a_mastintermedinctrst.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, 2014
Date of reporting period: June 30, 2014



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/14 (Unaudited)
MORTGAGE-BACKED SECURITIES (48.3%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.0%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.993s, 2032 $199,982 $297,811
     IFB Ser. 3408, Class EK, 25.182s, 2037 95,232 139,297
     IFB Ser. 2979, Class AS, 23.717s, 2034 30,338 38,833
     IFB Ser. 3072, Class SM, 23.24s, 2035 145,701 209,146
     IFB Ser. 3072, Class SB, 23.094s, 2035 130,524 186,110
     IFB Ser. 3249, Class PS, 21.774s, 2036 100,608 138,348
     IFB Ser. 3998, Class KS, IO, 6.548s, 2027 1,705,838 289,326
     IFB Ser. 4105, Class LS, IO, 5.998s, 2041 2,150,913 396,865
     IFB Ser. 319, Class S2, IO, 5.848s, 2043 1,525,475 352,827
     IFB Ser. 4240, Class SA, IO, 5.848s, 2043 3,261,098 760,488
     IFB Ser. 317, Class S3, IO, 5.828s, 2043 3,373,488 771,921
     IFB Ser. 14-325, Class S1, IO, 5.798s, 2044 2,849,663 622,338
     IFB Ser. 14-326, Class S2, IO, 5.798s, 2044 8,846,922 2,170,833
     IFB Ser. 323, Class S1, IO, 5.798s, 2044 3,870,253 866,573
     IFB Ser. 311, Class S1, IO, 5.798s, 2043 6,923,122 1,573,706
     IFB Ser. 308, Class S1, IO, 5.798s, 2043 2,644,059 675,901
     IFB Ser. 269, Class S1, IO, 5.798s, 2042 2,428,624 561,328
     IFB Ser. 14-327, Class S8, IO, 5.768s, 2044 812,889 177,795
     Ser. 3632, Class CI, IO, 5s, 2038 380,292 32,572
     Ser. 3626, Class DI, IO, 5s, 2037 74,730 818
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 2,920,549 653,326
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,641,750 335,901
     Ser. 4193, Class PI, IO, 4s, 2043 3,431,496 609,081
     Ser. 304, Class C53, IO, 4s, 2032 1,847,057 332,415
     Ser. 4338, Class TI, IO, 4s, 2029 3,849,012 548,483
     Ser. 13-303, Class C19, IO, 3 1/2s, 2043 3,300,865 767,835
     Ser. 304, Class C22, IO, 3 1/2s, 2042 2,187,661 511,366
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 4,326,813 665,236
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 3,951,184 607,484
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,957,455 297,377
     Ser. 304, IO, 3 1/2s, 2027 3,736,533 436,390
     Ser. 304, Class C37, IO, 3 1/2s, 2027 2,744,017 351,920
     Ser. 4165, Class TI, IO, 3s, 2042 8,266,929 1,102,807
     Ser. 4183, Class MI, IO, 3s, 2042 3,456,036 482,808
     Ser. 4210, Class PI, IO, 3s, 2041 2,453,612 278,811
     Ser. 304, Class C45, IO, 3s, 2027 3,347,098 407,369
     Ser. T-57, Class 1AX, IO, 0.004s, 2043 2,292,724 25,128
     FRB Ser. 3326, Class WF, zero %, 2035 1,675 1,413
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.988s, 2036 162,118 303,266
     IFB Ser. 07-53, Class SP, 23.643s, 2037 124,351 184,337
     IFB Ser. 08-24, Class SP, 22.726s, 2038 127,695 192,818
     IFB Ser. 05-75, Class GS, 19.794s, 2035 112,264 150,108
     IFB Ser. 05-83, Class QP, 16.999s, 2034 163,494 210,806
     IFB Ser. 13-101, Class HS, IO, 6.348s, 2043 1,475,301 386,691
     IFB Ser. 13-81, Class US, IO, 6.098s, 2043 2,047,368 365,558
     IFB Ser. 13-10, Class KS, IO, 6.048s, 2043 1,922,784 389,767
     IFB Ser. 13-19, Class DS, IO, 6.048s, 2041 4,268,759 774,213
     IFB Ser. 13-41, Class SP, IO, 6.048s, 2040 1,666,322 266,812
     Ser. 12-134, Class SA, IO, 5.998s, 2042 2,677,641 628,002
     IFB Ser. 13-19, Class SK, IO, 5.998s, 2043 2,459,262 546,709
     IFB Ser. 12-128, Class ST, IO, 5.998s, 2042 1,777,070 397,229
     IFB Ser. 13-18, Class SB, IO, 5.998s, 2041 1,956,148 319,439
     IFB Ser. 13-124, Class SB, IO, 5.798s, 2043 1,790,692 410,740
     IFB Ser. 411, Class S1, IO, 5.798s, 2042 2,322,860 493,120
     IFB Ser. 13-128, Class CS, IO, 5.748s, 2043 3,446,410 797,877
     IFB Ser. 13-101, Class CS, IO, 5.748s, 2043 2,153,288 496,569
     Ser. 374, Class 6, IO, 5 1/2s, 2036 297,876 57,463
     Ser. 12-132, Class PI, IO, 5s, 2042 3,705,794 785,442
     Ser. 398, Class C5, IO, 5s, 2039 190,648 27,358
     Ser. 10-13, Class EI, IO, 5s, 2038 71,757 1,476
     Ser. 378, Class 19, IO, 5s, 2035 828,107 158,373
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 1,034,919 268,986
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 8,125,932 1,624,535
     Ser. 409, Class 81, IO, 4 1/2s, 2040 3,964,042 689,643
     Ser. 409, Class 82, IO, 4 1/2s, 2040 4,186,269 740,507
     Ser. 366, Class 22, IO, 4 1/2s, 2035 342,259 25,043
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 1,607,400 179,402
     Ser. 418, Class C24, IO, 4s, 2043 3,016,394 699,661
     Ser. 13-41, Class IP, IO, 4s, 2043 2,666,932 502,556
     Ser. 13-44, Class PI, IO, 4s, 2043 2,623,896 454,056
     Ser. 13-60, Class IP, IO, 4s, 2042 1,876,441 330,645
     Ser. 12-96, Class PI, IO, 4s, 2041 2,030,903 351,549
     Ser. 406, Class 2, IO, 4s, 2041 1,817,819 384,832
     Ser. 406, Class 1, IO, 4s, 2041 1,256,603 270,421
     Ser. 409, Class C16, IO, 4s, 2040 2,717,515 496,965
     Ser. 418, Class C15, IO, 3 1/2s, 2043 6,275,459 1,417,861
     Ser. 12-145, Class TI, IO, 3s, 2042 4,030,672 455,868
     Ser. 13-35, Class IP, IO, 3s, 2042 3,372,583 373,487
     Ser. 13-53, Class JI, IO, 3s, 2041 2,706,192 347,577
     Ser. 13-23, Class PI, IO, 3s, 2041 3,214,000 321,561
     Ser. 03-W10, Class 1, IO, 1.083s, 2043 448,102 12,708
     Ser. 99-51, Class N, PO, zero %, 2029 19,027 17,124
Government National Mortgage Association
     IFB Ser. 10-163, Class SI, IO, 6.478s, 2037 2,762,042 407,404
     IFB Ser. 11-56, Class MI, IO, 6.297s, 2041 2,318,428 537,412
     Ser. 13-116, Class SA, IO, 5.998s, 2043 2,202,484 398,848
     IFB Ser. 13-129, Class SN, IO, 5.997s, 2043 1,703,695 295,744
     IFB Ser. 13-165, Class LS, IO, 5.997s, 2043 1,702,561 325,257
     IFB Ser. 10-20, Class SC, IO, 5.997s, 2040 3,923,620 705,271
     Ser. 13-182, Class LS, IO, 5.987s, 2043 1,769,674 406,896
     Ser. 14-58, Class SA, IO, 5.947s, 2044 4,896,345 809,072
     Ser. 13-149, Class MS, IO, 5.947s, 2039 3,110,768 528,394
     IFB Ser. 12-77, Class MS, IO, 5.947s, 2042 1,729,003 411,728
     IFB Ser. 11-128, Class TS, IO, 5.898s, 2041 1,454,703 284,104
     IFB Ser. 13-99, Class AS, IO, 5.897s, 2043 1,529,060 354,222
     IFB Ser. 10-151, Class SA, IO, 5.897s, 2040 1,036,511 184,914
     IFB Ser. 11-70, Class SM, IO, 5.738s, 2041 2,415,000 580,276
     IFB Ser. 11-70, Class SH, IO, 5.738s, 2041 2,481,000 595,887
     Ser. 13-22, Class IE, IO, 5s, 2043 2,824,051 574,588
     Ser. 13-22, Class OI, IO, 5s, 2043 2,617,266 534,961
     Ser. 13-3, Class IT, IO, 5s, 2043 2,339,263 479,066
     Ser. 13-6, Class IC, IO, 5s, 2043 2,077,300 433,491
     Ser. 12-146, Class IO, IO, 5s, 2042 2,085,903 454,998
     Ser. 13-6, Class CI, IO, 5s, 2042 1,552,257 307,750
     Ser. 13-130, Class IB, IO, 5s, 2040 2,018,067 250,440
     Ser. 13-16, Class IB, IO, 5s, 2040 2,974,041 266,601
     Ser. 11-41, Class BI, IO, 5s, 2040 1,728,380 193,529
     Ser. 10-35, Class UI, IO, 5s, 2040 1,216,159 271,424
     Ser. 10-20, Class UI, IO, 5s, 2040 2,248,441 430,194
     Ser. 10-9, Class UI, IO, 5s, 2040 14,988,453 3,320,221
     Ser. 09-121, Class UI, IO, 5s, 2039 4,812,559 1,100,776
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 4,341,449 927,985
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,499,429 320,503
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 1,026,803 110,505
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 296,412 53,117
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 4,296,014 819,980
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 10,028,767 2,098,885
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 4,443,106 988,598
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 2,713,913 588,125
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,018,387 168,197
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 3,377,138 514,439
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,368,400 157,092
     Ser. 14-4, Class IC, IO, 4s, 2044 2,132,599 454,308
     Ser. 13-165, Class IL, IO, 4s, 2043 1,571,947 269,573
     Ser. 12-56, Class IB, IO, 4s, 2042 1,689,659 386,580
     Ser. 12-47, Class CI, IO, 4s, 2042 4,192,546 957,684
     Ser. 12-41, Class IP, IO, 4s, 2041 4,216,173 811,614
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 7,620,312 1,308,483
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 2,579,192 412,268
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 3,348,041 554,871
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 4,891,250 775,850
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 6,850,137 1,010,942
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 3,587,750 614,617
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 3,692,937 858,587
     Ser. 06-36, Class OD, PO, zero %, 2036 5,077 4,492
67,597,909
Commercial mortgage-backed securities (18.4%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 683,000 715,298
     FRB Ser. 05-5, Class D, 5.388s, 2045 600,000 610,560
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 318,538 158,313
     Ser. 07-5, Class XW, IO, 0.531s, 2051 78,642,481 745,059
Bear Stearns Commercial Mortgage Securities Trust
     Ser. 05-PWR7, Class D, 5.304s, 2041 441,000 426,138
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 702,619
     Ser. 05-PWR9, Class C, 5.055s, 2042 401,000 392,539
Bear Stearns Commercial Mortgage Securities Trust 144A Ser. 06-PW14, Class XW, IO, 0.832s, 2038 17,916,426 284,871
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.744s, 2047 409,000 433,356
Citigroup Commercial Mortgage Trust
