a_masterintermediateinc.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: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate 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, 2015
Date of reporting period: December 31, 2014



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
12/31/14 (Unaudited)
MORTGAGE-BACKED SECURITIES (45.5%)(a)
Principal amount Value
Agency collateralized mortgage obligations (17.9%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.957s, 2032 $194,661 $284,279
     IFB Ser. 3408, Class EK, 25.146s, 2037 84,441 133,444
     IFB Ser. 2979, Class AS, 23.684s, 2034 22,866 28,528
     IFB Ser. 3072, Class SM, 23.207s, 2035 131,762 200,509
     IFB Ser. 3072, Class SB, 23.06s, 2035 118,037 178,968
     IFB Ser. 3249, Class PS, 21.744s, 2036 89,647 133,110
     IFB Ser. 4165, Class SJ, IO, 5.939s, 2043 2,197,152 465,906
     IFB Ser. 319, Class S2, IO, 5.839s, 2043 1,490,654 364,331
     IFB Ser. 4240, Class SA, IO, 5.839s, 2043 3,127,920 713,635
     IFB Ser. 317, Class S3, IO, 5.819s, 2043 3,276,843 830,097
     IFB Ser. 325, Class S1, IO, 5.789s, 2044 2,753,155 653,351
     IFB Ser. 326, Class S2, IO, 5.789s, 2044 6,160,782 1,511,633
     IFB Ser. 323, Class S1, IO, 5.789s, 2044 3,827,763 947,726
     IFB Ser. 308, Class S1, IO, 5.789s, 2043 2,550,869 634,962
     IFB Ser. 269, Class S1, IO, 5.789s, 2042 2,332,696 540,369
     IFB Ser. 327, Class S8, IO, 5.759s, 2044 789,052 185,033
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 2,646,888 515,349
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,490,123 271,650
     Ser. 4193, Class PI, IO, 4s, 2043 3,122,144 506,790
     Ser. 304, Class C53, IO, 4s, 2032 1,696,415 290,477
     Ser. 4338, Class TI, IO, 4s, 2029 3,446,648 451,097
     Ser. 303, Class C19, IO, 3 1/2s, 2043 3,142,745 660,885
     Ser. 304, Class C22, IO, 3 1/2s, 2042 2,080,712 452,311
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 3,995,083 558,724
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 3,648,253 510,219
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,822,638 255,589
     Ser. 304, IO, 3 1/2s, 2027 3,345,319 410,203
     Ser. 304, Class C37, IO, 3 1/2s, 2027 2,477,064 303,961
     Ser. 4165, Class TI, IO, 3s, 2042 7,840,819 1,019,307
     Ser. 4183, Class MI, IO, 3s, 2042 3,249,051 412,954
     Ser. 4210, Class PI, IO, 3s, 2041 2,341,364 246,849
     Ser. 304, Class C45, IO, 3s, 2027 3,064,285 352,463
     Ser. T-57, Class 1AX, IO, 0.39s, 2043 2,166,009 23,422
     Ser. 3326, Class WF, zero %, 2035 1,608 1,275
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.883s, 2036 140,021 260,308
     IFB Ser. 07-53, Class SP, 23.579s, 2037 113,987 176,013
     IFB Ser. 08-24, Class SP, 22.662s, 2038 115,283 170,679
     IFB Ser. 05-75, Class GS, 19.742s, 2035 99,303 136,967
     IFB Ser. 05-83, Class QP, 16.953s, 2034 147,725 198,168
     IFB Ser. 13-10, Class KS, IO, 6.031s, 2043 1,814,183 382,248
     IFB Ser. 13-19, Class DS, IO, 6.031s, 2041 4,016,052 703,437
     IFB Ser. 13-41, Class SP, IO, 6.031s, 2040 1,567,922 237,399
     IFB Ser. 12-134, Class SA, IO, 5.981s, 2042 2,558,557 619,701
     IFB Ser. 13-19, Class SK, IO, 5.981s, 2043 2,332,811 479,578
     IFB Ser. 12-122, Class SB, IO, 5.981s, 2042 2,262,971 530,463
     IFB Ser. 12-128, Class ST, IO, 5.981s, 2042 1,700,616 403,556
     IFB Ser. 13-18, Class SB, IO, 5.981s, 2041 1,846,278 297,251
     IFB Ser. 13-124, Class SB, IO, 5.781s, 2043 1,748,181 434,605
     IFB Ser. 411, Class S1, IO, 5.781s, 2042 2,224,512 505,454
     IFB Ser. 13-128, Class CS, IO, 5.731s, 2043 3,312,034 799,889
     Ser. 374, Class 6, IO, 5 1/2s, 2036 250,831 47,307
     Ser. 12-132, Class PI, IO, 5s, 2042 3,309,136 598,755
     Ser. 10-13, Class EI, IO, 5s, 2038 42,242 566
     Ser. 378, Class 19, IO, 5s, 2035 729,472 133,785
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 960,497 224,526
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 7,347,751 1,264,327
     Ser. 409, Class 81, IO, 4 1/2s, 2040 3,551,933 705,911
     Ser. 409, Class 82, IO, 4 1/2s, 2040 3,791,104 756,288
     Ser. 366, Class 22, IO, 4 1/2s, 2035 276,309 19,590
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 1,404,475 178,930
     Ser. 418, Class C24, IO, 4s, 2043 2,815,710 578,980
     Ser. 13-41, Class IP, IO, 4s, 2043 2,445,189 427,346
     Ser. 13-44, Class PI, IO, 4s, 2043 2,413,791 392,335
     Ser. 13-60, Class IP, IO, 4s, 2042 1,747,859 310,516
     Ser. 12-96, Class PI, IO, 4s, 2041 1,837,325 295,552
     Ser. 406, Class 2, IO, 4s, 2041 1,621,085 287,256
     Ser. 406, Class 1, IO, 4s, 2041 1,136,049 204,148
     Ser. 409, Class C16, IO, 4s, 2040 2,483,655 469,571
     Ser. 418, Class C15, IO, 3 1/2s, 2043 5,966,846 1,229,264
     Ser. 12-145, Class TI, IO, 3s, 2042 3,815,765 409,813
     Ser. 13-35, Class IP, IO, 3s, 2042 3,225,857 354,088
     Ser. 13-53, Class JI, IO, 3s, 2041 2,577,442 317,902
     Ser. 13-23, Class PI, IO, 3s, 2041 2,973,955 282,318
     Ser. 03-W10, Class 1, IO, 1.021s, 2043 416,532 10,413
     Ser. 99-51, Class N, PO, zero %, 2029 17,394 15,655
Government National Mortgage Association
     IFB Ser. 10-163, Class SI, IO, 6.468s, 2037 2,355,539 269,938
     IFB Ser. 11-56, Class MI, IO, 6.285s, 2041 2,131,347 445,174
     IFB Ser. 14-131, Class AS, IO, 6.035s, 2044 2,906,636 671,680
     IFB Ser. 13-116, Class SA, IO, 5.989s, 2043 1,962,458 350,789
     IFB Ser. 13-129, Class SN, IO, 5.985s, 2043 1,481,047 260,812
     IFB Ser. 13-182, Class LS, IO, 5.975s, 2043 1,667,548 394,245
     IFB Ser. 14-90, Class HS, IO, 5.935s, 2044 2,530,443 631,396
     IFB Ser. 12-77, Class MS, IO, 5.935s, 2042 1,605,963 411,849
     IFB Ser. 11-128, Class TS, IO, 5.889s, 2041 1,316,798 229,781
     IFB Ser. 13-99, Class AS, IO, 5.885s, 2043 1,462,819 305,715
     IFB Ser. 11-70, Class SM, IO, 5.729s, 2041 2,415,000 437,791
     IFB Ser. 11-70, Class SH, IO, 5.729s, 2041 2,481,000 465,981
     Ser. 14-122, Class IC, IO, 5s, 2044 2,234,236 423,723
     Ser. 13-22, Class IE, IO, 5s, 2043 2,513,579 501,013
     Ser. 13-22, Class OI, IO, 5s, 2043 2,346,060 505,254
     Ser. 13-3, Class IT, IO, 5s, 2043 2,096,865 448,893
     Ser. 13-6, Class IC, IO, 5s, 2043 1,833,482 368,603
     Ser. 12-146, Class IO, IO, 5s, 2042 1,849,239 360,287
     Ser. 13-6, Class CI, IO, 5s, 2042 1,366,570 252,720
     Ser. 13-130, Class IB, IO, 5s, 2040 1,712,289 189,504
     Ser. 13-16, Class IB, IO, 5s, 2040 2,327,823 181,972
     Ser. 11-41, Class BI, IO, 5s, 2040 1,384,386 134,064
     Ser. 10-35, Class UI, IO, 5s, 2040 1,087,683 229,773
     Ser. 10-20, Class UI, IO, 5s, 2040 2,025,737 386,106
     Ser. 10-9, Class UI, IO, 5s, 2040 10,291,198 2,185,094
     Ser. 09-121, Class UI, IO, 5s, 2039 4,285,398 877,221
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 3,869,833 725,628
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,345,805 269,309
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 856,813 75,682
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 261,277 40,652
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 3,842,902 715,164
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 8,921,865 1,694,414
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 3,954,623 756,804
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 2,423,206 487,912
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 1,423,301 364,820
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 894,721 126,353
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 2,943,431 377,289
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,121,820 96,095
     Ser. 14-4, Class IC, IO, 4s, 2044 1,938,639 390,907
     Ser. 13-165, Class IL, IO, 4s, 2043 1,451,149 237,727
     Ser. 12-56, Class IB, IO, 4s, 2042 1,524,342 296,099
     Ser. 12-47, Class CI, IO, 4s, 2042 3,783,181 696,023
     Ser. 12-41, Class IP, IO, 4s, 2041 3,936,564 697,685
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 6,858,836 880,743
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 2,331,077 318,429
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 3,090,370 418,931
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 4,559,315 621,891
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 6,304,309 805,123
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 3,334,154 460,913
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 3,514,781 701,586
     Ser. 14-44, Class IA, IO, 3 1/2s, 2028 4,993,155 564,726
     Ser. 06-36, Class OD, PO, zero %, 2036 4,835 4,296
55,644,843
Commercial mortgage-backed securities (16.5%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 656,000 677,738
     FRB Ser. 05-5, Class D, 5.243s, 2045 600,000 609,000
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 24,913 12,349
     Ser. 07-5, Class XW, IO, 0.369s, 2051 77,617,026 672,629
Bear Stearns Commercial Mortgage Securities Trust
     Ser. 05-PWR7, Class D, 5.304s, 2041 441,000 435,465
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 703,487
     Ser. 05-PWR9, Class C, 5.055s, 2042 401,000 408,018
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.435s, 2039 544,000 544,751
     Ser. 06-PW14, Class XW, IO, 0.64s, 2038 17,537,267 170,813
