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


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05635)
Exact name of registrant as specified in charter: Putnam Diversified Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2016
Date of reporting period: December 31, 2015



Item 1. Schedule of Investments:













Putnam Diversified Income Trust

The fund's portfolio
12/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (74.4%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (3.2%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $394,237 $450,864
     3 1/2s, TBA, January 1, 2046 138,000,000 143,865,000
144,315,864
U.S. Government Agency Mortgage Obligations (71.2%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 4s, TBA, January 1, 2046 44,000,000 46,475,000
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, January 1, 2046 23,000,000 25,623,438
     5 1/2s, TBA, December 1, 2045 2,000,000 2,230,625
     4 1/2s, TBA, January 1, 2046 19,000,000 20,520,000
     4s, TBA, January 1, 2046 1,000,000 1,057,969
     3 1/2s, TBA, February 1, 2046 307,000,000 316,079,451
     3 1/2s, TBA, January 1, 2046 307,000,000 316,665,711
     3s, TBA, February 1, 2046 996,000,000 993,782,306
     3s, TBA, January 1, 2046 1,443,000,000 1,442,661,761
3,165,096,261
Total U.S. government and agency mortgage obligations (cost $3,307,960,714) $3,309,412,125

MORTGAGE-BACKED SECURITIES (49.8%)(a)
Principal amount Value
Agency collateralized mortgage obligations (16.0%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 24.463s, 2037 $338,410 $531,203
     IFB Ser. 2979, Class AS, 23.062s, 2034 61,488 68,885
     IFB Ser. 4218, Class PS, IO, 5.92s, 2042 22,525,293 3,343,598
     IFB Ser. 4104, Class S, IO, 5.77s, 2042 12,948,843 2,877,719
     IFB Ser. 326, Class S2, IO, 5.62s, 2044 21,005,343 4,573,015
     IFB Ser. 311, Class S1, IO, 5.62s, 2043 19,858,413 4,259,153
     IFB Ser. 315, Class S1, IO, 5.59s, 2043 34,585,027 8,740,075
     Ser. 3687, Class CI, IO, 5s, 2038 12,490,191 1,772,608
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 16,179,571 2,993,221
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 21,335,092 3,740,042
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 28,743,786 5,367,298
     Ser. 4462, IO, 4s, 2045 25,767,492 5,267,133
     Ser. 4193, Class PI, IO, 4s, 2043 67,213,231 10,443,861
     Ser. 4213, Class GI, IO, 4s, 2041 38,274,751 5,944,069
     Ser. 4020, Class IA, IO, 4s, 2027 25,319,843 3,050,281
     Ser. 4484, Class TI, IO, 3 1/2s, 2044 27,392,208 4,601,891
     Ser. 329, Class C12, IO, 3 1/2s, 2043 35,741,514 6,512,819
     Ser. 303, Class C19, IO, 3 1/2s, 2043 67,806,150 13,859,577
     Ser. 304, Class C22, IO, 3 1/2s, 2042 56,759,529 11,703,815
     Ser. 4141, Class IM, IO, 3 1/2s, 2042 52,593,509 9,030,305
     Ser. 4141, Class IQ, IO, 3 1/2s, 2042 27,372,181 4,618,234
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 25,185,434 3,288,236
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 11,342,524 1,480,199
     Ser. 4166, Class PI, IO, 3 1/2s, 2041 54,325,464 8,392,741
     Ser. 4199, Class CI, IO, 3 1/2s, 2037 63,472,328 6,715,372
     Ser. 4165, Class TI, IO, 3s, 2042 30,625,091 3,604,573
     Ser. 4210, Class PI, IO, 3s, 2041 24,627,283 2,261,669
     Ser. 304, Class C45, IO, 3s, 2027 65,241,299 6,602,759
     FRB Ser. T-56, Class A, IO, 0.524s, 2043 215,420 3,598
     FRB Ser. 57, Class 1AX, IO, 0.38s, 2043 14,237,174 152,338
     Ser. 3314, PO, zero %, 2036 63,894 61,905
     Ser. 3326, Class WF, zero %, 2035 43,889 34,187
     Ser. 1208, Class F, PO, zero %, 2022 37,376 34,666
     FRB Ser. T-56, Class 2, IO, zero %, 2043 241,117 1
Federal National Mortgage Association
     IFB Ser. 06-8, Class HP, 23.021s, 2036 967,597 1,514,725
     IFB Ser. 05-83, Class QP, 16.298s, 2034 292,838 379,313
     IFB Ser. 12-76, Class DS, IO, 6.128s, 2039 102,098,849 13,328,974
     IFB Ser. 13-81, Class QS, IO, 5.778s, 2041 26,084,150 3,736,351
     IFB Ser. 13-41, Class SP, IO, 5.778s, 2040 12,569,646 1,366,446
     IFB Ser. 13-18, Class SB, IO, 5.728s, 2041 23,393,006 3,658,666
     Ser. 399, Class 2, IO, 5 1/2s, 2039 70,615 14,675
     Ser. 374, Class 6, IO, 5 1/2s, 2036 2,604,253 476,526
     IFB Ser. 13-103, Class SK, IO, 5.498s, 2043 22,698,258 5,658,265
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.422s, 2025 6,640,000 6,602,192
     Ser. 12-132, Class PI, IO, 5s, 2042 33,791,611 6,301,122
     Ser. 378, Class 19, IO, 5s, 2035 2,919,650 562,033
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.972s, 2025 4,063,000 4,071,532
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 16,585,804 3,871,127
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 24,043,399 3,842,135
     Ser. 409, Class 81, IO, 4 1/2s, 2040 22,967,687 4,662,440
     Ser. 404, Class 2, IO, 4 1/2s, 2040 234,183 48,812
     Ser. 366, Class 22, IO, 4 1/2s, 2035 2,011,045 115,575
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.422s, 2025 16,884,000 15,967,587
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.422s, 2025 3,124,000 2,957,819
     Ser. 15-88, Class QI, IO, 4s, 2044 24,595,365 3,404,490
     Ser. 418, Class C24, IO, 4s, 2043 50,146,639 10,769,191
     Ser. 13-41, Class IP, IO, 4s, 2043 37,019,095 6,118,146
     Ser. 13-115, Class CI, IO, 4s, 2043 42,738,867 5,871,295
     Ser. 13-44, Class PI, IO, 4s, 2043 17,794,560 2,612,881
     Ser. 13-60, Class IP, IO, 4s, 2042 15,190,450 2,558,072
     Ser. 13-1, Class PI, IO, 4s, 2042 32,877,149 6,115,478
     Ser. 12-96, Class PI, IO, 4s, 2041 5,696,781 911,314
     Ser. 409, Class C16, IO, 4s, 2040 16,029,578 3,196,298
     Ser. 405, Class 2, IO, 4s, 2040 258,620 51,983
     Ser. 418, Class C15, IO, 3 1/2s, 2043 121,674,610 25,293,110
     Ser. 13-18, Class IN, IO, 3 1/2s, 2043 54,270,237 7,699,964
     Ser. 13-70, Class CI, IO, 3 1/2s, 2043 14,420,479 1,716,037
     Ser. 13-49, Class IP, IO, 3 1/2s, 2042 38,120,091 4,911,774
     Ser. 13-40, Class YI, IO, 3 1/2s, 2042 34,027,419 4,914,038
     Ser. 12-123, Class DI, IO, 3 1/2s, 2041 46,263,044 8,086,780
     Ser. 12-151, Class PI, IO, 3s, 2043 64,266,320 8,071,850
     Ser. 12-145, Class TI, IO, 3s, 2042 27,216,532 2,563,797
     Ser. 13-35, Class IP, IO, 3s, 2042 17,358,376 1,796,863
     Ser. 13-53, Class JI, IO, 3s, 2041 32,055,184 3,666,151
     Ser. 13-30, Class IP, IO, 3s, 2041 29,502,744 2,634,005
     FRB Ser. 03-W10, Class 1, IO, 0.771s, 2043 5,831,414 97,385
     FRB Ser. 01-50, Class B1, IO, 0.397s, 2041 312,031 3,713
     FRB Ser. 02-W8, Class 1, IO, 0.311s, 2042 10,428,597 124,100
     Ser. 99-51, Class N, PO, zero %, 2029 80,672 72,605
Federal National Mortgage Association Grantor Trust
     Ser. 98-T2, Class A4, IO, 6 1/2s, 2036 51,985 8,141
     Ser. 00-T6, IO, 0.709s, 2030 6,830,015 144,796
     Ser. 01-T1, Class 1, IO, 0.702s, 2040 826,278 10,841
Government National Mortgage Association
     IFB Ser. 13-99, Class VS, IO, 5.756s, 2043 20,755,091 3,708,935
     IFB Ser. 13-129, Class SN, IO, 5.748s, 2043 17,948,736 2,783,310
     IFB Ser. 10-20, Class SC, IO, 5.748s, 2040 14,686,990 2,411,163
     IFB Ser. 11-70, Class SH, IO, 5.546s, 2041 27,095,528 4,384,056
     Ser. 14-163, Class NI, IO, 5s, 2044 28,327,034 5,733,958
     Ser. 14-4, Class PI, IO, 5s, 2043 18,614,221 3,173,725
     Ser. 14-25, Class MI, IO, 5s, 2043 21,601,584 3,694,735
     Ser. 13-3, Class IT, IO, 5s, 2043 10,875,139 2,131,527
     Ser. 13-6, Class IC, IO, 5s, 2043 9,133,214 1,787,005
     Ser. 12-146, IO, 5s, 2042 19,826,563 3,963,925
     Ser. 13-6, Class CI, IO, 5s, 2042 6,759,559 1,234,093
     Ser. 13-130, Class IB, IO, 5s, 2040 16,091,349 1,432,130
     Ser. 13-16, Class IB, IO, 5s, 2040 15,477,435 830,389
     Ser. 11-41, Class BI, IO, 5s, 2040 11,401,679 1,115,400
     Ser. 10-35, Class UI, IO, 5s, 2040 54,973,579 10,620,895
     Ser. 10-20, Class UI, IO, 5s, 2040 25,255,378 4,659,870
     Ser. 10-9, Class UI, IO, 5s, 2040 123,639,202 24,146,736
     Ser. 09-121, Class UI, IO, 5s, 2039 55,198,242 10,640,565
     Ser. 15-79, Class GI, IO, 5s, 2039 36,340,499 7,071,174
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 32,853,200 6,274,633
     Ser. 13-183, Class JI, IO, 4 1/2s, 2043 33,356,740 4,659,203
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 7,088,443 1,126,283
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 9,817,012 619,453
     Ser. 13-167, IO, 4 1/2s, 2040 25,292,144 3,268,218
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 19,531,098 3,638,448
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 47,902,565 8,555,398
     Ser. 10-20, Class BI, IO, 4 1/2s, 2040 36,283,149 7,852,399
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 29,509,836 5,288,163
     Ser. 14-71, Class PI, IO, 4 1/2s, 2039 42,830,873 6,945,026
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 12,682,765 1,362,002
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 17,289,363 1,580,766
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 4,637,557 266,103
     Ser. 14-4, Class BI, IO, 4s, 2044 22,153,356 5,383,044
     Ser. 14-4, Class IC, IO, 4s, 2044 23,841,963 4,091,996
     Ser. 14-163, Class PI, IO, 4s, 2043 31,138,069 3,766,149
     Ser. 13-165, Class IL, IO, 4s, 2043 13,954,156 2,391,742
     Ser. 13-27, Class IJ, IO, 4s, 2043 16,988,141 3,075,703
     Ser. 13-24, Class PI, IO, 4s, 2042 9,359,289 1,478,861
     Ser. 12-106, Class QI, IO, 4s, 2042 25,526,223 4,025,485
     Ser. 12-56, Class IB, IO, 4s, 2042 10,566,528 1,887,699
     Ser. 12-8, Class PI, IO, 4s, 2041 38,442,479 5,815,997
     Ser. 13-102, Class IP, IO, 3 1/2s, 2043 23,380,228 2,366,406
     Ser. 13-76, IO, 3 1/2s, 2043 61,282,170 7,473,361
     Ser. 15-168, Class IG, IO, 3 1/2s, 2043 44,298,937 6,096,597
     Ser. 13-28, IO, 3 1/2s, 2043 17,486,281 2,546,440
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 38,574,652 4,911,710
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 35,880,326 4,424,044
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 27,150,858 3,431,054
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 49,822,779 9,860,476
     Ser. 12-128, Class IA, IO, 3 1/2s, 2042 41,369,235 7,710,770
     Ser. 12-92, Class AI, IO, 3 1/2s, 2042 23,735,805 3,003,054
     Ser. 14-62, Class CI, IO, 3 1/2s, 2042 39,468,543 3,973,693
     Ser. 13-37, Class LI, IO, 3 1/2s, 2042 44,524,248 5,675,506
     Ser. 15-52, Class KI, IO, 3 1/2s, 2040 56,623,327 8,344,580
     Ser. 15-17, Class LI, IO, 3 1/2s, 2040 44,169,359 5,922,669
     Ser. 13-79, Class XI, IO, 3 1/2s, 2039 46,955,530 6,948,498
     Ser. 12-48, Class AI, IO, 3 1/2s, 2036 19,340,282 2,800,666
     Ser. 13-37, Class UI, IO, 3s, 2042 24,454,898 2,927,985
     Ser. 13-41, Class MI, IO, 3s, 2041 23,183,868 2,517,536
     Ser. 12-103, Class IL, IO, 3s, 2027 68,596,798 7,135,439
     Ser. 15-H18, Class BI, IO, 2.239s, 2065 62,971,154 7,930,587
     Ser. 15-H15, Class BI, IO, 2.205s, 2065 95,034,281 11,701,096
     Ser. 15-H24, Class AI, IO, 2.191s, 2065 51,224,644 6,228,917
     Ser. 15-H20, Class BI, IO, 2.179s, 2065 63,902,157 7,927,702
     Ser. 15-H10, Class BI, IO, 2.092s, 2065 47,092,933 5,592,286
     Ser. 15-H12, Class AI, IO, 1.852s, 2065 107,831,708 11,895,185
     Ser. 15-H23, Class DI, IO, 1.841s, 2065 52,166,679 5,803,543
     Ser. 15-H15, Class AI, IO, 1.805s, 2065 57,692,335 6,788,080
     FRB Ser. 15-H08, Class CI, IO, 1.793s, 2065 85,400,835 9,447,467
     Ser. 15-H23, Class BI, IO, 1.719s, 2065 93,960,636 10,622,250
     Ser. 15-H03, Class CI, IO, 1.718s, 2065 92,202,876 9,551,642
     Ser. 06-36, Class OD, PO, zero %, 2036 19,862 16,861
     Ser. 06-64, PO, zero %, 2034 45,224 43,854
Structured Asset Securities Corp. 144A Ser. 98-RF3, Class A, IO, 6.1s, 2028 50,153 5,457
708,994,232
Commercial mortgage-backed securities (22.2%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 33,321,000 33,248,597
     Ser. 06-1, Class B, 5.49s, 2045 4,164,000 4,140,682
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.344s, 2051 143,771,763 802,002
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-1, Class B, 5.338s, 2042 6,655,000 6,559,301
     FRB Ser. 05-1, Class C, 5.338s, 2042 8,629,000 8,084,338
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 134,511 133,610
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 06-PW12, Class AJ, 5.752s, 2038 14,337,000 14,357,314
     FRB Ser. 07-PW16, Class AJ, 5.722s, 2040 12,200,000 12,339,910
     FRB Ser. 06-PW11, Class AJ, 5.51s, 2039 1,580,000 1,580,494
     Ser. 05-PWR7, Class D, 5.304s, 2041 4,190,000 4,183,128
     Ser. 05-PWR7, Class C, 5.235s, 2041 4,945,000 4,945,000
     Ser. 05-PWR7, Class B, 5.214s, 2041 7,239,000 7,246,239
     Ser. 05-PWR9, Class C, 5.055s, 2042 3,745,000 3,739,195
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class C, 5.51s, 2039 8,260,000 8,243,150
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.119s, 2044 8,486,000 8,124,830
     FRB Ser. 07-CD5, Class XS, IO, 0.156s, 2044 109,809,473 227,636
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.574s, 2047 17,709,000 18,101,616
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class B, 5.811s, 2049 14,144,000 14,098,456
     Ser. 06-C5, Class AJ, 5.482s, 2049 3,741,000 3,683,616
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.457s, 2046 4,309,000 3,888,442
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.766s, 2046 11,889,000 12,014,286
COMM Mortgage Trust Ser. 06-C8, Class AJ, 5.377s, 2046 16,631,000 16,456,375
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.645s, 2044 1,792,000 1,802,931
     FRB Ser. 13-CR11, Class D, 5.17s, 2046 5,884,000 5,563,910
     FRB Ser. 14-CR18, Class D, 4.738s, 2047 11,804,000 10,138,810
     Ser. 12-LC4, Class E, 4 1/4s, 2044 10,009,000 8,757,515
     FRB Ser. 14-UBS6, Class D, 3.966s, 2047 13,990,000 11,499,931
     Ser. 13-LC13, Class E, 3.719s, 2046 11,140,000 8,247,662
     Ser. 14-CR18, Class E, 3.6s, 2047 11,801,000 8,406,935
     FRB Ser. 07-C9, Class AJFL, 0.98s, 2049 3,720,000 3,556,320
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.715s, 2039 191,479,498 1,723,315
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.067s, 2041 12,525,000 12,494,314
Credit Suisse First Boston Mortgage Securities Corp.
     Ser. 05-C5, Class F, 5.1s, 2038 4,760,000 4,595,166
     Ser. 05-C3, Class B, 4.882s, 2037 13,540,000 13,523,752
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 5,136,104 2,568,052
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.465s, 2044 3,068,000 3,181,209
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, IO, 0.959s, 2020 11,312,152 171,718
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 3,108,881 2,587,418
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.459s, 2044 44,397,010 44,397,010
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 2,044,111 2,043,477
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.41s, 2046 7,158,000 6,475,699
     FRB Ser. 05-GG4, Class XC, IO, 0.575s, 2039 36,863,758 132,710
GS Mortgage Securities Trust Ser. 06-GG8, Class AJ, 5.622s, 2039 6,591,000 6,541,682
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.631s, 2045 1,270,624 1,293,000
     Ser. 11-GC3, Class E, 5s, 2044 8,510,000 7,942,680
     FRB Ser. 14-GC26, Class D, 4.511s, 2047 3,972,000 3,276,606
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class E, 4.31s, 2047 7,852,000 5,908,630
     FRB Ser. 14-C25, Class D, 3.949s, 2047 17,192,000 13,279,101
     Ser. 14-C25, Class E, 3.332s, 2047 15,725,000 10,838,879
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.078s, 2051 11,529,500 11,662,089
     FRB Ser. 06-LDP7, Class B, 5.909s, 2045 9,729,000 4,835,313
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 680,000 678,599
     FRB Ser. 06-LDP6, Class B, 5.562s, 2043 11,811,500 11,726,085
     Ser. 06-LDP8, Class B, 5.52s, 2045 5,932,000 5,907,679
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 13,871,000 13,680,967
     FRB Ser. 13-LC11, Class D, 4.238s, 2046 1,283,000 1,118,391
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.178s, 2051 9,775,000 9,775,978
     FRB Ser. 07-CB20, Class C, 6.178s, 2051 9,324,000 8,897,986
     FRB Ser. 11-C3, Class E, 5.544s, 2046 16,380,000 16,573,284
     FRB Ser. 12-C6, Class E, 5.192s, 2045 6,615,000 6,314,679
     FRB Ser. 12-C8, Class E, 4.665s, 2045 1,389,000 1,280,797
     FRB Ser. 13-C13, Class D, 4.054s, 2046 5,092,000 4,399,488
     Ser. 13-C13, Class E, 3.986s, 2046 13,925,000 10,677,690
     Ser. 13-C10, Class E, 3 1/2s, 2047 14,081,000 11,083,155
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 9,312,000 7,374,173
     FRB Ser. 07-CB20, Class X1, IO, 0.315s, 2051 199,362,459 907,438
LB Commercial Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 2,825,511 2,932,880
     Ser. 98-C4, Class J, 5.6s, 2035 3,535,000 3,660,493
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 5,569,000 5,566,327
     Ser. 06-C6, Class E, 5.541s, 2039 9,458,000 9,446,556
     Ser. 06-C6, Class D, 5.502s, 2039 3,660,000 3,643,127
     FRB Ser. 06-C6, Class C, 5.482s, 2039 24,928,000 23,457,248
     Ser. 06-C1, Class AJ, 5.276s, 2041 7,954,000 8,017,632
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.326s, 2048 9,081,000 7,517,978
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, zero %, 2028 31,462 6
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.266s, 2051 2,001,000 2,123,221
     FRB Ser. 05-CKI1, Class C, 5.522s, 2037 10,136,000 9,750,629
     FRB Ser. 05-CIP1, Class C, 5.517s, 2038 8,482,000 7,762,642
     FRB Ser. 05-CIP1, Class B, 5.487s, 2038 2,914,151 2,885,676
     Ser. 04-KEY2, Class D, 5.046s, 2039 4,390,000 4,352,484
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 8.866s, 2037 405,731 25,196
     FRB Ser. 07-C5, Class X, IO, 5 1/2s, 2049 4,568,937 493,445
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 27,446,000 27,470,427
     Ser. 06-4, Class AJ, 5.239s, 2049 13,825,896 13,801,009
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 9,331,000 9,273,521
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.698s, 2047 20,213,000 17,394,677
     FRB Ser. 12-C6, Class G, 4 1/2s, 2045 4,901,000 3,830,230
     Ser. 14-C15, Class F, 4s, 2047 8,998,000 6,635,686
     Ser. 13-C13, Class F, 3.707s, 2046 7,659,000 5,571,211
     Ser. 14-C17, Class E, 3 1/2s, 2047 14,427,000 10,190,270
     Ser. 15-C24, Class D, 3.257s, 2048 17,620,000 12,734,947
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class D, 5.862s, 2044 8,530,000 8,485,218
     Ser. 07-HQ11, Class C, 5.558s, 2044 21,393,000 21,374,174
     FRB Ser. 06-HQ8, Class D, 5.511s, 2044 8,329,000 8,310,510
     Ser. 06-HQ10, Class B, 5.448s, 2041 5,060,000 4,859,060
Morgan Stanley Capital I Trust 144A
     FRB Ser. 08-T29, Class F, 6.268s, 2043 6,812,000 6,685,297
     FRB Ser. 11-C3, Class E, 5.178s, 2049 1,994,870 2,028,633
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039 8,113,466 7,398,507
STRIPS CDO 144A FRB Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 1,590,000 318,000
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8s, 2038 4,754,633 1,188,658
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 13-C6, Class D, 4.349s, 2046 13,066,000 11,953,953
     Ser. 13-C6, Class E, 3 1/2s, 2046 18,360,000 14,438,003
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.992s, 2045 27,153,000 27,093,263
     FRB Ser. 06-C25, Class AJ, 5.767s, 2043 2,813,000 2,824,815
     Ser. 06-C24, Class AJ, 5.658s, 2045 9,216,000 9,216,922
     FRB Ser. 05-C21, Class D, 5.301s, 2044 24,100,000 24,126,792
     FRB Ser. 07-C34, IO, 0.302s, 2046 61,124,451 458,433
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C11, Class G, 5.169s, 2041 5,825,000 5,604,000
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.777s, 2045 8,580,000 7,580,430
     FRB Ser. 13-LC12, Class D, 4.299s, 2046 12,082,111 11,084,068
     Ser. 13-LC12, Class E, 3 1/2s, 2046 15,829,000 12,215,431
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.634s, 2044 1,841,000 1,914,309
     Ser. 12-C6, Class E, 5s, 2045 7,840,000 6,896,770
     Ser. 11-C3, Class E, 5s, 2044 8,644,000 7,988,680
     FRB Ser. 14-C19, Class E, 4.971s, 2047 8,352,000 6,781,711
     FRB Ser. 12-C9, Class D, 4.802s, 2045 3,717,000 3,562,484
     FRB Ser. 13-C18, Class D, 4.669s, 2046 16,570,000 15,658,733
     FRB Ser. 13-UBS1, Class E, 4.63s, 2046 11,752,000 9,946,226
     FRB Ser. 13-C15, Class D, 4.48s, 2046 5,150,000 4,739,544
     FRB Ser. 13-C12, Class D, 4.352s, 2048 6,085,000 5,530,291
     Ser. 14-C19, Class D, 4.234s, 2047 15,234,000 12,788,756
     Ser. 13-C12, Class E, 3 1/2s, 2048 15,114,000 11,991,448
987,621,077
Residential mortgage-backed securities (non-agency) (11.6%)
APS Resecuritization Trust 144A FRB Ser. 15-1, Class 2M, 0.363s, 2054 12,084,000 8,217,120
Banc of America Funding Trust 144A FRB Ser. 14-R7, Class 3A2, 2.763s, 2036 4,834,501 3,833,838
BCAP, LLC Trust 144A
     FRB Ser. 10-RR11, Class 6A2, 2.668s, 2036 7,879,543 4,727,726
     FRB Ser. 11-RR3, Class 3A6, 2.287s, 2036 12,128,736 6,185,656
     FRB Ser. 15-RR5, Class 2A3, 1.313s, 2046 4,301,912 3,301,717
     FRB Ser. 15-RR6, Class 3A2, 1.183s, 2046 6,590,000 5,619,293
     FRB Ser. 10-RR7, Class 1610, 0.943s, 2047 16,310,803 9,101,428
     FRB Ser. 12-RR5, Class 4A8, 0.391s, 2035 20,513,066 18,680,112
Bear Stearns Alt-A Trust FRB Ser. 05-4, Class 1M1, 1.097s, 2035 9,463,000 6,434,840
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 04-FR3, Class M6, 5.297s, 2034 256,410 153,543
     FRB Ser. 05-HE9, Class M2, 1.102s, 2035 8,158,833 6,716,210
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-SD2, Class M3, 1.222s, 2036 5,574,000 4,320,407
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.722s, 2025 (Bermuda) 10,335,000 10,102,463
Citigroup Mortgage Loan Trust 144A
     FRB Ser. 12-4, Class 3A2, 2.65s, 2036 5,105,733 4,518,574
     FRB Ser. 15-6, Class 1A2, 0.417s, 2047 9,178,631 5,966,110
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 2A3, 1.817s, 2035 13,577,265 11,557,059
     FRB Ser. 06-OA7, Class 1A2, 1.197s, 2046 22,214,772 17,698,509
     FRB Ser. 05-38, Class A3, 0.772s, 2035 56,458,726 47,348,625
     FRB Ser. 05-59, Class 1A1, 0.743s, 2035 47,239,995 37,515,671
     FRB Ser. 05-62, Class 1A1, 0.722s, 2035 29,873,450 23,151,924
     FRB Ser. 06-OC2, Class 2A3, 0.712s, 2036 12,402,685 11,100,403
     FRB Ser. 06-OA2, Class A5, 0.632s, 2046 6,359,741 4,801,605
     FRB Ser. 06-OA10, Class 4A1, 0.612s, 2046 15,386,944 11,569,136
     FRB Ser. 06-OA21, Class A1, 0.592s, 2047 7,225,521 5,346,885
Countrywide Asset-Backed Certificates Trust Ser. 04-13, Class MF2, 5.093s, 2035 7,909,750 7,039,677
Credit Suisse Mortgage Capital Certificates 144A FRB Ser. 10-2R, Class 2A6, 2.757s, 2036 7,000,000 6,020,000
CSMC Trust 144A
     FRB Ser. 09-14R, Class 4A10, 2.842s, 2035 15,568,000 13,569,458
     FRB Ser. 13-3R, Class 5A2, 2.687s, 2036 10,210,042 7,453,331
     FRB Ser. 13-3R, Class 4A2, 2.526s, 2036 8,404,268 6,723,414
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.922s, 2025 17,117,518 18,901,164
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA2, Class B, 10.922s, 2028 12,423,000 12,423,000
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA3, Class B, 9.772s, 2028 20,520,000 20,075,422
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.622s, 2027 10,663,000 11,879,648
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA2, Class B, 7.972s, 2027 14,668,000 13,648,574
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 2,706,624 3,990,256
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 7,263,000 7,892,921
Green Tree Home Improvement Loan Trust
     Ser. 95-D, Class B2, 7.45s, 2025 $7,060 7,049
     Ser. 95-F, Class B2, 7.1s, 2021 5,249 5,244
GSAA Trust
     FRB Ser. 05-4, Class M2, 1.122s, 2035 8,305,000 6,093,625
     FRB Ser. 05-8, Class M1, 0.912s, 2035(F) 11,350,000 8,058,500
Morgan Stanley Resecuritization Trust 144A
     Ser. 15-R3, Class 8B, 2.358s, 2047 8,303,008 4,857,260
     Ser. 15-R4, Class CB2, 0.598s, 2047 3,076,000 2,095,525
     Ser. 15-R4, Class CB3, 0.598s, 2047 590,309 292,203
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 5,053,146 5,038,997
Nomura Resecuritization Trust 144A
     FRB Ser. 10-6RA, Class 1A6, 2.65s, 2036 8,344,257 7,384,667
     FRB Ser. 15-4R, Class 1A14, 0.373s, 2047 38,798,468 22,212,123
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR1, Class A1B, 1.202s, 2045(F) 4,503,805 3,918,310
     FRB Ser. 05-AR19, Class A1C3, 0.922s, 2045 14,209,514 12,007,039
     FRB Ser. 05-AR13, Class A1C3, 0.912s, 2045 28,620,933 23,415,217
     FRB Ser. 05-AR8, Class 2AC2, 0.882s, 2045 8,804,968 7,693,790
     FRB Ser. 05-AR17, Class A1B2, 0.832s, 2045 2,357,770 2,033,105
     FRB Ser. 05-AR19, Class A1C4, 0.822s, 2045 5,317,806 4,413,779
     FRB Ser. 05-AR6, Class 2A1C, 0.762s, 2045 11,082,787 9,531,197
516,643,349
Total mortgage-backed securities (cost $2,306,648,299) $2,213,258,658