     Ser. 06-C5, Class AJ, 5.482s, 2049 610,000 617,558
     FRB Ser. 05-C3, Class B, 5.029s, 2043 1,720,000 1,678,720
     Ser. 13-GC11, Class D, 4.606s, 2046 484,000 451,641
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class G, 5.924s, 2040 1,531,326 1,531,325
     FRB Ser. 12-GC8, Class D, 5.04s, 2045 401,000 401,882
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.321s, 2044 507,000 501,930
     Ser. 07-CD5, Class XS, IO, 0.086s, 2044 29,357,951 130,412
COMM Mortgage Trust FRB Ser. 07-C9, Class F, 5.988s, 2049 962,000 952,380
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.823s, 2044 1,145,000 1,182,212
     FRB Ser. 12-CR3, Class E, 4.927s, 2045 790,000 782,384
     FRB Ser. 14-CR18, Class D, 4.74s, 2047 1,477,000 1,378,686
     FRB Ser. 13-LC6, Class D, 4.432s, 2046 182,000 170,372
     FRB Ser. 07-C9, Class AJFL, 0.844s, 2049 641,000 602,540
Credit Suisse Commercial Mortgage Trust Ser. 06-C5, Class AX, IO, 0.92s, 2039 20,370,811 297,593
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C5, Class C, 5.1s, 2038 416,000 429,501
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 591,671 24,259
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.578s, 2044 1,340,000 1,422,409
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.013s, 2020 2,233,355 36,850
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.949s, 2048 2,843,000 2,747,759
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 452,000 453,808
GMAC Commercial Mortgage Securities, Inc. Trust 144A Ser. 04-C3, Class X1, IO, 0.932s, 2041 30,627,337 164,928
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 803,000 806,016
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 846,000 856,555
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.826s, 2045 1,213,000 1,264,188
     FRB Ser. 11-GC3, Class D, 5.728s, 2044 935,000 987,339
     FRB Ser. 11-GC3, Class E, 5s, 2044 577,000 533,274
     FRB Ser. GC10, Class D, 4.562s, 2046 707,000 655,601
     Ser. 05-GG4, Class XC, IO, 0.879s, 2039 51,734,330 227,631
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.152s, 2030 (Cayman Islands) 379,000 259,615
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.279s, 2051 1,054,500 1,118,191
     FRB Ser. 06-LDP6, Class B, 5.687s, 2043 793,000 793,000
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 1,068,000 1,117,554
     Ser. 06-LDP8, Class B, 5.52s, 2045 362,000 371,774
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 247,000 248,586
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 847,000 806,499
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.379s, 2051 568,000 585,715
     FRB Ser. 07-CB20, Class C, 6.379s, 2051 410,000 386,372
     FRB Ser. 11-C3, Class F, 5.752s, 2046 410,000 413,225
     FRB Ser. 12-C8, Class E, 4.823s, 2045 413,000 409,715
     FRB Ser. 13-C13, Class D, 4.191s, 2046 722,000 666,412
     FRB Ser. 13-C13, Class E, 3.986s, 2046 639,000 502,367
     FRB Ser. 13-C10, Class E, 3 1/2s, 2047 808,000 598,162
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 541,000 388,005
     Ser. 07-CB20, Class X1, IO, 0.199s, 2051 51,539,346 472,513
LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 442,382 462,289
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.922s, 2039(F) 1,765,000 1,588,509
     Ser. 06-C3, Class AJ, 5.72s, 2039 739,000 749,789
     Ser. 06-C6, Class E, 5.541s, 2039 750,000 688,800
     FRB Ser. 06-C6, Class C, 5.482s, 2039 471,000 462,169
LB-UBS Commercial Mortgage Trust 144A Ser. 06-C6, Class XCL, IO, 0.855s, 2039 17,614,378 251,569
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.371s, 2028 54,598 5
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.47s, 2051 395,000 434,619
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.914s, 2037 62,072 1,893
     Ser. 07-C5, Class X, IO, 5.964s, 2049 1,121,500 60,000
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 602,000 616,266
     Ser. 06-4, Class AJ, 5.239s, 2049 248,000 252,662
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 388,000 378,222
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 13-C10, Class D, 4.218s, 2046 243,000 220,481
     FRB Ser. 13-C10, Class E, 4.218s, 2046 523,000 454,121
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,142,609
     FRB Ser. 06-HQ8, Class D, 5.678s, 2044 598,000 566,127
     Ser. 07-HQ11, Class C, 5.558s, 2044 590,000 598,083
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 577,000 594,829
     Ser. 04-IQ8, Class C, 5.3s, 2040 1,400,000 1,398,179
Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,158,297 1,111,965
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 1,162,817 1,164,189
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 193,000 144,750
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 552,146 138,036
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 5.123s, 2049(F) 609,000 598,923
     Ser. 13-C6, Class D, 4.498s, 2046 168,000 155,921
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.2s, 2045 1,649,000 1,698,470
     FRB Ser. 06-C25, Class AJ, 5.904s, 2043 617,000 641,927
     FRB Ser. 05-C20, Class B, 5.41s, 2042 1,423,000 1,451,298
     Ser. 07-C34, IO, 0.494s, 2046 15,463,709 187,111
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C17, Class E, 5.59s, 2042 385,000 387,965
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.938s, 2045 462,000 412,936
     FRB Ser. 13-LC12, Class D, 4.439s, 2046 803,000 736,855
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 12-C6, Class D, 5.748s, 2045 405,000 425,377
     FRB Ser. 12-C7, Class E, 5.002s, 2045 400,000 390,563
     FRB Ser. 12-C6, Class E, 5s, 2045 534,000 512,053
     FRB Ser. 13-UBS1, Class D, 4.788s, 2046 1,753,000 1,657,058
     FRB Ser. 13-C15, Class D, 4.634s, 2046 730,000 681,638
     FRB Ser. 12-C10, Class D, 4.608s, 2045 675,000 650,219
     FRB Ser. 12-C7, Class F, 4 1/2s, 2045 2,524,000 2,116,122
     Ser. 14-C19, Class D, 4.234s, 2047 584,000 522,133
     Ser. 13-C12, Class E, 3 1/2s, 2048 510,000 393,369
61,996,310
Residential mortgage-backed securities (non-agency) (9.9%)
Banc of America Funding Corp. FRB Ser. 06-G, Class 2A5, 0.433s, 2036 391,966 361,118
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 9A4, 8.412s, 2036 250,000 253,375
     FRB Ser. 12-RR10, Class 9A2, 2.663s, 2035 980,000 923,650
     Ser. 13-RR1, Class 1A2, 2.476s, 2035 660,000 553,410
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR11, Class 5A3, 10.161s, 2037 192,484 131,851
     FRB Ser. 12-RR2, Class 5A12, 6.471s, 2036 575,000 548,550
     FRB Ser. 09-RR11, Class 2A2, 2.43s, 2035 850,000 790,500
     FRB Ser. 14-RR2, Class 3A2, 1.083s, 2046 520,000 350,350
     FRB Ser. 13-RR11, Class 6A3, 0.322s, 2035 520,000 449,280
     Ser. 12-RR11, Class 3A3, zero %, 2036 524,638 371,811
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-12, Class 12A1, 2.515s, 2036 697,194 618,690
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.025s, 2034 44,609 7,126
Citigroup Mortgage Loan Trust, Inc. Ser. 2005-WF2, Class AF4, 4.964s, 2035 121,717 122,324
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 12-4, Class 3A2, 2.53s, 2036 634,969 554,010
     FRB Ser. 41891, Class 7A2, 2.515s, 2036 800,000 761,728
     FRB Ser. 11-12, Class 2A2, 0.522s, 2035 900,000 787,500
Countrywide Alternative Loan Trust
     Ser. 06-26CB, Class A8, 6 1/4s, 2036 396,750 343,332
     Ser. 06-6CB, Class 2A9, 5 3/4s, 2036 438,326 345,182
     Ser. 05-46CB, Class A20, 5 1/2s, 2035 506,993 478,363
     FRB Ser. 05-38, Class A3, 0.502s, 2035 1,275,522 1,109,703
     FRB Ser. 05-59, Class 1A1, 0.483s, 2035 405,421 336,499
     FRB Ser. 05-51, Class 1A1, 0.475s, 2035 934,550 813,059
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, Class 1A4, 0.552s, 2037 500,000 387,500
Credit Suisse First Boston Mortgage Securities Corp. FRB Ser. 03-AR30, Class CB1, 2.485s, 2034 412,700 374,641
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 384,009 682,232
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 1,028,000 1,456,907
GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036 $367,818 375,761
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.682s, 2035 384,992 336,291
     FRB Ser. 05-3, Class A2, 0.502s, 2035 449,626 403,540
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.542s, 2035 379,404 350,000
Residential Accredit Loans, Inc.
     FRB Ser. 06-QO7, Class 2A1, 0.974s, 2046 1,405,716 989,343
     FRB Ser. 07-QH1, Class A1, 0.312s, 2037 1,117,158 962,153
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.194s, 2046 2,138,804 1,967,700
     FRB Ser. 06-AR3, Class A1B, 1.124s, 2046 970,233 791,225
     FRB Ser. 05-AR11, Class A1C3, 0.662s, 2045 1,653,482 1,459,197
     FRB Ser. 05-AR19, Class A1C3, 0.652s, 2045 1,836,113 1,615,780
     FRB Ser. 05-AR13, Class A1C3, 0.642s, 2045 3,851,155 3,398,644
     FRB Ser. 05-AR8, Class 2AC2, 0.612s, 2045 1,090,249 979,589
     FRB Ser. 05-AR11, Class A1C4, 0.592s, 2045 841,407 736,231
     FRB Ser. 05-AR13, Class A1B2, 0.582s, 2045 793,572 718,183
     FRB Ser. 05-AR17, Class A1B2, 0.562s, 2045 745,422 655,971
     FRB Ser. 05-AR15, Class A1B2, 0.562s, 2045 1,218,899 1,076,653
     FRB Ser. 05-AR19, Class A1C4, 0.552s, 2045 623,190 554,638
     FRB Ser. 05-AR11, Class A1B3, 0.552s, 2045 1,265,273 1,126,092
     FRB Ser. 05-AR8, Class 2AC3, 0.542s, 2045 384,178 343,840
     FRB Ser. 05-AR6, Class 2A1C, 0.492s, 2045 351,079 314,215
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.331s, 2047 500,000 370,000
33,437,737
Total mortgage-backed securities (cost $149,206,627) $163,031,956

