  6 month CHF-  1.11%  63,339 
        LIBOR-BBA     
EUR  63,693,000  —  10/18/22  1.818%  6 month EUR-  (2,049,074) 
          EURIBOR-   
          REUTERS   
EUR  1,704,291,000 E  —  8/6/17  1 year EUR-EONIA-  1.102%  3,692,051 
        OIS-COMPOUND     
EUR  414,401,000  —  8/30/14  1 year EUR-EONIA-  0.11%  171,871 
        OIS-COMPOUND     
EUR  414,401,000  —  8/30/14  0.309%  3 month EUR-  (946,104) 
          EURIBOR-   
          REUTERS   

 

64  Diversified Income Trust 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Goldman Sachs International cont.         
EUR  414,401,000  $—  8/31/14  1 year EUR-EONIA-  0.11%  $171,815 
        OIS-COMPOUND     
EUR  414,401,000  —  8/31/14  0.314%  3 month EUR-  (994,832) 
          EURIBOR-   
          REUTERS   
EUR  414,401,000  —  9/3/14  1 year EUR-EONIA-  0.086%  (89,846) 
        OIS-COMPOUND     
EUR  414,401,000  —  9/3/14  0.283%  3 month EUR-  (652,050) 
          EURIBOR-   
          REUTERS   
EUR  33,535,000  —  2/7/23  1.895%  6 month EUR-  (1,072,786) 
          EURIBOR-   
          Telerate   
EUR  51,233,000  —  2/22/23  6 month EUR-  1.9135%  1,695,217 
        EURIBOR-Telerate     
EUR  201,354,000  —  2/4/23  1.89%  6 month EUR-  (6,358,428) 
          EURIBOR-   
          REUTERS   
EUR  17,539,000  —  2/5/23  1.873%  6 month EUR-  (516,196) 
          EURIBOR-   
          Telerate   
EUR  242,196,000  —  2/22/15  0.59%  6 month EUR-  (635,732) 
          EURIBOR-   
          Telerate   
EUR  30,952,000  —  3/7/23  1.741%  6 month EUR-  (343,086) 
          EURIBOR-   
          Telerate   
EUR  34,258,000  —  3/19/23  6 month EUR-  1.736%  321,161 
        EURIBOR-Telerate     
GBP  36,428,000  —  9/23/31  6 month GBP-  3.1175%  3,628,273 
        LIBOR-BBA     
GBP  8,538,000  —  1/31/23  6 month GBP-  2.11%  299,298 
        LIBOR-BBA     
GBP  14,904,000  —  2/6/23  2.11125%  6 month GBP-  (513,991) 
          LIBOR-BBA   
GBP  13,115,000  —  2/19/23  2.18625%  6 month GBP-  (574,822) 
          LIBOR-BBA   
GBP  36,484,000  —  3/5/23  6 month GBP-  2.0275%  708,640 
        LIBOR-BBA     
JPY  10,562,447,000  —  2/14/23  0.811%  6 month JPY-  (1,603,319) 
          LIBOR-BBA   
JPY  9,455,730,000  —  2/1/23  0.805%  6 month JPY-  (1,420,010) 
          LIBOR-BBA   
JPY  5,574,726,000  —  2/4/23  0.7835%  6 month JPY-  (702,318) 
          LIBOR-BBA   
JPY  9,457,659,000  —  2/18/23  6 month JPY-  0.8026%  1,335,390 
        LIBOR-BBA     

 

Diversified Income Trust  65 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Goldman Sachs International cont.         
JPY  13,086,822,000  $—  3/12/23  6 month JPY-  0.7525%  $1,060,079 
        LIBOR-BBA     
SEK  394,668,000  —  3/18/23  3 month SEK-  2.4025%  566,199 
        STIBOR-SIDE     
JPMorgan Chase Bank N.A.           
  $83,032,000  —  2/5/23  2.0475%  3 month USD-  (627,186) 
          LIBOR-BBA   
  29,243,000  —  2/11/23  2.0225%  3 month USD-  (135,149) 
          LIBOR-BBA   
  90,147,000  —  2/28/18  0.92%  3 month USD-  38,891 
          LIBOR-BBA   
  21,309,000  —  3/1/23  1.955%  3 month USD-  68,787 
          LIBOR-BBA   
  84,722,000 E  (93,972)  6/19/15  0.40%  3 month USD-  (2,472) 
          LIBOR-BBA   
  146,832,000  —  3/14/23  3 month USD-  2.104%  1,427,648 
        LIBOR-BBA     
  149,243,800 E  (1,991,206)  6/19/23  2.00%  3 month USD-  (683,831) 
          LIBOR-BBA   
CAD  41,210,000  —  9/21/21  2.3911%  3 month CAD-  (865,393) 
          BA-CDOR   
CAD  72,924,000  —  5/2/15  3 month CAD-BA-  1.6575%  609,920 
        CDOR     
CAD  52,889,000  —  2/25/23  3 month CAD-BA-  2.3825%  465,641 
        CDOR     
CAD  37,865,000  (2,085)  2/25/23  3 month CAD-BA-  2.34%  185,153 
        CDOR     
CAD  94,245,000  —  2/26/18  3 month CAD-BA-  1.65%  (42,934) 
        CDOR     
CZK  237,584,000  —  1/16/23  6 month CZK-  1.44%  192,846 
        PRIBOR-PRBO     
CZK  237,584,000  —  1/21/23  6 month CZK-  1.44%  189,853 
        PRIBOR-PRBO     
EUR  38,060,000  —  1/14/23  1.758%  6 month EUR-  (668,800) 
          EURIBOR-   
          REUTERS   
EUR  18,125,000  —  7/30/22  6 month EUR-  1.803%  717,826 
        EURIBOR-REUTERS     
EUR  43,923,000  —  2/21/23  1.8725%  6 month EUR-  (1,236,432) 
          EURIBOR-   
          Telerate   
GBP  23,949,000  —  1/10/23  6 month GBP-  2.1075%  887,716 
        LIBOR-BBA     
GBP  18,041,000  —  1/15/23  6 month GBP-  2.0125%  408,243 
        LIBOR-BBA     
GBP  37,589,000  —  2/25/23  2.1475%  6 month GBP-  (1,410,240) 
          LIBOR-BBA   

 