CORPORATE BONDS AND NOTES (32.6%)(a)
Principal amount Value
Basic materials (3.0%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $4,562,000 $4,368,115
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) 4,427,000 4,189,049
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 1,760,000 1,267,200
ArcelorMittal SA sr. unsec. unsub. notes 8s, 2039 (France) 1,517,000 1,035,353
ArcelorMittal SA sr. unsec. unsub. notes 5 1/2s, 2017 (France) 500,000 482,950
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 2,021,000 2,058,894
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 1,706,000 1,840,348
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 2,221,000 2,287,630
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 3,745,000 3,716,913
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany) 1,875,000 1,978,125
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico) 955,000 1,006,331
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 1,100,000 943,250
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 2,045,000 1,973,425
Cemex SAB de CV 144A company guaranty sr. notes 6 1/8s, 2025 (Mexico) 800,000 684,000
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 200,000 190,500
Cemex SAB de CV 144A company guaranty sr. sub. notes 7 1/4s, 2021 (Mexico) 4,650,000 4,475,625
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.7s, 2025 (Mexico) 2,190,000 1,823,175
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 3,679,000 3,504,248
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 4,276,000 3,730,810
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021 2,755,000 2,699,900
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 956,000 831,720
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 1,725,000 1,078,125
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 3,676,000 2,306,690
HD Supply, Inc. company guaranty sr. unsec. notes 11 1/2s, 2020 2,762,000 3,058,915
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 5,720,000 5,948,800
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 3,202,000 3,266,040
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 6,464,000 4,734,880
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 1,687,000 1,539,388
Huntsman International, LLC 144A company guaranty sr. unsec. notes 5 1/8s, 2022 2,136,000 1,922,400
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 2,701,000 1,797,840
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020 2,634,000 2,732,775
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 3,146,000 3,177,460
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 5,118,000 51
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada) 2,813,000 2,239,851
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 3,750,000 3,693,750
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 6,294,000 5,774,745
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 2,090,000 1,943,700
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 6,025,000 5,964,750
PQ Corp. 144A company guaranty sub. notes 8 3/4s, 2018 2,114,000 2,050,580
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. sub. notes 9s, 2017 4,766,000 3,669,820
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 4,691,000 4,796,548
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 46,000 50,715
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 1,865,000 1,902,300
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 915,000 933,300
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland) 2,371,000 2,726,650
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 305,000 292,800
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 1,405,000 1,415,538
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 1,985,000 1,811,313
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 1,557,000 1,420,763
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 585,000 541,125
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021 4,808,000 3,714,180
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 865,000 898,519
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 3,621,000 3,675,315
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023 1,745,000 1,640,300
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 5,055,000 5,105,550
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 1,437,000 1,451,370
134,364,407
Capital goods (2.0%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 7,481,000 7,537,108
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 1,341,000 1,481,805
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024 2,480,000 2,430,400
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022 3,875,000 3,875,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 2,699,000 2,739,485
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 2,690,000 2,589,125
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 4,762,000 4,381,040
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 1,440,000 1,434,600
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 1,585,000 1,612,738
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 3,176,000 3,445,960
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7 3/8s, 2026 2,765,000 2,972,375
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg) 1,928,000 1,937,640
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 8,649,000 6,227,280
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 590,000 665,791
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 $2,756,000 2,618,200
Legrand France SA sr. unsec. unsub. notes 8 1/2s, 2025 (France) 1,150,000 1,526,683
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 6,123,000 6,321,998
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 3,298,000 2,852,770
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 2,213,000 2,235,130
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 3,150,000 2,905,875
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025 1,865,000 1,827,700
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 4,314,000 4,314,000
Rexam PLC unsec. sub. FRB 6 3/4s, 2067 (United Kingdom) EUR 560,000 611,710
Schaeffler Holding Finance BV 144A company guaranty sr. notes 6 3/4s, 2022 (Netherlands)(PIK) $950,000 1,016,500
Schaeffler Holding Finance BV 144A company guaranty sr. sub. notes 6 7/8s, 2018 (Netherlands)(PIK) 2,120,000 2,186,250
Terex Corp. company guaranty sr. unsec. notes 6s, 2021 6,894,000 6,342,480
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 525,000 543,375
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 1,373,000 1,328,378
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024 4,890,000 4,863,105
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 3,676,000 3,501,390
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 1,485,000 1,451,588
89,777,479
Communication services (4.2%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 1,050,000 1,036,875
Altice Finco SA 144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2025 (Luxembourg) 540,000 499,500
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg) 9,455,000 8,509,500
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. bonds 5 1/8s, 2023 7,587,000 7,587,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 1,395,000 1,447,313
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 1,609,000 1,623,079
CCOH Safari, LLC 144A sr. unsec. notes 5 3/4s, 2026 1,745,000 1,749,363
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 2,661,000 2,494,688
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 380,000 375,725
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 2,110,000 1,899,000
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 1,641,000 1,476,900
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 5,058,000 5,317,223
Crown Castle International Corp. sr. unsec. notes 4 7/8s, 2022(R) 1,520,000 1,575,100
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 2,656,000 2,330,640
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 3,060,000 2,937,600
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 2,536,000 2,092,200
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 5,575,000 4,662,094
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 1,875,000 1,668,750
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 3,295,000 2,792,513
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 475,000 399,000
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 1,860,000 1,841,400
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 2,090,000 2,082,163
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 1,839,000 1,861,988
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 1,949,000 1,695,630
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 639,000 298,733
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 1,470,000 1,087,800
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg) 898,000 406,345
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 3,105,000 3,174,863
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 4,399,000 4,464,985
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 1,360,000 1,366,800
Neptune Finco Corp. 144A sr. unsec. unsub. notes 10 7/8s, 2025 1,765,000 1,848,838
Neptune Finco Corp. 144A sr. unsec. unsub. notes 10 1/8s, 2023 1,375,000 1,433,438
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) EUR 860,000 945,119
Numericable-SFR SAS 144A company guaranty sr. notes 6s, 2022 (France) $5,479,000 5,287,235
Numericable-SFR SAS 144A sr. bonds 6 1/4s, 2024 (France) 5,576,000 5,380,840
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 2,618,000 2,604,910
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 1,375,000 1,462,676
SBA Communications Corp. sr. unsec. sub. notes 4 7/8s, 2022 2,328,000 2,293,080
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6 7/8s, 2028 5,995,000 4,181,513
Sprint Communications, Inc. sr. unsec. notes 7s, 2020 2,538,000 1,960,605
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 2,303,000 2,423,908
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023 10,036,000 7,537,036
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021 7,645,000 5,769,682
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023 4,263,000 4,342,931
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025 3,740,000 3,777,400
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 4,663,000 4,808,719
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023 3,889,000 3,937,613
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 800,000 832,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 4,357,000 4,471,371
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 2,690,000 3,192,413
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 790,000 923,352
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 1,768,000 2,029,451
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 1,956,960 2,249,013
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 1,917,000 2,177,902
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $8,535,000 8,513,663
Virgin Media Finance PLC 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2025 (United Kingdom) EUR 3,165,000 3,267,103
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 1,944,000 2,959,443
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022 $5,867,000 5,060,288
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 8,658,000 8,175,317
Wind Acquisition Finance SA 144A company guaranty notes 7 3/8s, 2021 (Luxembourg) 3,490,000 3,298,050
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 2,375,000 2,569,726
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021 $2,760,000 2,171,775
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023 5,401,000 3,888,720
Ziggo Bond Finance BV 144A sr. unsec. bonds 4 5/8s, 2025 (Netherlands) EUR 1,025,000 1,033,204
187,563,104
Consumer cyclicals (5.2%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 $2,740,000 2,781,100
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025 939,000 943,695
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 1,977,000 1,991,828
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 2,598,000 2,377,170
Black Knight InfoServ, LLC company guaranty sr. unsec. notes 5 3/4s, 2023 3,268,000 3,406,890
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 1,696,000 1,187,200
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 2,336,000 770,880
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 936,000 961,740
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 2,839,000 2,736,086
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 3,785,000 3,468,006
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 2,428,000 2,421,930
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 3,996,000 4,260,735
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024 835,000 872,575
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 775,000 782,750
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 945,000 973,350
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 916,000 909,130
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 152,000 159,980
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023 3,261,000 3,179,475
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020 1,357,000 1,255,225
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 7,827,000 7,631,325
Cumulus Media Holdings, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 2,394,000 807,975
Dana Holding Corp. sr. unsec. notes 6s, 2023 5,083,000 5,095,708
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 3,775,000 3,699,500
Entercom Radio, LLC company guaranty sr. unsec. notes 10 1/2s, 2019 2,260,000 2,339,100
Family Tree Escrow, LLC 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 1,330,000 1,376,550
Family Tree Escrow, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020 930,000 960,225
Garda World Security Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Canada) 333,000 286,380
General Motors Co. sr. unsec. notes 6 1/4s, 2043 1,000,000 1,056,536
General Motors Co. sr. unsec. notes 5.2s, 2045 739,000 692,981
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 2,617,000 1,521,131
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020 4,821,000 4,724,580
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 3/8s, 2018 885,000 876,150
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 4,571,000 4,696,703
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 3,853,000 2,756,718
Grupo Televisa SAB sr. unsec. unsub. bonds 6 5/8s, 2040 (Mexico) $900,000 933,642
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 25,900,000 1,248,376
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $4,649,000 4,741,980
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 3,431,000 2,504,630
Interactive Data Corp. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2019 889,000 906,780
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 2,633,000 2,685,660
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 1,425,000 1,289,625
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 603,000 482,400
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 700,000 385,000
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 6,777,000 5,421,600
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 1,807,000 1,996,735
L Brands, Inc. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 1,325,000 1,404,500
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 2,567,000 2,695,350
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 2,250,000 2,317,500
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025 427,000 434,473
Lennar Corp. company guaranty sr. unsec. unsub. bonds 4 1/2s, 2019 1,000,000 1,016,875
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 5,759,000 5,710,049
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 2,505,000 2,492,475
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 1,515,000 1,564,238
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 3,490,000 3,315,500
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 2,013,000 2,068,358
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 3,473,000 3,438,270
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 3,544,000 3,614,880
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 2,246,000 1,493,590
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 1,317,000 1,257,735
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK) 4,696,000 2,911,520
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021 1,280,000 947,200
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg) 5,535,000 5,687,213
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021 4,328,000 4,490,733
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025 2,510,000 2,547,650
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024 1,697,000 1,747,910
Owens Corning company guaranty sr. unsec. notes 4.2s, 2024 2,707,000 2,637,260
Owens Corning company guaranty sr. unsec. sub. notes 9s, 2019 692,000 802,029
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021 4,566,000 4,429,020
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 4,243,000 4,359,683
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 2,948,000 2,977,480
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 1,625,000 1,840,313
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023 2,675,000 2,664,969
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022 2,359,000 2,359,000
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 350,000 362,250
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 2,820,000 2,946,900
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 2,410,000 2,397,950
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 1,084,000 791,320
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 6,260,000 4,444,600
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 1,000,000 470,000
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 3,145,000 3,003,475
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 2,019,000 2,079,570
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 411,000 412,028
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 6,332,000 6,157,870
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 4,426,000 4,619,638
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 5,643,000 5,713,538
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2022 90,000 94,838
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020 215,000 228,438
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 2,045,000 2,096,125
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 3,699,000 3,440,070
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 1,841,000 1,841,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 1,170,000 1,121,738
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 1,617,000 1,677,638
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021 5,252,000 5,265,130
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 6,412,000 7,253,241
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 $3,685,000 3,685,000
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 2,084,000 2,130,890
232,016,755
Consumer staples (1.8%)
Ashtead Capital, Inc. 144A company guaranty notes 6 1/2s, 2022 3,936,000 4,103,280
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 1,865,000 1,888,313
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 2,185,000 2,190,463
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 3,081,000 3,042,488
BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada) 7,210,000 7,426,300
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 1,460,000 1,460,000
BlueLine Rental Finance Corp. 144A notes 7s, 2019 4,887,000 4,398,300
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022 1,892,000 1,787,940
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 6,833,000 5,363,905
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 470,000 468,238
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 2,850,000 2,857,125
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 1,349,000 1,483,900
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 4,541,000 4,382,065
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R) 1,337,000 1,323,630
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 2,870,000 2,977,625
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 5,410,000 3,462,400
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 1,220,000 1,049,200
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 1,675,000 1,662,438
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 967,000 959,748
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 680,000 680,000
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 573,000 571,568
Landry's, Inc. 144A company guaranty sr. unsec. sub. notes 9 3/8s, 2020 4,680,000 4,925,700
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 1,729,000 1,681,453
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 2,010,000 1,924,575
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021 4,928,000 4,767,840
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 4,367,000 4,519,845
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 2,716,000 2,902,589
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 920,000 969,450
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 1,254,000 1,282,215
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 2,372,000 1,541,800
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022 2,208,000 2,334,960
80,389,353
Energy (4.6%)
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 2,315,000 1,759,400
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 2,090,000 1,630,200
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 4,494,000 3,595,200
Archrock Partners, LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 4,701,000 3,831,315
Archrock Partners, LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021 1,011,000 831,548
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada) 3,400,000 2,278,000
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada) 407,000 286,935
California Resources Corp. company guaranty sr. unsec. sub. notes 6s, 2024 1,767,000 538,935
California Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2020 497,000 177,056
California Resources Corp. 144A company guaranty notes 8s, 2022 6,069,000 3,193,811
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 1,640,000 410,000
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 3,027,600 1,453,248
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 3,240,000 1,587,600
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 3,280,000 3,116,000
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023 4,633,000 4,250,778
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 896,000 815,360
CONSOL Energy, Inc. company guaranty sr. unsec. notes 5 7/8s, 2022 2,243,000 1,390,660
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 2,367,000 781,110
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 2,050,000 574,000
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 1,777,000 1,092,855
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 874,000 550,620
Gazprom OAO Via Gaz Capital SA sr. unsec. unsub. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 1,810,000 1,800,950
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,042,000 1,154,161
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 7.288s, 2037 (Russia) 1,280,000 1,273,600
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020 2,835,000 822,150
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 6,018,000 1,745,220
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2020 1,625,000 1,641,250
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 780,000 742,950
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 3,725,000 3,091,750
Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 1,492,000 374,865
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 3,579,000 805,275
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 3,185,000 429,975
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 1,015,000 167,475
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 3,937,000 1,968,500
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 6 1/8s, 2020 (Russia) 5,000,000 5,085,250
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 4.563s, 2023 (Russia) 1,700,000 1,508,750
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 2,380,000 2,442,285
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022 4,300,000 3,784,000
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 2,095,000 1,733,613
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 818,000 507,160
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 4,307,000 2,756,480
Pertamina Persero PT 144A sr. unsec. unsub. notes 6.45s, 2044 (Indonesia) 3,950,000 3,447,363
Pertamina Persero PT 144A sr. unsec. unsub. notes 6s, 2042 (Indonesia) 1,425,000 1,166,786
Pertamina Persero PT 144A sr. unsec. unsub. notes 4 7/8s, 2022 (Indonesia) 720,000 690,355
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 5,465,000 4,967,843
Petroleos de Venezuela SA company guaranty sr. unsec. notes Ser. REGS, 8 1/2s, 2017 (Venezuela) 4,166,663 2,177,081
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 14,670,000 5,297,924
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/4s, 2017 (Venezuela) 29,790,000 14,895,000
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 37,596,000 25,753,260
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8 1/2s, 2017 (Venezuela) 30,602,636 15,989,877
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 24,565,000 9,027,638
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6 5/8s, 2038 (Mexico) 760,000 668,800
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6 1/2s, 2041 (Mexico) 1,000,000 864,500
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6 3/8s, 2045 (Mexico) 1,865,000 1,578,501
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4 7/8s, 2024 (Mexico) 1,665,000 1,552,613
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 13,745,000 10,535,776
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2026 (Mexico) 3,860,000 3,418,401
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 1,837,000 1,304,270
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 2,055,000 1,459,050
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 2,567,000 2,348,805
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 1,640,000 1,426,800
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023 3,130,000 2,746,575
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020 534,000 517,980
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON) 3,925,000 7,850
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 4,030,000 1,224,113
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada) 2,090,000 1,881,000
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 3,730,000 578,150
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 985,000 721,513
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 332,000 143,962
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $2,590,000 1,605,800
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 655,000 153,925
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022 1,655,000 504,775
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021 5,381,000 3,860,868
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 5,725,000 4,179,250
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 765,000 723,666
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023 5,409,000 4,354,245
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 5,215,000 3,650,500
203,405,105
Financials (6.1%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 5,151,000 4,906,328
Ally Financial, Inc. company guaranty sr. unsec. notes 8s, 2031 6,114,000 7,061,670
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 482,000 488,025
American International Group, Inc. jr. unsec. sub. FRB 8.175s, 2058 1,221,000 1,605,615
Baggot Securities, Ltd. 144A jr. unsec. sub. notes 10.24s, perpetual maturity (Ireland) EUR 15,215,000 16,534,898
Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB 9s, perpetual maturity (Spain) $600,000 642,000
Banco do Brasil SA/Cayman 144A jr. unsec. sub. FRN 9s, perpetual maturity (Brazil) 14,000,000 9,205,000
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,200,000 1,026,000
Banco Nacional de Costa Rica 144A sr. unsec. unsub. notes 4 7/8s, 2018 (Costa Rica) 2,200,000 2,182,235
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 1,685,000 1,775,569
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 744,000 753,618
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 3,641,000 3,659,529
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023 2,850,000 2,892,750
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022 1,415,000 1,453,035
CIT Group, Inc. 144A sr. unsec. notes 6 5/8s, 2018 2,885,000 3,043,675
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 2,620,000 1,100,400
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 1,845,000 1,877,288
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 1,955,000 1,994,100
Commerzbank AG 144A unsec. sub. notes 8 1/8s, 2023 (Germany) 785,000 900,952
Community Choice Financial, Inc. company guaranty sr. sub. notes 10 3/4s, 2019 1,939,000 508,988
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021 3,626,000 3,553,480
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6 1/4s, perpetual maturity (Switzerland) 1,285,000 1,281,788
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 3,462,000 2,042,580
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 3,250,000 3,973,125
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151s, 2031 3,179,000 3,886,328
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 3,220,000 3,260,250
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15s, 2066 1,328,000 358,560
HSBC Capital Funding LP/Jersey company guaranty jr. unsec. sub. FRB 5.13s, perpetual maturity (United Kingdom) EUR 1,092,000 1,193,495
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK) $2,425,000 2,267,375
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 3,400,000 3,060,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 5,002,000 4,889,455
iStar, Inc. sr. unsec. notes 5s, 2019(R) 2,413,000 2,343,626
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697s, 2097 2,775,000 3,425,199
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 2,415,000 6,159,134
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) $2,300,000 2,576,000
MetLife Capital Trust X 144A jr. unsec. sub. FRB 9 1/4s, 2068 935,000 1,278,613
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R) 2,405,000 2,456,106
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020 1,255,000 1,201,035
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 3,743,000 3,312,555
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019 1,840,000 1,619,200
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019 2,632,000 2,668,190
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 2,586,000 2,598,930
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 1,683,000 1,668,274
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 3,210,000 2,921,100
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 3,883,000 3,756,803
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8s, perpetual maturity (United Kingdom) 1,955,000 2,062,697
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 3,515,000 3,659,994
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.092s, perpetual maturity (United Kingdom) EUR 1,150,000 1,312,250
Royal Bank of Scotland Group PLC jr. unsec. sub. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) $6,765,000 7,069,425
Royal Bank of Scotland Group PLC unsec. sub. bonds 5 1/8s, 2024 (United Kingdom) 1,495,000 1,514,667
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 5.298s, 2017 (Russia) 2,500,000 2,493,750
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6 1/8s, 2022 (Russia) 2,100,000 2,100,000
Sberbank of Russia Via SB Capital SA 144A sr. unsec. unsub. notes 4.95s, 2017 (Russia) 5,010,000 5,055,811
Societe Generale SA 144A jr. unsec. sub. FRB 7 7/8s, perpetual maturity (France) 2,213,000 2,210,234
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 1,295,000 1,275,575
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6s, 2020 3,462,000 3,288,900
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019 1,630,000 1,548,500
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 2,000,000 1,970,000
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018 2,928,000 2,181,360
Tri Pointe Holdings, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 5,654,000 5,498,515
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 2,000,000 2,396,283
Ukreximbank Via Biz Finance PLC 144A sr. unsec. bonds 9 5/8s, 2022 (Ukraine) $3,400,000 3,026,000
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 3,620,000 3,475,200
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.902s, 2020 (Russia) 5,600,000 5,614,000
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 1,956,000 1,892,430
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 5.942s, 2023 (Russia) 2,200,000 2,054,272
VTB Bank OJSC 144A unsec. sub. FRN 9 1/2s, perpetual maturity (Russia) 2,110,000 1,891,088
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 22,451,000 23,406,290
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.551s, 2020 (Russia) 5,000,000 5,137,500
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 46,840,000 44,263,756
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021 2,770,000 2,188,300
269,949,673
Health care (2.6%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021 2,200,000 2,233,000
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 2,005,000 1,874,675
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 3,768,000 3,315,840
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 3,556,000 3,440,430
CHS/Community Health Systems, Inc. company guaranty sr. sub. notes 5 1/8s, 2018 966,000 970,830
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 570,000 540,788
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 2,557,000 2,218,198
ConvaTec Healthcare E SA 144A company guaranty sr. unsec. unsub. notes 10 1/2s, 2018 (Luxembourg) 2,010,000 2,028,412
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 4,396,000 3,011,260
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands) 4,543,000 4,429,425
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 3,945,000 3,826,650
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 4,173,000 4,068,675
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland) 875,000 861,875
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland) 1,965,000 1,955,175
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 4,717,000 4,693,415
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 6,640,000 7,237,600
HCA, Inc. company guaranty sr. sub. notes 5 7/8s, 2022 2,000,000 2,110,000
HCA, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2022 741,000 818,805
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025 1,065,000 1,051,688
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 3,165,000 3,085,875
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018 85,000 82,875
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 2,806,000 2,581,520
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 1,255,000 1,261,275
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 2,175,000 2,175,000
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R) 3,145,000 3,176,220
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 1,830,487 2,738,981
Service Corp. International/US sr. unsec. notes 7s, 2017 $3,136,000 3,347,680
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022 3,965,000 4,133,513
Service Corp. International/US sr. unsec. notes 4 1/2s, 2020 1,933,000 1,952,330
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024 5,990,000 6,169,700
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 1,873,000 1,788,715
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 2,216,000 2,160,600
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 1,919,000 1,851,835
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 810,000 852,525
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 575,000 577,875
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020 5,216,000 5,489,840
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.012s, 2020 3,355,000 3,271,125
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 1,566,000 1,511,190
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025 3,185,000 2,842,613
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023 3,557,000 3,174,623
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 2,062,000 1,897,040
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 1,705,000 1,500,400
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020 3,403,000 3,198,820
WellCare Health Plans, Inc. sr. unsec. sub. notes 5 3/4s, 2020 4,906,000 5,053,180
116,562,091
Technology (1.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 2,900,000 2,987,000
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 1,786,000 607,240
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 7,236,000 5,354,640
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 1,660,000 1,597,750
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023 3,670,000 3,670,000
First Data Corp. 144A notes 5 3/4s, 2024 3,510,000 3,457,350
First Data Corp. 144A sr. notes 5 3/8s, 2023 3,205,000 3,221,025
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 1,127,000 1,135,453
Infor US, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2022 6,925,000 5,851,625
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R) 3,445,000 3,565,575
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 1,380,000 1,455,900
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 3,529,000 3,431,953
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5 1/4s, 2023 3,965,000 3,558,588
SoftBank Corp. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (Japan) 1,580,000 1,572,100
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 2,065,000 934,413
Techem Energy Metering Service GmbH 144A company guaranty sr. unsec. sub. notes 7 7/8s, 2020 (Germany) EUR 1,550,000 1,801,128
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 3,425,000 3,919,390
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 $5,022,000 5,247,990
53,369,120
Transportation (0.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 4,120,000 3,646,200
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 6,519,000 6,421,215
10,067,415
Utilities and power (1.6%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 4,429,000 4,871,900
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 7,629,000 6,713,520
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023 965,000 839,550
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 1,960,000 1,989,400
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025 7,100,000 6,265,750
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 4,105,000 4,217,888
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024 510,000 522,750
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 3,625,000 3,268,760
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 5 3/4s, 2021 (Brazil) 500,000 393,750
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85s, 2037 2,495,000 2,171,835
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 385,000 334,950
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 8,464,000 7,956,160
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 260,000 222,248
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8 5/8s, 2022 2,976,000 3,232,058
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 2,773,024 2,953,271
Energy Transfer Equity LP company guaranty sr. notes 7 1/2s, 2020 2,415,000 2,233,875
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 1,185,000 604,350
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 1,530,000 765,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020 2,584,000 1,618,230
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 530,000 428,150
GenOn Energy, Inc. sr. unsec. sub. notes 9 7/8s, 2020 2,237,000 1,655,380
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021 6,375,000 5,976,563
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2022 2,165,000 1,844,580
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 2,691,000 2,230,166
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022 1,655,000 1,466,126
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 501,495
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 2,443,000 2,302,677
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 1,140,000 1,025,054
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 550,000 475,827
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 3,692,000 3,045,900
72,127,163
Total corporate bonds and notes (cost $1,655,505,955) $1,449,591,665