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.568s, 2047 409,000 438,440
Citigroup Commercial Mortgage Trust
     Ser. 06-C5, Class AJ, 5.482s, 2049 610,000 596,212
     FRB Ser. 05-C3, Class B, 5.029s, 2043 1,720,000 1,711,073
     Ser. 13-GC11, Class D, 4.458s, 2046 623,000 594,077
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.124s, 2044 507,000 501,930
     Ser. 07-CD5, Class XS, IO, 0.171s, 2044 25,751,782 110,295
COMM Mortgage Trust FRB Ser. 07-C9, Class F, 5.796s, 2049 962,000 952,380
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.647s, 2044 345,000 367,287
     FRB Ser. 14-CR18, Class D, 4.74s, 2047 971,000 929,382
     FRB Ser. 13-LC6, Class D, 4.288s, 2046 182,000 172,849
     Ser. 12-LC4, Class E, 4 1/4s, 2044 392,000 351,581
     Ser. 13-LC13, Class E, 3.719s, 2046 574,000 440,198
     FRB Ser. 07-C9, Class AJFL, 0.852s, 2049 241,000 226,844
Credit Suisse Commercial Mortgage Trust Ser. 06-C5, Class AX, IO, 0.717s, 2039 20,187,756 220,796
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 615,574 307,787
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.419s, 2044 987,000 1,036,649
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 0.993s, 2020 2,161,894 33,055
GE Capital Commercial Mortgage Corp.
     FRB Ser. 06-C1, Class AJ, 5.274s, 2044 328,000 331,890
     FRB Ser. 05-C1, Class D, 4.949s, 2048 2,843,000 2,771,555
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 310,030 308,130
GMAC Commercial Mortgage Securities, Inc. Trust 144A Ser. 04-C3, Class X1, IO, 0.874s, 2041 4,999,049 30,698
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class D, 4.986s, 2042 803,000 801,874
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 846,000 855,198
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.638s, 2045 311,000 327,390
     Ser. 11-GC3, Class E, 5s, 2044 577,000 552,525
     FRB Ser. 13-GC10, Class D, 4.414s, 2046 507,000 490,299
     Ser. 05-GG4, Class XC, IO, 0.703s, 2039 37,339,584 93,349
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.074s, 2051 1,404,500 1,457,646
     FRB Ser. 06-LDP8, Class B, 5.52s, 2045 362,000 363,053
     FRB Ser. 06-LDP6, Class B, 5.501s, 2043 793,000 793,000
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 847,000 849,766
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.174s, 2051 746,000 754,657
     FRB Ser. 07-CB20, Class C, 6.174s, 2051 410,000 388,701
     FRB Ser. 11-C3, Class F, 5.567s, 2046 410,000 413,277
     FRB Ser. 12-C8, Class E, 4.666s, 2045 113,000 111,810
     FRB Ser. 13-C13, Class D, 4.056s, 2046 473,000 444,774
     Ser. 13-C13, Class E, 3.986s, 2046 639,000 520,689
     Ser. 13-C10, Class E, 3 1/2s, 2047 808,000 593,314
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 541,000 384,489
     Ser. 07-CB20, Class X1, IO, 0.313s, 2051 50,627,467 399,147
LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 392,514 412,139
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.728s, 2039 1,797,000 1,617,300
     Ser. 06-C3, Class AJ, 5.72s, 2039 739,000 739,798
     Ser. 06-C6, Class E, 5.541s, 2039 750,000 719,318
     FRB Ser. 06-C6, Class C, 5.482s, 2039 984,000 966,780
LB-UBS Commercial Mortgage Trust 144A Ser. 06-C6, Class XCL, IO, 0.674s, 2039 17,456,895 184,973
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.371s, 2028 53,220 4
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.289s, 2051 395,000 431,415
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.773s, 2037 55,609 1,657
     Ser. 07-C5, Class X, IO, 5.545s, 2049 1,087,571 58,185
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 570,000 579,040
     Ser. 06-4, Class AJ, 5.239s, 2049 248,000 251,050
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 388,000 377,524
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 13-C11, Class D, 4.417s, 2046 359,000 337,855
     FRB Ser. 13-C10, Class E, 4.083s, 2046 523,000 477,436
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,136,061
     Ser. 07-HQ11, Class C, 5.558s, 2044 590,000 574,707
     FRB Ser. 06-HQ8, Class D, 5.492s, 2044 598,000 585,837
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 446,000 448,466
Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,131,546 1,074,618
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 1,134,033 1,138,637
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 193,000 38,600
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 557,330 139,333
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 4.958s, 2049 513,000 511,487
     Ser. 13-C6, Class D, 4.352s, 2046 612,000 578,205
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.999s, 2045 2,150,000 2,165,760
     FRB Ser. 06-C25, Class AJ, 5.723s, 2043 474,000 490,590
     FRB Ser. 05-C20, Class B, 5.237s, 2042 1,054,000 1,072,687
     Ser. 07-C34, IO, 0.308s, 2046 14,177,476 115,263
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C17, Class E, 5.396s, 2042 385,000 384,130
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.778s, 2045 462,000 421,575
     FRB Ser. 13-LC12, Class D, 4.302s, 2046 803,000 744,653
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.635s, 2044 108,000 116,036
     Ser. 12-C6, Class E, 5s, 2045 534,000 520,864
     FRB Ser. 12-C7, Class E, 4.845s, 2045 250,000 250,339
     FRB Ser. 13-UBS1, Class D, 4.632s, 2046 953,000 920,808
     FRB Ser. 12-C7, Class F, 4 1/2s, 2045 2,524,000 2,104,764
     Ser. 14-C19, Class D, 4.234s, 2047 953,000 863,460
     Ser. 13-C12, Class E, 3 1/2s, 2048 510,000 399,538
51,213,208
Residential mortgage-backed securities (non-agency) (11.1%)
Banc of America Funding Trust
     FRB Ser. 14-R7, Class 3A1, 2.615s, 2036 423,000 433,575
     FRB Ser. 14-R7, Class 3A2, 2.615s, 2036 128,000 107,866
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 9A4, 6.727s, 2036 250,000 252,875
     FRB Ser. 12-RR10, Class 9A2, 2.71s, 2035 980,000 913,948
     FRB Ser. 12-RR5, Class 4A8, 0.326s, 2035 375,000 337,886
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 6.307s, 2036 575,000 547,688
     FRB Ser. 12-RR12, Class 4A7, 2.831s, 2036 540,000 500,850
     FRB Ser. 09-RR11, Class 2A2, 2.41s, 2035 850,000 773,500
     FRB Ser. 14-RR2, Class 3A2, 1.075s, 2046 520,000 349,050
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-12, Class 12A1, 2.487s, 2036 658,971 589,612
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.03s, 2034 43,312 22,266
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-WFH2, Class M1, 0.57s, 2037 1,470,000 1,154,685
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 12-4, Class 3A2, 5.981s, 2036 627,762 555,569
     FRB Ser. 41891, Class 7A2, 2.487s, 2036 800,000 760,240
Countrywide Alternative Loan Trust
     FRB Ser. 05-38, Class A3, 0.52s, 2035 1,214,050 1,053,188
     FRB Ser. 05-59, Class 1A1, 0.487s, 2035 569,084 460,958
     FRB Ser. 06-HY11, Class A1, 0.29s, 2036 634,647 537,546
Countrywide Asset Backed Certificates FRB Ser. 06-4, Class 2A3, 0.46s, 2036 425,000 362,467
Countrywide Home Loans FRB Ser. 06-HYB1, Class 1A1, 2.458s, 2036 926,672 812,889
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, Class 1A4, 0.57s, 2037 500,000 427,500
Credit Suisse First Boston Mortgage Securities Corp. FRB Ser. 03-AR30, Class CB1, 2.465s, 2034 403,537 364,033
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 384,009 611,984
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 1,028,000 1,265,078
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.7s, 2035 $370,259 322,495
     FRB Ser. 05-5, Class M1, 0.62s, 2035 362,566 309,778
     FRB Ser. 05-3, Class A2, 0.52s, 2035 432,419 388,096
Newcastle Mortgage Securities Trust FRB Ser. 06-1, Class M2, 0.54s, 2036 410,000 323,900
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.56s, 2035 349,761 318,282
RBSSP Resecuritization Trust 144A FRB Ser. 10-1, Class 3A2, 5.205s, 2035 1,250,000 1,219,125
Residential Accredit Loans, Inc.
     FRB Ser. 07-QH9, Class A1, 1.406s, 2037 706,554 459,967
     FRB Ser. 06-QO7, Class 2A1, 0.963s, 2046 1,010,361 704,727
     FRB Ser. 06-QO5, Class 2A1, 0.36s, 2046 965,785 748,484
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.183s, 2046 2,018,818 1,806,842
     FRB Ser. 06-AR3, Class A1B, 1.113s, 2046 938,412 762,929
     FRB Ser. 05-AR11, Class A1C3, 0.68s, 2045 1,557,453 1,368,378
     FRB Ser. 05-AR19, Class A1C3, 0.67s, 2045 2,160,164 1,906,345
     FRB Ser. 05-AR13, Class A1C3, 0.66s, 2045 3,623,066 3,188,298
     FRB Ser. 05-AR8, Class 2AC2, 0.63s, 2045 1,032,378 927,592
     FRB Ser. 05-AR11, Class A1C4, 0.61s, 2045 792,541 690,541
     FRB Ser. 05-AR13, Class A1B2, 0.6s, 2045 746,572 664,449
     FRB Ser. 05-AR17, Class A1B2, 0.58s, 2045 710,723 615,699
     FRB Ser. 05-AR15, Class A1B2, 0.58s, 2045 1,162,286 1,028,623
     FRB Ser. 05-AR19, Class A1C4, 0.57s, 2045 589,717 516,002
     FRB Ser. 05-AR11, Class A1B3, 0.57s, 2045 1,191,790 1,066,652
     FRB Ser. 05-AR8, Class 2AC3, 0.56s, 2045 363,786 324,679
     FRB Ser. 05-AR6, Class 2A1C, 0.51s, 2045 333,222 294,901
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR2, Class 2A1, 2.612s, 2036 1,159,997 1,156,401
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.335s, 2047 500,000 370,000
34,678,438
Total mortgage-backed securities (cost $133,415,403) $141,536,489