66  Diversified Income Trust 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
JPMorgan Chase Bank N.A. cont.         
GBP  23,251,000  $—  12/6/22  1.856%  6 month GBP-  $(108,880) 
          LIBOR-BBA   
GBP  42,976,000  —  2/20/23  2.226%  6 month GBP-  (2,128,860) 
          LIBOR-BBA   
GBP  212,133,000  —  2/20/15  6 month GBP-  0.668%  339,553 
        LIBOR-BBA     
GBP  25,425,000  —  3/6/23  6 month GBP-  2.022%  472,480 
        LIBOR-BBA     
MXN  232,234,000  —  9/11/20  6.82%  1 month MXN-  (1,873,196) 
          TIIE-BANXICO   
MXN  299,735,000  —  9/14/20  6.82%  1 month MXN-  (2,421,425) 
          TIIE-BANXICO   
MXN  52,130,000  —  7/16/20  1 month MXN-TIIE-  6.99%  464,767 
        BANXICO     
MXN  325,230,000  —  7/30/20  6.3833%  1 month MXN-  (1,854,429) 
          TIIE-BANXICO   
MXN  778,041,000  —  7/30/20  6.3833%  1 month MXN-  (4,436,312) 
          TIIE-BANXICO   
MXN  325,230,000  —  8/19/20  1 month MXN-TIIE-  6.615%  2,264,937 
        BANXICO     
MXN  528,640,000  —  11/4/20  1 month MXN-TIIE-  6.75%  4,091,778 
        BANXICO     
PLN  38,459,000  —  1/16/23  3.855%  6 month PLN-  (266,876) 
          WIBOR-WIBO   
PLN  38,459,000  —  1/21/23  3.81%  6 month PLN-  (210,652) 
          WIBOR-WIBO   
Royal Bank of Scotland PLC (The)         
  $41,485,000 E  (549,636)  6/19/23  2.00%  3 month USD-  (186,227) 
          LIBOR-BBA   
Total            $(22,890,332) 

 

E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (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) 
Barclays Bank PLC           
$7,290,312  $—  1/12/40  5.00% (1 month  Synthetic MBX Index  $32,003 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
3,253,611  —  1/12/41  3.50% (1 month  Synthetic TRS Index  (15,404) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
3,026,557  —  1/12/41  5.00% (1 month  Synthetic TRS Index  (12,412) 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   

 

Diversified Income Trust  67 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Barclays Bank PLC cont.           
$3,253,611  $—  1/12/41  3.50% (1 month  Synthetic MBX Index  $29,014 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
2,921,902  —  1/12/41  4.00% (1 month  Synthetic MBX Index  21,798 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
2,768,012  —  1/12/41  4.50% (1 month  Synthetic MBX Index  13,587 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
9,606,521  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (45,955) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
9,049,739  —  1/12/40  5.00% (1 month  Synthetic MBX Index  39,727 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
7,699,561  —  1/12/41  5.00% (1 month  Synthetic MBX Index  33,788 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
20,093,337  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (96,099) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
85,977,555  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (411,201) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
5,425,972  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (25,951) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,563,376  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (56,267) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
13,881,135  —  1/12/40  4.00% (1 month  Synthetic MBX Index  112,242 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
9,582,086  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (45,828) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
4,355,972  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (20,833) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
4,237,180  —  1/12/41  5.00% (1 month  Synthetic MBX Index  18,594 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
3,966,869  —  1/12/40  4.00% (1 month  Synthetic MBX Index  32,076 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
2,252,168  —  1/12/40  4.50% (1 month  Synthetic MBX Index  13,169 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   

 

68  Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Barclays Bank PLC cont.           
$2,784,806  $—  1/12/40  5.00% (1 month  Synthetic MBX Index  $12,225 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
33,102,059  —  1/12/41  5.00% (1 month  Synthetic MBX Index  145,264 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
18,548,235  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (88,710) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
10,722,606  —  1/12/39  6.00% (1 month  Synthetic TRS Index  5,302 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
28,791,107  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (140,097) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
25,343,782  —  1/12/41  5.00% (1 month  Synthetic MBX Index  111,218 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
7,865,783  —  1/12/40  4.00% (1 month  Synthetic MBX Index  63,602 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
1,486,214  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (3,289) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
8,152,672  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (39,671) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
72,920,000  —  4/7/16  (2.63%)  USA Non Revised  (1,289,664) 
        Consumer Price   
        Index-Urban (CPI-U)   
3,082,851  —  1/12/41  5.00% (1 month  Synthetic MBX Index  13,529 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
12,432,803  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (54,246) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
19,606,910  —  1/12/41  3.50% (1 month  Synthetic MBX Index  174,846 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
4,114,516  —  1/12/41  3.50% (1 month  Synthetic MBX Index  36,692 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
40,656,515  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (194,446) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
21,038  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (101) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   

 

Diversified Income Trust  69 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Barclays Bank PLC cont.           
$4,124,947  $—  1/12/41  5.00% (1 month  Synthetic MBX Index  $12,949 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
44,010,148  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (214,153) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
25,930,169  —  1/12/40  4.00% (1 month  Synthetic MBX Index  209,669 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
12,151,949  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (59,131) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
19,250,076  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (92,066) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
5,638,918  —  1/12/40  (4.00%) 1 month  Synthetic TRS Index  30,480 
      USD-LIBOR  4.00% 30 year Fannie   
        Mae pools   
4,819,281  —  1/12/40  5.00% (1 month  Synthetic MBX Index  21,156 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
9,564,555  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (45,744) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
668,547  —  1/12/41  (4.50%) 1 month  Synthetic TRS Index  2,710 
      USD-LIBOR  4.50% 30 year Ginnie   
        Mae II pools   
39,924,945  —  1/12/40  4.50% (1 month  Synthetic MBX Index  233,453 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
136,567,329  —  1/12/41  5.00% (1 month  Synthetic MBX Index  599,306 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
9,110,110  —  1/12/41  3.50% (1 month  Synthetic MBX Index  81,240 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
38,557,730  —  1/12/41  5.00% (1 month  Synthetic MBX Index  169,205 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
6,388,155  —  1/12/40  5.00% (1 month  Synthetic MBX Index  28,043 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
20,715,735  —  1/12/40  5.00% (1 month  Synthetic MBX Index  90,938 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
15,018,501  —  1/12/40  5.00% (1 month  Synthetic MBX Index  65,928 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   

 

70  Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Barclays Bank PLC cont.           
$183,550  $—  1/12/39  (6.00%) 1 month  Synthetic TRS Index  $91 
      USD-LIBOR  6.00% 30 year Fannie   
        Mae pools   
3,569,116  —  1/12/41  5.00% (1 month  Synthetic TRS Index  (14,087) 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
31,955,039  —  1/12/41  (4.50%) 1 month  Synthetic TRS Index  139,423 
      USD-LIBOR  4.50% 30 year Fannie   
        Mae pools   
1,430,775  —  1/12/39  (6.00%) 1 month  Synthetic MBX Index  (3,682) 
      USD-LIBOR  6.00% 30 year Fannie   
        Mae pools   
1,423,936  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (6,929) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
65,714,625  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (319,767) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
49,677,727  —  1/12/39  (6.00%) 1 month  Synthetic MBX Index  (127,850) 
      USD-LIBOR  6.00% 30 year Fannie   
        Mae pools   
46,938,733  —  1/12/38  6.50% (1 month  Synthetic MBX Index  228,404 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
35,483,959  —  1/12/39  6.00% (1 month  Synthetic MBX Index  91,321 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
35,820,291  —  1/12/41  (4.50%) 1 month  Synthetic TRS Index  156,288 
      USD-LIBOR  4.50% 30 year Fannie   
        Mae pools   
5,511,666  —  1/12/41  (4.50%) 1 month  Synthetic TRS Index  24,048 
      USD-LIBOR  4.50% 30 year Fannie   
        Mae pools   
21,507,537  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  102,863 
      USD-LIBOR  4.00% 30 year Fannie   
        Mae pools   
Citibank, N.A.           
4,113,091  —  1/12/41  5.00% (1 month  Synthetic MBX Index  18,050 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
24,742,103  —  1/12/41  5.00% (1 month  Synthetic MBX Index  108,577 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
9,858,498  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (47,150) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   