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.1%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $18,377,000 $18,721,569
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 2,390,000 2,703,688
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) 61,033,518 61,949,021
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 706,627 809,088
Bahamas (Commonwealth of) 144A sr. unsec. unsub. notes 5 3/4s, 2024 (Bahamas) 1,050,000 1,086,085
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 3,755,000 3,473,375
Brazil (Federal Republic of) sr. unsec. unsub. notes 10s, 2017 (Brazil) (units) BRL 7,250 1,744,435
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $9,195,000 9,597,281
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 25,964,186 26,515,925
Costa Rica (Republic of) 144A sr. unsec. unsub. notes 7s, 2044 (Costa Rica) 1,500,000 1,246,875
Croatia (Republic of) 144A sr. unsec. unsub. notes 6s, 2024 (Croatia) 10,550,000 11,015,888
Ghana (Republic of) 144A sr. unsec. unsub. notes 8 1/2s, 2017 (Ghana) 1,276,000 1,244,355
Ghana (Republic of) 144A sr. unsec. unsub. notes 7 7/8s, 2023 (Ghana) 527,337 412,641
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 39,539,000 40,266,250
Hellenic (Republic of) sr. unsec. unsub. bonds 4 3/4s, 2019 (Greece) EUR 41,468,000 41,054,526
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2038 (Greece)(STP) EUR 6,263,617 3,793,532
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2037 (Greece)(STP) EUR 1,076,201 654,019
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2036 (Greece)(STP) EUR 8,897,079 5,469,696
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2035 (Greece)(STP) EUR 4,995,875 3,094,139
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2034 (Greece)(STP) EUR 3,198,892 2,009,009
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2033 (Greece)(STP) EUR 4,401,499 2,801,595
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2032 (Greece)(STP) EUR 3,712,854 2,400,791
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2031 (Greece)(STP) EUR 3,974,871 2,614,709
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2030 (Greece)(STP) EUR 11,482,191 7,760,235
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2029 (Greece)(STP) EUR 7,498,966 5,148,854
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2028 (Greece)(STP) EUR 17,548,392 12,402,256
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2027 (Greece)(STP) EUR 12,166,577 8,751,658
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2026 (Greece)(STP) EUR 17,850,352 13,226,147
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2025 (Greece)(STP) EUR 31,336,779 23,886,344
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 21,683,486 16,985,309
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 17,939,294 14,366,252
Indonesia (Republic of) 144A sr. unsec. notes 4 3/4s, 2026 (Indonesia) $3,300,000 3,250,500
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 3,255,000 3,417,750
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95s, 2046 (Indonesia) 3,250,000 3,201,250
Indonesia (Republic of) 144A sr. unsec. unusb. notes 5 1/8s, 2045 (Indonesia) 6,310,000 5,694,775
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3 3/8s, 2023 (Indonesia) 5,860,000 5,442,475
Kenya (Republic of) 144A sr. unsec. unsub. notes 6 7/8s, 2024 (Kenya) 3,400,000 2,975,680
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 1,925,000 1,936,461
Russia (Federation of) 144A sr. unsec. unsub. bonds 5 5/8s, 2042 (Russia) 10,400,000 9,812,400
Turkey (Republic of) sr. unsec. unsub. bonds 4 1/4s, 2026 (Turkey) 3,000,000 2,812,500
Ukraine (Government of) 144A unsec. FRN Ser. GDP, zero %, 2040 (Ukraine) 1,007,000 397,765
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2027 (Ukraine) 492,000 428,040
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2026 (Ukraine) 492,000 428,099
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2025 (Ukraine) 492,000 432,753
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2024 (Ukraine) 492,000 435,376
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2023 (Ukraine) 492,000 437,978
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2022 (Ukraine) 492,000 445,644
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2021 (Ukraine) 492,000 447,012
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2020 (Ukraine) 492,000 452,640
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2019 (Ukraine) 139,867 129,458
United Mexican States sr. unsec. unsub. notes Ser. MTN, 4 3/4s, 2044 (Mexico) 150,000 137,730
Venezuela (Bolivarian Republic of) sr. unsec. bonds 9 1/4s, 2028 (Venezuela) 4,300,000 1,698,500
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 2,900,000 1,080,250
Venezuela (Bolivarian Republic of) sr. unsec. bonds 5 3/4s, 2016 (Venezuela) 6,890,000 6,143,083
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9 1/4s, 2027 (Venezuela) 7,605,000 3,118,050
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 4,935,000 2,716,718
Vietnam (Republic of) 144A sr. unsec. bonds 4.8s, 2024 (Vietnam) 600,000 576,228
Total foreign government and agency bonds and notes (cost $449,138,248) $405,254,662