CORPORATE BONDS AND NOTES (32.2%)(a)
Principal amount Value
Basic materials (2.6%)
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 $35,000 $37,906
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 87,000 92,200
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) 477,000 575,978
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 298,000 312,900
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 150,000 148,500
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 196,100
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 490,000 477,750
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 200,000 204,900
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 211,000 205,198
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 241,000 246,423
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 90,000 87,525
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 238,000 214,200
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 298,000 312,155
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 153,000 175,185
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 137,000 134,260
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 174,000 154,860
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 145,000 140,650
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 170,000 164,900
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 328,000 351,780
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 310,000 307,675
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 112,000 110,320
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 73,500
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 200,000 191,500
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 265,000 291,500
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 229,000 241,023
Mercer International, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 60,000 60,750
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 189,000 2
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 189,000 160,178
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 119,000 116,620
NOVA Chemicals Corp. 144A sr. unsec. notes 5s, 2025 (Canada) 40,000 39,700
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 196,500
PQ Corp. 144A sr. notes 8 3/4s, 2018 135,000 139,725
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 98,000 97,206
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 235,000 241,463
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 181,000 174,213
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 71,000 79,343
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 124,000 135,780
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 110,000 111,650
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 75,000 75,750
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 54,000 53,595
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 49,000 57,453
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 30,000 31,800
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 40,000 42,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 20,000 20,300
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 50,000 51,250
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 30,000 30,563
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 131,000 134,930
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 142,000 138,095
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 125,000 126,250
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 55,000 52,250
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 203,000 211,628
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 125,000 128,125
8,156,007
Capital goods (2.1%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 455,000 455,000
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 419,000 469,280
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 120,000 116,700
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 215,000 211,238
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 255,000 244,800
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 106,575
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 54,000 60,075
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 106,000 108,120
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 119,000 120,785
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 235,000 252,625
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 184,000 178,480
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 364,000 348,530
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 85,000 86,488
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 100,000 130,186
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 $286,000 290,290
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 310,000 291,400
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 75,000 75,938
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 155,000 164,300
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 402,000 410,040
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 150,000 151,500
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 269,000 283,795
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 200,000 211,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 56,000 57,400
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 100,000 105,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 100,000 103,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 295,000 302,375
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 140,000 148,050
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 45,000 46,575
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 282,000 287,640
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 45,000 47,925
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 340,000 341,700
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 217,000 227,850
6,435,660
Communication services (4.6%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 480,000 480,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 265,000 294,813
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 169,500
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 99,000 103,950
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 573,000 573,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 362,000 352,950
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 53,000 55,054
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 3/4s, 2024 180,000 182,025
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 1/2s, 2022 241,000 244,615
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 170,000 186,150
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 40,000 41,500
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 306,000 312,120
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 85,000 85,850
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 165,000 181,913
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 130,000 130,650
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 346,000 350,325
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 238,000 243,058
DISH DBS Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 185,000 185,925
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 156,000 176,280
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 80,000 80,400
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 50,000 52,500
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 143,000 153,368
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 83,000 91,300
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 80,000 82,200
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 149,800
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 277,000 282,540
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 458,000 459,145
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 260,000 265,200
Level 3 Communications, Inc. 144A sr. unsec. unsub. notes 5 3/4s, 2022 60,000 60,375
Level 3 Escrow II, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 205,000 206,025
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 143,000 154,261
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 17,000 17,914
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 65,000 67,275
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default)(NON) 62,000 44,330
Numericable Group SA 144A sr. bonds 6 1/4s, 2024 (France) 200,000 201,500
Numericable Group SA 144A sr. notes 6s, 2022 (France) 600,000 606,000
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 156,000 163,800
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 180,000 184,050
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 55,000 55,979
SFR-Numericable 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 125,240
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 $105,000 104,475
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 286,000 325,296
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 753,000 743,362
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 290,000 287,463
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 369,000 377,303
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 75,000 78,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 140,000 142,240
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 206,000 210,635
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 190,000 192,850
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 156,000 156,390
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 295,000 400,158
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 100,000 132,007
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 105,000 137,883
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 112,000 146,296
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 235,000 302,143
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 361,000 468,328
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $363,000 369,353
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 235,000 385,592
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $268,000 256,610
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 410,000 426,913
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) 200,000 188,760
Wind Acquisition Finance SA 144A sr. bonds 4s, 2020 (Luxembourg) EUR 125,000 147,868
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 $247,000 267,378
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 109,000 111,180
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 128,000 119,680
14,331,043
Consumer cyclicals (5.7%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 336,000 331,800
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 82,000 89,175
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 110,000 111,650
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 200,000 224,325
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 219,000 237,068
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 185,000 184,075
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 58,000 48,430
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 235,000 245,575
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 120,000 124,224
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 180,000 190,350
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 330,000 329,175
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2025 135,000 136,013
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 199,000 200,990
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 100,000 100,500
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 44,775
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 105,000 116,288
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 72,000 70,380
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 25,000 23,625
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 33,000 35,145
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 136,000 142,800
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 362,000 372,860
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 176,000 177,760
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 100,000 101,250
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 399,000 416,955
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 200,000 209,500
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 179,000 185,927
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 156,000 158,730
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 4,000 4,090
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 233,000 231,253
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 134,000 128,305
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 175,000 177,188
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 65,000 66,463
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 266,000 273,980
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 235,363
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 $88,000 69,080
Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico) 122,000 135,513
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 282,000 291,870
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 105,000 106,050
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 265,000 259,700
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 316,000 311,260
Interactive Data Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2019 42,000 41,685
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 105,000 106,575
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 130,000 135,200
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 356,000 368,460
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 232,000 215,760
Jo-Ann Stores, LLC 144A sr. unsec. notes 9 3/4s, 2019(PIK) 75,000 63,750
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 197,000 221,133
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 85,000 91,800
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 55,000 57,063
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 80,000 82,400
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 245,000 259,088
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 249,000 244,020
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 85,000 85,000
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 110,000 114,400
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 248,000 264,740
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 275,000 276,375
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 119,000 117,810
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 175,000 183,750
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 162,000 160,785
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 152,000 159,220
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 525,213 568,543
Navistar International Corp. sr. notes 8 1/4s, 2021 170,000 166,600
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 280,000 296,800
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 95,000 100,463
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 85,000 88,188
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 258,000 258,968
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 290,000 303,775
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 178,000 190,460
Owens Corning company guaranty sr. unsec. notes 9s, 2019 92,000 111,336
Owens Corning company guaranty sr. unsec. unsub. notes 4.2s, 2024 170,000 168,171
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 222,000 206,460
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 192,000 199,200
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 140,000 141,750
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 100,000 105,000
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 168,000 158,323
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 35,000 33,425
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 40,000 42,400
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 240,000 253,200
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 286,000 306,020
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 54,000 45,900
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 50,000 35,000
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 150,000 151,875
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 10s, 2022 295,000 270,294
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 98,000 100,940
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 24,000 23,820
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 27,000 27,473
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 218,000 210,915
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 142,000 145,195
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 227,000 234,378
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 20,000 21,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 330,000 330,000
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 10,000 10,625
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 10,000 10,425
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 65,000 67,925
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 243,000 249,075
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 85,000 85,000
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 47,000 42,770
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 70,000 66,850
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 326,000 318,665
Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom) GBP 217,000 349,547
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 $318,000 318,000
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 350,000 386,750
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 50,000 50,250
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 89,000 94,785
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 200,000 208,250
17,703,263
Consumer staples (2.0%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 205,000
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 455,000 483,438
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 170,000 173,400
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 70,000 70,700
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 340,000 348,500
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 253,000 259,325
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 105,000 101,850
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 382,000 417,874
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 50,000 49,688
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 255,000 252,450
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 99,450
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 20,000 20,250
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 15,000 15,113
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 247,000 237,738
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 123,000 119,618
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 342,000 313,785
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 152,000 245,043
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $200,000 188,500
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 345,000 348,450
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 67,000 70,518
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 350,000 362,250
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 55,000 56,650
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 150,000 159,000
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 140,000 137,550
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 240,000 240,000
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 235,000 256,444
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 55,000 58,781
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 334,000 366,983
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 137,000 141,110
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 120,000 126,000
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 85,000 87,975
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 195,000 200,850
6,214,283
Energy (5.5%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 155,000 47,275
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 130,000 122,525
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 192,000 185,760
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 205,000 174,250
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 25,000 21,250
California Resources Corp. 144A company guaranty sr. unsec. notes 6s, 2024 220,000 185,900
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020 105,000 91,088
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 123,000 123,000
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 95,200
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 50,000 63,138
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 $50,000 51,500
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 91,000 88,498
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 236,250
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 193,000 193,965
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 88,880
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 225,000 67,783
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $46,000 16,790
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 135,000 125,550
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 31,000 29,450
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 192,000 175,680
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 130,000 99,450
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 65,000 56,550
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 150,000 127,500
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 105,000 76,650
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 2,055,000 2,136,526
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 310,000 303,025
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 85,000 83,088
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 170,000 127,500
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 357,000 268,643
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 150,000 142,500
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 45,000 38,250
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 70,000 61,600
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 121,000 75,020
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 55,000 55,963
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 124,000 124,310
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 317,000 221,900
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 157,000 127,170
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 169,000 144,495
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 265,000 223,925
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 80,000 4
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 51,000 46,538
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 108,000 96,390
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 225,000 166,500
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 86,000 77,400
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 229,000 208,390
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 200,000 150,000
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 92,000 65,320
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 85,000 51,850
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 292,000 175,200
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 925,000 925,000
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 191,000
Petrobras International Finance Co. SA (PIFCO) company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 390,000 407,971
Petrobras International Finance Co. SA (PIFCO) company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 579,106
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,475,000 680,344
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 384,000 202,560
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 870,000 645,975
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 2,445,000 1,398,540
Petroleos de Venezuela SA 144A company guaranty sr. unsec. unsub. notes 9s, 2021 (Venezuela) 100,000 43,750
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,535,000 1,815,138
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 60,000 56,100
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 190,000 169,100
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 110,000 100,661
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 100,000 97,750
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 100,000 101,750
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 100,000 98,125
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 75,000 75,750
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 415,000 171,966
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 155,000 148,800
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 20,000 11,800
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 165,000 135,300
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 85,000 83,300
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 105,000 101,325
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 46,000 33,668
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $55,000 47,025
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 45,000 27,788
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 6 1/4s, 2022 20,000 19,950
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 5 1/2s, 2019 15,000 14,888
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 30,000 19,800
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 253,000 225,803
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 315,000 288,225
Williams Partners LP / ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 135,000 140,738
Williams Partners LP / ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 154,063
Williams Partners LP / ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 249,000 253,980
17,182,428
Financials (3.8%)
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 662,463
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 940,000 916,239
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 75,000 76,500
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 137,000 140,000
CIT Group, Inc. sr. unsec. notes 5s, 2023 110,000 112,475
CIT Group, Inc. sr. unsec. notes 5s, 2022 130,000 133,575
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 142,682
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 65,000 64,838
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 222,425
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 165,000 174,075
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 111,000 72,150
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 159,000 159,000
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 135,600
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 251,000 266,060
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 125,000 127,813
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 205,000 203,975
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 68,000 67,320
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 348,000 358,510
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 215,000 215,941
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 15,000 16,313
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 115,000 121,038
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 55,000 53,350
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 75,000 80,250
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 215,000 230,050
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 80,000 76,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 213,000 193,830
Navient, LLC sr. unsec. unsub. notes Ser. A, MTN, 8.45s, 2018 229,000 255,335
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 15,000 15,788
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 128,000 117,120
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 118,000 120,655
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 100,000 102,500
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 215,000 215,538
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 50,000 45,875
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 225,000 217,688
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) 100,000 101,719
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 2,750,000 2,420,000
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 325,000 286,000
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 500,000 466,125
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 160,000 156,800
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 590,000 584,100
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 157,672
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 70,000 58,800
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) 200,000 150,000
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 264,000 257,400
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 826,276
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 113,000 110,740
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 135,000 120,488
11,809,891
Health care (2.6%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 195,000 198,900
Acadia Healthcare Co., Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 85,000 83,725
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 139,000 144,838
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 50,000 50,500
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 173,000 173,000
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 85,000 85,213
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 30,000 31,125
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 62,000 64,170
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 35,000 37,078
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 200,000 203,000
ConvaTec Healthcare D SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 125,660
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 $240,000 215,700
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 208,761 337,570
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 $175,000 178,500
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 278,000 278,695
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 165,000 161,288
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 165,000 176,138
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 4 3/4s, 2024 60,000 60,600
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 158,000 160,370
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 93,000 93,233
HCA, Inc. sr. notes 6 1/2s, 2020 825,000 922,969
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 55,000 62,700
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 166,000 174,300
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 49,000 50,470
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 220,000 224,840
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 180,000 193,050
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 208,000 211,120
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 393,000 430,335
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 85,000 90,100
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 130,000 135,283
Omnicare, Inc. sr. unsec. notes 5s, 2024 30,000 30,750
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 135,000 137,025
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 235,000 245,575
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 60,000 61,200
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 388,000 395,760
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 278,000 284,950
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 160,000 166,800
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 50,000 50,000
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 50,000 50,125
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 132,000 131,010
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 355,000 386,950
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 231,000 248,055
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 30,000 31,650
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 40,000 41,260
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 31,350
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 35,000 35,263
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 3/4s, 2018 139,000 147,864
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 188,000 194,110
8,024,167
Technology (1.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 80,000 83,600
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 107,000 91,485
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 466,000 454,350
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 74,000 87,875
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 63,000 71,505
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 164,000 188,190
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 700,000 749,000
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 40,000 43,700
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 110,000 114,950
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 55,000 58,850
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 185,000 192,400
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 185,000 194,250
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 400,000 394,000
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 115,000 116,150
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 125,000 130,625
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 200,000 266,901
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 265,000 338,133
3,575,964
Transportation (0.2%)
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $158,000 164,715
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 270,000 262,575
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 280,000 277,200
704,490
Utilities and power (1.9%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 475,000 533,188
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 152,550
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 70,000 70,000
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 340,000 344,250
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 45,000 47,813
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 35,000 37,013
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 350,000 357,000
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 5/8s, 2024 10,000 10,200
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 3/8s, 2022 20,000 20,350
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 6 3/4s, 2019 338,000 343,915
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019 401,000 501
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 247,000 312,826
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 175,000 207,375
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 150,000 166,500
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 56,000 56,700
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 50,000 46,750
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 279,000 281,790
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 65,000 67,068
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 190,000 187,150
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 44,775
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 186,000 193,592
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 785,000 903,527
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 641,113
NRG Yield Operating, LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 85,000 86,275
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 170,000 169,575
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 115,800
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 85,000 80,325
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 100,000 91,750
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 199,995
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 90,000 63,675
5,833,341
Total corporate bonds and notes (cost $103,919,334) $99,970,537