 

Diversified Income Trust  71 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Citibank, N.A. cont.           
$17,202,642  $—  1/12/41  (4.50%) 1 month  Synthetic TRS Index  $75,057 
      USD-LIBOR  4.50% 30 year Fannie   
        Mae pools   
43,860,627  (233,009)  1/12/41  (3.50%) 1 month  Synthetic TRS Index  8,420 
      USD-LIBOR  3.50% 30 year Fannie   
        Mae pools   
Credit Suisse International         
14,527,473  —  1/12/41  5.00% (1 month  Synthetic MBX Index  63,752 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
74,672,672  —  1/12/41  4.50% (1 month  Synthetic MBX Index  471,427 
      USD-LIBOR)  4.50% 30 year Ginnie   
        Mae II pools   
11,746,186  —  1/12/41  3.50% (1 month  Synthetic MBX Index  104,748 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
2,936,709  —  1/12/41  3.50% (1 month  Synthetic MBX Index  26,188 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
6,173,395  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (29,525) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
1,250,588  —  1/12/41  (4.50%) 1 month  Synthetic TRS Index  5,456 
      USD-LIBOR  4.50% 30 year Fannie   
        Mae pools   
13,611,973  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (65,101) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
3,026,557  —  1/12/41  5.00% (1 month  Synthetic MBX Index  13,282 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
19,929,124  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (96,975) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
206,744  —  1/12/40  5.00% (1 month  Synthetic TRS Index  (621) 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
721,789  —  1/12/34  5.00% (1 month  Synthetic MBX Index  2,154 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
976,102  —  1/12/36  5.00% (1 month  Synthetic MBX Index  2,303 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
909,179  —  1/12/39  5.00% (1 month  Synthetic MBX Index  2,574 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   

 

72  Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Credit Suisse International cont.         
$3,467,872  $—  1/12/42  4.50% (1 month  Synthetic TRS Index  $(16,219) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
3,467,872  —  1/12/42  4.50% (1 month  Synthetic MBX Index  20,814 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
22,996,522  —  1/12/41  3.50% (1 month  Synthetic MBX Index  205,073 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
4,839,778  —  1/12/43  3.00% (1 month  Synthetic TRS Index  (29,392) 
      USD-LIBOR)  3.00% 30 year Fannie   
        Mae pools   
17,676,339  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  84,540 
      USD-LIBOR  4.00% 30 year Fannie   
        Mae pools   
Deutsche Bank AG           
4,694,255  —  1/12/40  4.00% (1 month  Synthetic MBX Index  37,957 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
19,929,124  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (96,975) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
547,297  —  1/12/34  5.50% (1 month  Synthetic MBX Index  3,060 
      USD-LIBOR)  5.50% 30 year Fannie   
        Mae pools   
999,573  —  1/12/36  5.50% (1 month  Synthetic MBX Index  5,276 
      USD-LIBOR)  5.50% 30 year Fannie   
        Mae pools   
Goldman Sachs International         
18,229,163  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (87,184) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
4,105,655  —  1/12/39  6.00% (1 month  Synthetic TRS Index  2,030 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
22,528,790  —  1/12/39  6.00% (1 month  Synthetic TRS Index  11,140 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
2,921,902  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (13,974) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
2,768,012  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (12,077) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
41,680,000  —  3/1/16  2.47%  USA Non Revised  283,007 
        Consumer Price   
        Index-Urban (CPI-U)   

 

Diversified Income Trust  73 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Goldman Sachs International cont.         
$31,260,000  $—  3/3/16  2.45%  USA Non Revised  $180,370 
        Consumer Price   
        Index-Urban (CPI-U)   
6,923,710  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (15,320) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
6,230,664  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (29,799) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,892,142  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (56,876) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,967,223  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (52,214) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
24,008,906  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (114,851) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
24,008,906  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (114,851) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
348,291  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (1,666) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
7,856,726  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (34,280) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
5,697,122  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (24,857) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
23,878,953  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (114,205) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
12,551,907  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (60,031) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
38,200,228  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (166,672) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
34,555,309  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (150,769) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
10,022,190  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (48,768) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
3,765,110  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (18,321) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   

 

74  Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Goldman Sachs International cont.         
$64,335,798  $—  1/12/41  4.50% (1 month  Synthetic TRS Index  $(280,704) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
16,447,528  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (71,762) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
5,483,242  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (26,224) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
17,799,059  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (85,127) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
7,892,666  —  1/12/39  6.00% (1 month  Synthetic TRS Index  3,903 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
7,480,963  —  1/12/39  6.00% (1 month  Synthetic TRS Index  3,699 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
2,491,140  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (12,122) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
14,112,203  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (67,494) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
511,680  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (1,132) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
13,339,604  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (58,202) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
100,787,436  —  1/12/40  4.00% (1 month  Synthetic TRS Index  (544,781) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
7,863,115  —  1/12/39  6.00% (1 month  Synthetic TRS Index  3,888 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
4,696,687  —  1/12/39  6.00% (1 month  Synthetic TRS Index  2,322 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
15,727,514  —  1/12/39  6.00% (1 month  Synthetic TRS Index  7,777 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
8,218,228  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (35,857) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
3,211,080  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (7,105) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   

 

Diversified Income Trust  75 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Goldman Sachs International cont.         
$3,579,232  $—  1/12/39  (6.00%) 1 month  Synthetic MBX Index  $(9,211) 
      USD-LIBOR  6.00% 30 year Fannie   
        Mae pools   
4,317,977  —  1/12/38  6.50% (1 month  Synthetic MBX Index  21,011 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
5,016,875  —  1/12/40  (5.00%) 1 month  Synthetic MBX Index  (22,023) 
      USD-LIBOR  5.00% 30 year Fannie   
        Mae pools   
3,163,162  —  1/12/39  5.50% (1 month  Synthetic MBX Index  13,243 
      USD-LIBOR)  5.50% 30 year Fannie   
        Mae pools   
4,281,538  —  1/12/40  (4.50%) 1 month  Synthetic MBX Index  (25,035) 
      USD-LIBOR  4.50% 30 year Fannie   
        Mae pools   
25,955,841  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (124,138) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
7,461,796  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (36,309) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
6,193,264  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (29,620) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,861,754  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (56,731) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,681,180  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (55,867) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
11,112,578  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (53,148) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
13,729,339  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (66,807) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
583,857  —  1/12/41  5.00% (1 month  Synthetic TRS Index  (2,304) 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
742,815  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  2,975 
      USD-LIBOR  4.00% 30 year Ginnie   
        Mae II pools   
8,954,487  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (43,573) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
267,003  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (591) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   