SENIOR LOANS (1.5%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $4,008,213 $3,854,566
Asurion, LLC bank term loan FRN 8 1/2s, 2021 2,957,000 2,510,679
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 2,165,986 1,629,001
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 5,423,526 3,760,309
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 10,444,111 9,121,187
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 10 3/4s, 2017 1,258,675 1,041,554
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 4,427,575 3,863,059
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 2,056,814 1,923,121
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021 1,435,000 1,162,350
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 2,311,000 342,798
First Data Corp. bank term loan FRN 4.212s, 2021 61,131 60,848
First Data Corp. bank term loan FRN Ser. B, 3.712s, 2018 824,435 812,362
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 1,473,566 1,379,012
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 5,089,464 3,177,734
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.938s, 2019 3,744,000 2,620,800
Jeld-Wen, Inc. bank term loan FRN 4s, 2021 2,693,199 2,657,851
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 2,074,800 2,047,568
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 3,225,000 2,821,875
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 6,679,531 5,895,728
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 1,413,475 1,192,620
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 2,559,395 2,462,351
ROC Finance, LLC bank term loan FRN 5s, 2019 7,147,263 6,587,396
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 2,090,000 1,964,600
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 2,317,311 2,178,272
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.676s, 2017 3,098,000 940,051
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.676s, 2017 31,795 9,648
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 1,064,623 1,020,042
Total senior loans (cost $81,219,456) $67,037,382

PURCHASED SWAP OPTIONS OUTSTANDING (0.5%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.059/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.059 $699,256,400 $1,251,669
     (2.343)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.343 699,256,400 1,230,691
Barclays Bank PLC
     (2.25625)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.25625 677,912,400 2,521,834
     2.04375/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.04375 677,912,400 949,077
Citibank, N.A.
     2.1015/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.1015 677,912,400 1,830,363
     (2.3635)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.3635 677,912,400 962,636
     (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 752,362,500 135,425
Credit Suisse International
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 89,988,900 4,753,215
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 89,988,900 2,410,803
Goldman Sachs International
     (2.57867)/3 month USD-LIBOR-BBA/Feb-46 Feb-16/2.57867 169,333,100 4,114,794
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 78,040,450 262,996
     (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 752,362,500 90,284
Total purchased swap options outstanding (cost $38,934,710) $20,513,787

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/$99.63 $361,000,000 $2,950,814
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-16/100.22 185,000,000 1,439,670
Total purchased options outstanding (cost $5,819,531) $4,390,484

CONVERTIBLE BONDS AND NOTES (—%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $910,000 $978,819
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 1,129,000 556,738
Total convertible bonds and notes (cost $1,846,902) $1,535,557

SHORT-TERM INVESTMENTS (7.7%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.33%(AFF) Shares 101,239,759 $101,239,759
U.S. Treasury Bills 0.04%, April 28, 2016(SEG)(SEGSF)(SEGCCS) $22,932,000 22,912,783
U.S. Treasury Bills 0.17%, April 21, 2016(SEGSF)(SEGCCS) 24,968,000 24,952,470
U.S. Treasury Bills 0.07%, April 14, 2016(SEGSF)(SEGCCS) 10,489,000 10,483,567
U.S. Treasury Bills 0.07%, April 7, 2016(SEGSF)(SEGCCS) 72,206,000 72,177,695
U.S. Treasury Bills 0.05%, February 18, 2016(SEGSF)(SEGCCS) 34,191,000 34,186,213
U.S. Treasury Bills 0.16%, February 11, 2016(SEGSF)(SEGCCS) 25,686,000 25,682,430
U.S. Treasury Bills 0.03%, February 4, 2016(SEG)(SEGSF) 33,322,000 33,319,101
U.S. Treasury Bills 0.18%, January 14, 2016(SEGSF) 10,943,000 10,942,661
U.S. Treasury Bills 0.13%, January 7, 2016(SEGSF) 8,010,000 8,009,968
Total short-term investments (cost $343,947,957) $343,906,647

TOTAL INVESTMENTS
Total investments (cost $8,191,021,772)(b) $7,814,900,967













FORWARD CURRENCY CONTRACTS at 12/31/15 (aggregate face value $1,453,111,586) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Sell 1/20/16 $10,387,631 $10,469,195 $81,564
Canadian Dollar Sell 1/20/16 15,180,825 15,280,441 99,616
Euro Sell 3/16/16 27,718,602 27,132,676 (585,926)
Mexican Peso Buy 1/20/16 26,667,986 26,855,889 (187,903)
New Taiwan Dollar Sell 2/17/16 1,758,904 1,773,551 14,647
New Zealand Dollar Buy 1/20/16 17,289,136 15,592,242 1,696,894
Norwegian Krone Sell 3/16/16 19,150,111 19,463,714 313,603
Swedish Krona Buy 3/16/16 12,085,381 12,208,774 (123,393)
Barclays Bank PLC
Australian Dollar Sell 1/20/16 11,743,484 11,769,568 26,084
British Pound Buy 3/16/16 11,799,422 12,136,269 (336,847)
Canadian Dollar Sell 1/20/16 13,384,864 12,895,373 (489,491)
Euro Sell 3/16/16 39,742,520 38,065,332 (1,677,188)
Mexican Peso Buy 1/20/16 19,789,175 19,664,771 124,404
New Zealand Dollar Sell 1/20/16 11,703,421 10,958,050 (745,371)
Norwegian Krone Sell 3/16/16 4,469,484 4,585,050 115,566
Swedish Krona Buy 3/16/16 359,507 286,222 73,285
Swiss Franc Buy 3/16/16 4,429,505 4,321,008 108,497
Citibank, N.A.
Brazilian Real Buy 1/5/16 1,248,025 1,238,913 9,112
Brazilian Real Sell 1/5/16 1,248,025 1,235,456 (12,569)
Brazilian Real Sell 4/4/16 1,210,708 1,201,061 (9,647)
Canadian Dollar Sell 1/20/16 24,879,595 24,986,844 107,249
Euro Sell 3/16/16 41,477,688 40,587,940 (889,748)
Japanese Yen Sell 2/17/16 517,890 426,987 (90,903)
Mexican Peso Buy 1/20/16 21,327,800 21,584,264 (256,464)
New Zealand Dollar Buy 1/20/16 12,758,310 12,432,223 326,087
Singapore Dollar Sell 2/17/16 23,459,131 23,461,002 1,871
Credit Suisse International
Australian Dollar Sell 1/20/16 24,724,419 24,789,961 65,542
British Pound Sell 3/16/16 9,522,103 9,631,153 109,050
Canadian Dollar Sell 1/20/16 22,527,934 22,291,190 (236,744)
Euro Sell 3/16/16 32,882,519 31,638,867 (1,243,652)
Indian Rupee Buy 2/17/16 269,311 457,123 (187,812)
Japanese Yen Sell 2/17/16 6,995,103 6,982,370 (12,733)
New Taiwan Dollar Sell 2/17/16 23,599,456 23,434,024 (165,432)
New Zealand Dollar Buy 1/20/16 11,308,785 10,541,415 767,370
Norwegian Krone Sell 3/16/16 3,489,007 3,392,252 (96,755)
Deutsche Bank AG
Czech Koruna Sell 3/16/16 25,471,667 24,962,990 (508,677)
Euro Sell 3/16/16 23,220,098 22,751,009 (469,089)
Israeli Shekel Sell 1/20/16 3,880,555 3,896,875 16,320
Japanese Yen Sell 2/17/16 11,926,638 12,063,713 137,075
Polish Zloty Buy 3/16/16 9,346,937 9,066,807 280,130
Goldman Sachs International
Australian Dollar Buy 1/20/16 9,874,491 9,512,356 362,135
British Pound Buy 3/16/16 13,683,821 13,998,738 (314,917)
Canadian Dollar Buy 1/20/16 7,573,970 8,104,585 (530,615)
Euro Sell 3/16/16 25,781,153 24,912,027 (869,126)
Japanese Yen Buy 2/17/16 11,716,783 11,178,369 538,414
New Taiwan Dollar Sell 2/17/16 23,599,459 23,577,196 (22,263)
Norwegian Krone Sell 3/16/16 7,850,879 8,032,346 181,467
Singapore Dollar Sell 2/17/16 23,459,061 23,467,047 7,986
HSBC Bank USA, National Association
British Pound Sell 3/16/16 23,351,444 23,817,301 465,857
Canadian Dollar Sell 1/20/16 8,274,793 8,649,488 374,695
Euro Sell 3/16/16 29,192,592 28,569,726 (622,866)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 1/20/16 13,055,355 12,659,201 (396,154)
Canadian Dollar Sell 1/20/16 28,325,889 28,386,333 60,444
Euro Sell 3/16/16 45,602,878 44,619,403 (983,475)
Indian Rupee Buy 2/17/16 25,911,019 25,863,287 47,732
Japanese Yen Sell 2/17/16 14,255,566 14,233,463 (22,103)
Mexican Peso Buy 1/20/16 24,004,463 24,713,226 (708,763)
Mexican Peso Sell 1/20/16 24,055,984 23,795,752 (260,232)
New Taiwan Dollar Sell 2/17/16 21,796,588 22,001,487 204,899
New Zealand Dollar Buy 1/20/16 553,515 515,894 37,621
Norwegian Krone Sell 3/16/16 19,644,515 19,971,080 326,565
Singapore Dollar Sell 2/17/16 23,459,061 23,565,379 106,318
South African Rand Sell 1/20/16 2,516,266 2,114,115 (402,151)
South Korean Won Sell 2/17/16 24,981,205 24,699,642 (281,563)
Swedish Krona Buy 3/16/16 1,632,525 1,586,501 46,024
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/20/16 23,466,361 23,503,131 (36,770)
British Pound Buy 3/16/16 17,587,965 17,777,196 (189,231)
Canadian Dollar Sell 1/20/16 24,678,895 24,387,725 (291,170)
Euro Sell 3/16/16 37,548,030 35,674,368 (1,873,662)
Japanese Yen Buy 2/17/16 10,384,200 10,269,669 114,531
New Zealand Dollar Buy 1/20/16 36,160,505 36,703,111 (542,606)
Norwegian Krone Sell 3/16/16 14,988,787 15,307,769 318,982
South Korean Won Sell 2/17/16 851,881 876,462 24,581
Swedish Krona Sell 3/16/16 11,953,714 11,885,023 (68,691)
State Street Bank and Trust Co.
Australian Dollar Buy 1/20/16 8,083,921 7,786,510 297,411
Brazilian Real Buy 1/5/16 7,051,324 6,756,309 295,015
Brazilian Real Sell 1/5/16 7,051,324 7,012,086 (39,238)
Brazilian Real Buy 4/4/16 5,209,662 5,185,746 23,916
Canadian Dollar Sell 1/20/16 295,665 135,447 (160,218)
Euro Sell 3/16/16 50,800,544 49,712,799 (1,087,745)
Japanese Yen Sell 2/17/16 3,617,698 3,611,218 (6,480)
South Korean Won Sell 2/17/16 23,694,745 23,737,434 42,689
UBS AG
Australian Dollar Buy 1/20/16 12,984,431 13,077,910 (93,479)
British Pound Buy 3/16/16 6,015,892 6,248,388 (232,496)
Canadian Dollar Buy 1/20/16 10,292,557 10,561,372 (268,815)
Euro Sell 3/16/16 34,425,532 33,684,690 (740,842)
Israeli Shekel Sell 1/20/16 198,112 196,593 (1,519)
Japanese Yen Buy 2/17/16 14,253,988 14,095,210 158,778
WestPac Banking Corp.
Canadian Dollar Sell 1/20/16 28,143,475 28,340,587 197,112
Euro Sell 3/16/16 25,314,319 24,779,794 (534,525)
New Zealand Dollar Buy 1/20/16 13,838,690 12,705,984 1,132,706
South Korean Won Sell 2/17/16 41,381 42,549 1,168
Total $(10,067,047)












