a_masterinterincome.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, 2016
Date of reporting period: December 31, 2015



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
12/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (63.7%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (3.4%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, January 1, 2046 $9,000,000 $9,382,500
9,382,500
U.S. Government Agency Mortgage Obligations (60.3%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, January 1, 2046 3,000,000 3,342,188
     4 1/2s, TBA, January 1, 2046 3,000,000 3,240,000
     4s, TBA, January 1, 2046 1,000,000 1,057,969
     3 1/2s, TBA, February 1, 2046 22,000,000 22,650,645
     3 1/2s, TBA, January 1, 2046 22,000,000 22,692,657
     3s, TBA, February 1, 2046 46,000,000 45,897,576
     3s, TBA, January 1, 2046 66,000,000 65,984,530
164,865,565
Total U.S. government and agency mortgage obligations (cost $174,196,409) $174,248,065

MORTGAGE-BACKED SECURITIES (48.0%)(a)
Principal amount Value
Agency collateralized mortgage obligations (15.6%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 24.463s, 2037 $67,439 $105,859
     IFB Ser. 2979, Class AS, 23.062s, 2034 11,004 12,328
     IFB Ser. 3072, Class SM, 22.585s, 2035 108,615 163,704
     IFB Ser. 3072, Class SB, 22.438s, 2035 97,301 146,545
     IFB Ser. 3249, Class PS, 21.184s, 2036 70,603 102,340
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 1,992,864 368,680
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,080,498 189,411
     Ser. 4462, IO, 4s, 2045 1,762,784 360,331
     Ser. 4462, Class KI, IO, 4s, 2045 5,575,145 1,001,129
     Ser. 4452, Class QI, IO, 4s, 2044 3,910,107 716,038
     Ser. 4193, Class PI, IO, 4s, 2043 2,608,513 405,321
     Ser. 4062, Class DI, IO, 4s, 2039 5,436,070 638,170
     Ser. 304, Class C53, IO, 4s, 2032 1,392,181 222,345
     Ser. 303, Class C19, IO, 3 1/2s, 2043 5,038,376 1,029,844
     Ser. 304, Class C22, IO, 3 1/2s, 2042 1,801,226 371,413
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 3,318,481 433,264
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 3,030,390 395,651
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,548,941 202,137
     Ser. 4166, Class PI, IO, 3 1/2s, 2041 2,770,547 428,022
     Ser. 304, Class C37, IO, 3 1/2s, 2027 1,974,873 209,435
     Ser. 304, Class C38, IO, 3 1/2s, 2027 2,650,717 285,800
     Ser. 4165, Class TI, IO, 3s, 2042 6,680,024 786,239
     Ser. 4183, Class MI, IO, 3s, 2042 2,825,622 333,423
     Ser. 4210, Class PI, IO, 3s, 2041 1,989,850 182,740
     Ser. 304, Class C45, IO, 3s, 2027 2,489,492 251,950
     FRB Ser. 57, Class 1AX, IO, 0.38s, 2043 1,968,546 21,063
     Ser. 3326, Class WF, zero %, 2035 1,377 1,073
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 37.37s, 2036 108,521 204,411
     IFB Ser. 07-53, Class SP, 22.654s, 2037 94,120 146,536
     IFB Ser. 08-24, Class SP, 21.737s, 2038 92,994 130,445
     IFB Ser. 05-75, Class GS, 18.985s, 2035 77,623 106,064
     IFB Ser. 05-83, Class QP, 16.298s, 2034 117,569 152,287
     IFB Ser. 13-41, Class SP, IO, 5.778s, 2040 1,316,583 143,126
     IFB Ser. 13-18, Class SB, IO, 5.728s, 2041 1,637,053 256,035
     IFB Ser. 12-56, Class SG, IO, 5.578s, 2039 6,256,048 775,124
     Ser. 374, Class 6, IO, 5 1/2s, 2036 179,699 32,881
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.422s, 2025 286,000 284,372
     Ser. 12-132, Class PI, IO, 5s, 2042 2,499,177 466,022
     Ser. 378, Class 19, IO, 5s, 2035 538,472 103,656
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.972s, 2025 313,000 313,657
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 776,615 181,262
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 5,563,091 888,982
     Ser. 409, Class 81, IO, 4 1/2s, 2040 2,680,334 544,108
     Ser. 409, Class 82, IO, 4 1/2s, 2040 2,863,000 584,911
     Ser. 366, Class 22, IO, 4 1/2s, 2035 172,240 9,899
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.422s, 2025 574,000 542,845
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.422s, 2025 130,000 123,085
     Ser. 15-88, Class QI, IO, 4s, 2044 3,630,800 502,575
     Ser. 418, Class C24, IO, 4s, 2043 2,354,412 505,619
     Ser. 13-41, Class IP, IO, 4s, 2043 2,032,026 335,833
     Ser. 13-44, Class PI, IO, 4s, 2043 1,985,496 291,542
     Ser. 13-60, Class IP, IO, 4s, 2042 1,513,930 254,946
     Ser. 12-96, Class PI, IO, 4s, 2041 1,447,410 231,542
     Ser. 409, Class C16, IO, 4s, 2040 1,926,218 384,088
     Ser. 418, Class C15, IO, 3 1/2s, 2043 5,228,609 1,086,897
     Ser. 12-145, Class TI, IO, 3s, 2042 3,054,044 287,691
     Ser. 13-35, Class IP, IO, 3s, 2042 2,642,548 273,545
     Ser. 13-53, Class JI, IO, 3s, 2041 2,234,189 255,524
     Ser. 13-23, Class PI, IO, 3s, 2041 2,438,696 203,509
     FRB Ser. 03-W10, Class 1, IO, 0.771s, 2043 366,462 6,120
     Ser. 99-51, Class N, PO, zero %, 2029 13,674 12,307
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.748s, 2043 1,113,125 172,612
     IFB Ser. 11-70, Class SH, IO, 5.546s, 2041 2,031,121 328,635
     Ser. 14-122, Class IC, IO, 5s, 2044 1,588,196 324,945
     Ser. 13-22, Class IE, IO, 5s, 2043 3,468,296 680,133
     Ser. 13-22, Class OI, IO, 5s, 2043 3,012,949 590,538
     Ser. 13-3, Class IT, IO, 5s, 2043 1,586,150 310,885
     Ser. 13-6, Class IC, IO, 5s, 2043 1,388,525 271,679
     Ser. 12-146, IO, 5s, 2042 1,400,799 280,062
     Ser. 13-6, Class CI, IO, 5s, 2042 1,027,702 187,628
     Ser. 13-130, Class IB, IO, 5s, 2040 1,107,044 98,527
     Ser. 13-16, Class IB, IO, 5s, 2040 1,134,995 60,894
     Ser. 11-41, Class BI, IO, 5s, 2040 707,154 69,179
     Ser. 10-35, Class UI, IO, 5s, 2040 809,115 156,321
     Ser. 10-20, Class UI, IO, 5s, 2040 1,524,015 281,196
     Ser. 10-9, Class UI, IO, 5s, 2040 6,837,079 1,335,244
     Ser. 09-121, Class UI, IO, 5s, 2039 3,209,172 618,632
     Ser. 15-79, Class GI, IO, 5s, 2039 1,290,655 251,137
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 2,945,058 562,477
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 704,185 111,888
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 501,101 31,619
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 188,910 25,833
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 2,872,429 535,105
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 2,705,405 483,185
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 2,982,701 557,735
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 1,838,953 329,540
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 1,228,250 278,063
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 642,130 68,958
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 2,055,825 187,964
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 622,806 35,737
     Ser. 15-53, Class MI, IO, 4s, 2045 2,964,050 681,139
     Ser. 15-40, IO, 4s, 2045 3,323,427 796,061
     Ser. 14-4, Class IC, IO, 4s, 2044 1,523,375 261,457
     Ser. 13-165, Class IL, IO, 4s, 2043 1,227,559 210,404
     Ser. 12-56, Class IB, IO, 4s, 2042 1,185,693 211,823
     Ser. 12-47, Class CI, IO, 4s, 2042 2,936,077 529,020
     Ser. 13-76, IO, 3 1/2s, 2043 5,340,468 651,270
     Ser. 13-28, IO, 3 1/2s, 2043 1,699,600 247,504
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 2,555,869 325,439
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 3,643,701 449,268
     Ser. 13-14, IO, 3 1/2s, 2042 7,583,375 856,466
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 2,705,568 341,903
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 3,114,878 616,469
     Ser. 12-113, Class ID, IO, 3 1/2s, 2042 1,639,293 338,383
     Ser. 15-52, Class KI, IO, 3 1/2s, 2040 5,510,616 812,100
     Ser. 15-96, Class NI, IO, 3 1/2s, 2039 3,002,244 367,174
     Ser. 15-124, Class DI, IO, 3 1/2s, 2038 2,662,486 403,793
     Ser. 13-H08, IO, 2.925s, 2063 5,974,613 516,266
     Ser. 15-H20, Class CI, IO, 2.252s, 2065 5,555,465 670,128
     Ser. 15-H15, Class BI, IO, 2.205s, 2065 3,449,827 424,760
     Ser. 15-H24, Class AI, IO, 2.191s, 2065 5,068,346 608,666
     Ser. 15-H25, Class EI, IO, 1.84s, 2065 4,834,705 543,904
     Ser. 15-H20, Class AI, IO, 1.835s, 2065 5,379,512 648,070
     FRB Ser. 15-H08, Class CI, IO, 1.793s, 2065 2,954,838 326,879
     Ser. 15-H23, Class BI, IO, 1.719s, 2065 5,235,785 591,905
     Ser. 13-H08, Class CI, IO, 1.667s, 2063 5,536,300 478,392
     Ser. 15-H26, Class CI, IO, 0.685s, 2065 16,973,567 490,706
     Ser. 06-36, Class OD, PO, zero %, 2036 3,670 3,115
42,614,516
Commercial mortgage-backed securities (21.7%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 918,000 916,005
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.344s, 2051 69,578,376 388,129
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.381s, 2045 582,479 582,138
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 18,749 18,623
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.566s, 2045 1,335,000 1,280,399
     Ser. 05-PWR7, Class D, 5.304s, 2041 441,000 440,277
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 697,697
     Ser. 05-PWR9, Class C, 5.055s, 2042 401,000 400,378
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.51s, 2039 850,000 848,266
     FRB Ser. 06-PW14, Class XW, IO, 0.643s, 2038 16,074,102 29,255
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.119s, 2044 507,000 485,422
     FRB Ser. 07-CD5, Class XS, IO, 0.156s, 2044 24,700,210 51,204
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.574s, 2047 409,000 418,068
     FRB Ser. 11-C2, Class F, 5 1/4s, 2047 1,025,000 974,365
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 301,000 296,383
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 13-GC11, Class D, 4.457s, 2046 207,000 186,797
     FRB Ser. 13-GC11, Class E, 4.457s, 2046 396,000 331,545
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.766s, 2046 2,972,000 3,003,319
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.796s, 2049 962,000 954,263
     Ser. 06-C8, Class AJ, 5.377s, 2046 1,396,000 1,381,342
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.645s, 2044 145,000 145,885
     FRB Ser. 13-CR11, Class D, 5.17s, 2046 290,000 274,224
     Ser. 12-LC4, Class E, 4 1/4s, 2044 392,000 342,986
     Ser. 13-LC13, Class E, 3.719s, 2046 574,000 424,969
     Ser. 14-CR18, Class E, 3.6s, 2047 592,000 421,736
     FRB Ser. 07-C9, Class AJFL, 0.98s, 2049 241,000 230,396
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.715s, 2039 19,672,238 177,050
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 645,947 322,974
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.801s, 2050 356,000 284,314
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.465s, 2044 144,000 149,314
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, IO, 0.959s, 2020 1,974,368 29,971
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.527s, 2048 2,843,000 2,738,889
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.459s, 2044 1,727,000 1,727,000
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 229,721 229,650
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 0.859s, 2041 4,617,144 76,047
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.41s, 2046 407,000 368,205
     FRB Ser. 13-GC10, Class E, 4.41s, 2046 393,000 316,998
     FRB Ser. 05-GG4, Class XC, IO, 0.575s, 2039 5,747,496 20,691
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.316s, 2046 662,000 605,267
     Ser. 11-GC3, Class E, 5s, 2044 577,000 538,534
     FRB Ser. 14-GC18, Class D, 4.948s, 2047 1,440,000 1,258,992
     FRB Ser. 14-GC26, Class D, 4.511s, 2047 811,000 669,015
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class E, 4.31s, 2047 407,000 306,268
     FRB Ser. 14-C25, Class D, 3.949s, 2047 732,000 565,397
     Ser. 14-C25, Class E, 3.332s, 2047 788,000 543,150
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.078s, 2051 1,011,500 1,023,132
     FRB Ser. 06-LDP6, Class B, 5.562s, 2043 793,000 787,265
     Ser. 06-LDP8, Class B, 5.52s, 2045 328,000 326,655
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 847,000 835,396
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.178s, 2051 488,000 488,049
     FRB Ser. 07-CB20, Class C, 6.178s, 2051 534,000 509,602
     FRB Ser. 11-C3, Class F, 5.544s, 2046 410,000 412,132
     FRB Ser. 13-C13, Class D, 4.054s, 2046 235,000 203,040
     Ser. 13-C13, Class E, 3.986s, 2046 763,000 585,068
     Ser. 13-C10, Class E, 3 1/2s, 2047 943,000 742,235
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 541,000 428,418
     FRB Ser. 07-CB20, Class X1, IO, 0.315s, 2051 45,284,388 206,121
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 293,189 304,330
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 415,000 414,801
     FRB Ser. 06-C3, Class C, 5.674s, 2039 1,837,000 1,830,571
     Ser. 06-C6, Class E, 5.541s, 2039 750,000 749,093
     FRB Ser. 06-C6, Class C, 5.482s, 2039 1,200,000 1,129,200
     Ser. 06-C1, Class AJ, 5.276s, 2041 353,000 355,824
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.673s, 2039 17,255,543 65,385
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.326s, 2048 443,000 366,751
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, zero %, 2028 6,325 1
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.266s, 2051 184,000 195,239
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 8.866s, 2037 49,508 3,074
     FRB Ser. 07-C5, Class X, IO, 5 1/2s, 2049 1,022,272 110,405
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 1,129,000 1,130,005
     Ser. 06-4, Class AJ, 5.239s, 2049 402,000 401,276
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 388,000 385,610
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.698s, 2047 605,000 520,644
     FRB Ser. 13-C11, Class F, 4.414s, 2046 496,000 421,207
     FRB Ser. 13-C10, Class E, 4.081s, 2046 666,000 541,724
     Ser. 14-C17, Class E, 3 1/2s, 2047 723,000 510,679
     Ser. 15-C24, Class D, 3.257s, 2048 484,000 349,814
     Ser. 14-C19, Class D, 3 1/4s, 2047 550,000 409,464
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,095,238
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,102,000 1,101,030
     FRB Ser. 06-HQ8, Class D, 5.511s, 2044 598,000 596,672
     Ser. 06-HQ10, Class B, 5.448s, 2041 700,000 672,202
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 580,000 581,566
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.268s, 2043 369,000 362,137
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,012,008 922,830
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 761,826 763,349
STRIPS CDO 144A FRB Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 193,000 38,600
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8s, 2038 602,064 150,516
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.349s, 2046 613,000 560,828
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.992s, 2045 1,920,000 1,915,776
     FRB Ser. 06-C25, Class AJ, 5.767s, 2043 142,000 142,596
     FRB Ser. 07-C34, IO, 0.302s, 2046 13,770,065 103,275
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.777s, 2045 462,000 408,177
     FRB Ser. 13-LC12, Class D, 4.299s, 2046 288,000 264,210
     Ser. 14-LC18, Class D, 3.957s, 2047 756,000 592,902
WF-RBS Commercial Mortgage Trust 144A
     Ser. 12-C6, Class E, 5s, 2045 534,000 469,754
     FRB Ser. 13-C16, Class D, 4.981s, 2046 1,292,000 1,219,958
     FRB Ser. 14-C19, Class E, 4.971s, 2047 1,219,000 989,811
     Ser. 12-C7, Class F, 4 1/2s, 2045 2,524,000 2,276,143
     Ser. 14-C19, Class D, 4.234s, 2047 681,000 571,691
     Ser. 13-C12, Class E, 3 1/2s, 2048 510,000 404,634
59,397,902
Residential mortgage-backed securities (non-agency) (10.7%)
APS Resecuritization Trust 144A FRB Ser. 15-1, Class 2M, 0.363s, 2054 400,000 272,000
Banc of America Funding Trust 144A FRB Ser. 14-R7, Class 3A2, 2.763s, 2036 126,822 100,572
BCAP, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 4.935s, 2036 575,000 539,350
     FRB Ser. 11-RR3, Class 3A6, 2.287s, 2036 1,232,691 628,672
     FRB Ser. 15-RR5, Class 2A3, 1.313s, 2046 620,000 475,850
     FRB Ser. 10-RR7, Class 1610, 0.943s, 2047 478,239 266,857
     FRB Ser. 15-RR3, Class 5A3, 0.421s, 2046 500,000 347,500
     FRB Ser. 12-RR5, Class 4A8, 0.391s, 2035 374,800 341,310
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.347s, 2034 442,785 429,192
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 04-FR3, Class M6, 5.297s, 2034 43,061 25,786
     FRB Ser. 05-HE9, Class M2, 1.102s, 2035 750,000 617,387
    Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.727, 2025(Bermuda) 484,000 473,110
Citigroup Mortgage Loan Trust 144A FRB Ser. 12-4, Class 3A2, 2.65s, 2036 612,280 541,868
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 2A3, 1.817s, 2035 897,431 763,899
     FRB Ser. 05-38, Class A1, 1.757s, 2035 643,859 569,865
     FRB Ser. 05-27, Class 1A2, 1.657s, 2035 1,423,667 1,283,608
     FRB Ser. 05-27, Class 2A1, 1.607s, 2035 965,939 788,676
     FRB Ser. 05-38, Class A3, 0.772s, 2035 1,523,235 1,277,448
     FRB Ser. 05-59, Class 1A1, 0.743s, 2035 816,807 648,668
     FRB Ser. 06-OC2, Class 2A3, 0.712s, 2036 487,466 436,282
     FRB Ser. 06-OA10, Class 4A1, 0.612s, 2046 641,562 482,377
CSMC Trust 144A
     FRB Ser. 10-18R, Class 6A4, 2.925s, 2036 2,000,000 1,773,066
     FRB Ser. 09-14R, Class 4A10, 2.842s, 2035 550,000 479,394
     FRB Ser. 09-13R, Class 3A2, 2.287s, 2036 1,016,669 559,168
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.922s, 2025 997,524 1,101,466
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.622s, 2027 510,000 568,191
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA2, Class B, 7.972s, 2027 726,000 675,543
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes
     FRB Ser. 15-HQA2, Class B, 10.922s, 2028 765,000 765,000
     FRB Ser. 15-DNA3, Class B, 9.772s, 2028 1,144,000 1,119,215
     FRB Ser. 15-HQA1, Class B, 9.222s, 2028(F) 550,000 511,500
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.122s, 2028 274,000 276,548
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 384,009 566,128
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 1,028,000 1,117,159
GSAA Trust FRB Ser. 05-4, Class M2, 1.122s, 2035 $1,000,000 733,730
GSAMP Trust FRB Ser. 06-NC1, Class M1, 0.782s, 2036 500,000 335,000
MortgageIT Trust FRB Ser. 05-3, Class M2, 0.952s, 2035 304,475 266,092
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 263,411 262,674
Nomura Resecuritization Trust 144A
     FRB Ser. 10-6RA, Class 1A6, 2.65s, 2036 309,168 273,614
     FRB Ser. 15-4R, Class 1A14, 0.373s, 2047 500,000 286,250
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR19, Class A1C3, 0.922s, 2045 1,900,003 1,605,502
     FRB Ser. 05-AR13, Class A1C3, 0.912s, 2045 3,174,581 2,597,173
     FRB Ser. 05-AR8, Class 2AC2, 0.882s, 2045 905,241 791,000
     FRB Ser. 05-AR17, Class A1B2, 0.832s, 2045 623,362 537,525
     FRB Ser. 05-AR19, Class A1C4, 0.822s, 2045 518,694 430,516
     FRB Ser. 05-AR6, Class 2A1C, 0.762s, 2045 286,849 246,690
29,188,421
Total mortgage-backed securities (cost $132,783,902) $131,200,839