 

76  Diversified Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

  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) 
Goldman Sachs International cont.         
$4,629,037  $—  1/12/38  6.50% (1 month  Synthetic TRS Index  $(10,243) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
683,735  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (3,327) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
1,824,013  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (8,876) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
622,951  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (3,031) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
34,850,000  —  4/3/17  2.3225%  USA Non Revised  72,488 
        Consumer Price   
        Index-Urban (CPI-U)   
34,850,000  —  4/4/17  2.35%  USA Non Revised  124,066 
        Consumer Price   
        Index-Urban (CPI-U)   
9,458,782  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (45,238) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
4,492,855  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (9,942) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
8,985,544  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (19,883) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
1,660,760  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (3,675) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
4,390,450  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (20,998) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
8,413,325  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (40,238) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
6,004,509  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (28,717) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
34,850,000  —  4/5/17  2.355%  USA Non Revised  134,173 
        Consumer Price   
        Index-Urban (CPI-U)   
34,850,000  —  4/5/22  2.66%  USA Non Revised  132,082 
        Consumer Price   
        Index-Urban (CPI-U)   
19,393,249  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (92,751) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   

 

Diversified Income Trust  77 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
Goldman Sachs International cont.         
  $9,475,144  $—  1/12/41  4.00% (1 month  Synthetic TRS Index  $(45,316) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  26,154,646  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (125,116) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  25,909,091  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  123,914 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
  25,811,499  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  123,447 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
  3,839,087  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  18,361 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
  3,839,087  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  18,361 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
  10,003,042  (12,504)  1/12/41  (4.50%) 1 month  Synthetic TRS Index  32,381 
        USD-LIBOR  4.50% 30 year Fannie   
          Mae pools   
GBP  21,746,000  —  3/30/17  (3.0925%)  GBP Non-revised UK  528,011 
          Retail Price Index   
GBP  21,746,000  —  4/2/17  (3.085%)  GBP Non-revised UK  453,997 
          Retail Price Index   
GBP  43,492,000  —  9/20/17  2.6625%  GBP Non-revised UK  (2,959,239) 
          Retail Price Index   
GBP  21,746,000  —  9/21/17  2.66%  GBP Non-revised UK  (1,483,915) 
          Retail Price Index   
GBP  21,746,000  —  4/3/17  (3.09%)  GBP Non-revised UK  445,075 
          Retail Price Index   
JPMorgan Chase Bank N.A.         
  $38,441,129  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (183,851) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  25,535,465  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (111,414) 
        USD-LIBOR)  4.50% 30 year Fannie   
          Mae pools   
GBP  19,710,000  —  9/12/14  2.825%  GBP Non-revised UK  (486,182) 
          Retail Price Index   
Royal Bank of Scotland PLC (The)         
  $2,921,902  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (13,974) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
Total            $(5,137,429) 

 

78  Diversified Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)

    Upfront        Fixed payments   
    premium      Termi-  received  Unrealized 
Swap counterparty/    received    Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**    amount  date  per annum  (depreciation) 
Bank of America N.A.             
DJ CDX NA CMBX  BBB–/P  $79,608    $1,321,000  5/11/63  300 bp  $(11,563) 
BBB Index               
DJ CDX NA CMBX  BBB–/P  128,914    1,886,000  5/11/63  300 bp  (1,251) 
BBB Index               
DJ CDX NA CMBX  BBB–/P  163,473    2,648,000  5/11/63  300 bp  (19,283) 
BBB Index               
DJ CDX NA CMBX  BBB–/P  155,838    2,734,000  5/11/63  300 bp  (32,854) 
BBB Index               
Barclays Bank PLC               
Irish Gov’t, 4.50%,  —  (336,426)    4,199,000  9/20/17  (100 bp)  (207,952) 
4/18/2020               
Obrigacoes Do  —  (685,119)    4,199,000  9/20/17  (100 bp)  (209,975) 
Tesouro, 5.45%,               
9/23/13               
Credit Suisse International             
DJ CDX NA HY  —  655,800    16,395,000  12/20/17  (500 bp)  (31,314) 
Series 19 Index               
DJ CDX NA HY  —  486,630    16,221,000  6/20/18  (500 bp)  (36,070) 
Series 20 Index               
DJ CDX NA HY  —  481,339    16,386,000  6/20/18  (500 bp)  (31,051) 
Series 20 Index               
Spain Gov’t, 5.50%,  —  (495,028)    4,199,000  9/20/17  (100 bp)  (176,128) 
7/30/2017               
Deutsche Bank AG               
Republic of  B3  334,446    2,860,000  3/20/17  500 bp  (1,188,803) 
Argentina, 8.28%,               
12/31/33               
Russian Federation,  —  —    987,500  4/20/13  (112 bp)  (5,262) 
7 1/2%, 3/31/30               
Smurfit Kappa  B+  —  EUR  2,045,000  9/20/13  715 bp  94,746 
Funding, 7 3/4%,               
4/1/15               
Virgin Media  BB–  —  EUR  1,975,000  9/20/13  535 bp  62,560 
Finance PLC,               
8 3/4%, 4/15/14               
Virgin Media  BB–  —  EUR  1,975,000  9/20/13  477 bp  54,954 
Finance PLC,               
8 3/4%, 4/15/14               
JPMorgan Chase Bank N.A.             
DJ CDX NA HY  —  1,310,600    $32,765,000  12/20/17  (500 bp)  (62,581) 
Series 19 Index               
DJ CDX NA HY  —  953,013    32,443,000  6/20/18  (500 bp)  (92,419) 
Series 20 Index               

 

Diversified Income Trust  79 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/13 (Unaudited) cont.

    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) 
JPMorgan Chase Bank N.A. cont.           
DJ CDX NA HY  —  $1,908,439  $63,322,000  6/20/18  (500 bp)  $(71,639) 
Series 20 Index             
Russian Federation,  Baa1  —  495,000  9/20/13  276 bp  5,633 
7 1/2%, 3/31/30             
Total            $(1,960,252) 

 

* 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 March 31, 2013. Securities rated by Putnam are indicated by “/P.”

80  Diversified Income Trust 

 


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 
Convertible bonds and notes  $—  $3,317,550  $— 
Corporate bonds and notes  —  1,332,941,493  308,080 
Foreign government and agency bonds and notes  —  243,201,224  — 
Mortgage-backed securities  —  1,549,396,925  — 
Purchased swap options outstanding  —  18,125,976  — 
Senior loans  —  43,141,121  — 
U.S. government and agency mortgage obligations  —  630,181,279  — 
U.S. treasury obligations  —  396,670  — 
Short-term investments  152,956,147  188,584,000  — 
Totals by level  $152,956,147  $4,009,286,238  $308,080 
 
    Valuation inputs  
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—  $10,267,804  $— 
Futures contracts  106,751  —  — 
Written swap options outstanding  —  (14,012,876)  — 
Forward premium swap option contracts  —  (1,796,268)  — 
TBA sale commitments  —  (304,548,678)  — 
Interest rate swap contracts  —  (14,700,451)  — 
Total return swap contracts  —  (4,891,916)  — 
Credit default contracts  —  (7,101,779)  — 
Totals by level  $106,751  $(336,784,164)  $— 

 

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.

