Item 1. Schedule of Investments:
--------------------------------
Putnam Master Intermediate Income Trust
QUARTERLY PORTFOLIO HOLDINGS
12-31-04
Putnam Master Intermediate Income Trust
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The fund's portfolio
December 31, 2004 (Unaudited)
Corporate bonds and notes (36.9%) (a)
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Principal amount Value
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Basic Materials (4.0%)
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$605,000 Acetex Corp. sr. notes 10 7/8s, 2009
(Canada) $662,475
455,000 AK Steel Corp. company guaranty 7 3/4s,
2012 468,650
445,000 ALROSA Finance SA 144A company guaranty
8 7/8s, 2014 (Luxembourg) 457,238
45,000 Avecia Group PLC company guaranty 11s,
2009 (United Kingdom) 46,350
705,000 BCP Caylux Holdings Luxembourg SCA 144A
sr. sub. notes 9 5/8s, 2014 (Luxembourg) 794,888
349,000 Boise Cascade, LLC 144A sr. sub. notes 7
1/8s, 2014 369,068
276,000 Century Aluminum Co. 144A company
guaranty 7 1/2s, 2014 293,940
265,000 Codelco, Inc. 144A sr. notes 4 3/4s,
2014 (Chile) 259,766
740,000 Compass Minerals Group, Inc. company
guaranty 10s, 2011 832,500
285,000 Compass Minerals International, Inc. sr.
disc. notes stepped-coupon Ser. B, zero
% (12s, 6/1/08), 2013 (STP) 230,850
775,000 Compass Minerals International, Inc. sr.
notes stepped-coupon zero (12 3/4s,
12/15/07), 2012 (STP) 662,625
525,000 Crystal US Holdings, LLC/US Sub 3 Corp.
144A sr. disc. notes stepped-coupon zero
% (10s, 10/1/09), 2014 (STP) 363,563
375,000 Equistar Chemicals LP notes 8 3/4s, 2009 420,000
1,690,000 Equistar Chemicals LP/Equistar Funding
Corp. company guaranty 10 1/8s, 2008 1,947,725
705,000 Georgia-Pacific Corp. company guaranty 9
3/8s, 2013 821,325
405,000 Georgia-Pacific Corp. company guaranty 8
7/8s, 2010 471,319
80,000 Georgia-Pacific Corp. debs. 7.7s, 2015 91,400
1,000 Georgia-Pacific Corp. sr. notes 7 3/8s,
2008 1,088
680,000 Gerdau Ameristeel Corp. sr. notes 10
3/8s, 2011 (Canada) 797,300
1,050,000 Hercules, Inc. company guaranty 11 1/8s,
2007 1,249,500
200,000 Huntsman Advanced Materials, LLC 144A
sec. FRN 10.00s, 2008 214,000
240,000 Huntsman Advanced Materials, LLC 144A
sec. notes 11s, 2010 285,600
793,000 Huntsman Co., LLC sr. disc. notes zero
%, 2008 523,380
560,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 589,400
1,565,000 Huntsman ICI Holdings sr. disc. notes
zero, 2009 876,400
400,000 Huntsman, LLC company guaranty 11 5/8s,
2010 473,000
290,000 Huntsman, LLC 144A company guaranty 11
1/2s, 2012 342,925
225,000 Innophos, Inc. 144A sr. sub. notes 8
7/8s, 2014 243,000
130,000 International Steel Group, Inc. sr.
notes 6 1/2s, 2014 139,425
1,385,000 ISP Chemco, Inc. company guaranty Ser.