CORPORATE BONDS AND NOTES (31.1%)(a)
Principal amount Value
Basic materials (2.9%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $233,000 $223,098
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) 357,000 337,811
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 86,000 61,920
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 203,000 206,806
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 93,000 100,324
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 298,000 306,940
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 333,000 330,503
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany) 185,000 195,175
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 490,000 420,175
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 200,000 193,000
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 211,000 200,978
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 305,000 266,113
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021 143,000 140,140
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 39,000 33,930
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 238,000 148,750
HD Supply, Inc. company guaranty sr. unsec. notes 11 1/2s, 2020 153,000 169,448
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 298,000 309,920
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 390,000 285,675
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 178,000 162,425
Huntsman International, LLC 144A company guaranty sr. unsec. notes 5 1/8s, 2022 112,000 100,800
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 197,000 131,127
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020 229,000 237,588
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 262,000 264,620
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 189,000 2
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada) 80,000 63,700
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 140,000 137,900
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 337,000 309,198
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 105,000 97,650
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 400,000 396,000
PQ Corp. 144A company guaranty sub. notes 8 3/4s, 2018 79,000 76,630
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. sub. notes 9s, 2017 233,000 179,410
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 124,000 136,710
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 110,000 112,200
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2024 60,000 60,000
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2022 54,000 54,135
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 45,000 45,900
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland) 119,000 136,850
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 125,000 120,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 40,000 40,300
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 50,000 45,625
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 20,000 18,250
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 30,000 27,750
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021 131,000 101,198
Univar, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 135,000 123,188
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 125,000 129,844
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 115,000 116,725
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023 55,000 51,700
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 203,000 205,030
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 240,000 242,400
7,855,561
Capital goods (1.9%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 485,000 488,638
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 419,000 462,995
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024 120,000 117,600
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022 215,000 215,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 136,000 138,040
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 255,000 234,600
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 104,606
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 67,000 65,158
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 70,000 71,225
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 235,000 254,975
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg) 105,000 105,525
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 364,000 262,080
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 100,000 112,846
I really would like to file today since tomorrow is the last day for filing. $258,000 245,100
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 286,000 295,295
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 215,000 185,975
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 235,000 237,350
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 160,000 147,600
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025 95,000 93,100
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 402,000 402,000
Terex Corp. company guaranty sr. unsec. notes 6s, 2021 282,000 259,440
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 45,000 46,575
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024 340,000 338,130
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 235,000 223,838
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 150,000 146,625
5,254,316
Communication services (4.1%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 200,000 197,500
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg) 480,000 432,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 265,000 278,913
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 146,250
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. bonds 5 1/8s, 2023 362,000 362,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 99,000 102,713
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 198,000 199,733
CCOH Safari, LLC 144A sr. unsec. notes 5 3/4s, 2026 95,000 95,238
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 152,000 142,500
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 40,000 39,550
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 165,000 148,500
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 110,000 99,000
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 306,000 321,683
Crown Castle International Corp. sr. unsec. notes 4 7/8s, 2022(R) 85,000 88,081
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 109,000 95,648
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 120,000 115,200
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 167,250
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 132,000 117,480
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 238,000 238,595
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 80,000 67,800
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 50,000 42,000
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 151,000 149,490
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 197,000 196,261
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 63,000 63,788
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 121,800
Intelsat Jackson Holdings SA company guaranty sr. unsec. unsub. bonds 6 5/8s, 2022 (Bermuda) 80,000 51,000
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 13,000 6,078
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 260,000 192,400
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg) 57,000 25,793
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 60,000 61,350
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 65,000 67,275
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 205,000 208,075
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 75,000 75,375
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 109,898
Numericable-SFR SAS 144A company guaranty sr. notes 6s, 2022 (France) $600,000 579,000
Numericable-SFR SAS 144A sr. bonds 6 1/4s, 2024 (France) 200,000 193,000
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 180,000 179,100
SBA Communications Corp. sr. unsec. sub. notes 4 7/8s, 2022 126,000 124,110
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 55,000 57,200
Sprint Communications, Inc. sr. unsec. notes 7s, 2020 105,000 81,113
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 286,000 301,015
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023 753,000 565,503
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021 290,000 218,863
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023 282,000 287,288
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025 140,000 141,400
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 206,000 212,438
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023 156,000 157,950
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 75,000 77,237
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 190,000 194,988
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 295,000 350,097
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 100,000 116,880
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 84,000 96,422
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 90,720 104,259
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 211,500 240,285
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $363,000 362,093
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 211,500 321,976
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022 $286,000 246,675
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 391,000 369,202
Wind Acquisition Finance SA 144A company guaranty notes 7 3/8s, 2021 (Luxembourg) 200,000 189,000
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 125,000 135,249
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021 $109,000 85,769
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023 371,000 267,120
11,081,449
Consumer cyclicals (4.9%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 110,000 111,650
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025 105,000 105,525
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 164,000 165,230
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 249,000 227,835
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 219,000 237,302
Black Knight InfoServ, LLC company guaranty sr. unsec. notes 5 3/4s, 2023 161,000 167,843
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 185,000 129,500
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 98,000 32,340
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 150,000 154,125
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 235,000 226,481
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 120,000 109,950
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 250,000 249,375
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 243,000 259,099
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024 85,000 88,825
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 45,450
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 100,000 103,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 72,000 71,460
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 33,000 34,733
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023 25,000 24,375
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020 136,000 125,800
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 362,000 352,950
Cumulus Media Holdings, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 110,000 37,125
Dana Holding Corp. sr. unsec. notes 6s, 2023 284,000 284,710
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 230,000 225,400
Family Tree Escrow, LLC 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 65,000 67,275
Family Tree Escrow, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020 45,000 46,463
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 134,000 77,888
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020 175,000 171,500
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 3/8s, 2018 65,000 64,350
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 266,000 273,315
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 186,023
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $362,000 369,240
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 288,000 210,240
Interactive Data Corp. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2019 42,000 42,840
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 150,000 153,000
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 173,000 156,565
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 31,000 24,800
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 120,000 66,000
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 332,000 265,600
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 197,000 217,685
L Brands, Inc. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 85,000 90,100
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 55,000 57,750
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 80,000 82,400
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025 25,000 25,438
Lennar Corp. company guaranty sr. unsec. notes 4 1/2s, 2019 85,000 86,434
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 249,000 246,884
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 119,000 118,405
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 80,000 82,600
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 275,000 261,250
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 175,000 179,813
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 162,000 160,380
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 152,000 155,040
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 184,000 122,360
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK) 425,000 263,500
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021 95,000 70,300
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg) 258,000 265,095
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021 234,000 242,798
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025 135,000 137,025
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024 94,000 96,820
Owens Corning company guaranty sr. unsec. notes 4.2s, 2024 129,000 125,677
Owens Corning company guaranty sr. unsec. sub. notes 9s, 2019 92,000 106,628
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021 222,000 215,340
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 192,000 197,280
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 140,000 141,400
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023 134,000 133,498
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022 8,000 8,000
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 36,000 37,260
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 240,000 250,800
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 155,000 154,225
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 54,000 39,420
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 530,000 376,300
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 50,000 23,500
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 150,000 143,250
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 98,000 100,940
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 19,000 19,048
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 218,000 212,005
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 142,000 148,213
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2020 227,000 237,499
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 330,000 334,125
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2022 10,000 10,538
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020 10,000 10,625
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 105,000 107,625
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 183,000 170,190
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 326,000 326,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 70,000 67,113
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 156,000 161,850
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021 233,000 233,583
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 250,000 282,799
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 $245,000 245,000
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 89,000 91,003
13,417,993
Consumer staples (2.0%)
Ashtead Capital, Inc. 144A company guaranty notes 6 1/2s, 2022 455,000 474,338
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 202,500
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 170,000 170,425
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 70,000 69,125
BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada) 340,000 350,200
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 125,000 125,000
BlueLine Rental Finance Corp. 144A notes 7s, 2019 438,000 394,200
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022 105,000 99,225
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 402,000 315,570
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 50,000 49,813
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 255,000 255,638
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 99,000
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 247,000 238,355
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R) 123,000 121,770
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 145,000 150,438
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 342,000 218,880
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 200,000 172,000
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 350,000 347,375
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 67,000 67,000
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 34,000 33,915
Landry's, Inc. 144A company guaranty sr. unsec. sub. notes 9 3/8s, 2020 150,000 157,875
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 86,000 83,635
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 140,000 134,050
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021 240,000 232,200
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 240,000 248,400
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 334,000 356,946
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 95,000 97,138
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 175,000 113,750
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022 195,000 206,213
5,584,974
Energy (5.3%)
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 130,000 98,800
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 105,000 81,900
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 192,000 153,600
Archrock Partners, LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 150,000 122,250
Archrock Partners, LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021 65,000 53,463
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada) 179,000 119,930
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada) 18,000 12,690
California Resources Corp. company guaranty sr. unsec. sub. notes 6s, 2024 95,000 28,975
California Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2020 25,000 8,906
California Resources Corp. 144A company guaranty notes 8s, 2022 316,000 166,295
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 35,000
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 270,000 129,600
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 187,000 91,630
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 213,750
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023 193,000 177,078
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 80,080
CONSOL Energy, Inc. company guaranty sr. unsec. notes 5 7/8s, 2022 135,000 83,700
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 31,000 11,160
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 96,000 31,680
Ecopetrol SA sr. unsec. unsub. notes 5 3/8s, 2026 (Colombia) 1,390,000 1,179,763
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 130,000 36,400
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 89,000 54,735
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 45,000 28,350
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 647,000 716,643
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020 170,000 49,300
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 357,000 103,530
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 60,000 41,100
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2020 150,000 151,500
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 45,000 42,863
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 70,000 58,100
Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 121,000 30,401
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 172,000 158,240
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 149,000 33,525
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 157,000 21,195
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 45,000 7,425
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 194,000 97,000
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada)(F) 80,000 4
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 225,000 68,625
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022 329,000 289,520
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 105,000 86,888
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 86,000 53,320
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 285,000 182,400
Pertamina Persero PT 144A sr. unsec. unsub. notes 4 7/8s, 2022 (Indonesia) 925,000 886,915
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 181,806
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 (Brazil) 390,000 345,150
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5 3/8s, 2021 (Brazil) 625,000 465,625
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/4s, 2017 (Venezuela) 1,475,000 737,500
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 2,724,000 1,865,940
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8 1/2s, 2017 (Venezuela) 2,467,998 1,289,529
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8s, 2019 (Mexico) 1,535,000 1,689,835
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2026 (Mexico) 185,000 163,835
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 60,000 42,600
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 105,000 74,550
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 100,000 91,500
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 100,000 87,000
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023 100,000 87,750
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020 75,000 72,750
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON) 415,000 830
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 205,000 62,269
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada) 155,000 139,500
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 20,000 3,100
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 105,000 76,913
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 46,000 19,947
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $55,000 34,100
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 45,000 10,575
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022 30,000 9,150
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021 253,000 181,528
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 465,000 339,450
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 137,165
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023 249,000 200,445
14,488,571
Financials (4.6%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 336,000 320,040
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 639,156
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 95,000 96,188
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 940,000 803,700
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 75,000 75,970
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 137,000 137,697
CIT Group, Inc. sr. unsec. notes 3 7/8s, 2019 65,000 64,675
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023 110,000 111,650
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 141,413
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022 130,000 133,494
CIT Group, Inc. 144A sr. unsec. notes 6 5/8s, 2018 205,000 216,275
CIT Group, Inc. 144A sr. unsec. notes 5 1/2s, 2019 165,000 172,425
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 195,000 198,413
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 100,000 102,000
Community Choice Financial, Inc. company guaranty sr. sub. notes 10 3/4s, 2019 111,000 29,138
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021 344,000 337,120
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 94,400
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 119,000 124,653
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 160,000 162,000
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK) 68,000 63,580
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 205,000 184,500
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 215,000 210,163
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 15,000 16,088
iStar, Inc. sr. unsec. notes 5s, 2019(R) 55,000 53,419
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R) 215,000 219,569
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2021(R) 75,000 77,813
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020 80,000 76,560
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 213,000 188,505
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019 98,000 86,240
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019 102,000 103,403
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 118,000 118,590
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 133,000 131,836
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 50,000 45,500
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 245,000 237,038
Royal Bank of Scotland Group PLC unsec. sub. bonds 5 1/8s, 2024 (United Kingdom) 100,000 101,316
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7 3/4s, 2018 (Russia) 2,750,000 2,884,173
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6 1/8s, 2022 (Russia) 325,000 325,000
Sberbank of Russia Via SB Capital SA 144A sr. unsec. unsub. notes 4.95s, 2017 (Russia) 500,000 504,572
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6s, 2020 590,000 560,500
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019 160,000 152,000
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 185,000 182,225
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018 70,000 52,150
Tri Pointe Holdings, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 318,000 309,255
Ukreximbank Via Biz Finance PLC 144A sr. unsec. bonds 9 5/8s, 2022 (Ukraine) 200,000 178,000
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 199,000 191,040
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 1,020,656
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021 135,000 106,650
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 91,000 85,540
12,426,288
Health care (2.5%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021 195,000 197,925
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 85,000 79,475
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 192,000 168,960
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 130,000 125,775
CHS/Community Health Systems, Inc. company guaranty sr. sub. notes 5 1/8s, 2018 62,000 62,310
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 35,000 33,206
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 274,000 237,695
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 240,000 164,400
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands) 208,000 202,800
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 267,000 258,990
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 165,000 160,875
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland) 200,000 197,000
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland) 200,000 199,000
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 158,000 157,210
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 758,000 826,220
HCA, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2022 55,000 60,775
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025 50,000 49,375
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 160,000 156,000
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018 5,000 4,875
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 143,000 131,560
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 70,000 70,350
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 120,000 120,000
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R) 130,000 131,291
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 208,761 312,372
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022 $278,000 289,815
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024 498,000 512,940
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 97,000 92,635
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 35,000 34,125
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 98,000 94,570
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 355,000 373,638
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020 231,000 243,128
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.012s, 2020 170,000 165,750
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 7s, 2020 30,000 29,925
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 28,950
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025 160,000 142,800
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023 179,000 159,758
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 35,000 32,200
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 85,000 74,800
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020 171,000 160,740
WellCare Health Plans, Inc. sr. unsec. sub. notes 5 3/4s, 2020 263,000 270,890
6,815,103
Technology (1.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 80,000 82,400
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 107,000 36,380
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 466,000 344,840
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 121,000 116,463
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023 200,000 200,000
First Data Corp. 144A notes 5 3/4s, 2024 190,000 187,150
First Data Corp. 144A sr. notes 5 3/8s, 2023 165,000 165,825
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 6s, 2022 110,000 115,225
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 57,000 57,428
Infor US, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2022 438,000 370,110
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R) 185,000 191,475
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 75,000 79,125
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 185,000 179,913
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5 1/4s, 2023 301,000 270,148
SoftBank Corp. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (Japan) 135,000 134,325
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 125,000 56,563
Techem Energy Metering Service GmbH 144A company guaranty sr. unsec. sub. notes 7 7/8s, 2020 (Germany) EUR 200,000 232,404
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 265,000 303,252
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 $217,000 226,765
3,349,791
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 205,000 181,425
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 285,000 280,725
462,150
Utilities and power (1.5%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 665,000 585,200
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023 70,000 60,900
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 137,025
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025 340,000 300,050
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 45,000 46,238
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024 35,000 35,875
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 350,000 315,604
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 20,000 17,400
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 428,000 402,320
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 10,000 8,548
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8 5/8s, 2022 247,000 268,252
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 138,850 147,875
Energy Transfer Equity LP company guaranty sr. notes 7 1/2s, 2020 150,000 138,750
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 100,000 51,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 80,000 40,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020 389,000 243,611
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 36,352
GenOn Energy, Inc. sr. unsec. sub. notes 9 7/8s, 2020 190,000 140,600
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021 595,000 557,813
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 85,000 70,444
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022 85,000 75,300
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 170,000 160,235
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 107,900
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 58,000 50,178
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 164,175
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 90,000 29,925
4,191,570
Total corporate bonds and notes (cost $95,791,458) $84,927,766