CORPORATE BONDS AND NOTES (32.4%)(a)
Principal amount Value
Basic materials (2.1%)
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) $421,000 $538,880
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 212,000 227,900
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 110,000 110,275
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 203,962
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 490,000 510,213
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 200,000 214,250
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 70,000 70,000
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 45,000 47,475
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 283,000 295,735
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 105,000 114,319
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 131,000 137,223
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 11,000 11,798
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 258,000 281,865
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 153,000 183,983
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 137,000 145,220
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 326,000 339,040
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 287,000 317,135
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 215,000 222,525
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 3,000 2,775
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 76,213
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 400,000 413,000
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 265,000 301,769
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 229,000 251,900
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 80,000 85,800
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 119,000 123,260
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 155,000 172,050
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 214,500
PQ Corp. 144A sr. notes 8 3/4s, 2018 135,000 146,138
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 130,000 138,450
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 137,000 146,590
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 65,000 73,125
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 110,000 112,200
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 49,000 56,350
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 30,000 32,625
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 40,000 43,500
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 20,000 20,700
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 235,000 262,613
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 14,000 14,910
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 145,000 160,588
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 53,000 54,723
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 125,000 132,813
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 55,000 55,000
7,063,390
Capital goods (1.9%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 455,000 490,263
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 419,000 482,898
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A FRN 3.232s, 2019 (Ireland) 200,000 199,500
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 188,000 204,215
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 140,000 152,425
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 88,000 88,660
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 105,591
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 24,000 27,360
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 140,000 149,450
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 215,000 226,825
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 106,000 109,180
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 119,000 123,314
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 235,000 262,613
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 184,000 179,216
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 11,000 6,600
Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 185,000 185,000
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 100,000 149,545
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 $198,000 215,820
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 195,000 192,075
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 342,000 352,260
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 230,000 250,125
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 200,000 217,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 270,000 284,850
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 100,000 110,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 100,000 105,875
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 295,000 320,813
Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 (Netherlands)(PIK) EUR 100,000 144,093
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 $140,000 152,425
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 45,000 48,848
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 282,000 303,855
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 45,000 49,838
TransDigm, Inc. 144A sr. unsec. sub. notes 6 1/2s, 2024 295,000 307,169
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 85,000 90,525
6,289,476
Communication services (4.8%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 480,000 511,200
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 265,000 308,394
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 170,344
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 131,000 139,515
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 573,000 584,460
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 354,000 357,098
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 53,000 55,849
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 170,000 185,725
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 40,000 42,200
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 266,000 277,305
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 85,000 87,763
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 165,000 182,325
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 130,000 127,888
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 346,000 355,965
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 109,000 124,260
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 337,000 350,480
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 156,000 182,520
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 50,000 53,625
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 214,000 238,610
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 231,000 264,495
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 365,000 378,213
Inmarsat Finance PLC 144A company guaranty sr. unsec. notes 4 7/8s, 2022 (United Kingdom) 100,000 101,000
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 80,000 83,500
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 153,300
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 277,000 299,506
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 418,000 442,558
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 260,000 275,275
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 143,000 160,160
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 40,000 43,650
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 17,000 18,573
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 65,000 69,631
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 59,000 61,950
Nil International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 100,000 86,500
Numericable Group SA 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 146,173
Numericable Group SA 144A sr. notes 6s, 2022 (France) $600,000 624,150
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 156,000 168,090
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 180,000 317,632
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $180,000 184,950
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 141,000 139,238
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 55,000 58,300
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 585,000 682,988
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 105,000 115,500
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 418,000 506,825
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 225,000 250,313
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 290,000 319,725
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 369,000 400,365
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 75,000 78,938
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 206,000 219,648
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 190,000 201,875
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 295,000 455,648
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 100,000 151,035
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 130,000 190,028
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 235,000 346,074
Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 293,000 431,283
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 361,000 543,398
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $349,000 358,598
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 50,000 90,795
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 235,000 422,288
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $139,000 138,653
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 360,000 404,550
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 325,000 471,359
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) $200,000 213,500
Wind Acquisition Finance SA 144A sr. bonds 4s, 2020 (Luxembourg)(FWC) EUR 125,000 170,752
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 $247,000 284,359
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 109,000 119,083
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 90,000 91,238
16,071,188
Consumer cyclicals (5.0%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 25,000 26,813
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 82,000 93,480
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 110,000 114,400
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 255,000 294,525
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 164,000 180,810
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 44,000 48,620
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 185,000 185,231
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 58,000 55,245
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 235,000 248,513
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 95,000 98,344
Building Materials Corp. of America 144A company guaranty sr. notes 7 1/2s, 2020 100,000 106,500
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 180,000 193,950
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 140,000 152,775
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 118,000 98,235
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 199,000 205,965
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 100,000 103,000
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 45,563
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 382,000 441,210
Ceridian, LLC company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 23,000 23,023
Ceridian, LLC sr. unsec. notes 11 1/4s, 2015 283,000 283,283
Ceridian, LLC 144A sr. notes 8 7/8s, 2019 39,000 43,973
Ceridian, LLC/Comdata, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2017 52,000 52,260
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 105,000 118,650
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 72,000 73,710
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 25,000 24,938
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 33,000 36,383
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 135,000 144,450
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019 262,000 279,358
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 136,000 146,880
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 335,000 360,963
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 176,000 185,460
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 329,000 348,740
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 200,000 214,500
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 179,000 190,411
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 50,000 51,500
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020 105,000 108,150
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 145,000 149,531
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020 175,000 180,250
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018 65,000 67,113
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 266,000 286,615
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 259,883
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 $123,000 112,699
Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico) 122,000 138,705
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 282,000 301,740
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 75,000 76,500
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 105,000 106,181
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 130,000 139,425
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 356,000 380,030
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 75,000 76,688
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 290,000 297,250
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 115,000 124,200
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 300,000 341,250
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 85,000 92,013
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 55,000 58,919
Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 80,000 82,800
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 158,000 157,210
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 85,000 87,019
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 110,000 117,150
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 143,000 155,870
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 275,000 281,875
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 65,000 70,688
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 175,000 195,344
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 162,000 168,480
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 110,000 128,975
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 100,000 111,500
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 525,213 590,208
Navistar International Corp. sr. notes 8 1/4s, 2021 214,000 224,165
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 280,000 305,200
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021 95,000 102,363
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 85,000 91,588
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 258,000 267,675
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 50,000 50,375
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 290,000 312,475
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 143,000 158,015
Owens Corning company guaranty sr. unsec. notes 9s, 2019 92,000 115,684
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 190,000 179,550
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 160,000 168,400
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 100,000 107,375
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 70,000 71,400
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 168,000 172,620
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 35,000 36,313
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 40,000 43,400
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 240,000 260,400
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 92,000 101,775
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 286,000 316,745
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 98,000 104,248
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 24,000 24,150
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 48,000 50,160
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 142,000 147,680
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 227,000 240,053
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 20,000 21,500
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 296,000 303,400
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 10,000 10,825
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 10,000 10,750
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 110,000 117,975
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 75,000 80,063
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 35,000 34,300
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 70,000 69,475
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 326,000 330,075
Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom) GBP 217,000 409,254
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 $247,000 251,940
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 156,109 160,792
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 350,000 398,125
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 50,000 52,500
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 89,000 98,679
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 200,000 213,500
16,930,884
Consumer staples (1.7%)
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 455,000 497,088
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 170,000 173,825
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 70,000 70,088
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 100,000 99,750
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 184,000 197,340
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 85,000 87,975
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 50,000 49,938
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 255,000 253,406
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 111,000 123,765
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 101,025
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 135,000 132,300
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 123,000 122,078
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 103,788
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 115,000 123,223
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 395,000 417,713
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 152,000 280,871
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $200,000 195,600
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 65,000 68,088
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 113,000 119,639
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 75,000 78,375
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 345,000 347,156
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 67,000 72,695
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 350,000 376,250
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 55,000 58,300
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 95,000 104,500
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 140,000 143,150
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 240,000 246,600
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 235,000 267,900
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 55,000 60,500
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 145,000 158,775
Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021 40,000 42,300
Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018 137,000 142,480
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 334,000 375,750
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 89,000 92,449
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 120,000 128,700
5,913,380
Energy (7.3%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 135,000 144,450
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 160,225
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 249,000 262,695
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 155,000 110,050
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 130,000 133,575
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 192,000 199,200
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 207,000 225,630
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 85,000 87,975
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 31,000 33,054
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 143,000 143,536
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 111,000 111,694
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 296,000 311,910
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 157,850
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 50,000 74,952
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 $50,000 55,560
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 91,000 94,185
Cimarex Energy Co. company guaranty sr. unsec. notes 4 3/8s, 2024 105,000 106,969
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 247,500
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 193,000 207,475
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 94,710
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 225,000 164,472
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $46,000 36,685
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 125,000 135,313
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 135,000 141,413
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 31,000 33,325
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 227,000 232,391
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 130,000 133,900
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 150,000 152,250
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 105,000 107,363
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 2,055,000 2,497,914
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 176,000 202,641
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 160,000 170,400
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 310,000 335,575
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 170,000 185,513
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 483,000 519,225
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 75,000 79,125
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 150,000 163,500
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 45,000 45,619
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 70,000 70,000
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 121,000 125,840
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 55,000 60,913
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 212,000 219,950
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 317,000 332,850
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 169,000 178,295
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 265,000 277,588
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) 242,000 256,520
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 108,000 114,750
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 225,000 175,500
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 275,000 267,955
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 110,000 120,450
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 205,000 223,450
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 200,000 211,500
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 150,000 152,250
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 234,000 257,108
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 925,000 918,063
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 188,750
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 390,000 455,360
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 651,394
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,300,000 1,116,700
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 1,370,000 1,363,146
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,120,000 1,058,384
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 2,170,000 2,029,601
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 80,000 80,900
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,535,000 1,901,865
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 91,000 101,806
Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 117,000 136,890
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 150,000 161,250
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 75,000 79,500
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2022 60,000 60,750
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 190,000 197,600
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 110,000 113,163
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 100,000 108,500
Sabine Pass Liquefaction, LLC 144A sr. notes 5 3/4s, 2024 100,000 104,250
Sabine Pass Liquefaction, LLC 144A sr. notes 5 5/8s, 2023 100,000 104,250
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 75,000 81,188
Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020 415,000 437,306
Sanchez Energy Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 75,000 77,438
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 155,000 170,105
Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022 20,000 20,500
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 165,000 176,550
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 85,000 90,100
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 105,000 114,188
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 55,000 53,087
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $55,000 57,200
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 45,000 45,824
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 177,000 188,948
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 315,000 345,713
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 480,000 511,200
24,646,211
Financials (3.9%)
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 140,000 156,450
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 680,825
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 150,000 154,125
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 790,000 814,697
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 56,000 59,430
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 135,000 136,350
CIT Group, Inc. sr. unsec. notes 5s, 2023 110,000 112,750
CIT Group, Inc. sr. unsec. notes 5s, 2022 130,000 134,550
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 144,914
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 65,000 66,014
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 230,113
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 165,000 178,819
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 111,000 94,905
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 80,000 83,600
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 163,400
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 304,000 329,080
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 205,000 219,606
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 348,000 372,795
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 215,000 225,213
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 15,000 16,350
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 115,000 128,081
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 55,000 55,000
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 75,000 81,750
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 215,000 231,663
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 80,000 84,100
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 213,000 213,533
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 15,000 16,013
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 190,000 205,913
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 105,000 108,413
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 230,000 262,775
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 50,000 52,875
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 225,000 227,813
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) 100,000 101,540
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 2,750,000 3,023,350
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 325,000 344,500
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 500,000 526,500
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 229,000 270,793
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 590,000 610,650
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 159,591
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 25,000 26,500
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) 200,000 187,000
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 264,000 271,590
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 1,054,970
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 113,000 116,814
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 135,000 141,075
Weyerhaeuser Real Estate Co. 144A sr. unsec. unsub. notes 5 7/8s, 2024 145,000 149,169
13,025,957
Health care (2.5%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 195,000 204,750
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 85,000 85,213
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 139,000 148,035
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 220,000 325,057
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) $50,000 51,500
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 173,000 174,730
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 85,000 86,275
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 62,000 65,023
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 80,000 87,600
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021 30,000 30,750
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022 35,000 37,100
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 200,000 204,500
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 144,430
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 $240,000 238,200
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 341,000 614,442
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 $175,000 176,094
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 75,000 76,875
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 130,000 130,325
Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 70,000 70,613
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 165,000 179,850
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 93,000 94,046
HCA, Inc. sr. notes 6 1/2s, 2020 825,000 926,063
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 55,000 63,525
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 325,000 357,094
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 166,000 176,998
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 88,000 92,400
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 180,000 186,300
Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 145,000 158,413
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 239,000 247,365
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 393,000 445,564
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 85,000 91,860
Omega Healthcare Investors, Inc. 144A sr. unsec. notes 4.95s, 2024(R) 130,000 132,777
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 235,000 252,625
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 60,000 64,350
Service Corp. International sr. unsec. unsub. notes 5 3/8s, 2022 130,000 134,550
Service Corp. International 144A sr. unsec. unsub. notes 5 3/8s, 2024 230,000 235,175
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 160,000 169,200
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 50,000 50,500
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 50,000 50,313
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 155,000 154,031
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 355,000 395,381
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 231,000 250,635
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 30,000 31,875
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 75,000 78,469
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 31,875
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 30,000 31,275
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018 139,000 149,773
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 188,000 200,220
8,384,014
Technology (1.3%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 80,000 84,200
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 107,000 98,708
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 466,000 466,000
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 45,000 48,431
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 275,000 338,594
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 135,000 157,613
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 260,000 308,425
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 700,000 766,500
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 96,000 103,080
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 151,000 170,630
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 110,000 117,425
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 55,000 61,256
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 185,000 200,031
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 170,000 182,325
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 203,250
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 115,000 121,038
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 149,000 162,410
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 125,000 133,906
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 200,000 307,079
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 265,000 393,436
4,424,337
Transportation (0.3%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 378,000 449,906
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $158,000 168,468
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 270,000 294,300
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 210,000 214,200
1,126,874
Utilities and power (1.6%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 475,000 553,375
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 157,950
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 70,000 69,300
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 452,000 490,985
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 45,000 48,544
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 35,000 36,838
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 350,000 388,500
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 247,000 322,242
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 381,000 36,195
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 595,000 56,525
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 150,000 173,250
EP Energy, LLC/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 279,000 320,850
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 92,000 98,095
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 50,000 56,375
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 65,000 64,735
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 190,000 206,625
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 49,388
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 186,000 192,045
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 785,000 915,781
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 659,706
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 170,000 184,663
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 125,400
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 100,000 99,000
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 200,493
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 90,000 82,125
5,589,486
Total corporate bonds and notes (cost $104,000,477) $109,465,197