B, 10 1/4s, 2011 1,565,050
40,000 Jefferson Smurfit Corp. company guaranty
7 1/2s, 2013 42,700
80,000 Jefferson Smurfit Corp. company guaranty
company guaranty 8 1/4s, 2012 87,200
60,000 Kaiser Aluminum & Chemical Corp. sr.
notes Ser. B, 10 7/8s, 2006 (In default)
(NON) 52,950
70,000 Lyondell Chemical Co. bonds 11 1/8s,
2012 83,125
5,000 Lyondell Chemical Co. company guaranty 9
1/2s, 2008 5,425
1,375,000 Lyondell Chemical Co. notes Ser. A, 9
5/8s, 2007 1,512,500
235,000 MDP Acquisitions PLC sr. notes 9 5/8s,
2012 (Ireland) 262,025
EUR 440,000 MDP Acquisitions PLC sr. notes Ser. EUR,
10 1/8s, 2012 (Ireland) 682,024
$629,693 MDP Acquisitions PLC sub. notes 15 1/2s,
2013 (Ireland) (PIK) 739,889
1,220,000 Millennium America, Inc. company
guaranty 9 1/4s, 2008 1,387,750
EUR 75,000 Nalco Co. sr. notes 7 3/4s, 2011 111,820
EUR 75,000 Nalco Co. sr. sub. notes 9s, 2013 111,973
$1,045,000 Nalco Co. sr. sub. notes 8 7/8s, 2013 1,146,888
570,000 Norske Skog Canada, Ltd. sr. notes 7
3/8s, 2014 (Canada) 594,225
509,465 PCI Chemicals Canada sec. sr. notes 10s,
2008 (Canada) 540,033
138,725 Pioneer Companies, Inc. sec. sr.notes
FRN 6.05s, 2006 145,661
110,000 Resolution Performance Products, LLC sr.
notes 9 1/2s, 2010 119,075
EUR 350,000 Rockwood Specialities Group sr. sub.
notes 7 5/8s, 2014 486,388
$150,000 Rockwood Specialties Group, Inc. 144A
sub. notes 7 1/2s, 2014 155,625
EUR 440,000 SGL Carbon SA 144A sr. notes 8 1/2s,
2012 (Luxembourg) 661,093
$695,000 Steel Dynamics, Inc. company guaranty 9
1/2s, 2009 766,238
146,606 Sterling Chemicals, Inc. sec. notes 10s,
2007 (PIK) 146,606
660,000 Stone Container Corp. sr. notes 9 3/4s,
2011 722,700
240,000 Stone Container Corp. sr. notes 8 3/8s,
2012 261,600
140,000 Stone Container Finance company guaranty
7 3/8s, 2014 (Canada) 148,400
80,000 Tembec Industries, Inc. company guaranty
7 3/4s, 2012 (Canada) 77,400
375,000 Ucar Finance, Inc. company guaranty 10
1/4s, 2012 428,438
352,000 United Agri Products 144A sr. notes 8
1/4s, 2011 377,520
509,000 United States Steel Corp. sr. notes 9
3/4s, 2010 580,260
46,812 Wheeling-Pittsburgh Steel Corp. sr.
notes 6s, 2010 39,790
90,991 Wheeling-Pittsburgh Steel Corp. sr.
notes 5s, 2011 77,342
190,000 WHX Corp. sr. notes 10 1/2s, 2005 180,500
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29,228,913
Capital Goods (2.8%)
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510,000 AEP Industries, Inc. sr. sub. notes 9
7/8s, 2007 517,650
1,175,000 Allied Waste North America, Inc. company
guaranty Ser. B, 8 1/2s, 2008 1,248,438
20,000 Allied Waste North America, Inc. company
guaranty Ser. B, 7 5/8s, 2006 20,600
173,000 Allied Waste North America, Inc. sec.
notes 6 1/2s, 2010 169,540
362,000 Amsted Industries, Inc. 144A sr. notes
10 1/4s, 2011 409,060
545,000 Argo-Tech Corp. sr. notes 9 1/4s, 2011 598,138
600,000 BE Aerospace, Inc. sr. sub. notes Ser.