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (21.6%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (21.6%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, January 1, 2045 $3,000,000 $3,356,250
     4 1/2s, TBA, January 1, 2045 20,000,000 21,717,188
     4s, TBA, January 1, 2045 25,000,000 26,691,405
     3 1/2s, TBA, January 1, 2045 9,000,000 9,386,719
     3s, TBA, January 1, 2045 6,000,000 6,072,656
67,224,218
Total U.S. government and agency mortgage obligations (cost $66,732,578) $67,224,218

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Bonds 3.375%, May 15, 2044(i) $38,000 $42,975
U.S. Treasury Notes
     0.875%, September 15, 2016(i) 132,000 132,998
     0.625%, November 30, 2017(i) 88,000 86,888
     1.000%, May 31, 2018(i) 16,000 15,856
Total U.S. treasury Obligations (cost $278,717) $278,717

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.6%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,020,000 $1,937,180
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 5,276,000 5,220,602
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 1,750,000 1,522,500
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 420,000 448,115
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) (units) BRL 1,500 537,610
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) $797,000 791,023
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 725,000 681,500
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 170,000,000 293,325
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) $200,000 213,000
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 225,000 239,063
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 265,000 289,513
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 175,000 105,000
Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) 400,000 378,000
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 203,000 204,125
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 691,585 637,987
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 1,215,000 1,172,113
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 1,092,000 1,053,834
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 7,151,492 5,478,894
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 3,725,000 2,857,715
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $560,000 532,969
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 200,000 211,000
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 200,000 176,850
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,598,200 1,650,142
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 2,600,000 2,492,100
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 100,000 99,875
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 65,226 66,102
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) 200,000 200,592
Turkey (Republic of) sr. unsec. bonds 5 3/4s, 2024 (Turkey) 500,000 558,750
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 1,205,000 1,347,190
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 1,725,000 1,035,000
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,285,000 649,902
Total foreign government and agency bonds and notes (cost $37,068,570) $33,081,571

SENIOR LOANS (2.3%)(a)(c)
Principal amount Value
Basic materials (0.1%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 $104,475 $102,255
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 70,946 68,741
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 59,625 57,464
WR Grace & Co. bank term loan FRN 3s, 2021 106,308 105,555
WR Grace & Co. bank term loan FRN Ser. DD, 1s, 2021(U) 38,158 37,888
371,903
Capital goods (0.1%)
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 141,645 137,497
137,497
Communication services (0.2%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021 139,000 137,871
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 144,530 142,211
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 75,000 74,438
Level 3 Financing, Inc. bank term loan FRN Ser. B5, 4 1/2s, 2022 130,000 130,041
484,561
Consumer cyclicals (1.1%)
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.985s, 2017 851,175 746,906
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 69,650 61,153
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 258,700 238,004
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021 169,607 167,063
Delta 2 (Lux) Sarl bank term loan FRN 4 3/4s, 2021 (Luxembourg) 130,000 126,588
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 207,381 191,137
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 3 1/2s, 2020 197,368 194,655
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.906s, 2019 323,000 303,822
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 429,750 412,918
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 111,606 110,768
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 286,978 280,442
ROC Finance, LLC bank term loan FRN 5s, 2019 128,697 119,366
Travelport Finance Sarl bank term loan FRN Ser. B, 6s, 2021 (Luxembourg) 175,000 174,519
Univision Communications, Inc. bank term loan FRN 4s, 2020 305,113 297,790
Visteon Corp. bank term loan FRN Ser. DD, 3 1/2s, 2021 94,525 93,225
3,518,356
Consumer staples (0.2%)
BC ULC bank term loan FRN Ser. B, 4 1/2s, 2021 (Canada) 155,000 154,557
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021 147,883 143,693
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 128,264 127,279
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 84,575 83,095
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 168,399 165,294
673,918
Health care (0.2%)
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 138,600 138,138
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.156s, 2021 223,313 219,963
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 79,600 78,124
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 84,656 82,398
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada) 119,700 115,959
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020 104,487 103,398
737,980
Technology (0.2%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.67s, 2017 104,078 99,676
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 207,549 204,371
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 64,511 64,246
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 291,313 289,856
658,149
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) 205,000 201,925
201,925
Utilities and power (0.1%)
Energy Future Intermediate Holding Co., LLC bank term loan FRN 4 1/4s, 2016 75,000 74,953
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.648s, 2017 496,516 320,193
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.648s, 2017 5,096 3,273
398,419
Total senior loans (cost $7,551,387) $7,182,708

PURCHASED SWAP OPTIONS OUTSTANDING (0.8%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.38/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.38 $21,333,200 $212,692
     2.3925/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.3925 14,724,200 153,573
     2.28/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.28 21,333,200 104,533
     2.285/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.285 14,724,200 66,553
Barclays Bank PLC
     2.43/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.43 14,724,200 191,120
     2.33/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.33 14,724,200 94,235
Citibank, N.A.
     2.20/3 month USD-LIBOR-BBA/May-25 May-15/2.20 21,333,200 186,879
     2.528/3 month USD-LIBOR-BBA/Mar-25 Mar-15/2.528 7,362,100 157,255
     2.2425/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.2425 39,624,000 135,910
     2.426/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.426 7,777,500 97,530
     2.322/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.322 7,777,500 44,410
     (2.4775)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.4775 39,624,000 43,190
Credit Suisse International
     2.25/3 month USD-LIBOR-BBA/May-25 May-15/2.25 33,114,000 340,412
     2.40/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.40 18,385,000 204,809
     2.30/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.30 18,385,000 102,772
     (2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60 38,845,900 36,515
Goldman Sachs International
     2.23/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.23 39,624,000 121,249
     (2.47)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.47 39,624,000 47,153
     (2.89)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.89 3,681,050 26,393
     (2.94)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.94 3,681,050 14,430
     (3.04)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/3.04 3,681,050 6,184
Total purchased swap options outstanding (cost $2,447,861) $2,387,797

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/$100.37 $22,000,000 $115,500
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.41 11,000,000 28,380
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.22 11,000,000 24,420
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/103.13 11,000,000 660
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/102.94 11,000,000 330
Total purchased options outstanding (cost $741,641) $169,290