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (19.9%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.1%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $389,301 $440,534
440,534
U.S. Government Agency Mortgage Obligations (19.8%)
    Federal Home Loan Mortgage Corporation Pass-Through Certificates 4 1/2s, May 1, 2044(F) 3,400,000 3,690,162
    Federal Home Loan Mortgage Corporation Pass-Through Certificates 4 1/2s, December 1, 2039 768,402 844,102
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, July 1, 2044 3,000,000 3,359,063
     4 1/2s, with due dates from April 1, 2040 to February 1, 2044(FWC) 2,316,771 2,540,439
     4 1/2s, TBA, July 1, 2044 23,000,000 24,911,875
     4s, TBA, July 1, 2044 24,000,000 25,473,749
     3 1/2s, TBA, July 1, 2044 1,000,000 1,029,531
     3s, TBA, July 1, 2044 5,000,000 4,939,844
66,788,765
Total U.S. government and agency mortgage obligations (cost $66,690,392) $67,229,299

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (11.7%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,020,000 $1,883,650
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 5,276,000 5,083,426
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) 1,750,000 1,613,325
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 420,000 458,485
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) BRL 1,500 656,338
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) $797,000 777,075
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 125,000 121,563
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina) 600,000 543,000
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 170,000,000 321,088
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) $200,000 214,250
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 225,000 243,844
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 265,000 291,169
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 175,000 165,375
Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) 400,000 436,000
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 203,000 216,059
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 729,694 707,803
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 7,350,000 8,163,200
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 3,725,000 4,242,460
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 1,215,000 1,696,627
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $560,000 521,091
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 9,750,000 283,810
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) $200,000 208,000
Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland) 365,000 405,698
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 200,000 204,500
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,671,400 1,938,824
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 2,600,000 2,686,112
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 100,000 101,500
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 68,487 69,976
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) 200,000 205,422
Turkey (Republic of) sr. unsec. bonds 5 3/4s, 2024 (Turkey) 500,000 543,125
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 1,205,000 1,370,591
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 1,725,000 1,742,250
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,285,000 1,387,325
Total foreign government and agency bonds and notes (cost $36,158,748) $39,502,961