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.4%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,020,000 $2,057,875
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 1,750,000 1,979,688
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 420,000 388,500
Brazil (Federal Republic of) sr. unsec. unsub. notes 10s, 2017 (Brazil) (units) BRL 1,500 360,918
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $725,000 756,719
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 848,092 866,114
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina) 1,850,000 1,870,813
Chile (Republic of) sr. unsec. unsub. notes 5 1/2s, 2020 (Chile) CLP 170,000,000 249,088
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) $265,000 281,430
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 1/4s, 2017 (Croatia) 225,000 233,325
Croatia (Republic of) 144A sr. unsec. unsub. notes 6s, 2024 (Croatia) 200,000 208,832
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5 1/2s, 2025 (Dominican Republic) 725,000 695,094
Gabon (Republic of) 144A sr. unsec. bonds 6.95s, 2025 (Gabon) 900,000 715,500
Ghana (Republic of) 144A sr. unsec. unsub. notes 8 1/2s, 2017 (Ghana) 203,000 197,966
Ghana (Republic of) 144A sr. unsec. unsub. notes 7 7/8s, 2023 (Ghana) 691,585 541,165
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 985,000 1,003,117
Hellenic (Republic of) sr. unsec. unsub. bonds 4 3/4s, 2019 (Greece) EUR 983,000 973,199
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 7,366,492 5,770,389
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 3,898,000 3,121,619
Indonesia (Republic of) 144A sr. unsec. notes 4 3/4s, 2026 (Indonesia) $200,000 197,000
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3 3/8s, 2023 (Indonesia) 560,000 520,100
Kenya (Republic of) 144A sr. unsec. unsub. notes 6 7/8s, 2024 (Kenya) 200,000 175,040
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 200,000 201,191
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2027 (Ukraine) 168,000 146,160
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2026 (Ukraine) 168,000 146,180
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2025 (Ukraine) 168,000 147,769
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2024 (Ukraine) 168,000 148,665
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2023 (Ukraine) 168,000 149,554
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2022 (Ukraine) 168,000 152,171
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2021 (Ukraine) 168,000 152,638
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2020 (Ukraine) 215,000 197,800
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2019 (Ukraine) 5,399 4,997
Venezuela (Bolivarian Republic of) sr. unsec. bonds 5 3/4s, 2016 (Venezuela) 455,000 405,675
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,285,000 707,393
Total foreign government and agency bonds and notes (cost $29,082,326) $25,723,684