B, 8s, 2008 600,750
541,000 Blount, Inc. sr. sub. notes 8 7/8s, 2012 586,985
463,000 Browning-Ferris Industries, Inc. sr.
notes 6 3/8s, 2008 472,260
870,000 Crown Euro Holdings SA sec. notes 10
7/8s, 2013 (France) 1,028,775
EUR 80,000 Crown Euro Holdings SA sec. notes 10
1/4s, 2011 (France) 126,668
$316,000 Crown Euro Holdings SA sec. notes 9
1/2s, 2011 (France) 360,240
EUR 107,000 Crown Euro Holdings SA sec. notes 6
1/4s, 2011 (France) 154,004
$1,981,000 Decrane Aircraft Holdings Co. company
guaranty zero, 2008 752,780
721,000 Earle M. Jorgensen Co. sec. notes 9
3/4s, 2012 811,125
1,311,000 FIMEP SA sr. notes 10 1/2s, 2013
(France) 1,553,535
EUR 360,000 Flender Holdings 144A sr. notes 11s,
2010 (Germany) 587,865
$555,000 Flowserve Corp. company guaranty 12
1/4s, 2010 616,050
665,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 694,925
950,000 Invensys, PLC notes 9 7/8s, 2011 (United
Kingdom) 1,021,250
330,000 L-3 Communications Corp. company
guaranty 6 1/8s, 2013 340,725
55,000 Manitowoc Co., Inc. (The) company
guaranty 10 1/2s, 2012 63,250
EUR 180,000 Manitowoc Co., Inc. (The) company
guaranty 10 3/8s, 2011 274,117
$220,000 Manitowoc Co., Inc. (The) sr. notes 7
1/8s, 2013 238,150
218,000 Mueller Group, Inc. sec. FRN 6.91s, 2011 225,630
265,000 Mueller Group, Inc. sr. sub. notes 10s,
2012 288,850
560,000 Owens-Brockway Glass company guaranty 8
1/4s, 2013 616,000
520,000 Owens-Brockway Glass company guaranty 7
3/4s, 2011 562,900
964,000 Owens-Brockway Glass sr. sec. notes 8
3/4s, 2012 1,086,910
515,000 Pliant Corp. sec. notes 11 1/8s, 2009 561,350
EUR 142,000 Polypore, Inc. notes 8 3/4s, 2012 201,677
$258,000 Polypore, Inc. sr. sub. notes 8 3/4s,
2012 269,610
1,140,000 Sequa Corp. sr. notes 9s, 2009 1,291,050
260,000 Siebe PLC 144A sr. unsub. 6 1/2s, 2010
(United Kingdom) 248,300
227,000 Solo Cup Co. sr. sub. notes 8 1/2s, 2014 236,080
455,000 Tekni-Plex, Inc. 144A sr. sec. notes 8
3/4s, 2013 452,725
190,000 Terex Corp. company guaranty 9 1/4s,
2011 213,275
730,000 Terex Corp. company guaranty Ser. B, 10
3/8s, 2011 820,338
370,000 Titan Corp. (The) company guaranty 8s,
2011 394,050
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20,715,625
Communication Services (4.0%)
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332,000 Alamosa Delaware, Inc. company guaranty
11s, 2010 393,420
268,000 Alamosa Delaware, Inc. company guaranty
stepped-coupon zero (12s, 7/31/05),
2009 (STP) 290,780
301,000 Alamosa Delaware, Inc. sr. notes 8 1/2s,
2012 328,843
195,000 American Cellular Corp. company guaranty
9 1/2s, 2009 167,213
365,000 American Tower Corp. sr. notes 7 1/2s,
2012 383,250
750,000 American Towers, Inc. company guaranty 7
1/4s, 2011 795,000
550,000 Asia Global Crossing, Ltd. sr. notes 13
3/8s, 2010 (Bermuda) (In default) (NON) 35,750
3,900,000 AT&T Corp. sr. notes 9.05s, 2011 4,489,875
880,000 Centennial Cellular Operating Co.
company guaranty 10 1/8s, 2013 987,800
1,085,000 Cincinnati Bell, Inc. sr. sub. notes 8
3/8s, 2014 1,098,563
1,045,000 Citizens Communications Co. notes 9
1/4s, 2011 1,222,650
680,000 Citizens Communications Co. sr. notes 6
1/4s, 2013 685,100
742,878 Colo.com, Inc. 144A sr. notes 13 7/8s,
2010 (In default) (NON) 74
765,000 Crown Castle International Corp. sr.
notes 9 3/8s, 2011 856,800
265,000 Eircom Funding company guaranty Ser.