The accompanying notes are an integral part of these financial statements.

Diversified Income Trust  81 

 


Statement of assets and liabilities 3/31/13 (Unaudited)

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $3,860,422,871)  $4,017,304,318 
Affiliated issuers (identified cost $145,246,147) (Note 6)  145,246,147 
Cash  141,908 
Foreign currency (cost $41,445) (Note 1)  41,445 
Interest and other receivables  45,683,548 
Receivable for shares of the fund sold  17,568,679 
Receivable for investments sold  16,191,577 
Receivable for sales of delayed delivery securities (Note 1)  311,501,353 
Unrealized appreciation on OTC swap contracts (Note 1)  55,547,442 
Unrealized appreciation on forward premium swap option contracts (Note 1)  6,264,218 
Unrealized appreciation on forward currency contracts (Note 1)  16,447,475 
Premium paid on OTC swap contracts (Note 1)  19,595,912 
Receivable for variation margin (Note 1)  90,220 
Total assets  4,651,624,242 
 
LIABILITIES   
Payable for investments purchased  26,281,330 
Payable for purchases of delayed delivery securities (Note 1)  643,676,697 
Payable for shares of the fund repurchased  6,843,024 
Payable for compensation of Manager (Note 2)  1,641,062 
Payable for investor servicing fees (Note 2)  839,179 
Payable for custodian fees (Note 2)  42,653 
Payable for Trustee compensation and expenses (Note 2)  714,326 
Payable for administrative services (Note 2)  12,262 
Payable for distribution fees (Note 2)  1,858,316 
Unrealized depreciation on forward currency contracts (Note 1)  6,179,671 
Unrealized depreciation on forward premium swap option contracts (Note 1)  8,060,486 
Written options outstanding, at value (premiums $16,894,416) (Notes 1 and 3)  14,012,876 
Premium received on OTC swap contracts (Note 1)  16,302,045 
Unrealized depreciation on OTC swap contracts (Note 1)  85,535,455 
TBA sale commitments, at value (proceeds receivable $303,471,484) (Note 1)  304,548,678 
Collateral on certain derivative contracts, at value (Note 1)  8,106,670 
Other accrued expenses  332,370 
Total liabilities  1,124,987,100 
 
Net assets  $3,526,637,142 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $4,037,359,989 
Undistributed net investment income (Note 1)  14,839,345 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (662,475,285) 
Net unrealized appreciation of investments and assets and liabilities in foreign currencies  136,913,093 
Total — Representing net assets applicable to capital shares outstanding  $3,526,637,142 

 

(Continued on next page)

 

82  Diversified Income Trust 

 


Statement of assets and liabilities (Continued)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value and redemption price per class A share   
($1,878,190,588 divided by 236,441,852 shares)  $7.94 
Offering price per class A share (100/96.00 of $7.94)*  $8.27 
Net asset value and offering price per class B share ($77,292,810 divided by 9,816,086 shares)**  $7.87 
Net asset value and offering price per class C share ($651,886,025 divided by 83,278,940 shares)**  $7.83 
Net asset value and redemption price per class M share   
($252,520,710 divided by 32,253,027 shares)  $7.83 
Offering price per class M share (100/96.75 of $7.83)†  $8.09 
Net asset value, offering price and redemption price per class R share   
($4,231,138 divided by 538,071 shares)  $7.86 
Net asset value, offering price and redemption price per class Y share   
($662,515,871 divided by 84,030,774 shares)  $7.88 

 

* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

† On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

Diversified Income Trust  83 

 


Statement of operations Six months ended 3/31/13 (Unaudited)

INVESTMENT INCOME   
Interest (net of foreign tax of $194,039) (including interest income of $68,291   
from investments in affiliated issuers) (Note 6)  $113,941,353 
 
EXPENSES   
Compensation of Manager (Note 2)  9,269,535 
Investor servicing fees (Note 2)  2,441,521 
Custodian fees (Note 2)  77,817 
Trustee compensation and expenses (Note 2)  170,317 
Administrative services (Note 2)  55,756 
Distribution fees (Note 2)  6,473,113 
Other  519,839 
Total expenses  19,007,898 
 
Expense reduction (Note 2)  (2,883) 
Net expenses  19,005,015 
 
Net investment income  94,936,338 
 
Net realized gain on investments (Notes 1 and 3)  46,532,731 
Net realized gain on swap contracts (Note 1)  15,579,357 
Net realized loss on futures contracts (Note 1)  (314,220) 
Net realized gain on foreign currency transactions (Note 1)  14,594,794 
Net realized gain on written options (Notes 1 and 3)  10,939,309 
Net unrealized appreciation of assets and liabilities in foreign currencies during the period  21,030,043 
Net unrealized appreciation of investments, futures contracts, swap contracts, written options,   
and TBA sale commitments during the period  40,430,557 
Net gain on investments  148,792,571 
 
Net increase in net assets resulting from operations  $243,728,909 

 

The accompanying notes are an integral part of these financial statements.

 

84  Diversified Income Trust 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Six months ended 3/31/13*  Year ended 9/30/12 
Operations:     
Net investment income  $94,936,338  $199,866,951 
Net realized gain (loss) on investments     
and foreign currency transactions  87,331,971  (423,770,245) 
Net unrealized appreciation of investments and assets     
and liabilities in foreign currencies  61,460,600  547,074,103 
Net increase in net assets resulting from operations  243,728,909  323,170,809 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (51,209,044)  (37,511,118) 
Class B  (1,909,397)  (1,331,538) 
Class C  (16,058,277)  (12,181,569) 
Class M  (7,071,103)  (5,464,682) 
Class R  (120,559)  (84,304) 
Class Y  (17,594,110)  (13,444,885) 
From return of capital     
Class A  —  (75,385,954) 
Class B  —  (2,675,988) 
Class C  —  (24,481,255) 
Class M  —  (10,982,353) 
Class R  —  (169,424) 
Class Y  —  (27,020,136) 
Increase (decrease) from capital share transactions (Note 4)  55,663,096  (942,557,966) 
Total increase (decrease) in net assets  205,429,515  (830,120,363) 
 
NET ASSETS     
Beginning of period  3,321,207,627  4,151,327,990 
End of period (including undistributed net investment     
income of $14,839,345 and $13,865,497, respectively)  $3,526,637,142  $3,321,207,627 

 

* Unaudited

The accompanying notes are an integral part of these financial statements.