SENIOR LOANS (2.2%)(a)(c)
Principal amount Value
Basic materials (0.1%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 $105,000 $104,913
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 140,000 139,553
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 87,075 87,075
WR Grace & Co. bank term loan FRN 3s, 2021 106,575 106,202
WR Grace & Co. bank term loan FRN Ser. DD, 1s, 2021(U) 38,158 38,024
475,767
Communication services (0.1%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021 139,000 144,039
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 145,996 146,781
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 75,000 75,094
365,914
Consumer cyclicals (1.0%)
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 22,969 23,099
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.528s, 2018 900,450 839,567
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 70,000 69,029
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 260,000 259,582
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 208,566 208,305
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.9s, 2019 423,000 420,885
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 208,439 200,931
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 3 1/2s, 2020 219,079 218,613
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 100,000 100,050
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 51,606 52,605
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 346,494 345,724
ROC Finance, LLC bank term loan FRN 5s, 2019 129,348 127,166
Travelport, LLC bank term loan FRN 9 1/2s, 2016 264,360 271,696
Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK) 52,684 53,171
Univision Communications, Inc. bank term loan FRN 4s, 2020 216,456 216,186
Visteon Corp. bank term loan FRN Ser. DD, 3 1/2s, 2021 95,000 94,288
3,500,897
Consumer staples (0.2%)
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 148,628 147,652
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 148,500 149,520
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 85,000 84,894
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 169,250 169,356
551,422
Health care (0.3%)
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 128,245 128,646
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 139,300 140,127
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 147,556 147,648
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.15s, 2021 224,438 224,045
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 80,000 80,533
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 85,000 84,947
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada) 120,000 118,950
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 123,831 123,661
1,048,557
Technology (0.2%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.727s, 2017 105,000 102,731
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 209,387 209,498
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 64,837 65,102
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 292,788 293,885
671,216
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) 205,000 205,000
205,000
Utilities and power (0.2%)
Energy Future Intermediate Holding Co., LLC bank term loan FRN 4 1/4s, 2016 75,000 75,469
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.651s, 2017 496,516 409,626
485,095
Total senior loans (cost $7,349,687) $7,303,868

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 353 $353,894
M/I Homes, Inc. Ser. A, $2.438 pfd. 4,100 105,087
Total preferred stocks (cost $302,913) $458,981

PURCHASED SWAP OPTIONS OUTSTANDING (0.1%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.8425/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.8425 $16,180,200 $299,819
Total purchased swap options outstanding (cost $195,780) $299,819

PURCHASED OPTIONS OUTSTANDING (0.6%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-14/$99.55 $24,000,000 $747,264
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.50 19,000,000 157,320
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.31 19,000,000 157,320
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.22 9,000,000 69,111
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.31 13,000,000 57,044
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.50 20,000,000 163,200
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.31 20,000,000 163,200
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.50 20,000,000 162,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.31 20,000,000 162,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/102.44 9,000,000 44,667
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/102.25 9,000,000 38,052
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/102.09 9,000,000 33,156
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/102.56 6,000,000 33,000
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/101.34 13,000,000 21,437
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/101.88 7,000,000 21,112
Total purchased options outstanding (cost $2,218,125) $2,031,083

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $100,000 $141,688
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 55,000 104,466
Total convertible bonds and notes (cost $209,165) $246,154

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
United Technologies Corp. $3.75 cv. pfd. 2,100 $136,899
Total convertible preferred stocks (cost $105,000) $136,899

COMMON STOCKS (0.0%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 9,978 $998
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 9,978 998
Tribune Co. Class 1C(F)(NON) 40,066 10,017
Total common stocks (cost $65,186) $12,013

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 20 $2,260
Total warrants (cost $60) $2,260

SHORT-TERM INVESTMENTS (4.4%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.07%(AFF) Shares 4,291,506 $4,291,506
U.S. Treasury Bills with an effective yield of 0.11%, August 21, 2014(SEG),(SEGSF), (SEFCCS) $1,777,000 1,776,730
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 24, 2014(SEG)(SEGSF)(SEGCCS) 4,362,000 4,361,692
U.S. Treasury Bills with an effective yield of 0.05%, November 13, 2014(SEG),(SEGSF) 152,000 151,971
U.S. Treasury Bills with an effective yield of 0.05%, November 20, 2014(SEG),(SEGSF), (SEFCCS) 3,968,000 3,967,218
U.S. Treasury Bills with an effective yield of 0.06%, October 23, 2014(SEGSF), (SEFCCS) 240,000 239,971
Total short-term investments (cost $14,789,130) $14,789,088

TOTAL INVESTMENTS
Total investments (cost $381,291,290)(b) $404,509,578













FORWARD CURRENCY CONTRACTS at 6/30/14 (aggregate face value $119,767,481) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/17/14 $38,619 $37,620 $999
Australian Dollar Sell 7/17/14 38,619 37,964 (655)
Canadian Dollar Buy 7/17/14 858,317 841,829 16,488
Canadian Dollar Sell 7/17/14 860,940 828,865 (32,075)
Chilean Peso Sell 7/17/14 418,409 416,741 (1,668)
Colombian Peso Buy 7/17/14 919,429 874,504 44,925
Colombian Peso Sell 7/17/14 919,429 887,850 (31,579)
Singapore Dollar Sell 8/20/14 289,201 287,064 (2,137)
Barclays Bank PLC
Australian Dollar Buy 7/17/14 117,837 109,214 8,623
British Pound Buy 9/17/14 107,066 106,365 701
Canadian Dollar Sell 7/17/14 2,576,823 2,500,873 (75,950)
Euro Sell 9/17/14 2,824,586 2,796,935 (27,651)
Japanese Yen Sell 8/20/14 513,670 506,380 (7,290)
Mexican Peso Buy 7/17/14 843,180 833,348 9,832
Mexican Peso Sell 7/17/14 843,180 841,233 (1,947)
New Zealand Dollar Buy 7/17/14 9,968 11,447 (1,479)
Norwegian Krone Buy 9/17/14 1,603,418 1,637,588 (34,170)
Polish Zloty Buy 9/17/14 360,094 360,657 (563)
Singapore Dollar Sell 8/20/14 278,534 276,665 (1,869)
South African Rand Sell 7/17/14 510,997 494,675 (16,322)
South Korean Won Buy 8/20/14 1,907,824 1,874,976 32,848
Swedish Krona Sell 9/17/14 846,685 845,280 (1,405)
Citibank, N.A.
Australian Dollar Sell 7/17/14 847,650 846,030 (1,620)
Brazilian Real Buy 7/2/14 1,708,441 1,671,517 36,924
Brazilian Real Sell 7/2/14 1,708,441 1,662,071 (46,370)
Brazilian Real Buy 10/2/14 1,020,968 1,019,282 1,686
Chilean Peso Sell 7/17/14 507,040 504,656 (2,384)
Euro Sell 9/17/14 2,864,170 2,848,346 (15,824)
Japanese Yen Sell 8/20/14 866,123 853,919 (12,204)
Mexican Peso Buy 7/17/14 353,997 348,240 5,757
New Zealand Dollar Buy 7/17/14 882,751 855,673 27,078
Norwegian Krone Buy 9/17/14 1,679,217 1,695,704 (16,487)
Thai Baht Buy 8/20/14 509,090 510,353 (1,263)
Thai Baht Sell 8/20/14 509,090 508,181 (909)
Credit Suisse International
Australian Dollar Sell 7/17/14 856,033 848,009 (8,024)
Canadian Dollar Sell 7/17/14 57,989 50,502 (7,487)
Euro Sell 9/17/14 3,936,915 3,914,239 (22,676)
Indian Rupee Buy 8/20/14 1,350,410 1,359,379 (8,969)
Japanese Yen Sell 8/20/14 856,222 851,296 (4,926)
Mexican Peso Buy 7/17/14 432,951 423,498 9,453
New Zealand Dollar Buy 7/17/14 1,691,707 1,680,740 10,967
Norwegian Krone Buy 9/17/14 848,802 865,117 (16,315)
Singapore Dollar Sell 8/20/14 443,265 440,236 (3,029)
South Korean Won Buy 8/20/14 543,592 534,218 9,374
Swedish Krona Sell 9/17/14 785,938 777,275 (8,663)
Deutsche Bank AG
Australian Dollar Sell 7/17/14 832,390 824,624 (7,766)
Canadian Dollar Sell 7/17/14 847,637 816,665 (30,972)
Czech Koruna Buy 9/17/14 516,143 513,642 2,501
Czech Koruna Sell 9/17/14 516,143 511,471 (4,672)
Euro Sell 9/17/14 2,058,378 2,047,359 (11,019)
Japanese Yen Sell 8/20/14 1,267,584 1,249,399 (18,185)
New Zealand Dollar Buy 7/17/14 1,718,986 1,676,729 42,257
Norwegian Krone Buy 9/17/14 818,648 837,122 (18,474)
Polish Zloty Buy 9/17/14 503,273 500,795 2,478
Swedish Krona Sell 9/17/14 1,711,704 1,698,800 (12,904)
Swiss Franc Sell 9/17/14 446,503 439,910 (6,593)
Goldman Sachs International
Australian Dollar Sell 7/17/14 5,651 7,947 2,296
Canadian Dollar Buy 7/17/14 878,458 848,782 29,676
Canadian Dollar Sell 7/17/14 878,458 847,981 (30,477)
Euro Sell 9/17/14 2,977,991 2,956,775 (21,216)
Japanese Yen Sell 8/20/14 855,469 843,286 (12,183)
Norwegian Krone Buy 9/17/14 828,417 846,559 (18,142)
Swedish Krona Sell 9/17/14 1,706,620 1,710,400 3,780
HSBC Bank USA, National Association
Australian Dollar Sell 7/17/14 795,749 779,439 (16,310)
British Pound Buy 9/17/14 189,675 188,475 1,200
British Pound Sell 9/17/14 189,675 185,697 (3,978)
Canadian Dollar Buy 7/17/14 431,500 424,481 7,019
Canadian Dollar Sell 7/17/14 431,500 415,986 (15,514)
Euro Sell 9/17/14 2,358,478 2,343,353 (15,125)
Indonesian Rupiah Buy 8/20/14 994,667 1,019,525 (24,858)
Indonesian Rupiah Sell 8/20/14 994,667 1,006,798 12,131
Japanese Yen Sell 8/20/14 42,545 41,940 (605)
Swedish Krona Sell 9/17/14 884,431 888,387 3,956
JPMorgan Chase Bank N.A.
Australian Dollar Sell 7/17/14 852,359 834,279 (18,080)
Brazilian Real Buy 7/2/14 851,052 831,116 19,936
Brazilian Real Sell 7/2/14 851,052 849,514 (1,538)
Brazilian Real Sell 10/2/14 1,808 7,617 5,809
British Pound Buy 9/17/14 1,156,693 1,134,726 21,967
Canadian Dollar Sell 7/17/14 36,910 24,849 (12,061)
Euro Sell 9/17/14 2,613,653 2,596,888 (16,765)
Hungarian Forint Sell 9/17/14 293,028 296,319 3,291
Indian Rupee Buy 8/20/14 1,341,539 1,348,410 (6,871)
Japanese Yen Sell 8/20/14 435,430 425,966 (9,464)
Mexican Peso Buy 7/17/14 450,022 443,091 6,931
New Taiwan Dollar Sell 8/20/14 1,031,871 1,025,446 (6,425)
New Zealand Dollar Buy 7/17/14 869,898 834,929 34,969
Norwegian Krone Buy 9/17/14 1,639,635 1,680,567 (40,932)
Russian Ruble Sell 9/17/14 292,918 283,119 (9,799)
Swedish Krona Sell 9/17/14 1,674,916 1,672,478 (2,438)
Thai Baht Buy 8/20/14 1,780 1,783 (3)
Thai Baht Sell 8/20/14 1,780 1,782 2
State Street Bank and Trust Co.
Australian Dollar Buy 7/17/14 859,047 853,313 5,735
Australian Dollar Sell 7/17/14 862,721 844,341 (18,380)
Brazilian Real Buy 7/2/14 5,034,567 4,996,477 38,090
Brazilian Real Sell 7/2/14 3,380,990 3,387,052 6,062
British Pound Buy 9/17/14 117,499 115,315 2,184
Canadian Dollar Sell 7/17/14 10,587 3,462 (7,125)
Chilean Peso Buy 7/17/14 853,510 859,068 (5,557)
Chilean Peso Sell 7/17/14 862,836 835,946 (26,890)
Euro Sell 9/17/14 3,344,522 3,324,584 (19,938)
Japanese Yen Sell 8/20/14 1,411,413 1,395,777 (15,636)
Mexican Peso Buy 7/17/14 843,627 832,634 10,993
Mexican Peso Sell 7/17/14 843,627 845,531 1,904
New Taiwan Dollar Sell 8/20/14 515,813 513,627 (2,186)
New Zealand Dollar Buy 7/17/14 877,767 850,049 27,718
Norwegian Krone Buy 9/17/14 1,650,933 1,681,136 (30,203)
Singapore Dollar Sell 8/20/14 640,877 636,540 (4,337)
Swedish Krona Sell 9/17/14 838,610 828,925 (9,685)
UBS AG
Canadian Dollar Sell 7/17/14 558,814 533,349 (25,465)
Euro Sell 9/17/14 1,600,352 1,591,729 (8,623)
Japanese Yen Sell 8/20/14 844,019 837,953 (6,066)
Mexican Peso Buy 7/17/14 187,701 184,487 3,214
Mexican Peso Sell 7/17/14 187,701 186,825 (876)
Singapore Dollar Sell 8/20/14 131,608 131,261 (347)
WestPac Banking Corp.
Australian Dollar Buy 7/17/14 897,573 874,076 23,497
Australian Dollar Sell 7/17/14 897,573 884,895 (12,678)
British Pound Buy 9/17/14 875,515 870,034 5,481
British Pound Sell 9/17/14 875,515 857,031 (18,484)
Canadian Dollar Buy 7/17/14 871,994 846,621 25,373
Canadian Dollar Sell 7/17/14 871,994 840,635 (31,359)
Euro Sell 9/17/14 2,542,839 2,527,640 (15,199)
Japanese Yen Sell 8/20/14 861,686 854,656 (7,030)
New Zealand Dollar Buy 7/17/14 869,723 858,143 11,580
New Zealand Dollar Sell 7/17/14 869,723 842,610 (27,113)
Total $(522,772)