SENIOR LOANS (1.4%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $235,051 $226,041
Asurion, LLC bank term loan FRN 8 1/2s, 2021 139,000 118,020
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 136,799 102,884
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 221,782 153,769
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 851,175 743,359
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 10 3/4s, 2017 69,650 57,635
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 256,100 223,447
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 104,201 97,427
Dell International, LLC bank term loan FRN Ser. B2, 4s, 2020 63,099 62,643
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 92,467 86,533
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 209,224 130,634
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.938s, 2019 323,000 226,100
Jeld-Wen, Inc. bank term loan FRN 4s, 2021 159,597 157,502
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 104,738 103,363
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 165,000 144,375
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 284,087 250,751
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 78,800 66,488
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 118,200 113,718
ROC Finance, LLC bank term loan FRN 5s, 2019 256,404 236,319
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 60,000 56,400
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 119,091 111,945
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.676s, 2017 496,516 150,662
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.676s, 2017 5,096 1,546
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 104,487 100,111
Total senior loans (cost $4,605,063) $3,721,672

PURCHASED SWAP OPTIONS OUTSTANDING (0.4%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.059/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.059 $37,689,800 $67,465
     (2.343)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.343 37,689,800 66,334
Barclays Bank PLC
     (2.25625)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.25625 39,290,400 146,160
     2.04375/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.04375 39,290,400 55,007
Citibank, N.A.
     2.1015/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.1015 39,290,400 106,084
     (2.3635)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.3635 39,290,400 55,792
     (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 36,706,100 6,607
Credit Suisse International
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 3,987,800 210,636
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 3,987,800 106,833
Goldman Sachs International
     (2.57867)/3 month USD-LIBOR-BBA/Feb-46 Feb-16/2.57867 9,280,600 225,519
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 3,681,050 12,405
     (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 36,706,100 4,405
Total purchased swap options outstanding (cost $2,027,307) $1,063,247

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/$99.63 $20,000,000 $163,480
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-16/100.22 10,000,000 77,820
Total purchased options outstanding (cost $318,750) $241,300

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $100,000 $107,563
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 57,000 28,108
Total convertible bonds and notes (cost $148,642) $135,671

PREFERRED STOCKS (0.0%)(a)
Shares Value
M/I Homes, Inc. Ser. A, $2.438 pfd. 4,100 $104,263
Total preferred stocks (cost $85,437) $104,263

COMMON STOCKS (0.0%)(a)
Shares Value
Connacher Oil and Gas, Ltd. (Canada)(NON) 2,214 $216
Connacher Oil and Gas, Ltd. (Canada)(NON) 1,436 132
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 9,978 100
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 9,978 100
Tribune Media Co. Class 1C(F) 40,066 10,017
Total common stocks (cost $186,853) $10,565

SHORT-TERM INVESTMENTS (11.1%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.33%(AFF) Shares 16,833,029 $16,833,029
U.S. Treasury Bills 0.04%, April 28, 2016(SEGSF) 150,000 149,874
U.S. Treasury Bills 0.11%, April 21, 2016(SEG)(SEGSF)(SEGCCS) 2,736,000 2,734,298
U.S. Treasury Bills 0.07%, April 14, 2016(SEGSF)(SEGCCS) 907,000 906,530
U.S. Treasury Bills 0.07%, April 7, 2016(SEGSF)(SEGCCS) 2,742,000 2,740,925
U.S. Treasury Bills 0.03%, February 18, 2016(SEG)(SEGSF)(SEGCCS) 3,207,000 3,206,551
U.S. Treasury Bills 0.16%, February 11, 2016(SEGSF) 1,662,000 1,661,769
U.S. Treasury Bills 0.03%, February 4, 2016(SEG)(SEGSF) 1,464,000 1,463,873
U.S. Treasury Bills 0.09%, January 14, 2016 601,000 600,981
Total short-term investments (cost $30,299,912) $30,297,830