US$, 8 1/4s, 2013 (Ireland) 292,825
390,000 Fairpoint Communications, Inc. sr. sub.
notes 12 1/2s, 2010 421,200
70,976 Firstworld Communication Corp. sr. disc.
notes zero, 2008 (In default) (NON) 7
214,443 Globix Corp. company guaranty 11s, 2008
(PIK) 197,288
855,000 Inmarsat Finance PLC company guaranty 7
5/8s, 2012 (United Kingdom) 889,200
754,000 Inmarsat Finance PLC 144A company
guaranty stepped-coupon zero (10 3/8s,
11/15/08), 2012 (United Kingdom) (STP) 542,880
300,000 iPCS Escrew Co. notes 11 1/2s, 2012 340,500
82,000 IWO Escrow Co. 144A sec. FRN 6.32s, 2012 82,615
82,000 IWO Escrow Co. 144A sr. disc. notes
stepped-coupon zero (10 3/4s,
1/15/10), 2015 (STP) 50,840
535,000 Level 3 Financing, Inc. 144A sr. notes
10 3/4s, 2011 484,175
725,000 Madison River Capital Corp. sr. notes 13
1/4s, 2010 783,000
1,039,000 MCI, Inc. sr. notes 7.735s, 2014 1,116,925
256,000 MCI, Inc. sr. notes 6.688s, 2009 264,960
1,000 MCI, Inc. sr. notes 5.908s, 2007 1,024
445,000 Nextel Communications, Inc. sr. notes 7
3/8s, 2015 489,500
1,940,000 Nextel Communications, Inc. sr. notes
5.95s, 2014 2,007,900
263,000 Nextel Partners, Inc. sr. notes 12 1/2s,
2009 299,820
1,260,000 Nextel Partners, Inc. sr. notes 8 1/8s,
2011 1,398,600
493,000 Qwest Communications International, Inc.
144A sr. notes 7 1/2s, 2014 497,930
2,415,000 Qwest Corp. 144A notes 9 1/8s, 2012 2,789,325
360,000 Qwest Services Corp. 144A notes 14 1/2s,
2014 455,400
324,000 Roger Wireless Communications, Inc. 144A
sr. sub. notes 8s, 2012 (Canada) 342,630
164,000 Rogers Cantel, Ltd. debs. 9 3/4s, 2016
(Canada) 195,980
280,000 Rogers Wireless Communications, Inc.
sec. notes 9 5/8s, 2011 (Canada) 329,000
261,000 Rogers Wireless Communications, Inc.
144A sec. notes 7 1/2s, 2015 (Canada) 275,355
270,000 Rural Cellular Corp. sr. sub. notes 9
3/4s, 2010 244,350
228,000 SBA Communications Corp. 144A sr. notes
8 1/2s, 2012 232,560
320,000 SBA Telecommunications Inc./SBA
Communication Corp. sr. disc. notes
stepped-coupon zero (9 3/4s,
12/15/07), 2011 (STP) 269,600
670,000 TSI Telecommunication Services, Inc.
company guaranty Ser. B, 12 3/4s, 2009 762,125
365,000 UbiquiTel Operating Co. sr. notes 9
7/8s, 2011 409,713
239,000 UbiquiTel Operating Co. 144A sr. notes 9
7/8s, 2011 268,278
545,000 Western Wireless Corp. sr. notes 9 1/4s,
2013 592,688
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29,063,311
Consumer Cyclicals (8.6%)
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518,000 Advertising Direct 144A sr. notes 9
1/4s, 2012 (Canada) 543,900
228,000 Affinia Group, Inc. 144A sr. sub. notes
9s, 2014 237,690
290,000 Ameristar Casinos, Inc. company guaranty
10 3/4s, 2009 323,350
333,000 Argosy Gaming Co. sr. sub. notes 7s,
2014 367,965
455,000 Asbury Automotive Group, Inc. sr. sub.