FUTURES CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Long) 232 $32,945,298             Mar-16 $(300,534)
U.S. Treasury Bond 30 yr (Long) 18 2,767,500             Mar-16 (43,228)
U.S. Treasury Bond Ultra 30 yr (Long) 380 60,301,250             Mar-16 351,895
U.S. Treasury Note 10 yr (Short) 1,575 198,302,344             Mar-16 882,394
Total $890,527












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/15 (premiums $87,655,043) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Bank of America N.A.
2.201/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.201        $349,628,200 $2,139,725
(2.201)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.201        349,628,200 2,178,184
Barclays Bank PLC
(2.15)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.15        338,956,200 1,345,656
2.15/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.15        338,956,200 2,884,517
Citibank, N.A.
2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587        752,362,500 7,524
2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387        752,362,500 30,095
2.2325/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.2325        338,956,200 1,626,990
(2.2325)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.2325        338,956,200 2,643,858
Credit Suisse International
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515        89,988,900 8,540,486
Goldman Sachs International
(1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885        78,040,450 780
2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625        1,504,725,000 15,047
1.61017/6 month EUR-EURIBOR-Reuters/Feb-46 Feb-16/1.61017 EUR        169,333,100 3,820,312
JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        $270,610,000 29,600,675
Total $54,833,849












WRITTEN OPTIONS OUTSTANDING at 12/31/15 (premiums $5,805,078) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/$98.84        $361,000,000 $1,585,151
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/98.05        361,000,000 845,101
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-16/98.53        370,000,000 658,970
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-16/97.69        185,000,000 90,280
Total $3,179,502













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 $100,503,775 $(2,462,644) $(583,927)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 182,949,800 (1,209,664) (779,366)
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 100,503,775 (2,553,700) (912,574)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 100,503,775 (2,674,204) (1,538,110)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 365,900,300 (2,570,450) (1,686,800)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 100,503,775 (2,814,106) (1,846,657)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 440,206,400 2,916,367 2,399,124
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 440,206,400 2,814,105 2,179,021
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 731,800,700 2,341,762 1,371,395
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 365,900,300 1,120,387 643,985
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 440,206,400 2,534,403 629,495
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 440,206,400 2,509,176 246,516
Total $(48,568) $122,102












TBA SALE COMMITMENTS OUTSTANDING at 12/31/15 (proceeds receivable $1,802,201,055) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 5 1/2s, December 1, 2045 $2,000,000       12/10/15 $2,230,625
Federal National Mortgage Association, 3 1/2s, January 1, 2046 307,000,000       1/13/16 316,665,711
Federal National Mortgage Association, 3s, January 1, 2046 1,483,000,000       1/13/16 1,482,652,385
Total $1,801,548,721