FUTURES CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 3 $340,798             Sep-14 $6,009
Euro-Bobl 5 yr (Long) 42 7,368,835             Sep-14 46,451
Euro-Bund 10 yr (Short) 59 11,876,749             Sep-14 (174,689)
Euro-Buxl 30 yr (Short) 10 1,843,900             Sep-14 (41,932)
Euro-Dollar 90 day (Short) 378 93,829,050             Sep-15 (37,820)
Japanese Government Bond 10 yr (Short) 10 14,377,375             Sep-14 (58,284)
Japanese Government Bond 10 yr Mini (Long) 4 575,056             Sep-14 2,274
U.S. Treasury Bond 30 yr (Short) 241 33,062,188             Sep-14 (160,568)
U.S. Treasury Note 5 yr (Long) 110 13,140,703             Sep-14 (16,537)
U.S. Treasury Note 10 yr (Short) 230 28,789,531             Sep-14 (11,218)
Total $(446,314)












WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/14 (premiums $1,841,118) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
(2.6425)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.6425 $16,180,200 $123,617
(2.7425)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.7425 16,180,200 201,282
(2.60)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.60 25,732,400 236,995

JPMorgan Chase Bank N.A.
(2.515)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.515 23,399,800 73,709
(2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60 12,866,200 120,042
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 6,568,000 1,178,962
Total $1,934,607












WRITTEN OPTIONS OUTSTANDING at 6/30/14 (premiums $2,050,781) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-14/$100.55 $24,000,000 $523,272
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-14/101.55 24,000,000 317,304
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.75 19,000,000 91,960
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.56 19,000,000 91,960
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.00 19,000,000 50,540
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.81 19,000,000 50,540
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.22 9,000,000 34,290
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.31 13,000,000 26,091
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.22 9,000,000 18,216
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/99.31 13,000,000 11,141
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.75 20,000,000 94,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.56 20,000,000 94,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.00 20,000,000 51,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.81 20,000,000 51,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.75 20,000,000 92,200
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.56 20,000,000 92,200
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.00 20,000,000 50,800
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.81 20,000,000 50,800
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/101.44 9,000,000 16,362
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/101.25 9,000,000 13,320
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/101.56 6,000,000 12,498
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/101.09 9,000,000 10,476
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/100.34 13,000,000 7,254
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/100.88 7,000,000 7,245
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/100.44 9,000,000 5,580
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/100.25 9,000,000 4,464
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/100.56 6,000,000 4,344
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/100.09 9,000,000 3,690
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/99.88 7,000,000 2,177
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Aug-14/99.34 13,000,000 1,976
Total $1,883,100













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)
Counterparty        PremiumUnrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract receivable/appreciation/
Floating rate index/Maturity date date/strike       amount (payable)(depreciation)

Citibank, N.A.
     (3.60)/3 month USD-LIBOR-BBA/Aug-44 (Purchased) Aug-14/3.60 $4,498,000 $(44,980)$(40,976)
     (3.20)/3 month USD-LIBOR-BBA/Aug-44 (Written) Aug-14/3.20 4,498,000 43,29322,040

Goldman Sachs International
     (1.56)/3 month USD-LIBOR-BBA/Oct-17 (Purchased) Oct-14/1.56 82,515,000 (499,215)(382,870)
     1.03/6 month EUR-EURIBOR-Reuters/Oct-17 (Written) Oct-14/1.03 EUR 66,012,000 226,421308,231

JPMorgan Chase Bank N.A.
     (3.6275)/3 month USD-LIBOR-BBA/Aug-44 (Purchased) Aug-14/3.6275 $4,498,000 (47,229)(43,271)
     (1.115)/3 month USD-LIBOR-BBA/Oct-16 (Purchased) Oct-14/1.115 33,006,000 (99,843)(80,865)
     0.862/6 month EUR-EURIBOR-Reuters/Oct-16 (Written) Oct-14/0.862 EUR 24,754,000 42,75057,284
     (3.2275)/3 month USD-LIBOR-BBA/Aug-44 (Written) Aug-14/3.2275 $4,498,000 44,75514,214
Total $(334,048)$(146,213)












TBA SALE COMMITMENTS OUTSTANDING at 6/30/14 (proceeds receivable $11,826,719) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, July 1, 2044 $11,000,000       7/14/14 $11,914,375
Total $11,914,375