notes 8s, 2014 450,450
885,000 Autonation, Inc. company guaranty 9s,
2008 1,011,113
155,000 Beazer Homes USA, Inc. company guaranty
8 3/8s, 2012 170,500
585,000 Boyd Gaming Corp. sr. sub. notes 8 3/4s,
2012 652,275
165,000 Boyd Gaming Corp. sr. sub. notes 7 3/4s,
2012 180,056
134,000 Boyd Gaming Corp. sr. sub. notes 6 3/4s,
2014 140,365
320,000 Building Materials Corp. company
guaranty 8s, 2008 329,600
1,716,021 Canada, Inc. 144A sr. sub. notes 8s,
2012 (Canada) 1,840,433
370,000 Chumash Casino & Resort Enterprise 144A
sr. notes 9s, 2010 410,700
858,000 Coinmach Corp. sr. notes 9s, 2010 892,320
196,000 Cooper Standard Auto 144A notes 8 3/8s,
2014 195,510
65,000 Cooper Standard Auto 144A notes 7s, 2012 65,975
105,000 D.R. Horton, Inc. company guaranty 8s,
2009 117,469
630,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 722,138
155,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 168,175
440,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 449,350
160,000 Dana Corp. notes 10 1/8s, 2010 180,573
550,000 Dana Corp. notes 9s, 2011 681,313
295,000 Dana Corp. notes 6 1/2s, 2009 311,225
565,000 Dayton Superior Corp. sec. notes 10
3/4s, 2008 604,550
160,000 Delco Remy International, Inc. company
guaranty 11s, 2009 169,800
525,000 Delco Remy International, Inc. sr. sub.
notes 9 3/8s, 2012 538,125
1,115,000 Dex Media West, LLC/Dex Media Finance
Co. sr. notes Ser. B, 8 1/2s, 2010 1,240,438
505,000 Dex Media, Inc. disc. notes zero, 2013 395,794
580,000 Dex Media, Inc. notes 8s, 2013 627,850
190,000 Dura Operating Corp. company guaranty
Ser. B, 8 5/8s, 2012 197,600
214,000 FelCor Lodging LP company guaranty 9s,
2008 (R) 242,355
480,000 Finlay Fine Jewelry Corp. sr. notes 8
3/8s, 2012 518,400
700,000 Gaylord Entertainment Co. sr. notes 8s,
2013 756,000
1,430,000 Goodyear Tire & Rubber Co. (The) notes
7.857s, 2011 1,451,450
200,000 Goodyear Tire & Rubber Co. (The) notes 6
3/8s, 2008 201,000
416,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 (R) 427,440
279,000 Host Marriott LP sr. notes Ser. E, 8
3/8s, 2006 (R) 291,555
725,000 Host Marriott LP 144A sr. notes 7s, 2012
(R) 766,688
340,000 Houghton Mifflin Co. sr. sub. notes 9
7/8s, 2013 372,300
590,000 Icon Health & Fitness company guaranty
11 1/4s, 2012 495,600
645,000 IESI Corp. company guaranty 10 1/4s,
2012 764,325
620,000 Inergy LP/Inergy Finance Corp. 144A sr.
notes 6 7/8s, 2014 623,100
520,000 ITT Corp. debs. 7 3/8s, 2015 578,500
585,000 ITT Corp. notes 6 3/4s, 2005 601,088
575,000 JC Penney Co., Inc. notes 9s, 2012 708,688
30,000 JC Penney Co., Inc. notes 8s, 2010 34,275
1,571,000 John Q. Hammons Hotels LP/John Q.