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/15 (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)
Deutsche Bank AG
BRL 495,431,100 $—      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% $(3,585,638)
PLN 167,112,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (6,961,590)
PLN 83,320,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (3,507,827)
PLN 76,955,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (3,158,698)
PLN 24,863,000 —      6/26/25 6 month PLN-WIBOR-WIBO 2.89% 365,212
PLN 24,863,000 —      6/29/25 6 month PLN-WIBOR-WIBO 2.88% 361,225
PLN 74,589,000 —      6/30/25 6 month PLN-WIBOR-WIBO 2.87% 1,065,466
PLN 74,589,000 —      7/1/25 6 month PLN-WIBOR-WIBO 3.0266% 1,163,345
PLN 74,589,000 —      7/2/25 6 month PLN-WIBOR-WIBO 3.00% 1,116,049
PLN 138,405,000 —      11/2/25 6 month PLN-WIBOR-WIBO 2.30% (345,555)
PLN 510,522,000 —      11/2/17 1.52% 6 month PLN-WIBOR-WIBO 318,731
Goldman Sachs International
KRW 32,814,999,999 —      11/6/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 538,644
JPMorgan Chase Bank N.A.
BRL 500,419,006 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (4,910,273)
BRL 223,605,944 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (1,171,653)
PLN 84,511,000 —      3/12/25 2.42% 6 month PLN-WIBOR-WIBO (398,114)
PLN 485,538,000 —      8/20/17 6 month PLN-WIBOR-WIBO 1.71% 140,941
PLN 24,984,000 —      8/21/17 6 month PLN-WIBOR-WIBO 1.71% 6,990
Total$—     $(18,962,745)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$182,088,000 $(948,169)     9/30/25 3 month USD-LIBOR-BBA 2.1575% $(70,291)
182,088,000 2,493,295      9/30/25 2.3975% 3 month USD-LIBOR-BBA (2,428,333)
182,088,000 (1,603,685)     9/30/25 3 month USD-LIBOR-BBA 2.2775% 1,296,159
719,220,800 (4,216,936)     10/9/25 3 month USD-LIBOR-BBA 2.155% (1,885,070)
359,610,400 4,202,694      10/9/25 2.3225% 3 month USD-LIBOR-BBA (2,534,153)
359,610,400 (2,385,008)     10/28/25 3 month USD-LIBOR-BBA 2.055% (4,946,950)
179,805,200 2,291,222      10/28/25 2.235% 3 month USD-LIBOR-BBA 581,673
719,220,800 (5,187,884)     10/28/25 3 month USD-LIBOR-BBA 2.0775% (8,816,237)
359,610,400 4,993,837      10/28/25 2.2625% 3 month USD-LIBOR-BBA 661,284
359,610,400 (2,342,214)     10/29/25 3 month USD-LIBOR-BBA 2.12% (2,724,257)
179,805,200 2,335,094      10/29/25 2.31% 3 month USD-LIBOR-BBA (632,023)
539,415,600 (3,405,439)     10/27/25 3 month USD-LIBOR-BBA 2.07125% (6,408,235)
269,707,800 3,394,758      10/27/25 2.25% 3 month USD-LIBOR-BBA 441,453
269,707,800 2,235,015      9/29/25 2.235% 3 month USD-LIBOR-BBA (1,014,805)
149,770,000 (1,976)     9/29/25 2.162% 3 month USD-LIBOR-BBA (794,838)
77,150,000 (1,018)     9/30/25 2.07% 3 month USD-LIBOR-BBA 251,725
102,200,000 (1,349)     10/5/25 3 month USD-LIBOR-BBA 2.021% (917,169)
102,428,000 (1,352)     10/6/25 1.945% 3 month USD-LIBOR-BBA 1,642,221
102,428,000 (1,352)     10/6/25 1.939% 3 month USD-LIBOR-BBA 1,698,983
180,395,000 (2,381)     10/7/25 2.0085% 3 month USD-LIBOR-BBA 1,842,084
162,389,100 (2,144)     10/28/25 2.013% 3 month USD-LIBOR-BBA 1,784,902
53,941,600 (712)     10/28/25 2.044% 3 month USD-LIBOR-BBA 438,398
361,379,100 2,886,263      12/2/25 2.119% 3 month USD-LIBOR-BBA 4,148,148
134,098,000 (1,770)     12/7/25 2.1765% 3 month USD-LIBOR-BBA (191,802)
2,380,326,000 (E) 463,833      3/16/21 1.70% 3 month USD-LIBOR-BBA 11,180,061
36,681,000 (E) (200,476)     3/16/26 2.20% 3 month USD-LIBOR-BBA (103,491)
268,196,000 2,007,930      12/7/25 3 month USD-LIBOR-BBA 2.14% 1,485,156
357,595,000 2,802,400      12/9/25 3 month USD-LIBOR-BBA 2.245% 96,767
13,872,000 (183)     11/12/25 3 month USD-LIBOR-BBA 2.2195% 98,369
108,259,300 (1,429)     11/24/25 2.09% 3 month USD-LIBOR-BBA 606,693
126,517,500 (1,670)     12/1/25 3 month USD-LIBOR-BBA 2.115% (481,826)
134,098,000 (1,770)     12/7/25 2.169% 3 month USD-LIBOR-BBA (99,006)
155,964,000 (2,059)     12/9/25 3 month USD-LIBOR-BBA 2.14% (331,918)
155,964,000 (2,059)     12/9/25 3 month USD-LIBOR-BBA 2.11% (763,211)
67,895,000 (896)     12/14/25 2.1325% 3 month USD-LIBOR-BBA 214,737
86,067,000 (E) (654,176)     3/16/46 3 month USD-LIBOR-BBA 2.65% (416,459)
6,174,017,000 (E) 6,474,733      3/16/18 1.20% 3 month USD-LIBOR-BBA 17,526,224
72,172,900 (953)     12/23/25 3 month USD-LIBOR-BBA 2.1275% (317,034)
216,887,700 (2,863)     12/30/25 3 month USD-LIBOR-BBA 2.195% 316,714
484,708,300 (1,818)     1/4/18 3 month USD-LIBOR-BBA 1.1875% 91,246
198,545,800 (1,866)     1/4/21 1.7735% 3 month USD-LIBOR-BBA (491,282)
145,156,000 (544)     1/4/18 3 month USD-LIBOR-BBA 1.18997% 34,438
484,708,300 (1,818)     1/4/18 3 month USD-LIBOR-BBA 1.1845% 62,164
198,545,800 (1,866)     1/4/21 1.776% 3 month USD-LIBOR-BBA (515,306)
198,545,800 (1,866)     1/4/21 1.779% 3 month USD-LIBOR-BBA (544,095)
629,864,300 (2,362)     1/4/18 3 month USD-LIBOR-BBA 1.1895% 143,137
484,708,300 (1,818)     1/4/18 3 month USD-LIBOR-BBA 1.1825% 43,260
198,545,800 (1,866)     1/4/21 1.76% 3 month USD-LIBOR-BBA (361,631)
27,862,000 (947)     1/4/46 2.6555% 3 month USD-LIBOR-BBA (227,047)
143,103,000 (1,889)     1/4/26 3 month USD-LIBOR-BBA 2.223% 520,294
AUD 257,871,000 (702)     10/22/17 1.975% 3 month AUD-BBR-BBSW 738,236
AUD 284,177,000 (760)     10/8/17 1.9725% 3 month AUD-BBR-BBSW 843,144
AUD 250,068,000 (670)     11/9/17 3 month AUD-BBR-BBSW 2.0475% (460,828)
AUD 274,699,000 (724)     11/12/17 3 month AUD-BBR-BBSW 2.058% (480,929)
AUD 411,618,000 (2,348)     11/18/20 2.575% 6 month AUD-BBR-BBSW (18,122)
AUD 70,335,000 (658)     11/18/25 6 month AUD-BBR-BBSW 3.06% (13,568)
AUD 271,922,000 (722)     11/18/17 3 month AUD-BBR-BBSW 2.1275% (206,887)
AUD 47,037,000 (442)     11/18/25 6 month AUD-BBR-BBSW 3.0425% (62,236)
AUD 100,263,000 (572)     11/19/20 6 month AUD-BBR-BBSW 2.5475% (97,514)
AUD 71,189,000 (679)     11/26/25 6 month AUD-BBR-BBSW 3.0175% (227,854)
AUD 121,000,000 (705)     12/16/20 6 month AUD-BBR-BBSW 2.6125% 72,045
AUD 246,138,000 (663)     12/23/17 3 month AUD-BBR-BBSW 2.185% (21,094)
AUD 79,918,000 (467)     12/30/20 2.57% 6 month AUD-BBR-BBSW 89,024
CAD 737,746,000 (1,106,628)     6/17/17 3 month CAD-BA-CDOR 0.92% (137,738)
CAD 18,272,000 (197)     4/17/25 1.89% 3 month CAD-BA-CDOR (141,747)
CAD 73,086,000 (790)     4/17/25 1.91875% 3 month CAD-BA-CDOR (704,306)
CAD 64,872,000 (701)     4/17/25 1.89375% 3 month CAD-BA-CDOR (519,137)
CAD 78,115,000 (843)     5/21/25 3 month CAD-BA-CDOR 2.1875% 2,000,781
CAD 48,478,000 (517)     6/29/25 3 month CAD-BA-CDOR 2.255% 1,375,726
CAD 29,637,000 (316)     6/29/25 3 month CAD-BA-CDOR 2.27% 870,012
CAD 368,873,000 (1,044)     8/27/17 3 month CAD-BA-CDOR 0.6825% (604,505)
CAD 192,391,000 (554)     10/7/17 3 month CAD-BA-CDOR 0.822% 33,174
CAD 370,807,000 (1,068)     10/7/17 3 month CAD-BA-CDOR 0.82% 53,251
CAD 266,014,000 (758)     10/23/17 3 month CAD-BA-CDOR 0.81% (10,786)
CAD 275,409,000 (785)     10/23/17 3 month CAD-BA-CDOR 0.805% (31,044)
CAD 296,513,000 (1,813)     11/5/20 1.30% 3 month CAD-BA-CDOR (1,590,192)
CAD 245,126,000 (689)     11/16/17 0.874% 3 month CAD-BA-CDOR (194,505)
CAD 48,944,000 (484)     11/18/25 3 month CAD-BA-CDOR 1.985% 444,332
CAD 48,575,000 (472)     12/10/25 3 month CAD-BA-CDOR 1.88375% 58,131
CAD 241,552,000 (2,436)     11/2/25 1.965% 3 month CAD-BA-CDOR (2,025,862)
CAD 94,626,000 (579)     11/6/20 3 month CAD-BA-CDOR 1.36% 707,468
CAD 108,540,000 (656)     11/13/20 1.295% 3 month CAD-BA-CDOR (547,961)
CAD 114,130,000 (689)     11/25/20 3 month CAD-BA-CDOR 1.225% 260,716
CAD 48,280,000 (479)     11/27/25 3 month CAD-BA-CDOR 1.86875% 36,115
CAD 392,029,000 (1,104)     11/30/17 3 month CAD-BA-CDOR 0.89% 373,117
CAD 99,586,000 (599)     12/1/20 3 month CAD-BA-CDOR 1.1575% (24,431)
CAD 307,526,000 (861)     12/3/17 3 month CAD-BA-CDOR 0.91% 375,199
CAD 199,158,000 (540)     12/16/17 0.825% 3 month CAD-BA-CDOR 10,531
CAD 199,905,000 (542)     12/16/17 0.8325% 3 month CAD-BA-CDOR (11,140)
CAD 72,580,000 (422)     12/24/20 1.1575% 3 month CAD-BA-CDOR 52,848
CHF 280,750,000 (1,122)     5/5/17 6 month CHF-LIBOR-BBA 0.60875% 598,366
CHF 55,500,000 (781)     5/5/25 6 month CHF-LIBOR-BBA 0.22% 244,501
CHF 55,500,000 (800)     5/19/25 0.29% 6 month CHF-LIBOR-BBA (624,187)
CHF 280,750,000 (1,149)     5/19/17 0.63% 6 month CHF-LIBOR-BBA (617,173)
CHF 28,860,000 (406)     5/26/25 0.28% 6 month CHF-LIBOR-BBA (287,255)
CHF 73,283,000 (614)     10/15/20 6 month CHF-LIBOR-BBA 0.3855% 138,832
CHF 44,957,000 (377)     10/15/20 6 month CHF-LIBOR-BBA 0.3875% 89,714
CHF 55,327,000 (765)     10/23/25 6 month CHF-LIBOR-BBA 0.1425% (459,391)
CHF 271,744,000 (1,049)     10/9/17 0.685% 6 month CHF-LIBOR-BBA (160,905)
CHF 107,922,000 (894)     10/9/20 6 month CHF-LIBOR-BBA 0.3875% 196,312
CHF 48,708,000 (404)     10/12/20 6 month CHF-LIBOR-BBA 0.402% 128,618
CHF 183,790,000 (717)     10/15/17 0.678% 6 month CHF-LIBOR-BBA (88,427)
CHF 28,858,000 (384)     11/9/25 6 month CHF-LIBOR-BBA 0.0875% (420,020)
CHF 32,081,000 (257)     11/11/20 6 month CHF-LIBOR-BBA 0.545% 334,170
CHF 14,180,000 (186)     11/12/25 6 month CHF-LIBOR-BBA 0.04% (272,483)
CHF 15,401,000 (202)     11/12/25 6 month CHF-LIBOR-BBA 0.0325% (307,620)
CHF 124,016,000 (462)     11/19/17 6 month CHF-LIBOR-BBA 0.91% 593,667
CHF 150,833,000 (558)     11/24/17 6 month CHF-LIBOR-BBA 0.90% 683,075
CHF 61,017,000 (483)     11/25/20 6 month CHF-LIBOR-BBA 0.56% 693,412
CHF 194,689,000 (716)     11/26/17 6 month CHF-LIBOR-BBA 0.89375% 860,567
CHF 118,014,000 (430)     12/2/17 6 month CHF-LIBOR-BBA 0.9275% 595,898
CHF 11,737,000 (157)     12/31/25 0.2125% 6 month CHF-LIBOR-BBA 51,923
CHF 79,097,000 (644)     12/32/20 0.3475% 6 month CHF-LIBOR-BBA (162,560)
EUR 52,142,000 (E) 214,897      3/16/26 6 month EUR-EURIBOR-REUTERS 1.00% (25,591)
EUR 509,440,000 (E) 5,641,943      3/16/21 0.50% 6 month EUR-EURIBOR-REUTERS 2,113,635
EUR 14,903,000 (E) 103,211      0.25% 6 month EUR-EURIBOR-REUTERS 13,211
GBP 113,819,000 (E) (5,097,140)     3/16/26 6 month GBP-LIBOR-BBA 2.25% (1,801,202)
GBP 96,865,000 (E) 1,367,811      3/16/21 1.75% 6 month GBP-LIBOR-BBA 675,666
GBP 727,193,000 (E) 9,042,441      3/16/18 1.50% 6 month GBP-LIBOR-BBA 2,354,060
JPY 2,362,323,000 (345)     11/13/45 6 month JPY-LIBOR-BBA 1.32125% 590,215
JPY 3,025,582,000 (726)     11/26/35 6 month JPY-LIBOR-BBA 1.09% 465,576
JPY 2,359,951,000 (353)     1/5/46 1.22015% 6 month JPY-LIBOR-BBA (20,733)
JPY 3,025,582,000 (809)     1/5/36 1.00875% 6 month JPY-LIBOR-BBA (36,553)
NOK 648,195,000 (277)     12/28/17 0.945% 6 month NOK-NIBOR-NIBR (17,629)
NOK 423,462,000 448      12/22/20 1.255% 6 month NOK-NIBOR-NIBR (3,869)
NOK 1,479,382,000 (32,095)     12/22/17 6 month NOK-NIBOR-NIBR 0.93% (25,297)
NOK 1,364,108,000 126,087      12/22/25 6 month NOK-NIBOR-NIBR 1.86% 232,816
NOK 613,481,000 (265)     12/31/17 0.935% 6 month NOK-NIBOR-NIBR (14,859)
NZD 74,759,000 (406)     10/23/20 3.09% 3 month NZD-BBR-FRA 403,858
NZD 70,552,000 (633)     10/29/25 3 month NZD-BBR-FRA 3.4925% (1,040,397)
NZD 33,094,000 (294)     11/2/25 3.5075% 3 month NZD-BBR-FRA 462,776
NZD 279,641,000 (1,468)     10/9/20 3.03% 3 month NZD-BBR-FRA 1,942,117
NZD 155,711,000 (381)     10/9/17 2.705% 3 month NZD-BBR-FRA 286,291
NZD 68,119,000 (364)     10/12/20 3.0525% 3 month NZD-BBR-FRA 429,971
NZD 34,226,000 (185)     10/14/20 3.0775% 3 month NZD-BBR-FRA 190,610
NZD 91,792,000 (231)     10/14/17 3 month NZD-BBR-FRA 2.725% (151,088)
NZD 60,381,000 (152)     10/14/17 3 month NZD-BBR-FRA 2.721% (102,585)
NZD 60,856,000 (336)     10/20/20 3.0475% 3 month NZD-BBR-FRA 404,481
NZD 186,086,000 (474)     10/29/17 2.7675% 3 month NZD-BBR-FRA 250,061
NZD 194,489,000 (493)     11/4/17 2.78% 3 month NZD-BBR-FRA 231,367
NZD 38,417,000 (331)     11/18/25 3 month NZD-BBR-FRA 3.60% (342,907)
NZD 25,737,000 (230)     12/16/25 3 month NZD-BBR-FRA 3.61% (225,922)
NZD 91,562,000 (499)     11/4/20 3.0775% 3 month NZD-BBR-FRA 563,846
NZD 61,974,000 (325)     11/17/20 3 month NZD-BBR-FRA 3.135% (278,668)
NZD 212,096,000 (516)     11/19/17 2.76% 3 month NZD-BBR-FRA 304,514
NZD 74,384,000 (385)     11/20/20 3 month NZD-BBR-FRA 3.07% (491,035)
NZD 36,570,000 (318)     11/24/25 3 month NZD-BBR-FRA 3.5825% (367,739)
NZD 91,227,000 (488)     12/11/20 3 month NZD-BBR-FRA 3.055% (659,973)
NZD 43,399,000 (234)     12/21/20 3 month NZD-BBR-FRA 3.1975% (125,729)
SEK 1,192,338,000 (531)     9/25/17 3 month SEK-STIBOR-SIDE 0.17% (21,983)
SEK 1,192,338,000 (530)     9/28/17 3 month SEK-STIBOR-SIDE 0.17125% (14,616)
SEK 4,645,348,000 (2,112)     10/9/17 3 month SEK-STIBOR-SIDE 0.1522% (420,779)
SEK 823,619,000 (804)     10/9/20 0.5036% 3 month SEK-STIBOR-SIDE 509,243
SEK 1,590,810,000 (728)     10/14/17 0.17875% 3 month SEK-STIBOR-SIDE 26,158
SEK 2,417,556,000 (1,092)     10/23/17 0.187% 3 month SEK-STIBOR-SIDE (29,736)
SEK 367,782,000 (356)     10/23/20 0.498% 3 month SEK-STIBOR-SIDE 275,425
SEK 2,386,478,000 (1,063)     10/27/17 0.244% 3 month SEK-STIBOR-SIDE (363,848)
SEK 775,552,000 (342)     10/29/17 0.2675% 3 month SEK-STIBOR-SIDE (163,630)
SEK 527,972,000 (802)     11/12/25 3 month SEK-STIBOR-SIDE 1.4375% (868,892)
SEK 210,795,000 (319)     11/27/25 3 month SEK-STIBOR-SIDE 1.3125% (669,262)
SEK 359,076,000 (331)     12/3/20 3 month SEK-STIBOR-SIDE 0.4075% (556,814)
SEK 153,906,000 (239)     12/9/25 3 month SEK-STIBOR-SIDE 1.5075% (170,577)
SEK 412,447,000 (390)     12/14/20 3 month SEK-STIBOR-SIDE 0.54% (352,272)
Total$25,786,702     $14,622,031
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$10,053,873 $—      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools $18,775
Barclays Bank PLC
2,087,663 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 6,065
1,566,339 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,825
2,087,663 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (4,357)
1,703,838 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (451)
1,457,506 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 676
5,850,729 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,381
7,150,934 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (771)
2,043,552 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (220)
1,043,228 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 484
3,486,892 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 13,078
4,052,096 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (437)
538,601 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,991
2,024,989 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (119)
13,358,052 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (1,440)
340,306 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Ginnie Mae II pools (1,168)
18,493,660 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 8,583
59,689 —      1/12/39 (6.00%)1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 224
1,752,125 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 6,472
5,080,957 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (9,513)
7,287,669 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 26,918
4,387,334 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 16,206
5,564,493 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 20,554
7,376,644 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 27,265
1,058,423 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 3,912
13,157,874 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (32,135)
4,145,447 —      1/12/44 3.00% (1 month USD-LIBOR) Synthetic MBX Index 3.00% 30 year Fannie Mae pools (12,311)
23,677,211 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (49,084)
56,491,764 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (117,109)