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/14 (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)
Bank of America N.A.
CAD 7,020,000 $—      6/23/24 2.7425% 3 month CAD-BA-CDOR $(45,666)
MYR 9,720,000 —      3/19/19 4.0275% 3 month MYR-KLIBOR-BNM 3,195
Citibank, N.A.
NZD 3,911,000 —      5/20/17 3 month NZD-BBR-FRA 4.125% (18,786)
NZD 6,040,000 —      5/21/17 3 month NZD-BBR-FRA 4.115% (30,373)
Credit Suisse International
NZD 5,011,000 —      6/24/17 4.33% 3 month NZD-BBR-FRA 4,791
Deutsche Bank AG
BRL 14,073,818 —      1/2/17 BZDIOVRA - 34,333
BRL 13,996,888 —      1/2/17 BZDIOVRA - 23,629
MYR 9,720,000 —      3/19/19 4.035% 3 month MYR-KLIBOR-BNM 2,213
PLN 9,968,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (221,065)
PLN 4,970,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (113,199)
PLN 4,165,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (84,575)
Goldman Sachs International
CAD 2,722,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR (291)
EUR 43,654,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (18,104)
EUR 43,654,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (138,622)
EUR 43,654,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (17,958)
EUR 43,654,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (141,682)
EUR 43,654,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (31,920)
EUR 43,654,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (123,661)
JPMorgan Chase Bank N.A.
CAD 2,353,000 —      2/6/24 3 month CAD-BA-CDOR 2.855% 57,337
HUF 150,000,000 —      2/4/19 4.79% 6 month HUF-BUBOR-REUTERS (63,006)
HUF 300,000,000 —      2/5/19 4.7275% 6 month HUF-BUBOR-REUTERS (121,920)
HUF 416,000,000 —      2/11/19 4.41% 6 month HUF-BUBOR-REUTERS (141,095)
HUF 581,000,000 —      6/16/16 6 month HUF-BUBOR-REUTERS 2.50% 3,438
HUF 962,000,000 —      6/13/16 6 month HUF-BUBOR-REUTERS 2.56% 10,431
HUF 381,800,000 —      6/17/16 6 month HUF-BUBOR-REUTERS 2.5% 2,242
JPY 2,402,400,000 —      2/19/15 6 month JPY-LIBOR-BBA 0.705% 123,237
JPY 511,900,000 —      2/19/20 6 month JPY-LIBOR-BBA 1.3975% 330,165
MXN 77,940,000 —      5/9/24 1 month MXN-TIIE-BANXICO 6.295% 118,928
MXN 26,620,000 —      5/3/24 1 month MXN-TIIE-BANXICO 6.25% 34,269
MXN 25,980,000 —      5/9/24 1 month MXN-TIIE-BANXICO 6.29% 38,820
NZD 1,208,000 —      5/20/17 3 month NZD-BBR-FRA 4.145% (5,207)
NZD 6,148,000 —      6/26/17 4.365% 3 month NZD-BBR-FRA 1,233
Total$—     $(528,869)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$148,980,000 (E) $724,751      9/17/16 3 month USD-LIBOR-BBA 1.00% $(145,591)
70,458,000 (E) 1,048,175      9/17/19 3 month USD-LIBOR-BBA 2.25% (428,695)
3,383,000 (E) (140,797)     9/17/24 3 month USD-LIBOR-BBA 3.25% 29,861
2,854,000 (E) (311,038)     9/17/44 3 month USD-LIBOR-BBA 4.00% 63,786
72,470,000 (E) 233,407      6/17/17 3 month USD-LIBOR-BBA 1.617% (185,471)
19,185,000 (E) 7,818      6/15/19 3 month USD-LIBOR-BBA 2.64% (100,616)
12,900,000 (E) (130)     6/19/24 3.812% 3 month USD-LIBOR-BBA (80,046)
29,472,000 (E) (164)     6/17/17 1.331% 3 month USD-LIBOR-BBA (3,671)
33,890,000 (E) 316,808      9/17/19 3 month USD-LIBOR-BBA 2.15% (229,329)
21,415,000 (E) (62,184)     9/17/16 3 month USD-LIBOR-BBA 0.90% 20,200
EUR 4,050,000 (E) 44,944      9/17/16 6 month EUR-EURIBOR-REUTERS 0.75% (1,617)
EUR 624,000 (E) 33,787      9/17/19 1.50% 6 month EUR-EURIBOR-REUTERS 246
EUR 3,979,000 (E) 347,512      9/17/24 6 month EUR-EURIBOR-REUTERS 2.25% (49,919)
EUR 1,000 (E) (143)     9/17/44 6 month EUR-EURIBOR-REUTERS 2.75% 31
EUR 9,500,000 (171)     6/17/24 6 month EUR-EURIBOR-REUTERS 1.609% 222,646
EUR 9,500,000 (93)     6/17/24 6 month EUR-EURIBOR-REUTERS 1.622% 238,985
EUR 2,360,000 (E) (272,046)     9/17/34 6 month EUR-EURIBOR-REUTERS 2.75% 80,400
GBP 12,698,000 (E) (26,519)     9/17/16 6 month GBP-LIBOR-BBA 1.50% (23,911)
GBP 6,408,000 (E) 51,092      9/17/19 6 month GBP-LIBOR-BBA 2.25% 39,237
JPY 32,455,000 (11)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 6,710
JPY 63,551,000 (21)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 12,534
JPY 1,780,000,000 (70)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 60,628
JPY 389,500,000 (68)     3/14/44 6 month JPY-LIBOR-BBA 1.795% (77,790)
JPY 31,464,000 (6)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 6,610
$11,699,900 (83,809)     7/2/24 2.6025% 3 month USD-LIBOR-BBA (71,686)
Total$1,911,024    $(616,468)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/14 (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.
$5,725,668 $—      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools $827
1,556,420 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (225)
2,923,000 (E) —      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) (2,514)
3,801,000 (E) —      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) (3,267)
Barclays Bank PLC
318,624 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,903
530,171 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (300)
577,718 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,264
521,831 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,918
7,321,057 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (4,134)
1,673,950 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,774)
218,778 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 2,426
450,242 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,243
2,701,454 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 25,460
626,432 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (670)
1,461,940 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,536)
1,717,224 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 16,184
520,329 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 5,770
67,584 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (44)
231,875 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,185
292,248 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 2,389
1,350,727 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,730
1,219,935 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,123)
1,298,388 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 14,398
246,756 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,249
1,912,533 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 17,824
7,401,535 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 69,757
1,615,920 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 15,230
279,143 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,544
904,979 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,246
656,063 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,978
1,236,247 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 178
3,699,336 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (21,600)
702,728 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (4,029)
3,532,194 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 510
565,222 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (4,416)
282,658 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,208)
282,658 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,208)
567,195 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (4,432)
1,473,129 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (11,510)
567,195 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (4,432)
329,999 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (186)
839,418 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 888
505,602 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 535
509,674 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 4,804
640,910 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 678
1,175,311 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,863)
1,012,647 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (658)
145,259 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (94)
1,132,417 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (8,848)
153,221 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (895)
2,288,582 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,141)
4,150,000 —      3/20/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) 34,993
20,003,000 —      3/20/16 1.795% USA Non Revised Consumer Price Index- Urban (CPI-U) (195,929)
3,440,000 —      3/21/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) 29,051
3,169,000 —      6/24/16 (2.24%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,965)
Citibank, N.A.
1,050,416 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,900
2,251,212 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 21,217
1,965,308 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 18,522
1,695,930 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 245
2,200,059 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 318
20,115,000 —      3/27/16 1.7475% USA Non Revised Consumer Price Index- Urban (CPI-U) (212,817)
4,173,000 —      3/27/24 (2.4825%) USA Non Revised Consumer Price Index- Urban (CPI-U) 44,785
EUR 8,270,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (51,525)
EUR 4,310,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 51,227
Credit Suisse International
$900,485 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,487
740,645 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,325)
1,935,854 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 280
1,856,840 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 268
3,250,705 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 469
1,544,897 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 223
1,412,461 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,494
1,427,268 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (5,077)
1,582,152 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (5,628)
1,469,723 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,555
1,316,496 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (190)
3,218,402 6,537      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 12,606
EUR 2,380,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (8,832)
EUR 8,270,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (44,164)
EUR 4,310,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 45,089
EUR 2,380,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (9,027)
GBP 2,015,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index 9,176
GBP 2,015,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index 7,628
Deutsche Bank AG
$740,645 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,325)
7,875,000 —      6/27/16 (2.25%) USA Non Revised Consumer Price Index- Urban (CPI-U) (6,064)
2,137,000 —      7/1/16 (2.23%) USA Non Revised Consumer Price Index- Urban (CPI-U) (620)
26,937,000 —      6/25/16 (2.24%) USA Non Revised Consumer Price Index- Urban (CPI-U) (13,846)
Goldman Sachs International
864,690 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (925)
334,123 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (217)
1,316,073 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (744)
1,316,073 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (744)
3,882,409 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (561)
3,560,178 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (514)
508,916 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,972)
191,179 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,116)
6,628,573 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (957)
1,669,592 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (241)
46,657 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (50)
397,735 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (425)
919,259 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,954)
418,099 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (447)
836,199 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (894)
25,089 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (16)
3,358,333 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,896)
359,213 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,097)
697,132 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,070)
430,963 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,516)
33,144 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (194)
88,322 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (516)
3,070,458 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,735)
2,376,607 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (343)
2,674,672 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,512)
712,365 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (103)
6,724,000 (E) —      6/19/24 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,883)
JPMorgan Chase Bank N.A.
4,099,008 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,314)
2,592,251 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (374)
2,344,178 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,324)
Total$6,537      $(188,444)
(E)   Extended effective date.