Diversified Income Trust  85 

 


Financial highlights (For a common share outstanding throughout the period)

INVESTMENT OPERATIONS:    LESS DISTRIBUTIONS:        RATIOS AND SUPPLEMENTAL DATA: 
                            Ratio   
  Net asset    Net realized                    Ratio  of net investment   
  value,    and unrealized  Total from  From            Total return  Net assets,  of expenses  income (loss)   
  beginning  Net investment  gain (loss)  investment  net investment  From  Total  Redemption  Non-recurring  Net asset value,  at net asset  end of period  to average  to average  Portfolio 
Period ended  of period  income (loss) a  on investments  operations  income  return of capital  distributions  fees  reimbursements  end of period  value (%) b  (in thousands)  net assets (%) c  net assets (%)  turnover (%) d 
Class A                               
March 31, 2013**  $7.59  .23  .34  .57  (.22)  —  (.22)  —  —  $7.94  7.64 *  $1,878,191  .50 *  2.89 *  81 * 
September 30, 2012  7.35  .42  .27  .69  (.15)  (.30)  (.45)  —  —  7.59  9.58  1,788,786  .99  5.67  120 
September 30, 2011  8.08  .45  (.58)  (.13)  (.60)  —  (.60)  —  — e,f  7.35  (2.04)  2,162,131  .98  5.57  165 
September 30, 2010  7.89  .72  .63  1.35  (1.16)  —  (1.16)  — e  —  8.08  18.39  2,328,480  1.01 g  8.96  95 
September 30, 2009  8.10  .49  (.02)  .47  (.68)  —  (.68)  — e  — e,h  7.89  8.23  1,334,298  1.13 g,i  7.44 i  223 
September 30, 2008  9.91  .69  (1.90)  (1.21)  (.60)  —  (.60)  — e  —  8.10  (12.80)  1,084,321  1.04 i  7.36 i  157 
Class B                               
March 31, 2013**  $7.53  .19  .34  .53  (.19)  —  (.19)  —  —  $7.87  7.15 *  $77,293  .87 *  2.52 *  81 * 
September 30, 2012  7.29  .37  .26  .63  (.13)  (.26)  (.39)  —  —  7.53  8.82  75,534  1.74  4.92  120 
September 30, 2011  8.01  .39  (.57)  (.18)  (.54)  —  (.54)  —  — e,f  7.29  (2.69)  81,208  1.73  4.88  165 
September 30, 2010  7.83  .66  .62  1.28  (1.10)  —  (1.10)  — e  —  8.01  17.50  96,346  1.76 g  8.36  95 
September 30, 2009  8.04  .42  — e  .42  (.63)  —  (.63)  — e  — e,h  7.83  7.43  83,497  1.88 g,i  6.41 i  223 
September 30, 2008  9.83  .61  (1.88)  (1.27)  (.52)  —  (.52)  — e  —  8.04  (13.40)  109,173  1.79 i  6.57 i  157 
Class C                               
March 31, 2013**  $7.48  .19  .35  .54  (.19)  —  (.19)  —  —  $7.83  7.33 *  $651,886  .87 *  2.52 *  81 * 
September 30, 2012  7.25  .36  .26  .62  (.13)  (.26)  (.39)  —  —  7.48  8.73  644,638  1.74  4.93  120 
September 30, 2011  7.97  .38  (.56)  (.18)  (.54)  —  (.54)  —  — e,f  7.25  (2.68)  776,778  1.73  4.82  165 
September 30, 2010  7.80  .64  .63  1.27  (1.10)  —  (1.10)  — e  —  7.97  17.47  797,345  1.76 g  8.10  95 
September 30, 2009  8.03  .48  (.07)  .41  (.64)  —  (.64)  — e  — e,h  7.80  7.27  298,231  1.88 g,i  7.12 i  223 
September 30, 2008  9.84  .61  (1.89)  (1.28)  (.53)  —  (.53)  — e  —  8.03  (13.57)  115,325  1.79 i  6.62 i  157 
Class M                               
March 31, 2013**  $7.48  .21  .35  .56  (.21)  —  (.21)  —  —  $7.83  7.60 *  $252,521  .62 *  2.77 *  81 * 
September 30, 2012  7.25  .40  .25  .65  (.14)  (.28)  (.42)  —  —  7.48  9.29  260,630  1.24  5.43  120 
September 30, 2011  7.97  .43  (.57)  (.14)  (.58)  —  (.58)  —  — e,f  7.25  (2.22)  312,812  1.23  5.44  165 
September 30, 2010  7.79  .70  .62  1.32  (1.14)  —  (1.14)  — e  —  7.97  18.13  436,826  1.26 g  8.92  95 
September 30, 2009  8.02  .45  (.01)  .44  (.67)  —  (.67)  — e  — e,h  7.79  7.81  460,240  1.38 g,i  6.98 i  223 
September 30, 2008  9.81  .66  (1.88)  (1.22)  (.57)  —  (.57)  — e  —  8.02  (12.95)  514,664  1.29 i  7.10 i  157 
Class R                               
March 31, 2013**  $7.52  .21  .34  .55  (.21)  —  (.21)  —  —  $7.86  7.42 *  $4,231  .62 *  2.77 *  81 * 
September 30, 2012  7.28  .40  .26  .66  (.14)  (.28)  (.42)  —  —  7.52  9.38  4,307  1.24  5.44  120 
September 30, 2011  8.00  .43  (.57)  (.14)  (.58)  —  (.58)  —  — e,f  7.28  (2.21)  4,315  1.23  5.34  165 
September 30, 2010  7.82  .70  .62  1.32  (1.14)  —  (1.14)  — e  —  8.00  18.08  4,185  1.26 g  8.82  95 
September 30, 2009  8.06  .48  (.05)  .43  (.67)  —  (.67)  — e  — e,h  7.82  7.68  2,956  1.38 g,i  7.20 i  223 
September 30, 2008  9.89  .66  (1.92)  (1.26)  (.57)  —  (.57)  — e  —  8.06  (13.29)  2,756  1.29 i  7.09 i  157 
Class Y                               
March 31, 2013**  $7.54  .23  .34  .57  (.23)  —  (.23)  —  —  $7.88  7.72 *  $662,516  .37 *  3.02 *  81 * 
September 30, 2012  7.30  .44  .27  .71  (.16)  (.31)  (.47)  —  —  7.54  9.98  547,313  .74  5.92  120 
September 30, 2011  8.04  .46  (.58)  (.12)  (.62)  —  (.62)  —  — e,f  7.30  (1.89)  814,084  .73  5.79  165 
September 30, 2010  7.85  .73  .64  1.37  (1.18)  —  (1.18)  — e  —  8.04  18.84  991,846  .76 g  9.18  95 
September 30, 2009  8.08  .60  (.13)  .47  (.70)  —  (.70)  — e  — e,h  7.85  8.26  331,995  .88 g,i  8.61 i  223 
September 30, 2008  9.92  .71  (1.93)  (1.22)  (.62)  —  (.62)  — e  —  8.08  (12.88)  82,197  .79 i  7.59 i  157 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

86  Diversified Income Trust  Diversified Income Trust  87 

 


Financial highlights (Continued)

* Not annualized.

** Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset arrangements (Note 2).

d Portfolio turnover excludes TBA purchase and sale transactions.

e Amount represents less than $0.01 per share.

f Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the Securities and Exchange Commission (the SEC) which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011.

g Includes interest accrued in connection with certain terminated derivatives contracts, which amounted to less than 0.01% and 0.04% of average net assets for the periods ended September 30, 2010 and September 30, 2009, respectively.

h Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Bear Stearns & Co., Inc. and Bear Stearns Securities Corp., which amounted to less than $0.01 per share outstanding on May 21, 2009.

i Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to September 30, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts:

  Percentage of 
  average net assets 
September 30, 2009  0.03% 
September 30, 2008  <0.01 

 

The accompanying notes are an integral part of these financial statements.

 

88  Diversified Income Trust 

 


Notes to financial statements 3/31/13 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2012 through March 31, 2013.

Putnam Diversified Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The investment objective of the fund is to seek as high a level of current income as Putnam Management believes is consistent with preservation of capital. The fund invests mainly in bonds that are securitized debt instruments (such as mortgage-backed investments) and other obligations of companies and governments worldwide, are either investment-grade or below-investment-grade (sometimes referred to as “junk bonds”) in quality and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments.

The fund offers class A, class B, class C, class M, class R and class Y shares. Class A and class M shares are sold with a maximum front-end sales charge of 4.00% and 3.25%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee. Class Y shares are not available to all investors.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

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 under Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Diversified Income Trust  89 

 


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 consider 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.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, is recorded on the accrual basis.

All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

Securities purchased or sold on a forward commitment or delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

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.

Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on

90  Diversified Income Trust 

 


investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts to hedge duration and convexity and to isolate prepayment risk.

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. OTC traded options are valued using prices supplied by dealers. Forward premium swap option contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average contract amount, see Note 5.

Futures contracts The fund uses futures contracts 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. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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.”

Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average number of contracts, see Note 5.

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. 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. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average contract amount, see Note 5.

Interest rate swap contracts The fund entered into OTC and/or centrally cleared 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.

Diversified Income Trust  91 

 


An OTC 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. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Statement of assets and liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract. Certain OTC and centrally cleared 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, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk, is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of mark to market margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average notional amount see Note 5.

Total return swap contracts The fund entered into OTC 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 and to gain exposure to specific sectors or industries.

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. OTC 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 OTC 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio. For the fund’s average notional amount, see Note 5.

Credit default contracts The fund entered into OTC credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.

In an OTC credit default contract, the protection buyer typically makes an upfront 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 OTC 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.

92  Diversified Income Trust 

 


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 OTC credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. 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 OTC credit default contract.

OTC credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio. For the fund’s average notional amount, see Note 5.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC 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 $1,634,974 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 $24,415,759 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $20,983,703.

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

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

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

Diversified Income Trust  93 

 


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. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification ASC 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

At September 30, 2012, the fund had a capital loss carryover of $363,561,832 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:

Loss carryover 
Short-term  Long-term  Total  Expiration 
$8,913,866  $12,665,118  $21,578,984  * 
13,963,696  N/A  13,963,696  September 30, 2015 
18,714,447  N/A  18,714,447  September 30, 2016 
146,525,581  N/A  146,525,581  September 30, 2017 
162,779,124  N/A  162,779,124  September 30, 2018 

 

* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally,

 

94  Diversified Income Trust 

 


post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer certain capital losses of $338,380,309 recognized during the period between November 1, 2011 and September 30, 2012 to its fiscal year ending September 30, 2013.

The aggregate identified cost on a tax basis is $4,060,302,189, resulting in gross unrealized appreciation and depreciation of $166,734,013 and $64,485,737, respectively, or net unrealized appreciation of $102,248,276.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:

0.700%  of the first $5 billion,  0.500%  of the next $50 billion, 
0.650%  of the next $5 billion,  0.480%  of the next $50 billion, 
0.600%  of the next $10 billion,  0.470%  of the next $100 billion and 
0.550%  of the next $10 billion,  0.465%  of any excess thereafter. 

 

Putnam Management has contractually agreed, through June 30, 2013, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A  $1,307,141  Class R  3,195 
Class B  55,896  Class Y  421,832 
Class C  466,826  Total  $2,441,521 
Class M  186,631     
  

 

Diversified Income Trust  95 

 


The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $2,883 under the expense offset arrangements.

Each independent Trustee of the fund receives an annual Trustee fee, of which $2,518, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.50% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:

Class A  $2,239,083  Class M  639,796 
Class B  383,212  Class R  10,962 
Class C  3,200,060  Total  $6,473,113 

 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $145,546 and $2,770 from the sale of class A and class M shares, respectively, and received $31,762 and $2,236 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% and 0.40% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $2,669 and no monies on class A and class M redemptions, respectively.

Note 3: Purchases and sales of securities

During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments and TBA transactions aggregated $2,553,112,140 and $2,666,543,728, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.

96  Diversified Income Trust 

 


Written option transactions during the reporting period are summarized as follows:

    Written swap option  Written swap option 
    contract amounts  premiums 
Written options outstanding at the  USD  3,104,945,193  $214,559,020 
beginning of the reporting period  EUR  —  $— 
Options opened  USD  6,668,865,200  8,032,140 
  EUR  1,464,075,000  16,894,416 
Options exercised  USD  (311,692,000)  (625,199) 
  EUR  —  — 
Options closed  USD  (5,361,082,993)  (221,965,961) 
  EUR  —  — 
Written options outstanding at the end of  USD  4,101,035,400  $— 
the reporting period  EUR  1,464,075,000  $16,894,416 

 

Note 4: Capital shares

At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:

  Six months ended 3/31/13  Year ended 9/30/12 
Class A  Shares  Amount  Shares  Amount 
Shares sold  36,428,325  $285,364,388  49,904,063  $374,207,397 
Shares issued in connection with         
reinvestment of distributions  5,621,228  43,690,004  12,173,135  90,829,317 
  42,049,553  329,054,392  62,077,198  465,036,714 
Shares repurchased  (41,241,744)  (320,288,209)  (120,678,398)  (898,660,017) 
Net increase (decrease)  807,809  $8,766,183  (58,601,200)  $(433,623,303) 
 
  Six months ended 3/31/13  Year ended 9/30/12 
Class B  Shares  Amount  Shares  Amount 
Shares sold  722,556  $5,582,634  1,282,453  $9,538,006 
Shares issued in connection with         
reinvestment of distributions  190,991  1,471,694  370,541  2,743,864 
  913,547  7,054,328  1,652,994  12,281,870 
Shares repurchased  (1,133,939)  (8,777,387)  (2,759,958)  (20,457,595) 
Net decrease  (220,392)  $(1,723,059)  (1,106,964)  $(8,175,725) 
 
  Six months ended 3/31/13  Year ended 9/30/12 
Class C  Shares  Amount  Shares  Amount 
Shares sold  7,692,388  $59,381,404  12,233,382  $90,374,628 
Shares issued in connection with         
reinvestment of distributions  1,414,912  10,836,420  3,071,130  22,605,827 
  9,107,300  70,217,824  15,304,512  112,980,455 
Shares repurchased  (11,980,150)  (91,862,621)  (36,330,550)  (267,373,448) 
Net decrease  (2,872,850)  $(21,644,797)  (21,026,038)  $(154,392,993) 