TOTAL INVESTMENTS
Total investments (cost $469,526,059)(b) $451,674,902













FORWARD CURRENCY CONTRACTS at 12/31/15 (aggregate face value $83,498,204) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Sell 1/20/16 $694,892 $695,424 $532
Canadian Dollar Sell 1/20/16 672,059 668,373 (3,686)
Chilean Peso Sell 1/20/16 277,818 283,681 5,863
Euro Sell 3/16/16 98,309 97,092 (1,217)
Mexican Peso Buy 1/20/16 1,343,528 1,352,994 (9,466)
New Taiwan Dollar Sell 2/17/16 33,445 33,723 278
New Zealand Dollar Buy 1/20/16 900,111 808,830 91,281
Norwegian Krone Sell 3/16/16 1,125,062 1,143,486 18,424
Swedish Krona Buy 3/16/16 681,777 688,776 (6,999)
Barclays Bank PLC
Australian Dollar Sell 1/20/16 632,925 635,094 2,169
British Pound Buy 3/16/16 670,251 689,385 (19,134)
Canadian Dollar Sell 1/20/16 823,685 796,466 (27,219)
Euro Sell 3/16/16 2,059,056 1,967,688 (91,368)
Mexican Peso Buy 1/20/16 1,340,277 1,348,792 (8,515)
New Zealand Dollar Sell 1/20/16 629,161 589,404 (39,757)
Norwegian Krone Sell 3/16/16 676,945 692,778 15,833
Swedish Krona Buy 3/16/16 12,689 8,580 4,109
Swiss Franc Sell 3/16/16 3,705 3,615 (90)
Citibank, N.A.
Brazilian Real Buy 1/5/16 164,348 163,148 1,200
Brazilian Real Sell 1/5/16 164,348 162,692 (1,656)
Brazilian Real Sell 4/4/16 159,433 158,163 (1,270)
Canadian Dollar Sell 1/20/16 1,114,941 1,104,665 (10,276)
Japanese Yen Sell 2/17/16 1,025,785 1,019,460 (6,325)
Mexican Peso Buy 1/20/16 1,309,064 1,321,226 (12,162)
New Zealand Dollar Buy 1/20/16 725,036 707,783 17,253
Singapore Dollar Sell 2/17/16 1,363,022 1,363,131 109
Credit Suisse International
Australian Dollar Sell 1/20/16 1,386,872 1,390,548 3,676
British Pound Sell 3/16/16 622,039 630,188 8,149
Canadian Dollar Sell 1/20/16 1,739,227 1,743,979 4,752
Euro Sell 3/16/16 1,231,101 1,174,499 (56,602)
Indian Rupee Sell 2/17/16 12,590 2,351 (10,239)
Japanese Yen Sell 2/17/16 39,327 39,255 (72)
New Taiwan Dollar Sell 2/17/16 1,371,149 1,361,537 (9,612)
New Zealand Dollar Buy 1/20/16 178,218 166,125 12,093
Norwegian Krone Buy 3/16/16 388,192 407,235 (19,043)
Deutsche Bank AG
Canadian Dollar Sell 1/20/16 1,315,858 1,375,426 59,568
Czech Koruna Sell 3/16/16 1,362,844 1,335,628 (27,216)
Euro Sell 3/16/16 134,454 133,176 (1,278)
Israeli Shekel Sell 1/20/16 193,280 194,093 813
Japanese Yen Sell 2/17/16 1,321,044 1,318,876 (2,168)
Polish Zloty Buy 3/16/16 615,086 596,975 18,111
Goldman Sachs International
Australian Dollar Buy 1/20/16 559,817 539,286 20,531
British Pound Buy 3/16/16 622,038 636,355 (14,317)
Canadian Dollar Buy 1/20/16 506,049 538,937 (32,888)
Euro Buy 3/16/16 1,044,280 1,067,952 (23,672)
Japanese Yen Buy 2/17/16 721,514 691,264 30,250
New Taiwan Dollar Sell 2/17/16 1,371,153 1,369,861 (1,292)
Norwegian Krone Sell 3/16/16 1,097,132 1,122,491 25,359
Singapore Dollar Sell 2/17/16 1,363,022 1,363,486 464
HSBC Bank USA, National Association
British Pound Sell 3/16/16 1,311,456 1,337,623 26,167
Euro Sell 3/16/16 3,303,984 3,233,488 (70,496)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 1/20/16 681,567 661,115 (20,452)
Canadian Dollar Sell 1/20/16 1,530,651 1,537,651 7,000
Euro Sell 3/16/16 3,684,265 3,604,811 (79,454)
Indian Rupee Buy 2/17/16 1,372,010 1,369,483 2,527
Japanese Yen Sell 2/17/16 165,513 165,256 (257)
Mexican Peso Buy 1/20/16 296,320 353,102 (56,782)
New Taiwan Dollar Sell 2/17/16 1,402,474 1,414,023 11,549
New Zealand Dollar Buy 1/20/16 26,377 24,585 1,792
Norwegian Krone Sell 3/16/16 1,125,062 1,143,576 18,514
Singapore Dollar Sell 2/17/16 1,362,951 1,369,128 6,177
South African Rand Sell 1/20/16 161,036 141,308 (19,728)
South Korean Won Sell 2/17/16 1,435,176 1,418,354 (16,822)
Swedish Krona Sell 3/16/16 138,492 134,588 (3,904)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/20/16 1,368,231 1,370,622 (2,391)
British Pound Buy 3/16/16 672,020 674,558 (2,538)
Canadian Dollar Sell 1/20/16 1,304,655 1,285,285 (19,370)
Euro Sell 3/16/16 3,899,395 3,776,614 (122,781)
Japanese Yen Buy 2/17/16 618,514 612,550 5,964
New Zealand Dollar Buy 1/20/16 2,056,205 2,093,724 (37,519)
Norwegian Krone Sell 3/16/16 453,231 461,977 8,746
South Korean Won Sell 2/17/16 14,161 14,570 409
Swedish Krona Sell 3/16/16 685,611 681,671 (3,940)
State Street Bank and Trust Co.
Australian Dollar Buy 1/20/16 19,806 19,078 728
Brazilian Real Buy 1/5/16 363,930 343,546 20,384
Brazilian Real Sell 1/5/16 363,930 361,771 (2,159)
Brazilian Real Buy 4/4/16 245,893 244,764 1,129
Canadian Dollar Buy 1/20/16 182,415 199,965 (17,550)
Euro Sell 3/16/16 3,957,202 3,872,568 (84,634)
Japanese Yen Sell 2/17/16 251,779 251,328 (451)
South Korean Won Sell 2/17/16 1,376,690 1,379,170 2,480
UBS AG
Australian Dollar Buy 1/20/16 1,186,480 1,172,277 14,203
British Pound Buy 3/16/16 498,191 514,942 (16,751)
Canadian Dollar Buy 1/20/16 598,847 615,033 (16,186)
Euro Sell 3/16/16 2,399,165 2,347,536 (51,629)
Israeli Shekel Sell 1/20/16 7,352 7,295 (57)
Japanese Yen Buy 2/17/16 1,176,205 1,166,937 9,268
WestPac Banking Corp.
Canadian Dollar Sell 1/20/16 1,370,135 1,367,365 (2,770)
Euro Sell 3/16/16 2,044,576 2,000,817 (43,759)
New Zealand Dollar Buy 1/20/16 1,129,170 1,042,756 86,414
South Korean Won Sell 2/17/16 7,218 7,422 204
Total $(565,447)












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


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Buxl 30 yr (Short) 5 $822,670             Mar-16 $16,615
U.S. Treasury Bond 30 yr (Long) 62 9,532,500             Mar-16 (2,412)
U.S. Treasury Bond Ultra 30 yr (Long) 24 3,808,500             Mar-16 22,233
U.S. Treasury Note 5 yr (Long) 3 354,961             Mar-16 (1,061)
U.S. Treasury Note 10 yr (Short) 112 14,101,500             Mar-16 62,777
Total $98,152












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/15 (premiums $3,226,102) (Unaudited)


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

Bank of America N.A.
2.201/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.201        $18,844,900 $115,331
(2.201)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.201        18,844,900 117,404

Barclays Bank PLC
(2.15)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.15        19,645,200 77,991
2.15/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.15        19,645,200 167,181

Citibank, N.A.
2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587        36,706,100 367
2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387        36,706,100 1,468
2.2325/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.2325        19,645,200 94,297
(2.2325)/3 month USD-LIBOR-BBA/Jan-26 Jan-16/2.2325        19,645,200 153,232

Credit Suisse International
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515        3,987,800 378,466

Goldman Sachs International
(1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885        3,681,050 37
2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625        73,412,200 734
1.61017/6 month EUR-EURIBOR-Reuters/Feb-46 Feb-16/1.61017 EUR        9,280,600 209,379

JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        6,568,000 718,441
Total $2,034,328












WRITTEN OPTIONS OUTSTANDING at 12/31/15 (premiums $317,969) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/$98.84        $20,000,000 $87,820
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/98.05        20,000,000 46,820
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-16/98.53        20,000,000 35,620
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-16/97.69        10,000,000 4,880
Total $175,140













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

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 $5,037,775 $(123,441) $(29,269)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 9,176,100 (60,672) (39,090)
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 5,037,775 (128,005) (45,743)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 5,037,775 (134,045) (77,098)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 18,352,200 (128,924) (84,604)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 5,037,775 (141,058) (92,565)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 22,065,500 146,184 120,257
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 22,065,500 141,058 109,224
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 36,704,400 117,454 68,784
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 18,352,200 56,194 32,300
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 22,065,500 127,038 31,554
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 22,065,500 125,773 12,357
Total $(2,444) $6,107












TBA SALE COMMITMENTS OUTSTANDING at 12/31/15 (proceeds receivable $88,703,281) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3 1/2s, January 1, 2046 $22,000,000       1/14/46 $22,692,656
Federal National Mortgage Association, 3s, January 1, 2046 66,000,000       1/14/46 65,984,530
Total $88,677,186