29,825,309 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 3,187
31,249,808 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,790)
134,958,275 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (7,790)
81,765,254 (38,327)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (285,765)
EUR 57,000,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco (95,767)
EUR 28,497,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco (24,435)
EUR 40,541,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco (12,512)
Citibank, N.A.
$2,128,655 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (123)
12,804,821 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (739)
Credit Suisse International
7,518,427 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (434)
38,010,135 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools 11,650
1,566,339 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (90)
7,222,268 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (25,545)
97,791 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 270
318,966 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (19)
384,671 —      1/12/36 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (22)
297,301 —      1/12/39 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (16)
1,963,972 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 3,971
1,963,972 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 1,215
3,842,404 —      1/12/43 3.00% (1 month USD-LIBOR) Synthetic TRS Index 3.00% 30 year Fannie Mae pools 4,745
12,940,728 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 47,799
13,463,310 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (32,881)
16,513,599 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (40,331)
21,336,767 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 78,812
4,145,447 —      1/12/44 3.00% (1 month USD-LIBOR) Synthetic TRS Index 3.00% 30 year Fannie Mae pools 4,468
26,347,125 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 54,618
4,307,643 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,930
3,301,697 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,845
3,951,175 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,659
37,446,806 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 79,437
21,427,174 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 45,454
70,081,990 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 189,058
44,174,136 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 119,167
43,068,097 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 185,648
Deutsche Bank AG
2,418,268 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (261)
7,222,268 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (25,545)
245,276 —      1/12/34 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools (27)
409,310 —      1/12/36 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools (45)
Goldman Sachs International
7,326,154 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 27,478
1,703,838 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,532
1,457,506 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 2,722
2,509,136 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 9,274
14,622,316 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 23,444
14,622,316 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 23,444
3,632,018 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,846)
1,364,467 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,826)
10,944,409 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 20,438
2,566,622 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 9,627
902,784 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,193)
9,521,758 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,705
817,081 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 3,065
5,114,442 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 19,183
1,163,933 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (2,179)
1,564,825 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 5,535
2,373,008 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools 136
1,016,569 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools (109)
1,983,254 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools (920)
3,855,103 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 7,992
2,704,138 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,564)
4,975,481 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (17,598)
286,623 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,059
419,714 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Ginnie Mae II pools (1,199)
3,245,085 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,478)
1,677,552 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,200
247,784 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (876)
661,018 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,338)
225,756 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (798)
9,613 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 36
3,256,340 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 12,036
15,929,152 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,539
1,865,753 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,599)
3,325,208 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 12,472
20,755,778 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 33,278
165,613 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 343
10,002,891 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 20,736
33,650,115 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 69,758
32,005,318 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (78,166)
67,555,000 —      2/24/25 (2.01%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,642,263)
15,539,000 —      3/12/25 (1.925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (184,448)
44,040,586 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 118,807
44,052,677 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (93,451)
EUR 205,197,999 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (995,691)
EUR 67,760,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (328,794)
EUR 57,000,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 173,383
EUR 57,000,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 48,565
EUR 56,994,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco 4,893
GBP 39,125,000 —      2/20/25 (2.895%) GBP Non-revised UK Retail Price Index 314,922
GBP 8,993,000 —      3/10/25 (2.8675%) GBP Non-revised UK Retail Price Index (38,314)
JPMorgan Chase Bank N.A.
$22,416,031 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 46,469
42,979,308 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 89,097
33,650,456 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 69,758
32,005,318 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (78,166)
EUR 28,497,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco (109,383)
EUR 28,497,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco (81,387)
EUR 52,109,000 —      12/7/25 1.385% Eurostat Eurozone HICP excluding tobacco 590,474
EUR 52,109,000 —      12/7/20 (1.025%) Eurostat Eurozone HICP excluding tobacco (402,975)
Total$(38,327)    $(2,051,071)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront 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.
  CMBX NA BBB- Index BBB-/P $39,713 $581,000 5/11/63 300 bp $21,809
  CMBX NA BBB- Index BBB-/P 79,608 1,321,000 5/11/63 300 bp 38,899
  CMBX NA BBB- Index BBB-/P 163,473 2,648,000 5/11/63 300 bp 81,870
  CMBX NA BBB- Index BBB-/P 155,838 2,734,000 5/11/63 300 bp 71,585
Barclays Bank PLC
  EM Series 24 Index BBB/P 1,380,575 12,250,000 12/20/20 100 bp 12,318
Credit Suisse International
  CMBX NA BB Index — (881,360) 49,934,000 5/11/63 (500 bp) 1,252,208
  CMBX NA BB Index — (27,128) 2,794,000 1/17/47 (500 bp) 154,839
  CMBX NA BBB- Index BBB-/P 26,983 1,864,000 5/11/63 300 bp (30,460)
  CMBX NA BBB- Index BBB-/P 512,851 46,815,000 5/11/63 300 bp (929,832)
  CMBX NA BBB- Index BBB-/P 1,055,042 80,331,000 5/11/63 300 bp (1,420,492)
  CMBX NA BBB- Index BBB-/P 76,591 1,318,000 1/17/47 300 bp 2,893
  CMBX NA BBB- Index BBB-/P 61,821 1,476,000 1/17/47 300 bp (20,712)
  CMBX NA BBB- Index BBB-/P 71,714 2,488,000 1/17/47 300 bp (67,407)
  CMBX NA BBB- Index BBB-/P 149,680 3,719,000 1/17/47 300 bp (58,274)
  CMBX NA BBB- Index BBB-/P 108,147 3,752,000 1/17/47 300 bp (101,652)
  CMBX NA BBB- Index BBB-/P 160,944 3,815,000 1/17/47 300 bp (52,378)
  CMBX NA BBB- Index BBB-/P 326,010 5,553,000 1/17/47 300 bp 15,505
  CMBX NA BBB- Index BBB-/P 1,925,446 54,098,000 1/17/47 300 bp (1,099,535)
  CMBX NA BBB- Index BBB-/P 7,833,209 228,369,000 1/17/47 300 bp (4,936,425)
Goldman Sachs International
  CMBX NA BBB- Index BBB-/P (11,840) 1,712,000 5/11/63 300 bp (64,599)
  CMBX NA BBB- Index BBB-/P 28,746 1,066,000 1/17/47 300 bp (30,861)
  CMBX NA BBB- Index BBB-/P 15,954 1,602,000 1/17/47 300 bp (73,624)
  CMBX NA BBB- Index BBB-/P 7,022 1,968,000 1/17/47 300 bp (103,022)
  CMBX NA BBB- Index BBB-/P 7,050 1,976,000 1/17/47 300 bp (103,441)
  CMBX NA BBB- Index BBB-/P 29,187 3,749,000 1/17/47 300 bp (180,445)
  CMBX NA BBB- Index BBB-/P 17,632 4,125,000 1/17/47 300 bp (213,024)
  CMBX NA BBB- Index BBB-/P 14,707 4,125,000 1/17/47 300 bp (215,950)
  CMBX NA BBB- Index BBB-/P 14,707 4,125,000 1/17/47 300 bp (215,950)
  CMBX NA BBB- Index BBB-/P 28,292 7,212,000 1/17/47 300 bp (374,979)
  CMBX NA BBB- Index BBB-/P 8,444 7,818,000 1/17/47 300 bp (428,712)
  CMBX NA BB Index — (64,151) 7,500,000 5/11/63 (500 bp) 256,307
  CMBX NA BB Index — (47,676) 4,496,000 5/11/63 (500 bp) 144,428
  CMBX NA BB Index — 51,305 2,269,000 5/11/63 (500 bp) 148,255
  CMBX NA BB Index — (19,697) 2,051,000 5/11/63 (500 bp) 67,938
  CMBX NA BB Index — 1,994 1,642,000 5/11/63 (500 bp) 72,153
  CMBX NA BB Index — 13,643 1,331,000 5/11/63 (500 bp) 70,514
  CMBX NA BB Index — 20,888 1,241,000 5/11/63 (500 bp) 73,914
  CMBX NA BB Index — (28,902) 2,794,000 1/17/47 (500 bp) 153,065
  CMBX NA BB Index — (2,841) 1,425,000 1/17/47 (500 bp) 89,966
  CMBX NA BBB- Index BBB-/P (398) 149,000 5/11/63 300 bp (4,990)
  CMBX NA BBB- Index BBB-/P 2,195 368,000 5/11/63 300 bp (9,145)
  CMBX NA BBB- Index BBB-/P (6,569) 655,000 5/11/63 300 bp (26,754)
  CMBX NA BBB- Index BBB-/P (2,793) 696,000 5/11/63 300 bp (24,241)
  CMBX NA BBB- Index BBB-/P (12,614) 757,000 5/11/63 300 bp (35,942)
  CMBX NA BBB- Index BBB-/P (7,944) 989,000 5/11/63 300 bp (38,421)
  CMBX NA BBB- Index BBB-/P (26,976) 2,473,000 5/11/63 300 bp (103,186)
  CMBX NA BBB- Index BBB-/P 49,691 4,350,000 5/11/63 300 bp (84,361)
  CMBX NA BBB- Index BBB-/P 6,129 796,000 1/17/47 300 bp (38,381)
  CMBX NA BBB- Index BBB-/P 68,953 2,227,000 1/17/47 300 bp (55,574)
  CMBX NA BBB- Index BBB-/P 73,167 3,471,000 1/17/47 300 bp (120,919)
  CMBX NA BBB- Index BBB-/P 153,572 3,815,000 1/17/47 300 bp (59,750)
  CMBX NA BBB- Index BBB-/P 153,572 3,815,000 1/17/47 300 bp (59,750)
  CMBX NA BBB- Index BBB-/P 164,677 3,816,000 1/17/47 300 bp (48,701)
  CMBX NA BBB- Index BBB-/P 116,345 3,886,000 1/17/47 300 bp (100,947)
  CMBX NA BBB- Index BBB-/P 161,576 3,887,000 1/17/47 300 bp (55,772)
  CMBX NA BBB- Index BBB-/P 167,654 5,533,000 1/17/47 300 bp (141,733)
  CMBX NA BBB- Index BBB-/P 211,188 7,129,000 1/17/47 300 bp (187,441)
  CMBX NA BBB- Index BBB-/P 405,497 12,726,000 1/17/47 300 bp (306,099)
JPMorgan Securities LLC
  CMBX NA BBB- Index — (40,340) 7,497,000 5/11/63 (300 bp) 190,693
  CMBX NA BBB- Index — (177,261) 7,388,000 5/11/63 (300 bp) 50,413
  CMBX NA BBB- Index — (95,208) 3,695,000 5/11/63 (300 bp) 18,660
  CMBX NA BBB- Index BBB-/P 204,439 3,695,000 1/17/47 300 bp (2,173)
  CMBX NA BBB- Index BBB-/P 183,233 7,225,000 1/17/47 300 bp (220,765)
  CMBX NA BBB- Index BBB-/P 389,659 7,388,000 1/17/47 300 bp (23,453)
  CMBX NA BBB- Index BBB-/P 195,989 7,497,000 1/17/47 300 bp (223,218)
Total$15,641,054$(9,705,258)
*   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 December 31, 2015. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
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 or yield 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
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2015 through December 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, 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.
(a) Percentages indicated are based on net assets of $4,447,032,427.
(b) The aggregate identified cost on a tax basis is $8,231,343,710, resulting in gross unrealized appreciation and depreciation of $54,088,644 and $470,531,387, respectively, or net unrealized depreciation of $416,442,743.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $100,822,655 $525,578,756 $525,161,652 $90,903 $101,239,759
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security 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.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $2,403,312,594 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 88.3%
Greece 2.7
Argentina 1.5
Russia 1.5
Venezuela 1.1
Canada 0.8
United Kingdom 0.8
Luxembourg 0.5
Other 2.8
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
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 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 valued 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.
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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
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 in accordance with policies and procedures approved by the Trustees. 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, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
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.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair 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.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
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, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, 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 settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or 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 variation 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.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
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, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
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.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes 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. For OTC credit default contracts, 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. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. 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.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA 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 and par amount have been established, the actual securities have not been specified. 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.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. 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 commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties 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 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.
With respect to ISDA Master Agreements, 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 or 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 $90,389,973 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $92,037,353 and may include amounts related to unsettled agreements.