 

Diversified Income Trust  97 

 


  Six months ended 3/31/13  Year ended 9/30/12 
Class M  Shares  Amount  Shares  Amount 
Shares sold  380,141  $2,897,516  244,221  $1,807,787 
Shares issued in connection with         
reinvestment of distributions  58,960  451,482  124,579  916,703 
  439,101  3,348,998  368,800  2,724,490 
Shares repurchased  (3,011,021)  (23,054,489)  (8,691,292)  (64,059,958) 
Net decrease  (2,571,920)  $(19,705,491)  (8,322,492)  $(61,335,468) 
 
  Six months ended 3/31/13  Year ended 9/30/12 
Class R  Shares  Amount  Shares  Amount 
Shares sold  87,702  $679,004  173,903  $1,286,294 
Shares issued in connection with         
reinvestment of distributions  13,705  105,427  27,875  206,037 
  101,407  784,431  201,778  1,492,331 
Shares repurchased  (136,435)  (1,062,378)  (221,540)  (1,640,088) 
Net decrease  (35,028)  $(277,947)  (19,762)  $(147,757) 
 
  Six months ended 3/31/13  Year ended 9/30/12 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  29,247,780  $228,084,423  37,200,226  $277,027,889 
Shares issued in connection with         
reinvestment of distributions  1,366,708  10,548,294  2,897,143  21,487,807 
  30,614,488  238,632,717  40,097,369  298,515,696 
Shares repurchased  (19,189,297)  (148,384,510)  (78,943,053)  (583,398,416) 
Net increase (decrease)  11,425,191  $90,248,207  (38,845,684)  $(284,882,720) 

 

Note 5: Summary of derivative activity

The average volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows:

Purchased swap option contracts (contract amount)  $4,058,200,000 
Written swap option contracts (contract amount)  $3,005,500,000 
Futures contracts (number of contracts)  6,000 
Forward currency contracts (contract amount)  $2,620,900,000 
OTC interest rate swap contracts (notional)  $18,172,800,000 
Centrally cleared interest rate swap contracts (notional)  $12,100,000 
OTC total return swap contracts (notional)  $2,535,900,000 
OTC credit default swap contracts (notional)  $107,400,000 

 

98  Diversified Income Trust 

 


The following is a summary of the market values of derivative instruments as of the close of the reporting period:

Market values of derivative instruments as of the close of the reporting period

  Asset derivatives  Liability derivatives 
Derivatives not         
accounted for as  Statement of    Statement of   
hedging instruments  assets and    assets and   
under ASC 815  liabilities location  Market value  liabilities location  Market value 
Credit contracts  Receivables  $1,140,411  Payables  $8,242,190 
Foreign exchange         
contracts  Receivables  16,447,475  Payables  6,179,671 
  Investments,    Payables,   
  Receivables, Net    Net assets  —   
  assets  — Unrealized    Unrealized   
Interest rate contracts  appreciation  91,480,945*  depreciation  108,649,729* 
Total    $109,068,831    $123,071,590 

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $2,098,773  $2,098,773 
Foreign exchange           
contracts  —  —  14,702,805  —  $14,702,805 
Interest rate contracts  (6,026,546)  (314,220)  —  13,480,584  $7,139,818 
Total  $(6,026,546)  $(314,220)  $14,702,805  $15,579,357  $23,941,396 

 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

 

Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $(5,062,091)  $(5,062,091) 
Foreign exchange           
contracts  —  —  20,946,086  —  $20,946,086 
Interest rate contracts  (5,622,042)  923,624  —  12,368,555  $7,670,137 
Total  $(5,622,042)  $923,624  $20,946,086  $7,306,464  $23,554,132 

 

Diversified Income Trust  99 

 


Note 6: Transactions with affiliated issuers

Transactions during the reporting period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership or control, were as follows:

  Market value at        Market value 
  the beginning        at the end of 
  of the reporting      Investment  the reporting 
Name of affiliates  period  Purchase cost  Sale proceeds  income  period 
Putnam Money Market           
Liquidity Fund*  $—  $707,500,419  $707,500,419  $58,895  $— 
Putnam Short Term           
Investment Fund*  —  283,630,280  138,384,133  9,396  145,246,147 
Totals  $—  $991,130,699  $845,884,552  $68,291  $145,246,147 

 

* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.

Note 7: Senior loan commitments

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.

Note 8: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher yielding, lower rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

Note 9: New accounting pronouncement

In January 2013, ASU 2013–01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” replaced ASU No. 2011–11 “Disclosures about Offsetting Assets and Liabilities”. The updates create new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASU 2013–01 and its impact, if any, on the fund’s financial statements.

100  Diversified Income Trust 

 


Fund information

Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Robert R. Leveille 
Putnam Investment  Jameson A. Baxter, Chair  Vice President and 
Management, LLC  Liaquat Ahamed  Chief Compliance Officer 
One Post Office Square  Ravi Akhoury   
Boston, MA 02109  Barbara M. Baumann  Michael J. Higgins 
  Charles B. Curtis  Vice President and Treasurer 
Investment Sub-Manager  Robert J. Darretta   
Putnam Investments Limited  Katinka Domotorffy  Janet C. Smith 
57–59 St James’s Street  John A. Hill  Vice President, 
London, England SW1A 1LD  Paul L. Joskow  Principal Accounting Officer, 
  Elizabeth T. Kennan  and Assistant Treasurer 
Marketing Services  Kenneth R. Leibler   
Putnam Retail Management  Robert E. Patterson  Susan G. Malloy 
One Post Office Square  George Putnam, III  Vice President and 
Boston, MA 02109  Robert L. Reynolds  Assistant Treasurer 
  W. Thomas Stephens   
Custodian  James P. Pappas 
State Street Bank  Officers  Vice President 
and Trust Company  Robert L. Reynolds   
  President  Mark C. Trenchard 
Legal Counsel  Vice President and 
Ropes & Gray LLP  Jonathan S. Horwitz  BSA Compliance Officer 
  Executive Vice President,   
  Principal Executive Officer, and  Judith Cohen 
  Compliance Liaison  Vice President, Clerk, and 
  Associate Treasurer 
  Steven D. Krichmar   
  Vice President and  Nancy E. Florek 
  Principal Financial Officer  Vice President, Proxy 
  Manager, Assistant Clerk, and 
  Robert T. Burns  Associate Treasurer 
  Vice President and   
  Chief Legal Officer   

 

This report is for the information of shareholders of Putnam Diversified Income Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.

 



Item 2. Code of Ethics:
Not applicable
Item 3. Audit Committee Financial Expert:
Not applicable
Item 4. Principal Accountant Fees and Services:
Not applicable
Item 5. Audit Committee of Listed Registrants
Not applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable
Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. 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 12. Exhibits:
(a)(1) Not applicable
(a)(2) 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.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

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

Date: May 24, 2013
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: May 24, 2013
By (Signature and Title):
/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: May 24, 2013