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 353 $352,857
M/I Homes, Inc. Ser. A, $2.438 pfd. 4,100 106,149
Total preferred stocks (cost $302,913) $459,006

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
United Technologies Corp. $3.75 cv. pfd. 2,330 $142,899
Total convertible preferred stocks (cost $127,885) $142,899

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $100,000 $126,438
Total convertible bonds and notes (cost $105,355) $126,438

COMMON STOCKS (0.0%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 9,978 $399
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 9,978 399
Tribune Co. Class 1C(F) 40,066 10,017
Total common stocks (cost $65,186) $10,815

SHORT-TERM INVESTMENTS (8.1%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.10%(AFF) Shares 13,296,614 $13,296,614
SSgA Prime Money Market Fund Class N 0.04%(P) Shares 490,000 490,000
U.S. Treasury Bills with effective yields ranging from 0.03% to 0.04%, April 2, 2015(SEGCCS) $1,067,000 1,066,893
U.S. Treasury Bills with an effective yield of 0.01%, February 12, 2015(SEGSF) 100,000 99,999
U.S. Treasury Bills with effective yields ranging from zero% to 0.01%, February 5, 2015(SEGSF)(SEGCCS) 5,899,000 5,898,957
U.S. Treasury Bills with an effective yield of 0.01%, January 15, 2015(SEGCCS) 137,000 136,999
U.S. Treasury Bills with effective yields ranging from zero% to 0.01%, January 22, 2015(SEGSF)(SEGCCS) 783,000 782,997
U.S. Treasury Bills with an effective yield of 0.01%, January 8, 2015(SEGSF)(SEGCCS) 212,000 212,000
U.S. Treasury Bills with an effective yield of 0.11%, July 23, 2015(SEG)(SEGSF)(SEGCCS) 3,253,000 3,250,947
Total short-term investments (cost $25,235,559) $25,235,406

TOTAL INVESTMENTS
Total investments (cost $377,992,389)(b) $377,805,891













FORWARD CURRENCY CONTRACTS at 12/31/14 (aggregate face value $170,875,314) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Sell 1/21/15 $393,699 $426,728 $33,029
Canadian Dollar Sell 1/21/15 1,556,951 1,559,928 2,977
Chilean Peso Sell 1/21/15 381,145 385,350 4,205
Chinese Yuan (Offshore) Buy 2/13/15 977 15,776 (14,799)
Euro Sell 3/18/15 2,175,050 2,254,334 79,284
South Korean Won Buy 2/13/15 1,596,808 1,584,751 12,057
South Korean Won Sell 2/13/15 1,576,302 1,588,739 12,437
Barclays Bank PLC
Australian Dollar Sell 1/21/15 1,488,277 1,567,921 79,644
Canadian Dollar Sell 1/21/15 1,596,013 1,651,110 55,097
Chinese Yuan (Offshore) Buy 2/13/15 3,200,878 3,233,485 (32,607)
Japanese Yen Sell 2/13/15 723,107 767,544 44,437
Mexican Peso Buy 1/21/15 1,512,100 1,646,370 (134,270)
Mexican Peso Sell 1/21/15 1,512,100 1,646,996 134,896
New Zealand Dollar Buy 1/21/15 844,252 853,193 (8,941)
South Korean Won Sell 2/13/15 1,576,303 1,588,739 12,436
Swiss Franc Sell 3/18/15 1,538,156 1,587,311 49,155
Citibank, N.A.
Australian Dollar Sell 1/21/15 917,951 995,715 77,764
Brazilian Real Buy 1/5/15 3,049,620 3,226,750 (177,130)
Brazilian Real Sell 1/5/15 3,049,620 3,179,796 130,176
Brazilian Real Sell 4/2/15 238,700 238,299 (401)
Canadian Dollar Sell 1/21/15 2,337,319 2,369,522 32,203
Chilean Peso Buy 1/21/15 7,887 7,981 (94)
Chilean Peso Sell 1/21/15 7,887 8,270 383
Euro Sell 3/18/15 1,055,498 1,126,469 70,971
Japanese Yen Sell 2/13/15 1,079,729 1,157,168 77,439
Mexican Peso Buy 1/21/15 1,487,290 1,505,992 (18,702)
New Zealand Dollar Buy 1/21/15 1,694,577 1,708,735 (14,158)
Norwegian Krone Sell 3/18/15 902,080 970,470 68,390
Swiss Franc Sell 3/18/15 1,480,344 1,520,698 40,354
Credit Suisse International
Australian Dollar Sell 1/21/15 772,801 772,073 (728)
British Pound Buy 3/18/15 1,555,832 1,559,218 (3,386)
Canadian Dollar Sell 1/21/15 880,689 913,871 33,182
Euro Sell 3/18/15 4,034,068 4,108,964 74,896
Indian Rupee Buy 2/13/15 1,564,773 1,600,513 (35,740)
Japanese Yen Buy 2/13/15 47,424 61,933 (14,509)
New Zealand Dollar Buy 1/21/15 1,618,946 1,637,385 (18,439)
Norwegian Krone Sell 3/18/15 1,205,643 1,319,476 113,833
Swedish Krona Buy 3/18/15 756,824 774,765 (17,941)
Swiss Franc Sell 3/18/15 1,480,344 1,520,764 40,420
Deutsche Bank AG
Australian Dollar Sell 1/21/15 82,523 109,765 27,242
British Pound Sell 3/18/15 773,866 779,196 5,330
Canadian Dollar Sell 1/21/15 1,549,809 1,591,209 41,400
Euro Sell 3/18/15 2,294,803 2,353,197 58,394
New Zealand Dollar Buy 1/21/15 2,353,838 2,356,455 (2,617)
Norwegian Krone Sell 3/18/15 2,080,153 2,236,632 156,479
Polish Zloty Buy 3/18/15 753,761 794,551 (40,790)
Swiss Franc Sell 3/18/15 146,040 150,685 4,645
Turkish Lira Buy 3/18/15 1,481,854 1,581,024 (99,170)
Goldman Sachs International
Australian Dollar Sell 1/21/15 917,951 984,042 66,091
Canadian Dollar Sell 1/21/15 1,582,074 1,616,251 34,177
Euro Sell 3/18/15 2,599,454 2,707,886 108,432
Japanese Yen Buy 2/13/15 102,876 94,068 8,808
New Zealand Dollar Buy 1/21/15 1,577,430 1,581,983 (4,553)
Norwegian Krone Sell 3/18/15 700,976 754,087 53,111
Swedish Krona Buy 3/18/15 9,021 25,739 (16,718)
HSBC Bank USA, National Association
Australian Dollar Sell 1/21/15 755,595 809,784 54,189
British Pound Buy 3/18/15 773,554 775,992 (2,438)
Canadian Dollar Sell 1/21/15 780,196 805,851 25,655
Chinese Yuan (Offshore) Buy 2/13/15 1,559,503 1,572,109 (12,606)
Euro Sell 3/18/15 3,097,839 3,200,068 102,229
Japanese Yen Buy 2/13/15 123,392 88,052 35,340
New Zealand Dollar Buy 1/21/15 777,577 774,361 3,216
Swedish Krona Sell 3/18/15 160,018 158,331 (1,687)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 1/21/15 2,290,026 2,320,037 30,011
Brazilian Real Buy 1/5/15 3,000,000 3,194,139 (194,139)
Brazilian Real Sell 1/5/15 3,000,000 3,113,579 113,579
British Pound Sell 3/18/15 292,848 294,647 1,799
Canadian Dollar Sell 1/21/15 2,166,963 2,191,059 24,096
Euro Sell 3/18/15 1,245,602 1,285,934 40,332
Indian Rupee Buy 2/13/15 1,547,688 1,552,399 (4,711)
Japanese Yen Sell 2/13/15 732,158 735,883 3,725
Malaysian Ringgit Sell 2/13/15 1,492,227 1,559,980 67,753
Mexican Peso Buy 1/21/15 1,523,727 1,541,601 (17,874)
New Taiwan Dollar Sell 2/13/15 1,601,307 1,660,958 59,651
New Zealand Dollar Buy 1/21/15 91,521 147,862 (56,341)
Norwegian Krone Sell 3/18/15 1,289,169 1,386,826 97,657
Russian Ruble Buy 3/18/15 160,633 168,850 (8,217)
Russian Ruble Sell 3/18/15 160,633 181,105 20,472
Singapore Dollar Sell 2/13/15 1,553,553 1,578,451 24,898
Swedish Krona Sell 3/18/15 13,126 8,714 (4,412)
Swiss Franc Sell 3/18/15 2,754,217 2,834,511 80,294
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/21/15 37,103 7,053 30,050
British Pound Buy 3/18/15 298,144 301,003 (2,859)
Canadian Dollar Sell 1/21/15 1,538,796 1,571,283 32,487
Euro Sell 3/18/15 2,848,525 2,920,209 71,684
New Zealand Dollar Buy 1/21/15 1,579,845 1,585,575 (5,730)
Norwegian Krone Sell 3/18/15 751,149 854,581 103,432
Singapore Dollar Sell 2/13/15 1,543,824 1,575,532 31,708
Swedish Krona Buy 3/18/15 751,781 790,002 (38,221)
Swedish Krona Sell 3/18/15 753,296 777,270 23,974
State Street Bank and Trust Co.
Australian Dollar Buy 1/21/15 3,304,689 3,463,397 (158,708)
Australian Dollar Sell 1/21/15 3,304,689 3,506,843 202,154
Brazilian Real Buy 1/5/15 3,006,922 3,205,149 (198,227)
Brazilian Real Sell 1/5/15 3,006,922 3,082,568 75,646
British Pound Sell 3/18/15 1,090 13,037 11,947
Canadian Dollar Sell 1/21/15 1,174,940 1,227,156 52,216
Chilean Peso Sell 1/21/15 609 322 (287)
Euro Sell 3/18/15 123,992 183,625 59,633
Israeli Shekel Sell 1/21/15 1,537,066 1,601,849 64,783
Japanese Yen Buy 2/13/15 1,446,215 1,515,608 (69,393)
Japanese Yen Sell 2/13/15 1,446,215 1,518,572 72,357
Malaysian Ringgit Sell 2/13/15 1,530,829 1,541,837 11,008
Mexican Peso Buy 1/21/15 1,515,472 1,641,257 (125,785)
Mexican Peso Sell 1/21/15 1,515,472 1,624,804 109,332
New Taiwan Dollar Sell 2/13/15 8,020 8,321 301
New Zealand Dollar Buy 1/21/15 1,634,290 1,663,167 (28,877)
Norwegian Krone Sell 3/18/15 743,585 786,429 42,844
Singapore Dollar Sell 2/13/15 95,711 98,390 2,679
Swiss Franc Sell 3/18/15 3,059,793 3,146,745 86,952
Turkish Lira Buy 3/18/15 1,505,612 1,599,582 (93,970)
UBS AG
Australian Dollar Sell 1/21/15 1,205,315 1,281,359 76,044
British Pound Sell 3/18/15 254,373 255,210 837
Canadian Dollar Sell 1/21/15 1,290,060 1,330,066 40,006
Euro Sell 3/18/15 3,660,885 3,741,869 80,984
Hungarian Forint Buy 3/18/15 1,479,625 1,564,345 (84,720)
Hungarian Forint Sell 3/18/15 1,479,625 1,577,344 97,719
Japanese Yen Sell 2/13/15 755,036 761,148 6,112
New Zealand Dollar Buy 1/21/15 775,474 769,519 5,955
WestPac Banking Corp.
Australian Dollar Sell 1/21/15 684,895 755,387 70,492
Canadian Dollar Sell 1/21/15 2,725,008 2,826,003 100,995
Euro Sell 3/18/15 2,644,618 2,730,630 86,012
New Zealand Dollar Buy 1/21/15 1,541,445 1,581,822 (40,377)
South Korean Won Buy 2/13/15 1,603,389 1,588,491 14,898
Total $2,488,639