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Deutsche Bank AG
BRL 24,803,354 $—      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% $(179,512)
PLN 9,968,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (415,249)
PLN 4,970,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (209,240)
PLN 4,165,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (170,954)
PLN 1,239,000 —      6/26/25 6 month PLN-WIBOR-WIBO 2.89% 18,200
PLN 1,239,000 —      6/29/25 6 month PLN-WIBOR-WIBO 2.88% 18,001
PLN 3,717,000 —      6/30/25 6 month PLN-WIBOR-WIBO 2.87% 53,095
PLN 3,717,000 —      7/1/25 6 month PLN-WIBOR-WIBO 3.0266% 57,973
PLN 3,717,000 —      7/2/25 6 month PLN-WIBOR-WIBO 3.00% 55,616
PLN 6,889,000 —      11/2/17 6 month PLN-WIBOR-WIBO 2.30% (17,200)
PLN 25,186,000 —      11/2/17 1.52% 6 month PLN-WIBOR-WIBO 15,724
Goldman Sachs International
KRW 1,462,000,000 —      11/6/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 23,998
JPMorgan Chase Bank N.A.
BRL 25,053,070 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (245,829)
BRL 10,892,123 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (57,073)
PLN 1,415,000 —      3/12/25 2.42% 6 month PLN-WIBOR-WIBO (6,666)
PLN 23,953,000 —      8/20/17 6 month PLN-WIBOR-WIBO 1.71% 6,953
PLN 1,233,000 —      8/21/17 6 month PLN-WIBOR-WIBO 1.71% 345
Total$—     $(1,051,818)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$9,275,000 $(48,297)     9/30/25 3 month USD-LIBOR-BBA 2.1575% $(3,580)
9,275,000 127,001      9/30/25 2.3975% 3 month USD-LIBOR-BBA (123,692)
9,275,000 (81,687)     9/30/25 3 month USD-LIBOR-BBA 2.2775% 66,022
38,038,400 (223,027)     10/9/25 3 month USD-LIBOR-BBA 2.155% (99,698)
19,019,200 222,274      10/9/25 2.3225% 3 month USD-LIBOR-BBA (134,027)
19,019,200 (126,139)     10/28/25 3 month USD-LIBOR-BBA 2.055% (261,636)
9,509,600 121,179      10/28/25 2.235% 3 month USD-LIBOR-BBA 30,764
38,038,400 (274,379)     10/28/25 3 month USD-LIBOR-BBA 2.0775% (466,276)
19,019,200 264,116      10/28/25 2.2625% 3 month USD-LIBOR-BBA 34,974
19,019,200 (123,876)     10/29/25 3 month USD-LIBOR-BBA 2.12% (144,081)
9,509,600 123,499      10/29/25 2.31% 3 month USD-LIBOR-BBA (33,427)
28,528,800 (180,108)     10/27/25 3 month USD-LIBOR-BBA 2.07125% (338,921)
14,264,400 179,543      10/27/25 2.25% 3 month USD-LIBOR-BBA 23,348
14,264,400 118,206      9/29/25 2.235% 3 month USD-LIBOR-BBA (53,671)
9,718,000 (128)     9/29/25 2.162% 3 month USD-LIBOR-BBA (51,574)
5,095,000 (67)     9/30/25 2.07% 3 month USD-LIBOR-BBA 16,624
3,500,000 (46)     10/5/25 3 month USD-LIBOR-BBA 2.021% (31,410)
2,447,000 (32)     10/6/25 1.945% 3 month USD-LIBOR-BBA 39,233
2,447,000 (32)     10/6/25 1.939% 3 month USD-LIBOR-BBA 40,589
13,001,000 (172)     10/7/25 2.0085% 3 month USD-LIBOR-BBA 132,758
5,440,000 (72)     10/7/25 3 month USD-LIBOR-BBA 2.046% (36,825)
2,040,000 (27)     10/7/25 3 month USD-LIBOR-BBA 2.051% (12,866)
8,588,500 (113)     10/28/25 2.013% 3 month USD-LIBOR-BBA 94,401
2,852,900 (38)     10/28/25 2.044% 3 month USD-LIBOR-BBA 23,186
18,332,800 146,420      12/2/25 2.119% 3 month USD-LIBOR-BBA 210,436
8,875,000 (117)     11/12/25 2.2225% 3 month USD-LIBOR-BBA (65,628)
6,553,300 (87)     12/7/25 2.1765% 3 month USD-LIBOR-BBA (9,373)
154,802,000 (E) (89,746)     3/16/21 1.70% 3 month USD-LIBOR-BBA 607,174
9,284,000 (E) (8,755)     3/16/26 3 month USD-LIBOR-BBA 2.20% (33,302)
13,106,500 98,126      12/7/25 3 month USD-LIBOR-BBA 2.14% 72,578
17,475,500 136,952      12/9/25 3 month USD-LIBOR-BBA 2.245% 4,729
2,546,000 (34)     11/18/25 3 month USD-LIBOR-BBA 2.128% (4,388)
5,725,700 (76)     11/24/25 2.09% 3 month USD-LIBOR-BBA 32,087
6,416,500 (85)     12/1/25 3 month USD-LIBOR-BBA 2.115% (24,436)
6,553,300 (87)     12/7/25 2.169% 3 month USD-LIBOR-BBA (4,838)
7,254,000 (96)     12/9/25 3 month USD-LIBOR-BBA 2.14% (15,438)
7,254,000 (96)     12/9/25 3 month USD-LIBOR-BBA 2.11% (35,497)
2,568,000 (E) (19,519)     3/16/46 3 month USD-LIBOR-BBA 2.65% (12,426)
348,777,000 (E) 365,736      3/16/18 1.20% 3 month USD-LIBOR-BBA 990,046
3,817,100 (50)     12/23/25 3 month USD-LIBOR-BBA 2.1275% (16,767)
10,999,700 (145)     12/30/25 3 month USD-LIBOR-BBA 2.195% 16,063
18,078,800 (68)     1/4/18 3 month USD-LIBOR-BBA 1.1875% 3,403
7,405,400 (70)     1/4/21 1.7735% 3 month USD-LIBOR-BBA (18,324)
9,311,900 (35)     1/4/18 3 month USD-LIBOR-BBA 1.18997% 2,209
18,078,800 (68)     1/4/18 3 month USD-LIBOR-BBA 1.1845% 2,319
7,405,400 (70)     1/4/21 1.776% 3 month USD-LIBOR-BBA (19,220)
7,405,400 (70)     1/4/21 1.779% 3 month USD-LIBOR-BBA (20,294)
27,390,700 (103)     1/4/18 3 month USD-LIBOR-BBA 1.1895% 6,224
18,078,800 (68)     1/4/18 3 month USD-LIBOR-BBA 1.1825% 1,614
7,405,400 (70)     1/4/21 1.76% 3 month USD-LIBOR-BBA (13,488)
617,000 (21)     1/4/46 2.6555% 3 month USD-LIBOR-BBA (5,028)
3,360,000 (44)     1/4/26 3 month USD-LIBOR-BBA 2.223% 12,216
AUD 14,179,000 (39)     10/22/17 1.975% 3 month AUD-BBR-BBSW 40,592
AUD 15,136,000 (41)     10/8/17 1.9725% 3 month AUD-BBR-BBSW 44,908
AUD 13,359,000 (36)     11/9/17 3 month AUD-BBR-BBSW 2.0475% (24,618)
AUD 14,898,000 (39)     11/12/17 3 month AUD-BBR-BBSW 2.058% (26,083)
AUD 22,591,000 (129)     11/18/20 2.575% 6 month AUD-BBR-BBSW (995)
AUD 3,850,000 (36)     11/18/25 6 month AUD-BBR-BBSW 3.06% (743)
AUD 15,086,000 (40)     11/18/17 3 month AUD-BBR-BBSW 2.1275% (11,478)
AUD 2,612,000 (25)     11/18/25 6 month AUD-BBR-BBSW 3.0425% (3,456)
AUD 5,444,000 (31)     11/19/20 6 month AUD-BBR-BBSW 2.5475% (5,295)
AUD 4,008,000 (38)     11/26/25 6 month AUD-BBR-BBSW 3.0175% (12,828)
AUD 6,295,000 (37)     12/16/20 6 month AUD-BBR-BBSW 2.6125% 3,748
AUD 15,252,000 (41)     12/23/17 3 month AUD-BBR-BBSW 2.185% (1,307)
AUD 5,121,000 (30)     12/30/20 2.57% 6 month AUD-BBR-BBSW 5,705
CAD 37,376,000 (56,064)     6/17/17 3 month CAD-BA-CDOR 0.92% (6,978)
CAD 919,000 (10)     4/17/25 1.89% 3 month CAD-BA-CDOR (7,129)
CAD 3,674,000 (40)     4/17/25 1.91875% 3 month CAD-BA-CDOR (35,406)
CAD 3,262,000 (35)     4/17/25 1.89375% 3 month CAD-BA-CDOR (26,104)
CAD 3,928,000 (42)     5/21/25 3 month CAD-BA-CDOR 2.1875% 100,609
CAD 2,437,000 (26)     6/29/25 3 month CAD-BA-CDOR 2.255% 69,158
CAD 1,490,000 (16)     6/29/25 3 month CAD-BA-CDOR 2.27% 43,740
CAD 18,688,000 (53)     8/27/17 3 month CAD-BA-CDOR 0.6825% (30,626)
CAD 10,247,000 (30)     10/7/17 3 month CAD-BA-CDOR 0.822% 1,767
CAD 19,750,000 (57)     10/7/17 3 month CAD-BA-CDOR 0.82% 2,836
CAD 15,942,000 (45)     10/23/17 3 month CAD-BA-CDOR 0.81% (646)
CAD 16,505,000 (47)     10/23/17 3 month CAD-BA-CDOR 0.805% (1,860)
CAD 16,034,000 (98)     11/5/20 1.30% 3 month CAD-BA-CDOR (85,990)
CAD 12,461,000 (35)     11/16/17 0.874% 3 month CAD-BA-CDOR (9,888)
CAD 2,768,000 (27)     11/18/25 3 month CAD-BA-CDOR 1.985% 25,129
CAD 2,878,000 (28)     12/10/25 3 month CAD-BA-CDOR 1.88375% 3,444
CAD 13,031,000 (131)     11/2/25 1.965% 3 month CAD-BA-CDOR (109,289)
CAD 5,010,000 (31)     11/6/20 3 month CAD-BA-CDOR 1.36% 37,457
CAD 6,012,000 (36)     11/13/20 1.295% 3 month CAD-BA-CDOR (30,351)
CAD 6,114,000 (37)     11/25/20 3 month CAD-BA-CDOR 1.225% 13,967
CAD 2,757,000 (27)     11/27/25 3 month CAD-BA-CDOR 1.86875% 2,062
CAD 22,008,000 (62)     11/30/17 3 month CAD-BA-CDOR 0.89% 20,946
CAD 5,513,000 (33)     12/1/20 3 month CAD-BA-CDOR 1.1575% (1,353)
CAD 17,439,000 (49)     12/3/17 3 month CAD-BA-CDOR 0.91% 21,277
CAD 10,655,000 (29)     12/16/17 0.825% 3 month CAD-BA-CDOR 563
CAD 10,695,000 (29)     12/16/17 0.8325% 3 month CAD-BA-CDOR (596)
CAD 4,394,000 (26)     12/24/20 1.1575% 3 month CAD-BA-CDOR 3,199
CHF 14,160,000 (57)     5/5/17 6 month CHF-LIBOR-BBA 0.60875% 30,179
CHF 2,800,000 (39)     5/5/25 6 month CHF-LIBOR-BBA 0.22% 12,335
CHF 2,800,000 (40)     5/19/25 0.29% 6 month CHF-LIBOR-BBA (31,491)
CHF 14,160,000 (58)     5/19/17 0.63% 6 month CHF-LIBOR-BBA (31,128)
CHF 1,443,000 (20)     5/26/25 0.28% 6 month CHF-LIBOR-BBA (14,363)
CHF 3,961,000 (33)     10/15/20 6 month CHF-LIBOR-BBA 0.3855% 7,504
CHF 2,431,000 (20)     10/15/20 6 month CHF-LIBOR-BBA 0.3875% 4,851
CHF 2,861,000 (40)     10/23/25 6 month CHF-LIBOR-BBA 0.1425% (23,755)
CHF 14,473,000 (56)     10/9/17 0.685% 6 month CHF-LIBOR-BBA (8,570)
CHF 5,748,000 (48)     10/9/20 6 month CHF-LIBOR-BBA 0.3875% 10,456
CHF 2,605,000 (22)     10/12/20 6 month CHF-LIBOR-BBA 0.402% 6,879
CHF 9,981,000 (39)     10/15/17 0.678% 6 month CHF-LIBOR-BBA (4,802)
CHF 1,586,000 (21)     11/9/25 6 month CHF-LIBOR-BBA 0.0875% (23,084)
CHF 2,008,000 (16)     11/11/20 6 month CHF-LIBOR-BBA 0.545% 20,916
CHF 780,000 (10)     11/12/25 6 month CHF-LIBOR-BBA 0.04% (14,989)
CHF 846,000 (11)     11/12/25 6 month CHF-LIBOR-BBA 0.0325% (16,898)
CHF 6,244,000 (23)     11/19/17 6 month CHF-LIBOR-BBA 0.91% 29,890
CHF 8,253,000 (31)     11/24/17 6 month CHF-LIBOR-BBA 0.90% 37,375
CHF 3,655,000 (29)     11/25/20 6 month CHF-LIBOR-BBA 0.56% 41,536
CHF 10,748,000 (40)     11/26/17 6 month CHF-LIBOR-BBA 0.89375% 47,508
CHF 6,619,000 (24)     12/2/17 6 month CHF-LIBOR-BBA 0.9275% 33,422
CHF 338,000 (5)     12/31/25 0.2125% 6 month CHF-LIBOR-BBA 1,495
CHF 3,552,000 (29)     12/32/20 0.3475% 6 month CHF-LIBOR-BBA (7,300)
EUR 3,840,000 (E) 15,826      3/16/26 6 month EUR-EURIBOR-REUTERS 1.00% (1,885)
EUR 30,379,000 (E) 336,441      3/16/21 0.50% 6 month EUR-EURIBOR-REUTERS 126,041
EUR 2,231,000 (E) 15,451      0.25% 6 month EUR-EURIBOR-REUTERS 1,978
GBP 6,613,000 (E) (296,149)     3/16/26 6 month GBP-LIBOR-BBA 2.25% (104,652)
GBP 5,756,000 (E) 79,622      3/16/21 1.75% 6 month GBP-LIBOR-BBA 38,492
GBP 40,441,000 (E) 502,878      3/16/18 1.50% 6 month GBP-LIBOR-BBA 130,915
JPY 511,900,000 (30)     2/19/20 6 month JPY-LIBOR-BBA 1.3975% 241,712
JPY 129,260,000 (19)     11/13/45 6 month JPY-LIBOR-BBA 1.32125% 32,295
JPY 165,552,000 (40)     11/26/35 6 month JPY-LIBOR-BBA 1.09% 25,475
JPY 129,260,000 (19)     1/5/46 1.22015% 6 month JPY-LIBOR-BBA (1,136)
JPY 165,552,000 (44)     1/5/36 1.00875% 6 month JPY-LIBOR-BBA (2,000)
NOK 36,571,000 (16)     12/28/17 0.945% 6 month NOK-NIBOR-NIBR (995)
NOK 24,775,000 26      12/22/20 1.255% 6 month NOK-NIBOR-NIBR (226)
NOK 83,227,000 (1,806)     12/22/17 6 month NOK-NIBOR-NIBR 0.93% (1,423)
NOK 77,069,000 7,124      12/22/25 6 month NOK-NIBOR-NIBR 1.86% 13,154
NOK 34,560,000 (15)     12/31/17 0.935% 6 month NOK-NIBOR-NIBR (837)
NZD 4,132,000 (22)     10/23/20 3.09% 3 month NZD-BBR-FRA 22,322
NZD 3,825,000 (34)     10/29/25 3 month NZD-BBR-FRA 3.4925% (56,405)
NZD 1,796,000 (16)     11/2/25 3.5075% 3 month NZD-BBR-FRA 25,115
NZD 14,894,000 (78)     10/9/20 3.03% 3 month NZD-BBR-FRA 103,439
NZD 8,293,000 (20)     10/9/17 2.705% 3 month NZD-BBR-FRA 15,247
NZD 3,675,000 (20)     10/12/20 3.0525% 3 month NZD-BBR-FRA 23,197
NZD 1,902,000 (10)     10/14/20 3.0775% 3 month NZD-BBR-FRA 10,593
NZD 4,889,000 (12)     10/14/17 3 month NZD-BBR-FRA 2.725% (8,047)
NZD 3,216,000 (8)     10/14/17 3 month NZD-BBR-FRA 2.721% (5,464)
NZD 3,410,000 (19)     10/20/20 3.0475% 3 month NZD-BBR-FRA 22,665
NZD 10,054,000 (26)     10/29/17 2.7675% 3 month NZD-BBR-FRA 13,510
NZD 10,582,000 (27)     11/4/17 2.78% 3 month NZD-BBR-FRA 12,589
NZD 2,142,000 (18)     11/18/25 3 month NZD-BBR-FRA 3.60% (19,119)
NZD 1,642,000 (15)     12/16/25 3 month NZD-BBR-FRA 3.61% (14,414)
NZD 5,025,000 (27)     11/4/20 3.0775% 3 month NZD-BBR-FRA 30,944
NZD 3,005,000 (16)     11/17/20 3 month NZD-BBR-FRA 3.135% (13,512)
NZD 11,961,000 (29)     11/19/17 2.76% 3 month NZD-BBR-FRA 17,173
NZD 3,984,000 (21)     11/20/20 3 month NZD-BBR-FRA 3.07% (26,300)
NZD 2,048,000 (18)     11/24/25 3 month NZD-BBR-FRA 3.5825% (20,594)
NZD 4,533,000 (24)     12/11/20 3 month NZD-BBR-FRA 3.055% (32,794)
NZD 2,211,000 (12)     12/21/20 3 month NZD-BBR-FRA 3.1975% (6,405)
SEK 62,660,000 (28)     9/25/17 3 month SEK-STIBOR-SIDE 0.17% (1,155)
SEK 62,660,000 (28)     9/28/17 3 month SEK-STIBOR-SIDE 0.17125% (768)
SEK 248,878,000 (113)     10/9/17 3 month SEK-STIBOR-SIDE 0.1522% (22,544)
SEK 43,867,000 (43)     10/9/20 0.5036% 3 month SEK-STIBOR-SIDE 27,123
SEK 82,701,000 (38)     10/14/17 0.17875% 3 month SEK-STIBOR-SIDE 1,360
SEK 129,348,000 (58)     10/23/17 0.187% 3 month SEK-STIBOR-SIDE (1,591)
SEK 20,598,000 (20)     10/23/20 0.498% 3 month SEK-STIBOR-SIDE 15,425
SEK 128,085,000 (57)     10/27/17 0.244% 3 month SEK-STIBOR-SIDE (19,528)
SEK 41,684,000 (18)     10/29/17 0.2675% 3 month SEK-STIBOR-SIDE (8,795)
SEK 28,643,000 (44)     11/12/25 3 month SEK-STIBOR-SIDE 1.4375% (47,138)
SEK 12,401,000 (19)     11/27/25 3 month SEK-STIBOR-SIDE 1.3125% (39,372)
SEK 17,949,000 (17)     12/3/20 3 month SEK-STIBOR-SIDE 0.4075% (27,833)
SEK 9,261,000 (14)     12/9/25 3 month SEK-STIBOR-SIDE 1.5075% (10,264)
SEK 22,838,000 (22)     12/14/20 3 month SEK-STIBOR-SIDE 0.54% (19,506)