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 $— $1,535,557 $—
Corporate bonds and notes — 1,449,591,614 51
Foreign government and agency bonds and notes — 405,254,662 —
Mortgage-backed securities — 2,090,177,293 123,081,365
Purchased options outstanding — 4,390,484 —
Purchased swap options outstanding — 20,513,787 —
Senior loans — 67,037,382 —
U.S. government and agency mortgage obligations — 3,309,412,125 —
Short-term investments 101,239,759 242,666,888 —
Totals by level $101,239,759 $7,590,579,792 $123,081,416



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(10,067,047) $—
Futures contracts 890,527 — —
Written options outstanding — (3,179,502) —
Written swap options outstanding — (54,833,849) —
Forward premium swap option contracts — 122,102 —
TBA sale commitments — (1,801,548,721) —
Interest rate swap contracts — (30,127,416) —
Total return swap contracts — (2,012,744) —
Credit default contracts — (25,346,312) —
Totals by level $890,527 $(1,926,993,489) $—


During the reporting period, transfers between Level 1 and Level 2 within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
The following is a reconciliation of Level 3 assets as of the close of the reporting period:

 Investments in securities:Balance as of September 30, 2015Accrued
discounts/
premiums		Realized gain/(loss)Change in
net unrealized appreciation/
(depreciation)#		Cost of purchasesProceeds from salesTotal transfers
into Level 3†		Total transfers
out of Level 3†		Balance as of December 31, 2015
Corporate bonds and notes $51 $— $—$—$—$—$—$—$51
Mortgage-backed securities 113,833,897 (3,041,830) 654,241(1,549,606)22,897,700(9,713,037)——123,081,365
Totals $113,833,948 $(3,041,830) $654,241$(1,549,606)$22,897,700$(9,713,037)$—$—$123,081,416


† Transfers during the reporting period are accounted for using the end of period market value and did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
# Includes $(1,003,981) related to Level 3 securities still held at period end.
Level 3 securities which are fair valued by Putnam, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $4,040,087 $29,386,399
Foreign exchange contracts 9,841,012 19,908,059
Interest rate contracts 106,157,240 170,393,851
Total $120,038,339 $219,688,309


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$683,500,000
Purchased swap option contracts (contract amount)$8,786,700,000
Written TBA commitment option contracts (contract amount)$1,505,800,000
Written swap option contracts (contract amount)$10,811,200,000
Futures contracts (number of contracts)2,000
Forward currency contracts (contract amount)$3,193,800,000
OTC interest rate swap contracts (notional)$937,400,000
Centrally cleared interest rate swap contracts (notional)$29,925,100,000
OTC total return swap contracts (notional)$2,363,900,000
OTC credit default contracts (notional)$713,500,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC JPMorgan Futures, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  OTC Interest rate swap contracts*#    $—  $—  $—  $—  $—  $ 4,390,028  $538,644  $—  $147,931  $—  $—  $—  $—  $—  $—    $ 5,076,603
  Centrally cleared interest rate swap contracts§    —  —  20,821,711  —  —  — — — — — — — — — —    20,821,711
  OTC Total return swap contracts*#    18,775  148,821  —  —  852,746  —  1,023,602 —  795,798 — — — — — —    2,839,742
  OTC Credit default contracts*#    —  —  —  —  2,315,535  —  1,151,977 — —  572,575 — — — — —    4,040,087
  Futures contracts§    —  —  —  —  —  — — — — —  1,770 — — — —    1,770
  Forward currency contracts#    2,206,324  447,836  —  444,319  941,962  433,525  1,090,002  840,552  829,603 — —  458,094  659,031  158,778  1,330,986    9,841,012
  Forward premium swap option contracts#    —  —  —  —  —  — — —  7,469,536 — — — — — —    7,469,536
  Purchased swap options#    2,482,360  3,470,911  —  2,928,424  7,164,018  —  4,468,074 — — — — — — — —    20,513,787
  Purchased options#    —  —  —  —  —  — — —  4,390,484 — — — — — —    4,390,484
                                       
  Total Assets    $4,707,459  $4,067,568  $20,821,711  $3,372,743  $11,274,261  $4,823,553  $8,272,299  $840,552  $13,633,352  $572,575  $1,770  $458,094  $659,031  $158,778  $1,330,986    $74,994,732
                                       
  Liabilities:                                    
  OTC Interest rate swap contracts*#    $—  $—  $—  $—  $—  $17,559,308  $—  $—  $6,480,040  $—  $—  $—  $—  $—  $—    $24,039,348
  Centrally cleared interest rate swap contracts§    —  —  26,055,222  —  —  — — — — — — — — — —    26,055,222
  OTC Total return swap contracts*#    —  618,847  —  862  99,338  25,878  3,435,650 —  671,911 — — — — — —    4,852,486
  OTC Credit default contracts*#    224,469  1,368,257  —  —  21,007,207  —  5,343,537 — —  1,442,929 — — — — —    29,386,399
  Futures contracts§    —  —  —  —  —  — — — — —  76,902 — — — —    76,902
  Forward currency contracts#    897,222  3,248,897  —  1,259,331  1,943,128  977,766  1,736,921  622,866  3,054,441 — —  3,002,130  1,293,681  1,337,151  534,525    19,908,059
  Forward premium swap option contracts#    —  —  —  —  —  — — —  7,347,434 — — — — — —    7,347,434
  Written swap options#    4,317,909  4,230,173  —  4,308,467  8,540,486  —  3,836,139 —  29,600,675 — — — — — —    54,833,849
  Written options#    —  —  —  —  —  — — —  3,179,502 — — — — — —    3,179,502
                                       
  Total Liabilities    $5,439,600  $9,466,174  $26,055,222  $5,568,660  $31,590,159  $18,562,952  $14,352,247  $622,866  $50,334,003  $1,442,929  $76,902  $3,002,130  $1,293,681  $1,337,151  $534,525    $169,679,201
                                       
  Total Financial and Derivative Net Assets    $(732,141)  $(5,398,606)  $(5,233,511)  $(2,195,917)  $(20,315,898)  $(13,739,399)  $(6,079,948)  $217,686  $(36,700,651)  $(870,354)  $(75,132)  $(2,544,036)  $(634,650)  $(1,178,373)  $796,461    $(94,684,469)
  Total collateral received (pledged)##†    $(732,141)  $(5,398,606) $—  $(2,195,917)  $(19,678,771)  $(13,739,399)  $(4,773,305)  $(139,986)  $(36,700,651)  $(870,354) $—  $(2,544,036)  $(634,650)  $(1,178,373) $—    
  Net amount   $— $—  $(5,233,511) $—  $(637,127) $—  $(1,306,643)  $357,672 $— $—  $(75,132) $— $— $—  $796,461    
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.

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



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

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

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

Putnam Diversified Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 26, 2016

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: February 26, 2016

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 26, 2016