Hammons Hotels Finance Corp. III 1st
mtge. Ser. B, 8 7/8s, 2012 1,783,085
523,000 Jostens Holding Corp. sr. disc. notes
stepped-coupon zero (10 1/4s,
12/1/08), 2013 (STP) 371,330
1,140,000 Jostens IH Corp. 144A company guaranty 7
5/8s, 2012 1,185,600
600,000 K. Hovnanian Enterprises, Inc. company
guaranty 8 7/8s, 2012 663,000
385,000 K. Hovnanian Enterprises, Inc. company
guaranty 6 3/8s, 2014 385,963
295,000 K. Hovnanian Enterprises, Inc. sr. notes
6 1/2s, 2014 297,213
355,000 K2, Inc. 144A sr. notes 7 3/8s, 2014 388,725
1,340,000 Laidlaw International, Inc. sr. notes 10
3/4s, 2011 1,564,450
560,000 Lamar Media Corp. company guaranty 7
1/4s, 2013 604,800
1,006,000 Levi Strauss & Co. sr. notes 12 1/4s,
2012 1,119,175
550,000 Levi Strauss & Co. 144A sr. notes 9
3/4s, 2015 540,375
430,000 Mandalay Resort Group sr. notes 6 3/8s,
2011 449,350
700,000 MeriStar Hospital Corp. company guaranty
9 1/8s, 2011 (R) 756,000
390,000 MeriStar Hospital Corp. company guaranty
9s, 2008 (R) 410,963
75,000 MeriStar Hospitality Operating
Partnership/MeriStar Hospitality Finance
Corp. company guaranty 10 1/2s, 2009 81,750
295,000 Meritage Corp. company guaranty 9 3/4s,
2011 325,975
160,000 Meritage Corp. sr. notes 7s, 2014 166,400
405,000 Meritor Automotive, Inc. notes 6.8s,
2009 425,250
420,000 Metaldyne Corp. 144A sr. notes 10s, 2013 399,000
800,000 MGM Mirage, Inc. company guaranty 8
1/2s, 2010 910,000
490,000 MGM Mirage, Inc. company guaranty 6s,
2009 502,250
427,000 Mohegan Tribal Gaming Authority sr. sub.
notes 6 3/8s, 2009 438,743
1,510,000 Owens Corning notes 7 1/2s, 2005 (In
default) (NON) 1,223,100
460,000 Oxford Industries, Inc. sr. notes 8
7/8s, 2011 493,925
905,000 Park Place Entertainment Corp. sr. notes
7 1/2s, 2009 1,012,514
495,000 Park Place Entertainment Corp. sr. notes
7s, 2013 545,738
395,000 Park Place Entertainment Corp. sr. sub.
notes 8 7/8s, 2008 447,338
955,000 Penn National Gaming, Inc. sr. sub.
notes 8 7/8s, 2010 1,042,144
220,000 Phillips-Van Heusen Corp. sr. notes 7
1/4s, 2011 231,000
555,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 3/4s, 2013 600,788
757,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 1/4s, 2012 804,313
1,095,000 Primedia, Inc. company guaranty 8 7/8s,
2011 1,157,963
350,000 Primedia, Inc. company guaranty 7 5/8s,
2008 354,375
800,000 Primedia, Inc. sr. notes 8s, 2013 823,000
365,000 Reader's Digest Association, Inc. (The)
sr. notes 6 1/2s, 2011 381,425
725,000 Resorts International Hotel and Casino,
Inc. company guaranty 11 1/2s, 2009 851,875
125,000 RH Donnelley Finance Corp. I company
guaranty 8 7/8s, 2010 139,375
925,000 RH Donnelley Finance Corp. I 144A
company guaranty 8 7/8s, 2010 1,031,375
475,000 RH Donnelley Finance Corp. I 144A sr.
sub. notes 10 7/8s, 2012 564,063
670,000 Russell Corp. company guaranty 9 1/4s,
2010 718,575
1,107,000 Saks, Inc. company guaranty 7s, 2013 1,130,524
1,190,000 Samsonite Corp. sr. sub. notes 8 7/8s,
2011 1,288,175
385,000 Schuler Homes, Inc. company guaranty 10
1/2s, 2011 437,938
330,000 Scientific Games Corp. 144A sr. sub.