FUTURES CONTRACTS OUTSTANDING at 12/31/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Long) 29 $4,571,715             Mar-15 $28,687
Euro-Bund 10 yr (Long) 9 1,697,495             Mar-15 13,697
Euro-Buxl 30 yr (Short) 10 1,875,336             Mar-15 (85,944)
U.S. Treasury Bond 30 yr (Long) 5 722,813             Mar-15 (3,728)
U.S. Treasury Bond Ultra 30 yr (Short) 9 1,486,688             Mar-15 (67,376)
U.S. Treasury Note 5 yr (Long) 167 19,861,258             Mar-15 (16,293)
U.S. Treasury Note 10 yr (Short) 217 $27,514,922             Mar-15 (181,022)
Total $(311,979)












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/14 (premiums $2,809,580) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value

Bank of America N.A.
(2.50)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.50        $14,724,200 $275,343
(2.48)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.48        21,333,200 363,304

Barclays Bank PLC
(2.53)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.53        14,724,200 312,889

Citibank, N.A.
(2.28)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.28        7,362,100 8,835
2.36/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.36        19,812,000 73,304
(2.53)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.53        7,362,100 159,464
(2.53)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.53        7,777,500 165,272
(2.36)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.36        19,812,000 171,572

Credit Suisse International
(2.51)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.51        18,385,000 356,853

Goldman Sachs International
(2.49)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.49        3,681,050 18,368
2.84/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.84        3,681,050 31,252
2.35/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.35        19,812,000 80,040
(2.35)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.35        19,812,000 160,279

JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        6,568,000 1,005,357
Total $3,182,132












WRITTEN OPTIONS OUTSTANDING at 12/31/14 (premiums $684,063) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/$99.42        $22,000,000 $57,420
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.48        22,000,000 26,400
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.53        11,000,000 13,860
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.34        11,000,000 11,770
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.66        11,000,000 6,380
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.47        11,000,000 5,390
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/102.13        11,000,000 11
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/101.13        11,000,000 11
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/101.94        11,000,000 11
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/100.94        11,000,000 11
Total $121,264












TBA SALE COMMITMENTS OUTSTANDING at 12/31/14 (proceeds receivable $7,476,445) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, January 1, 2045 $4,000,000       1/14/15 $4,343,438
Federal National Mortgage Association, 4s, January 1, 2045 1,000,000       1/14/15 1,067,656
Federal National Mortgage Association, 3 1/2s, January 1, 2045 2,000,000       1/14/15 2,085,938
Total $7,497,032