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/14 (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 $22,087
  CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp 22,739
  CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp 11,162
  CMBX NA BBB- Index BBB-/P 4,375 64,000 5/11/63 300 bp 5,584
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 33,591 303,000 5/11/63 300 bp 39,317
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 28,890 704,000 5/11/63 300 bp 42,196
  CMBX NA BBB- Index BBB-/P 31,881 416,000 5/11/63 300 bp 39,744
  CMBX NA BBB- Index BBB-/P 10,467 344,000 5/11/63 300 bp 16,969
  CMBX NA BBB- Index BBB-/P 6,043 343,000 5/11/63 300 bp 12,526
  CMBX NA BBB- Index BBB-/P 27,130 340,000 5/11/63 300 bp 33,556
  CMBX NA BBB- Index BBB-/P 26,325 340,000 5/11/63 300 bp 32,751
  CMBX NA BBB- Index BBB-/P 22,366 340,000 5/11/63 300 bp 28,792
  CMBX NA BBB- Index BBB-/P 37,060 328,000 5/11/63 300 bp 43,259
  CMBX NA BBB- Index BBB-/P 4,963 323,000 5/11/63 300 bp 11,067
  CMBX NA BBB- Index BBB-/P 20,979 288,000 5/11/63 300 bp 26,423
  CMBX NA BBB- Index BBB-/P 3,135 270,000 5/11/63 300 bp 8,238
  CMBX NA BBB- Index BBB-/P 20,934 263,000 5/11/63 300 bp 25,905
  CMBX NA BBB- Index BBB-/P 2,851 149,000 5/11/63 300 bp 5,667
  CMBX NA BB Index — 2,240 112,000 5/11/63 (500 bp) (530)
  CMBX NA BB Index — (914) 119,000 5/11/63 (500 bp) (3,857)
  CMBX NA BB Index — (1,140) 119,000 5/11/63 (500 bp) (4,083)
  CMBX NA BB Index — (1,095) 120,000 5/11/63 (500 bp) (4,063)
  CMBX NA BB Index — 3,449 223,000 5/11/63 (500 bp) (2,067)
  CMBX NA BB Index — 5,994 227,000 5/11/63 (500 bp) 380
  CMBX NA BB Index — 2,409 233,000 5/11/63 (500 bp) (3,354)
  CMBX NA BB Index — (4,646) 266,000 5/11/63 (500 bp) (11,225)
  CMBX NA BB Index — (1,881) 360,000 5/11/63 (500 bp) (10,786)
  CMBX NA BB Index — (5,120) 264,000 5/11/63 (500 bp) (11,650)
  CMBX NA BBB- Index BBB-/P (10,067) 520,000 5/11/63 300 bp (239)
  CMBX NA BBB- Index BBB-/P 12,140 281,000 5/11/63 300 bp 17,451
  CMBX NA BBB- Index BBB-/P 6,401 269,000 5/11/63 300 bp 11,485
  CMBX NA BBB- Index BBB-/P 907 262,000 5/11/63 300 bp 5,859
  CMBX NA BBB- Index BBB-/P (4,715) 261,000 5/11/63 300 bp 218
  CMBX NA BBB- Index BBB-/P 181 261,000 5/11/63 300 bp 5,114
  CMBX NA BBB- Index BBB-/P 10,720 224,000 5/11/63 300 bp 14,954
  CMBX NA BBB- Index — (13,892) 296,000 1/17/47 (300 bp) (14,306)
  CMBX NA BBB- Index — (17,005) 301,000 1/17/47 (300 bp) (17,426)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 CC/F 82,444 705,000 3/20/17 500 bp (140,612)
Goldman Sachs International
  CMBX NA BB Index — 2,532 112,000 5/11/63 (500 bp) (238)
  CMBX NA BB Index — (1,143) 119,000 5/11/63 (500 bp) (4,086)
  CMBX NA BBB- Index BBB-/P (4,349) 261,000 5/11/63 300 bp 584
Total$386,933$255,505
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2014. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
HUF Hungarian Forint
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
NZD New Zealand Dollar
PLN Polish Zloty
RUB Russian Ruble
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 January 1, 2014 through June 30, 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 $337,363,553.
(b) The aggregate identified cost on a tax basis is $387,476,426, resulting in gross unrealized appreciation and depreciation of $20,009,401 and $2,976,249, respectively, or net unrealized appreciation of $17,033,152.
(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 * $8,442,892 $104,899,654 $109,051,040 $5,547 $4,291,506
* 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.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(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.
(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 borrower:
Borrower Unfunded commitments
WR Grace & Co. $38,158
Totals $38,158
At the close of the reporting period, the fund maintained liquid assets totaling $169,897,137 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 79.7%
Greece 3.5
Russia 3.1
Argentina 2.5
Venezuela 1.7
United Kingdom 1.3
Luxembourg 1.2
Brazil 1.0
Canada 0.9
Mexico 0.7
Indonesia 0.6
Ukraine 0.5
Germany 0.5
Turkey 0.5
Other 2.3
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities 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. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to isolate prepayment risk.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk and to gain exposure to interest rates .
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The 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, to hedge interest rate risk and to gain exposure on interest rates.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors or industries and to hedge inflation in specific regions or countries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
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.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements, that govern OTC derivative and foreign exchange contracts, and Master Securities Forward Transaction Agreements, that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,041,037 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,964,677 and may include amounts related to unsettled agreements.
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.












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 — — 1,996
Total common stocks — — 12,013
Convertible bonds and notes $— $246,154 $—
Convertible preferred stocks 136,899 — —
Corporate bonds and notes — 109,465,193 4
Foreign government and agency bonds and notes 39,502,961
Mortgage-backed securities — 163,031,956 —
Preferred stocks — 458,981 —
Purchased options outstanding — 2,031,083 —
Purchased swap options outstanding — 299,819 —
Senior loans — 7,303,868 —
U.S. government and agency mortgage obligations — 67,229,299 —
Warrants — 2,260 —
Short-term investments 4,291,506 10,497,582 —
Totals by level $4,428,405 $400,069,156 $12,017



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(522,772) $—
Futures contracts (446,314) — —
Written options outstanding — (1,883,100) —
Written swap options outstanding — (1,934,607) —
Forward premium swap option contracts — (146,213) —
TBA sale commitments — (11,914,375) —
Interest rate swap contracts — (3,056,361) —
Total return swap contracts — (194,981) —
Credit default contracts — (131,428) —
Totals by level $(446,314) $(19,783,837) $—


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

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 $148,707 $280,135
Foreign exchange contracts 577,684 1,100,456
Equity contracts 2,260 —
Interest rate contracts 5,639,482 10,970,156
Total $6,368,133 $12,350,747


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)$96,300,000
Purchased swap option contracts (contract amount)$153,700,000
Written TBA commitment option contracts (contract amount) (Note 3) $192,600,000
Written swap option contracts (contract amount)$210,800,000
Futures contracts (number of contracts) 800
Forward currency contracts (contract amount)$227,800,000
OTC interest rate swap contracts (notional)$631,600,000
Centrally cleared interest rate swap contracts (notional)$1,215,500,000
OTC total return swap contracts (notional)$284,400,000
OTC credit default contracts (notional)$10,400,000
Centrally cleared credit default contracts (notional)$1,500,000
Warrants (number of warrants)20
 
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.		 State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                   
  Assets:                                
  OTC Interest rate swap contracts*#    $3,195  $—  $—  $—  $4,791  $60,175  $—  $—  $720,100  $—  $—  $—  $—    788,261
  Centrally cleared interest rate swap contracts§    —  —  805,547  —  —  —  —  —  —  —  —  —  —    805,547
  OTC Total return swap contracts*#    827  292,335  —  146,214  80,738  —  —  —  —  —  —  —  —    520,114
  OTC Credit default contracts*#    14,704  5,726  —  —  123,344  —  4,933  —  —  —  —  —  —    148,707
  Futures contracts§    —  —  —  —  —  —  —  —  —  8,580  —  —  —    8,580
  Forward currency contracts#    62,412  52,004  —  71,445  29,794  47,236  35,752  24,306  92,904  —  92,686  3,214  65,931    577,684
  Forward premium swap option contracts#    —  —  —  22,040  —  —  308,231  —  71,498  —  —  —  —    401,769
  Purchased swap options#    299,819  —  —  —  —  —  —  —  —  —  —  —  —    299,819
  Purchased options#    —  —  —  —  —  —  —  —  2,031,083  —  —  —  —    2,031,083
  Repurchase agreements    —  —  —  —  —  —  —  —  —  —  —  —  —    —
                                   
  Total Assets  $380,957  $350,065  $805,547  $239,699  $238,667  $107,411  $348,916  $24,306  $2,915,585  $8,580  $92,686  $3,214  $65,931  $5,581,564
                                   
  Liabilities:                                
  OTC Interest rate swap contracts*#    45,666  —  —  49,159  —  418,839  472,238  —  331,228  —  —  —  —    1,317,130
  Centrally cleared interest rate swap contracts§    —  —  908,769  —  —  —    —  —  —  —  —  —    908,769
  OTC Total return swap contracts*#    6,006  308,995  —  264,342  77,243  24,855  29,642  —  4,012  —  —  —  —    715,095
  OTC Credit default contracts*#    —  —  —  —  51,366  223,056  5,713  —  —  —  —  —  —    280,135
  Futures contracts§    —  —  —  —  —  —  —  —  —  97,261  —  —  —    97,261
  Forward currency contracts#    68,114  168,646  —  97,061  80,089  110,585  82,018  76,390  124,376  —  139,937  41,377  111,863    1,100,456
  Forward premium swap option contracts#    —  —  —  40,976  —  —  382,870  —  124,136  —  —  —  —    547,982
  Written swap options#    561,894  —  —  —  —  —  —  —  1,372,713  —  —  —  —    1,934,607
  Written options#    —  —  —  —  —  —  —  —  1,883,100  —  —  —  —    1,883,100
                                   
  Total Liabilities  $681,680  $477,641  $908,769  $451,538  $208,698  $777,335  $972,481  $76,390  $3,839,565  $97,261  $139,937  $41,377  $111,863  $8,784,535
                                   
  Total Financial and Derivative Net Assets    $(300,723)  $(127,576)  $(103,222)  $(211,839)  $29,969  $(669,924)  $(623,565)  $(52,084)  $(923,980)  $(88,681)  $(47,252)  $(38,163)  $(45,932)    $(3,202,972)
  Total collateral received (pledged)##†    $(249,972)  $(127,576)  $—  $(211,839)  $—  $(664,960)  $(623,565)  $—  $(827,891)  $—  $—  $—  $—    
  Net amount    $(50,751)  $—  $(103,222)  $—  $29,969  $(4,964)  $—  $(52,084)  $(96,089)  $(88,681)  $(47,252)  $(38,163)  $(45,932)    
                                   
* 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: August 27, 2014

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 27, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 27, 2014