Total$1,325,055     $924,982
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$401,146 $—      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $643
155,230 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (17)
391,082 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,467
369,189 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (40)
43,935 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 162
197,483 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (12)
921,245 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (99)
1,280,301 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 594
438,713 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (821)
567,226 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,095
341,654 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,262
433,087 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,600
658,310 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2,433
94,431 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 349
1,592,340 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (3,889)
1,304,458 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,704)
2,614,709 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,420)
213,473 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (453)
3,011,831 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 322
2,013,310 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (115)
11,762,893 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (679)
7,115,680 (3,336)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (24,869)
EUR 2,881,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco (4,840)
EUR 1,441,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco (1,236)
EUR 2,049,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco (632)
Citibank, N.A.
$730,854 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (42)
1,566,339 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (90)
1,367,414 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (79)
Credit Suisse International
626,536 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (36)
481,485 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,703)
954,454 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,525
993,059 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (2,425)
1,100,823 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (2,689)
993,148 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 3,668
354,057 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 734
286,143 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 517
753,703 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,599
252,108 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 535
460,997 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 978
3,613,745 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,749
934,058 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,520
910,912 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3,927
Deutsche Bank AG
481,485 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,703)
Goldman Sachs International
539,826 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,025
217,210 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 803
995,787 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,597
995,787 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,597
330,840 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,170)
124,283 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (440)
932,512 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,741
29,128 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 109
248,306 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 931
652,241 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,761
261,019 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 979
522,039 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,958
16,310 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 60
74,287 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 154
233,520 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (826)
453,197 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,603)
280,164 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (991)
21,546 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (76)
57,417 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (203)
2,323,216 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,725
2,023,751 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,245
477,415 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 990
1,582,316 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (3,864)
3,385,000 —      2/24/25 (2.01%) USA Non Revised Consumer Price Index- Urban (CPI-U) (82,289)
2,043,767 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3,696
1,614,944 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,921
747,108 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,351
754,000 —      3/12/25 (1.925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (8,950)
926,946 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,501
939,673 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (1,993)
EUR 10,371,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (50,324)
EUR 3,424,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (16,618)
EUR 2,881,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 8,763
EUR 2,881,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 2,455
EUR 2,882,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco 247
GBP 1,961,000 —      2/20/25 (2.895%) GBP Non-revised UK Retail Price Index 15,784
GBP 436,000 —      3/10/25 (2.8675%) GBP Non-revised UK Retail Price Index (1,858)
JPMorgan Chase Bank N.A.
$3,064,523 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,353
1,752,568 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,633
2,684,567 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 5,565
1,663,627 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,449
1,582,316 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (3,864)
EUR 1,441,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco (5,531)
EUR 1,441,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco (4,115)
EUR 2,871,000 —      12/7/25 1.385% Eurostat Eurozone HICP excluding tobacco 32,533
EUR 2,871,000 —      12/7/20 (1.025%) Eurostat Eurozone HICP excluding tobacco (22,202)
Total$(3,336)    $(111,905)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
     CMBX NA BBB- Index BBB-/P $4,375 $64,000 5/11/63 300 bp $2,402
     CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp 4,152
     CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp 8,719
     CMBX NA BBB- Index BBB-/P 16,587 291,000 5/11/63 300 bp 7,619
Credit Suisse International
     CMBX NA BB Index — (47,639) 2,699,000 5/11/63 (500 bp) 67,684
     CMBX NA BB Index — (1,359) 140,000 1/17/47 (500 bp) 7,759
     CMBX NA BBB- Index BBB-/P 21,337 1,474,000 5/11/63 300 bp (24,087)
     CMBX NA BBB- Index BBB-/P 23,608 2,155,000 5/11/63 300 bp (42,802)
     CMBX NA BBB- Index BBB-/P 31,258 2,380,000 5/11/63 300 bp (42,085)
     CMBX NA BBB- Index BBB-/P 3,977 93,000 1/17/47 300 bp (1,223)
     CMBX NA BBB- Index BBB-/P 7,762 184,000 1/17/47 300 bp (2,526)
     CMBX NA BBB- Index BBB-/P 8,192 196,000 1/17/47 300 bp (2,767)
     CMBX NA BBB- Index BBB-/P 8,492 211,000 1/17/47 300 bp (3,306)
     CMBX NA BBB- Index BBB-/P 6,139 213,000 1/17/47 300 bp (5,771)
     CMBX NA BBB- Index BBB-/P 18,493 315,000 1/17/47 300 bp 880
     CMBX NA BBB- Index BBB-/P 22,141 381,000 1/17/47 300 bp 836
     CMBX NA BBB- Index BBB-/P 11,110 425,000 1/17/47 300 bp (12,654)
     CMBX NA BBB- Index BBB-/P 18,390 638,000 1/17/47 300 bp (17,285)
     CMBX NA BBB- Index BBB-/P 32,502 776,000 1/17/47 300 bp (10,889)
     CMBX NA BBB- Index BBB-/P 141,869 3,986,000 1/17/47 300 bp (81,015)
     CMBX NA BBB- Index BBB-/P 441,381 12,868,000 1/17/47 300 bp (278,155)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P (906) 131,000 5/11/63 300 bp (4,943)
     CMBX NA BBB- Index BBB-/P 627 63,000 1/17/47 300 bp (2,895)
     CMBX NA BBB- Index BBB-/P 303 85,000 1/17/47 300 bp (4,450)
     CMBX NA BBB- Index BBB-/P 303 85,000 1/17/47 300 bp (4,450)
     CMBX NA BBB- Index BBB-/P 2,777 103,000 1/17/47 300 bp (2,982)
     CMBX NA BBB- Index BBB-/P 761 178,000 1/17/47 300 bp (9,192)
     CMBX NA BBB- Index BBB-/P 635 178,000 1/17/47 300 bp (9,319)
     CMBX NA BBB- Index BBB-/P 635 178,000 1/17/47 300 bp (9,319)
     CMBX NA BBB- Index BBB-/P 1,145 292,000 1/17/47 300 bp (15,182)
     CMBX NA BB Index — (3,293) 385,000 5/11/63 (500 bp) 13,157
     CMBX NA BB Index — (2,359) 223,000 5/11/63 (500 bp) 7,164
     CMBX NA BB Index — (1,143) 119,000 5/11/63 (500 bp) 3,942
     CMBX NA BB Index — 2,532 112,000 5/11/63 (500 bp) 7,318
     CMBX NA BB Index — 1,027 61,000 5/11/63 (500 bp) 3,633
     CMBX NA BB Index — 523 51,000 5/11/63 (500 bp) 2,702
     CMBX NA BB Index — 62 51,000 5/11/63 (500 bp) 2,241
     CMBX NA BB Index — (1,448) 140,000 1/17/47 (500 bp) 7,670
     CMBX NA BB Index — (146) 73,000 1/17/47 (500 bp) 4,609
     CMBX NA BBB- Index BBB-/P (51) 19,000 5/11/63 300 bp (636)
     CMBX NA BBB- Index BBB-/P (193) 48,000 5/11/63 300 bp (1,672)
     CMBX NA BBB- Index BBB-/P (602) 60,000 5/11/63 300 bp (2,451)
     CMBX NA BBB- Index BBB-/P (1,283) 77,000 5/11/63 300 bp (3,656)
     CMBX NA BBB- Index BBB-/P (908) 113,000 5/11/63 300 bp (4,390)
     CMBX NA BBB- Index BBB-/P (1,287) 118,000 5/11/63 300 bp (4,924)
     CMBX NA BBB- Index BBB-/P 1,354 227,000 5/11/63 300 bp (5,641)
     CMBX NA BBB- Index BBB-/P (2,297) 229,000 5/11/63 300 bp (9,354)
     CMBX NA BBB- Index BBB-/P 2,787 244,000 5/11/63 300 bp (4,732)
     CMBX NA BBB- Index BBB-/P 6,073 147,000 1/17/47 300 bp (2,146)
     CMBX NA BBB- Index BBB-/P 7,025 169,000 1/17/47 300 bp (2,425)
     CMBX NA BBB- Index BBB-/P 7,940 184,000 1/17/47 300 bp (2,348)
     CMBX NA BBB- Index BBB-/P 7,407 184,000 1/17/47 300 bp (2,882)
     CMBX NA BBB- Index BBB-/P 7,407 184,000 1/17/47 300 bp (2,882)
     CMBX NA BBB- Index BBB-/P 5,988 200,000 1/17/47 300 bp (5,195)
     CMBX NA BBB- Index BBB-/P 4,300 204,000 1/17/47 300 bp (7,107)
     CMBX NA BBB- Index BBB-/P 9,514 314,000 1/17/47 300 bp (8,042)
     CMBX NA BBB- Index BBB-/P 11,316 382,000 1/17/47 300 bp (10,044)
     CMBX NA BBB- Index BBB-/P 21,189 665,000 1/17/47 300 bp (15,995)
     CMBX NA BBB- Index BBB-/P 29,631 957,000 1/17/47 300 bp (23,882)
JPMorgan Securities LLC
     CMBX NA BBB- Index — (2,292) 426,000 5/11/63 (300 bp) 10,836
     CMBX NA BBB- Index — (10,053) 419,000 5/11/63 (300 bp) 2,859
     CMBX NA BBB- Index — (5,411) 210,000 5/11/63 (300 bp) 1,060
     CMBX NA BBB- Index BBB-/P 11,619 210,000 1/17/47 300 bp (124)
     CMBX NA BBB- Index BBB-/P 9,663 381,000 1/17/47 300 bp (11,642)
     CMBX NA BBB- Index BBB-/P 22,099 419,000 1/17/47 300 bp (1,330)
     CMBX NA BBB- Index BBB-/P 11,137 426,000 1/17/47 300 bp (12,684)
Total$948,628$(566,239)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
Key to holding's abbreviations
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2015 through December 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $273,418,779.
(b) The aggregate identified cost on a tax basis is $475,356,644, resulting in gross unrealized appreciation and depreciation of $1,065,794 and $24,747,536, respectively, or net unrealized depreciation of $23,681,742.
(NON) This security is non-income-producing.
(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* $1,182,949 $29,149,771 $13,499,691 $6,465 $16,833,029
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $145,587,636 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 87.5%
Greece 2.4
Argentina 1.7
Russia 1.3
Venezuela 1.1
Canada 0.8
Brazil 0.7
United Kingdom 0.6
Luxembourg 0.6
Mexico 0.5
Other 2.8
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts for hedging duration and convexity, to isolate prepayment risk, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $4,179,604 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $4,037,437 and may include amounts related to unsettled agreements.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $10,017
    Energy 348 — 200
Total common stocks 348 — 10,217
Convertible bonds and notes $— $135,671 $—
Corporate bonds and notes — 84,927,760 6
Foreign government and agency bonds and notes — 25,723,684 —
Mortgage-backed securities — 124,552,132 6,648,707
Preferred stocks — 104,263 —
Purchased options outstanding — 241,300 —
Purchased swap options outstanding — 1,063,247 —
Senior loans — 3,721,672 —
U.S. government and agency mortgage obligations — 174,248,065 —
Short-term investments 16,833,029 13,464,801 —
Totals by level $16,833,377 $428,182,595 $6,658,930