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/14 (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)
Citibank, N.A.
AUD 7,354,000 (E) $—      7/31/24 4.5175% 6 month AUD-BBR-BBSW $(214,702)
AUD 1,379,000 (E) —      8/6/24 4.63% 6 month AUD-BBR-BBSW (45,236)
AUD 10,134,000 (E) —      10/16/24 6 month AUD-BBR-BBSW 4.232% 187,384
AUD 5,590,000 —      12/05/24 6 month AUD-BBR-BBSW 3.4525% 128,130
AUD 1,388,000 —      12/05/24 6 month AUD-BBR-BBSW 3.4575% 32,318
NOK 8,596,000 —      12/29/24 6 month NOK-NIBOR-NIBR 2.045% 14,297
NZD 4,276,000 —      10/29/24 3 month NZD-BBR-FRA 4.42025% 89,990
Credit Suisse International
AUD 4,153,000 (E) —      10/16/24 6 month AUD-BBR-BBSW 4.1975% 72,092
CAD 3,348,000 —      10/30/24 3 month CAD-BA-CDOR 2.495% 67,707
CHF 555,000 —      10/27/24 6 month CHF-LIBOR-BBA 0.785% 16,469
CHF 519,000 —      10/28/24 6 month CHF-LIBOR-BBA 0.765% 14,359
NOK 10,036,000 —      11/06/24 6 month NOK-NIBOR-NIBR 2.29% 48,255
NOK 2,698,000 —      12/30/24 6 month NOK-NIBOR-NIBR 2.005% 3,163
SEK 20,236,000 —      11/11/19 0.78% 3 month SEK-STIBOR-SIDE (21,284)
SEK 10,496,000 —      11/11/24 3 month SEK-STIBOR-SIDE 1.49% 33,199
Deutsche Bank AG
NOK 10,036,000 —      11/06/24 6 month NOK-NIBOR-NIBR 2.29% 48,255
PLN 9,968,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (532,525)
PLN 4,970,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (268,271)
PLN 4,165,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (221,049)
PLN 48,815,000 —      7/14/16 6 month PLN-WIBOR-WIBO 2.48% 125,909
Goldman Sachs International
AUD 1,993,000 (E) —      8/6/24 4.525% 6 month AUD-BBR-BBSW (58,464)
KRW 2,978,000,000 —      10/30/19 3 month KRW-CD-KSDA-BLOOMBERG 2.2875% 12,094
KRW 4,589,000,000 —      11/05/19 3 month KRW-CD-KSDA-BLOOMBERG 2.165% (5,870)
KRW 1,462,000,000 —      11/06/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% (1,567)
NOK 5,018,000 —      11/05/24 6 month NOK-NIBOR-NIBR 2.315% 25,728
NOK 5,018,000 —      11/05/24 6 month NOK-NIBOR-NIBR 2.32% 26,044
NOK 2,698,000 —      12/31/24 6 month NOK-NIBOR-NIBR 1.955% 1,484
NOK 10,036,000 —      11/06/24 6 month NOK-NIBOR-NIBR 2.32% 51,982
NZD 866,000 —      10/31/24 3 month NZD-BBR-FRA 4.425% 18,467
NZD 1,083,000 —      10/31/24 3 month NZD-BBR-FRA 4.42% 22,749
NZD 1,083,000 —      11/3/24 3 month NZD-BBR-FRA 4.415% 22,391
SEK 20,876,000 —      10/27/24 3 month SEK-STIBOR-SIDE 1.6025% 96,563
SEK 17,428,000 —      10/29/24 3 month SEK-STIBOR-SIDE 1.58% 75,861
SEK 21,331,000 —      11/10/19 0.775% 3 month SEK-STIBOR-SIDE (21,816)
SEK 10,833,000 —      11/10/24 3 month SEK-STIBOR-SIDE 1.4775% 32,658
JPMorgan Chase Bank N.A.
AUD 3,701,000 (E) —      8/6/24 4.5175% 6 month AUD-BBR-BBSW (107,655)
CAD 3,436,000 —      10/30/24 3 month CAD-BA-CDOR 2.5025% 71,536
JPY 2,402,400,000 —      2/19/15 6 month JPY-LIBOR-BBA 0.705% 56,237
JPY 511,900,000 —      2/19/20 6 month JPY-LIBOR-BBA 1.3975% 276,696
KRW 2,978,000,000 —      11/06/19 3 month KRW-CD-KSDA-BLOOMBERG 2.165% (3,836)
KRW 1,462,000,000 —      11/3/19 3 month KRW-CD-KSDA-BLOOMBERG 2.245% 3,197
KRW 1,462,000,000 —      11/04/19 3 month KRW-CD-KSDA-BLOOMBERG 2.195% 34
MXN 20,366,000 —      7/24/29 1 month MXN-TIIE-BANXICO 6.565% 494
NZD 1,273,000 —      11/4/24 3 month NZD-BBR-FRA 4.38% 23,419
SEK 19,966,000 —      11/10/19 0.78% 3 month SEK-STIBOR-SIDE (21,054)
SEK 10,388,000 —      11/10/24 3 month SEK-STIBOR-SIDE 1.485% 32,277
SEK 10,388,000 —      11/11/24 3 month SEK-STIBOR-SIDE 1.485% 32,222
SEK 19,966,000 —      11/11/19 0.775% 3 month SEK-STIBOR-SIDE (20,367)
Total$—     $219,964
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/14 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$249,356,000 (E) $1,043,411      3/18/17 1.25% 3 month USD-LIBOR-BBA $109,072
152,463,000 (E) 2,810,687      3/18/20 2.25% 3 month USD-LIBOR-BBA 96,237
32,013,000 (E) 1,836,640      3/18/25 3.00% 3 month USD-LIBOR-BBA (40,250)
10,396,000 (E) (1,686,070)     3/18/45 3 month USD-LIBOR-BBA 3.50% 39,790
16,758,000 (E) (93)     12/16/17 1.835% 3 month USD-LIBOR-BBA (43,999)
45,332,000 (E) (252)     12/16/17 1.897% 3 month USD-LIBOR-BBA (174,326)
22,734,000 (E) (126)     12/16/17 1.86625% 3 month USD-LIBOR-BBA (73,671)
34,694,000 (E) (193)     12/16/17 1.905% 3 month USD-LIBOR-BBA (138,864)
8,457,000 (E) (47)     12/16/17 1.8625% 3 month USD-LIBOR-BBA (26,780)
58,944,000 (E) (83,839)     12/16/17 1.882% 3 month USD-LIBOR-BBA (292,796)
27,930,000 (E) (155)     12/16/17 3 month USD-LIBOR-BBA 1.80% 53,778
19,754,000 (E) (159)     12/16/18 2.34% 3 month USD-LIBOR-BBA (236,101)
14,817,000 (E) (119)     12/16/18 2.3795% 3 month USD-LIBOR-BBA (194,163)
11,925,000 (48)     12/19/19 1.742% 3 month USD-LIBOR-BBA 10,922
28,132,000 (E) (156)     12/16/17 3 month USD-LIBOR-BBA 1.924% 122,809
4,939,000 (E) (40)     12/16/18 2.337% 3 month USD-LIBOR-BBA (58,597)
8,788,000 (E) (71)     12/16/18 2.0025% 3 month USD-LIBOR-BBA (18,464)
17,960,000 (E) (9,380)     12/16/18 1.9525% 3 month USD-LIBOR-BBA (20,766)
16,977,000 (E) (190)     10/22/24 3 month USD-LIBOR-BBA 3.14875% 211,258
16,977,000 (E) (190)     10/22/24 3 month USD-LIBOR-BBA 3.145% 208,491
2,234,000 (E) (294,694)     3/18/45 3 month USD-LIBOR-BBA 3.40% 28,260
2,023,000 (E) 91,061      3/18/25 2.90% 3 month USD-LIBOR-BBA (9,103)
15,026,000 (121)     12/19/19 1.7285% 3 month USD-LIBOR-BBA 23,536
11,925,000 (48)     12/19/19 1.734% 3 month USD-LIBOR-BBA 15,545
EUR 3,282,000 (E) 22,041      3/18/17 0.50% 6 month EUR-EURIBOR-REUTERS (2,947)
EUR 8,479,000 (E) (157,886)     3/18/20 6 month EUR-EURIBOR-REUTERS 0.75% 30,232
EUR 2,985,000 (E) (189,005)     3/18/25 6 month EUR-EURIBOR-REUTERS 1.50% 42,228
EUR 2,455,000 (E) (411,614)     3/18/35 6 month EUR-EURIBOR-REUTERS 2.25% 85,178
EUR 1,000 (E) (197)     3/18/45 6 month EUR-EURIBOR-REUTERS 2.25% 41
EUR 12,709,000 (E) (182)     10/22/24 1.75% 6 month EUR-EURIBOR-REUTERS (373,388)
EUR 12,709,000 (E) (182)     10/22/24 1.757% 6 month EUR-EURIBOR-REUTERS (378,632)
GBP 14,989,000 (E) 417,876      3/18/17 2.00% 6 month GBP-LIBOR-BBA (42,774)
GBP 13,431,000 (E) (877,662)     3/18/20 6 month GBP-LIBOR-BBA 2.50% 133,952
GBP 12,791,000 (E) 1,730,426      3/18/25 3.00% 6 month GBP-LIBOR-BBA (358,035)
GBP 3,213,000 (E) (919,486)     3/18/45 6 month GBP-LIBOR-BBA 3.25% 239,162
JPY 32,455,000 (11)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 34,596
JPY 63,551,000 (21)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 67,219
JPY 1,780,000,000 (70)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 85,943
JPY 389,500,000 (68)     3/14/44 1.795% 6 month JPY-LIBOR-BBA (412,331)
JPY 31,464,000 (6)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 33,630
JPY 36,000,000 (11)     11/07/44 6 month JPY-LIBOR-BBA 1.5025% 13,977
JPY 215,000,000 (65)     11/07/44 6 month JPY-LIBOR-BBA 1.495% 79,894
JPY 1,119,000,000 (80)     11/07/19 0.2475% 6 month JPY-LIBOR-BBA (15,486)
JPY 661,000,000 (47)     11/07/19 0.25% 6 month JPY-LIBOR-BBA (9,837)
JPY 11,030,000 (2)     11/07/44 6 month JPY-LIBOR-BBA 1.4975% 4,161
Total$3,319,556     $(1,151,399)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/14 (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.
$2,850,750 (E) $—      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(73,008)
Barclays Bank PLC
282,072 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (33)
492,640 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,202)
511,443 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (60)
469,129 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 165
4,100,573 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,284)
1,427,518 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,635)
200,078 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 685
404,770 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 142
2,428,622 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 854
529,554 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 95
1,246,720 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,174)
1,543,794 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 543
475,854 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,628
57,634 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 34
208,457 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 73
260,874 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 51
1,214,311 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 427
1,040,341 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,649)
1,187,408 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 4,063
218,449 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (26)
1,707,667 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 4,690
6,654,018 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,339
1,452,720 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 511
247,120 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (29)
801,161 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (94)
580,801 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (68)
3,154,735 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,033)
594,051 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (1,078)
477,992 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (518)
239,036 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (259)
239,036 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (259)
479,661 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (520)
1,245,783 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,350)
479,661 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (520)
749,303 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (1,432)
451,324 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (863)
458,200 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 161
572,106 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (1,094)
1,002,286 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,552)
863,569 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 516
123,875 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 74
957,653 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,038)
130,664 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (333)
2,057,447 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,292
364,698 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 128
Citibank, N.A.
944,329 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 332
2,023,851 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 711
1,766,822 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 621
3,389,000 —      10/3/16 1.631% USA Non Revised Consumer Price Index- Urban (CPI-U) 74,392
EUR 8,270,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (412,093)
EUR 4,310,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 377,589
Credit Suisse International
$809,541 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 285
631,610 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,608)
1,260,829 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (2,410)
1,283,122 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 2,053
1,422,363 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 2,276
1,311,943 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (2,508)
3,527,547 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,707)
EUR 2,380,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (112,213)
EUR 8,270,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (405,075)
EUR 4,310,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 368,128
EUR 2,380,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (112,403)
GBP 2,015,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index 70,914
GBP 2,015,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index 69,407
Deutsche Bank AG
$631,610 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,608)
2,850,750 (E) —      6/24/24 2.415% USA Non Revised Consumer Price Index- Urban (CPI-U) 16,007
3,389,000 —      12/30/16 (0.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,515)
Goldman Sachs International
730,966 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 131
284,935 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 170
1,222,907 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,984)
1,222,907 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,984)
433,995 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,105)
163,034 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (415)
1,195,586 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (2,041)
39,442 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 7
336,225 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 60
840,685 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,575)
353,440 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 63
706,881 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 127
21,396 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 13
3,106,738 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (8,549)
306,331 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (780)
594,503 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,514)
367,518 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (936)
28,265 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (72)
75,320 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (192)
2,853,099 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,961)
2,485,331 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,064)
2,058,087 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,664)
2,044,495 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,271
JPMorgan Chase Bank N.A.
3,791,923 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,435)
2,168,560 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,968)
3,321,781 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,141)
2,058,509 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,665)
2,044,495 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,272
Total$—      $(239,996)
(E)   Extended effective date.