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(565,447) $—
Futures contracts 98,152 — —
Written options outstanding — (175,140) —
Written swap options outstanding — (2,034,328) —
Forward premium swap option contracts — 6,107 —
TBA sale commitments — (88,677,186) —
Interest rate swap contracts — (1,451,891) —
Total return swap contracts — (108,569) —
Credit default contracts — (1,514,867) —
Totals by level $98,152 $(94,521,321) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers between Level 1 and Level 2 within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
The following is a reconciliation of Level 3 assets as of the close of the reporting period:

Investments in securities:Balance as of September 30, 2015Accrued discounts/
premiums		Realized gain/(loss)Change in
net unrealized appreciation/
(depreciation)#		Cost of purchasesProceeds from salesTotal
transfers into Level 3†		Total
transfers out of Level 3†		Balance as of December 31, 2015
Common stocks*:
    Consumer cyclicals $10,017$—$—$—$—$—$—$—$10,017
    Energy 798 — — (598)————200
Total common stocks $10,815 — — (598)————$10,217
Corporate bonds and notes $6 — ——————$6
Mortgage-backed securities $4,913,176 (149,444) — 99,9092,228,992——(443,926)$6,648,707
Totals $4,923,997 $(149,444) $—$99,311$2,228,992$—$—$(443,926)$6,658,930


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
† Transfers during the reporting period are accounted for using the end of period market value and include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period.
# Includes $99,311 related to Level 3 securities still held at period end.
Level 3 securities which are fair valued by Putnam, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $213,633 $1,728,500
Foreign exchange contracts 564,472 1,129,919
Interest rate contracts 5,926,377 8,287,499
Total $6,704,482 $11,145,918


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)39,800,000
Purchased swap option contracts (contract amount)$463,400,000
Written TBA commitment option contracts (contract amount)$82,500,000
Written swap option contracts (contract amount)$545,100,000
Futures contracts (number of contracts)200
Forward currency contracts (contract amount)$170,300,000
OTC interest rate swap contracts (notional)$46,400,000
Centrally cleared interest rate swap contracts (notional)$1,620,600,000
OTC total return swap contracts (notional)$134,100,000
OTC credit default contracts (notional)$40,600,000
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Assets:
OTC Interest rate swap contracts*# $— $— $— $— $— $218,609 $23,998 $— $ 7,298 $— $— $— $— $— $— 249,905
Centrally cleared interest rate swap contracts§ — — 1,149,229 — — — — — — — — — — — — 1,149,229
OTC Total return swap contracts*# — 10,927 — — 27,752 — 59,393 — 51,533 — — — — — — 149,605
OTC Credit default contracts*# — — — — 124,441 — 56,681 — — 32,511 — — — — — 213,633
Futures contracts§ — — — — — — — — — — 22,172 — — — — 22,172
Forward currency contracts# 116,378 22,111 — 18,562 28,670 78,492 76,604 26,167 47,559 — — 15,119 24,721 23,471 86,618 564,472
Forward premium swap option contracts# — — — — — — — — 374,476 — — — — — — 374,476
Purchased swap options# 133,799 201,167 — 168,483 317,469 — 242,329 — — — — — — — — 1,063,247
Purchased options# — — — — — — — — 241,300 — — — — — — 241,300
Total Assets $250,177 $234,205 $1,149,229 $187,045 $498,332 $297,101 $459,005 $26,167 $722,166 $32,511 $22,172 $15,119 $24,721 $23,471 $86,618 $4,028,039
Liabilities:
OTC Interest rate swap contracts*# — — — — — 992,155 — — 309,568 — — — — — — 1,301,723
Centrally cleared interest rate swap contracts§ — — 1,443,109 — — — — — — — — — — — 1,443,109
OTC Total return swap contracts*# — 42,490 — 211 6,853 1,703 171,205 — 35,712 — — — — — — 258,174
OTC Credit default contracts*# 23,976 — — — 1,319,500 — 304,726 — — 80,298 — — — — — 1,728,500
Futures contracts§ — — — — — — — — — — 98 — — — — 98
Forward currency contracts# 21,368 186,083 — 31,689 95,568 30,662 72,169 70,496 197,399 — — 188,539 104,794 84,623 46,529 1,129,919
Forward premium swap option contracts# — — — — — — — — 368,369 — — — — — — 368,369
Written swap options# 232,735 245,172 — 249,364 378,466 — 210,150 — 718,441 — — — — — — 2,034,328
Written options# — — — — — — — — 175,140 — — — — — — 175,140
Total Liabilities $278,079 $473,745 $1,443,109 $281,264 $1,800,387 $1,024,520 $758,250 $70,496 $1,804,629 $80,298 $ 98 $188,539 $104,794 $84,623 $46,529 $8,439,360
Total Financial and Derivative Net Assets $(27,902) $(239,540) $(293,880) $(94,219) $(1,302,055) $(727,419) $(299,245) $(44,329) $(1,082,463) $(47,787) $22,074 $(173,420) $(80,073) $(61,152) $40,089 $(4,411,321)
Total collateral received (pledged)##† $— $(239,540) $— $— $(1,179,633) $(727,419) $(240,952) $— $(1,082,463) $— $— $(173,420) $(80,073) $(61,152) $—
Net amount $(27,902) $— $(293,880) $(94,219) $(122,422) $— $(58,293) $(44,329) $— $(47,787) $22,074 $— $— $— $40,089
* Excludes premiums, if any.
†  Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement.
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.

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



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

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

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

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

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: February 26, 2016

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