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/14 (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 $16,587 $291,000 5/11/63 300 bp $17,513
  CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp 18,307
  CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp 8,946
  CMBX NA BBB- Index BBB-/P 4,375 64,000 5/11/63 300 bp 4,578
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 33,591 303,000 5/11/63 300 bp 34,555
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 28,890 704,000 5/11/63 300 bp 31,131
  CMBX NA BBB- Index BBB-/P (2,041) 479,000 5/11/63 300 bp (516)
  CMBX NA BBB- Index BBB-/P 31,881 416,000 5/11/63 300 bp 33,206
  CMBX NA BBB- Index BBB-/P 10,467 344,000 5/11/63 300 bp 11,562
  CMBX NA BBB- Index BBB-/P 6,043 343,000 5/11/63 300 bp 7,135
  CMBX NA BBB- Index BBB-/P 27,130 340,000 5/11/63 300 bp 28,212
  CMBX NA BBB- Index BBB-/P 26,325 340,000 5/11/63 300 bp 27,407
  CMBX NA BBB- Index BBB-/P 22,366 340,000 5/11/63 300 bp 23,449
  CMBX NA BBB- Index BBB-/P 37,060 328,000 5/11/63 300 bp 38,104
  CMBX NA BBB- Index BBB-/P 4,963 323,000 5/11/63 300 bp 5,991
  CMBX NA BBB- Index BBB-/P 20,979 288,000 5/11/63 300 bp 21,896
  CMBX NA BBB- Index BBB-/P (183) 280,000 5/11/63 300 bp 708
  CMBX NA BBB- Index BBB-/P 3,135 270,000 5/11/63 300 bp 3,994
  CMBX NA BBB- Index BBB-/P 20,934 263,000 5/11/63 300 bp 21,771
  CMBX NA BBB- Index BBB-/P 536 164,000 5/11/63 300 bp 1,058
  CMBX NA BBB- Index BBB-/P 375 164,000 5/11/63 300 bp 897
  CMBX NA BBB- Index BBB-/P 2,851 149,000 5/11/63 300 bp 3,325
  CMBX NA BBB- Index BBB-/P 282 123,000 5/11/63 300 bp 674
  CMBX NA BBB- Index BBB-/P 428 94,000 5/11/63 300 bp 728
  CMBX NA BBB- Index BBB-/P 2,290 94,000 1/17/47 300 bp 1,226
  CMBX NA BBB- Index BBB-/P 5,724 146,000 1/17/47 300 bp 4,072
  CMBX NA BB Index — 2,240 112,000 5/11/63 (500 bp) 1,750
  CMBX NA BB Index — (914) 119,000 5/11/63 (500 bp) (1,434)
  CMBX NA BB Index — (1,140) 119,000 5/11/63 (500 bp) (1,660)
  CMBX NA BB Index — (1,095) 120,000 5/11/63 (500 bp) (1,619)
  CMBX NA BB Index — 3,449 223,000 5/11/63 (500 bp) 2,474
  CMBX NA BB Index — 5,994 227,000 5/11/63 (500 bp) 5,002
  CMBX NA BB Index — 2,409 233,000 5/11/63 (500 bp) 1,390
  CMBX NA BB Index — (4,646) 266,000 5/11/63 (500 bp) (5,809)
  CMBX NA BB Index — (1,881) 360,000 5/11/63 (500 bp) (3,455)
  CMBX NA BB Index — (5,120) 264,000 5/11/63 (500 bp) (6,275)
  CMBX NA BBB- Index BBB-/P (6,630) 538,000 5/11/63 300 bp (4,916)
  CMBX NA BBB- Index BBB-/P (8,066) 535,000 5/11/63 300 bp (6,363)
  CMBX NA BBB- Index BBB-/P (10,067) 520,000 5/11/63 300 bp (8,412)
  CMBX NA BBB- Index BBB-/P 652 491,000 5/11/63 300 bp 2,215
  CMBX NA BBB- Index BBB-/P (3,476) 346,000 5/11/63 300 bp (2,374)
  CMBX NA BBB- Index BBB-/P 1,584 342,000 5/11/63 300 bp 2,673
  CMBX NA BBB- Index BBB-/P 1,274 275,000 5/11/63 300 bp 2,150
  CMBX NA BBB- Index BBB-/P 6,401 269,000 5/11/63 300 bp 7,257
  CMBX NA BBB- Index BBB-/P 907 262,000 5/11/63 300 bp 1,741
  CMBX NA BBB- Index BBB-/P (4,715) 261,000 5/11/63 300 bp (3,884)
  CMBX NA BBB- Index BBB-/P 181 261,000 5/11/63 300 bp 1,012
  CMBX NA BBB- Index BBB-/P 172 258,000 5/11/63 300 bp 993
  CMBX NA BBB- Index BBB-/P 1,536 253,000 5/11/63 300 bp 2,341
  CMBX NA BBB- Index BBB-/P 639 237,000 5/11/63 300 bp 1,394
  CMBX NA BBB- Index BBB-/P (776) 232,000 5/11/63 300 bp (37)
  CMBX NA BBB- Index BBB-/P (771) 231,000 5/11/63 300 bp (35)
  CMBX NA BBB- Index BBB-/P (2,153) 230,000 5/11/63 300 bp (1,421)
  CMBX NA BBB- Index BBB-/P (2,304) 230,000 5/11/63 300 bp (1,572)
  CMBX NA BBB- Index BBB-/P 2,669 224,000 5/11/63 300 bp 3,382
  CMBX NA BBB- Index BBB-/P 2,227 224,000 5/11/63 300 bp 2,940
  CMBX NA BBB- Index BBB-/P 10,720 224,000 5/11/63 300 bp 11,433
  CMBX NA BBB- Index BBB-/P (1,866) 223,000 5/11/63 300 bp (1,156)
  CMBX NA BBB- Index BBB-/P (643) 190,000 5/11/63 300 bp (38)
  CMBX NA BBB- Index BBB-/P (1,125) 118,000 5/11/63 300 bp (750)
  CMBX NA BBB- Index BBB-/P (699) 116,000 5/11/63 300 bp (330)
Goldman Sachs International
  CMBX NA BBB- Index BBB-/P (3,029) 438,000 5/11/63 300 bp (1,635)
  CMBX NA BBB- Index BBB-/P 245 94,000 5/11/63 300 bp 544
  CMBX NA BBB- Index BBB-/P 2,777 103,000 1/17/47 300 bp 1,612
  CMBX NA BB Index — 2,532 112,000 5/11/63 (500 bp) 2,043
  CMBX NA BB Index — (1,143) 119,000 5/11/63 (500 bp) (1,663)
  CMBX NA BB Index — (2,361) 223,000 5/11/63 (500 bp) (3,340)
  CMBX NA BBB- Index BBB-/P (4,349) 261,000 5/11/63 300 bp (3,518)
  CMBX NA BBB- Index BBB-/P 2,787 244,000 5/11/63 300 bp 3,564
  CMBX NA BBB- Index BBB-/P (931) 232,000 5/11/63 300 bp (192)
  CMBX NA BBB- Index BBB-/P (2,143) 229,000 5/11/63 300 bp (1,414)
  CMBX NA BBB- Index BBB-/P (2,297) 229,000 5/11/63 300 bp (1,568)
  CMBX NA BBB- Index BBB-/P (2,297) 229,000 5/11/63 300 bp (1,568)
  CMBX NA BBB- Index BBB-/P 1,354 227,000 5/11/63 300 bp 2,077
  CMBX NA BBB- Index BBB-/P (1,791) 223,000 5/11/63 300 bp (1,081)
  CMBX NA BBB- Index BBB-/P (1,287) 118,000 5/11/63 300 bp (912)
  CMBX NA BBB- Index BBB-/P (52) 19,000 5/11/63 300 bp 9
Total$303,876 $341,494
*   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, 2014. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
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, 2014 through December 31, 2014 (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 $310,809,256.
(b) The aggregate identified cost on a tax basis is $383,502,340, resulting in gross unrealized appreciation and depreciation of $9,837,462 and $15,533,911, respectively, or net unrealized depreciation of $5,696,449.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income 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* $11,528,830 $33,369,448 $31,601,664 $2,064 $13,296,614
* 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) 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.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(U) This security, in part or in entirety, represents an unfunded loan commitment. As of the close of the reporting period, the fund had unfunded loan commitments of $38,158, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:

Borrower
Unfunded commitments
WR GRACE & CO $38,157
Totals $38,157

At the close of the reporting period, the fund maintained liquid assets totaling $136,643,331 to cover certain derivatives contracts and delayed delivery securities.
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 82%
Russia 2.8
Greece 2.8
Argentina 2.7
Canada 1.1
Luxembourg 1
Brazil 1
United Kingdom 1
Venezuela 1
Mexico 0.7
Indonesia 0.7
Turkey 0.5
Other 2.7
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Board has formed a Pricing Committee to oversee the implementation of these procedures and has 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 and 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 uses 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 are used for hedging currency exposures and for gaining 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, for hedging 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 for hedging credit risk, for hedging market risk, for gaining liquid exposure to individual names 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 or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. 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. 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 posted to the fund which cannot be sold or repledged totaled $1,340,342 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
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 $1,090,017 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,113,963 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
Common stocks*:
    Consumer cyclicals — — 10,017
    Energy — — 798
Total common stocks — — 10,815
Convertible bonds and notes $— $126,438 $—
Convertible preferred stocks — 142,899 —
Corporate bonds and notes — 99,970,531 6
Foreign government and agency bonds and notes 33,081,571
Mortgage-backed securities — 141,536,489 —
Preferred stocks — 459,006 —
Purchased options outstanding — 169,290 —
Purchased swap options outstanding — 2,387,797 —
Senior loans — 7,182,708 —
U.S. government and agency mortgage obligations — 67,224,218 —
U.S. treasury obligations — 278,717 —
Short-term investments 13,786,614 11,448,792 —
Totals by level $13,786,614 $364,008,456 $10,821



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $2,488,639 $—
Futures contracts (311,979) — —
Written options outstanding — (121,264) —
Written swap options outstanding — (3,182,132) —
TBA sale commitments — (7,497,032) —
Interest rate swap contracts — (4,250,991) —
Total return swap contracts — (239,996) —
Credit default contracts — 37,618 —
Totals by level $(311,979) $(12,765,158) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers 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.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

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 $52,419 $14,801
Foreign exchange contracts 4,293,911 1,805,272
Interest rate contracts 11,475,741 17,025,016
Total $15,822,071 $18,845,089


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 as follows 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)$61,000,000
Purchased swap option contracts (contract amount)$414,300,000
Written TBA commitment option contracts (contract amount)$119,500,000
Written swap option contracts (contract amount)$223,800,000
Futures contracts (number of contracts)500
Forward currency contracts (contract amount)$345,600,000
OTC interest rate swap contracts (notional)$121,900,000
Centrally cleared interest rate swap contracts (notional)$950,000,000
OTC total return swap contracts (notional)$152,700,000
OTC credit default contracts (notional)$18,600,000
   
  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. Merrill Lynch, Pierce, Fenner & Smith, 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*#    $–  $–  $–  $452,119  $255,244  $174,164  $386,021  $–  $496,112  $–  $–  $–  $–  $–    1,763,660
  Centrally cleared interest rate swap contracts§    –  –  160,875  –  –  –  –  –  –  –  –  –  –  –    160,875
  OTC Total return swap contracts*#    –  20,471  –  453,645  513,063  16,007  3,842  –  3,272  –  –  –  –  –    1,010,300
  OTC Credit default contracts*#    2,476  964  –  –  40,883  –  8,096  –  –  –  –  –  –  –    52,419
  Futures contracts§    –  –  –  –  –  –  –  –  –  201  –  –  –  –    201
  Forward currency contracts#    143,989  375,665  –  497,680  262,331  293,490  270,619  220,629  564,267  –  293,335  791,852  307,657  272,397    4,293,911
  Purchased swap options#    537,351  285,355  –  665,174  684,508  –  215,409  –  –  –  –  –  –  –    2,387,797
  Purchased options#    –  –  –  –  –  –  –  –  169,290  –  –  –  –  –    169,290
                                     
  Total Assets  $683,816  $682,455  $160,875  $2,068,618  $1,756,029  $483,661  $883,987  $220,629  $1,232,941  $201  $293,335  $791,852  $307,657  $272,397  $9,838,453
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    –  –  –  259,938  21,284  1,021,845  87,717  –  152,912  –  –  –  –  –    1,543,696
  Centrally cleared interest rate swap contracts§    –  –  289,244  –  –  –    –  –  –  –  –  –  –    289,244
  OTC Total return swap contracts*#    73,008  42,103  –  412,093  645,924  3,123  42,836  –  31,209  –  –  –  –  –    1,250,296
  OTC Credit default contracts*#    –  –  –  –  11,648  –  3,153  –  –  –  –  –  –  –    14,801
  Futures contracts§    –  –  –  –  –  –  –  –  –  23,063  –  –  –  –    23,063
  Forward currency contracts#    14,799  175,818  –  210,485  90,743  142,577  21,271  16,731  285,694  –  46,810  675,247  84,720  40,377    1,805,272
  Written swap options#    638,647  312,889  –  578,447  356,853  –  289,939  –  1,005,357  –  –  –  –  –    3,182,132
  Written options#    –  –  –  –  –  –  –  –  121,264  –  –  –  –  –    121,264
                                     
  Total Liabilities  $726,454  $530,810  $289,244  $1,460,963  $1,126,452  $1,167,545  $444,916  $16,731  $1,596,436  $23,063  $46,810  $675,247  $84,720  $40,377  $8,229,768
                                     
  Total Financial and Derivative Net Assets    $(42,638)  $151,645  $(128,369)  $607,655  $629,577  $(683,884)  $439,071  $203,898  $(363,495)  $(22,862)  $246,525  $116,605  $222,937  $232,020    $1,608,685
  Total collateral received (pledged)##†    $–  $129,863  $–  $490,000  $558,366  $(683,884)  $400,503  $148,854  $(349,000)  $–  $149,508  $–  $222,937  $–    
  Net amount    $(42,638)  $21,782  $(128,369)  $117,655  $71,211  $–  $38,568  $55,044  $(14,495)  $(22,862)  $97,017  $116,605  $–  $232,020    
                                     
* 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 Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 27, 2015

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 27, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 27, 2015