notes 6 1/4s, 2012 335,775
1,100,000 Sealy Mattress Co. sr. sub. notes 8
1/4s, 2014 1,166,000
420,000 Standard Pacific Corp. sr. notes 7 3/4s,
2013 453,600
50,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 7/8s, 2012 57,125
390,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 415,838
470,000 Station Casinos, Inc. sr. notes 6s, 2012 478,813
335,000 Technical Olympic USA, Inc. company
guaranty 10 3/8s, 2012 375,200
220,000 Technical Olympic USA, Inc. company
guaranty 9s, 2010 235,400
326,000 Technical Olympic USA, Inc. 144A sr.
sub. notes 7 1/2s, 2015 323,555
EUR 125,000 Teksid Aluminum 144A company guaranty 11
3/8s, 2011 (Luxembourg) 162,243
$750,000 Tenneco Automotive, Inc. sec. notes Ser.
B, 10 1/4s, 2013 885,000
420,000 Tenneco Automotive, Inc. 144A sr. sub.
notes 8 5/8s, 2014 436,800
604,000 THL Buildco, Inc. (Nortek, Inc.) 144A
sr. sub. notes 8 1/2s, 2014 631,180
515,000 United Auto Group, Inc. company guaranty
9 5/8s, 2012 569,075
875,000 Vertis, Inc. company guaranty Ser. B, 10
7/8s, 2009 949,375
730,000 Vertis, Inc. 144A sub. notes 13 1/2s,
2009 769,238
810,000 WCI Communities, Inc. company guaranty 9
1/8s, 2012 899,100
399,000 William Carter Holdings Co. (The)
company guaranty Ser. B, 10 7/8s, 2011 446,880
540,000 WRC Media Corp. sr. sub. notes 12 3/4s,
2009 513,675
555,000 Wynn Las Vegas, LLC/Wynn Las Vegas
Capital Corp. 144A 1st mtge. 6 5/8s,
2014 549,450
62,000 Yell Finance BV sr. notes 10 3/4s, 2011
(Netherlands) 71,703
-------------
62,823,311
Consumer Staples (5.0%)
-----------------------------------------------------------------------------------------------------------
40,000 Adelphia Communications Corp. notes Ser.
B, 9 7/8s, 2005 (In default) (NON) 38,300
215,000 Adelphia Communications Corp. sr. notes
10 7/8s, 2010 (In default) (NON) 212,850
50,000 Adelphia Communications Corp. sr. notes
9 3/8s, 2009 (In default) (NON) 49,375
341,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 (In default) (NON) 326,508
580,000 Adelphia Communications Corp. sr. notes
Ser. B, 7 3/4s, 2009 (In default) (NON) 542,300
545,000 Affinity Group, Inc. sr. sub. notes 9s,
2012 589,963
299,000 AMC Entertainment, Inc. sr. sub. notes 9
7/8s, 2012 325,910
906,000 AMC Entertainment, Inc. sr. sub. notes
8s, 2014 901,470
119,699 Archibald Candy Corp. company guaranty
10s, 2007 (In default) (NON)(PIK)(F) 25,496
173,000 ASG Consolidated LLC/ASG Finance, Inc.
144A sr. disc. notes stepped-coupon zero
% (11 1/2s, 11/1/08), 2011 110,288
565,000 Brand Services, Inc. company guaranty
12s, 2012 632,800
409,000 Cablevision Systems Corp. 144A sr. notes
8s, 2012 436,608
500,000 Capital Records, Inc. 144A company
guaranty 8 3/8s, 2009 561,250
100,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero (12 1/8s,
1/15/07), 2012 (STP) 68,000
525,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero (11 3/4s,
5/15/06), 2011 (STP) 385,875
835,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 11 1/8s,
2011 755,675
860,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 3/4s,
2009 782,600
420,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 1/4s,
2010 368,550
1,560,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10s, 2011 1,333,800
190,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 8 5/8s, 2009 164,825
260,000 Church & Dwight Co., Inc. 144A sr. sub.
notes 6s, 2012 264,550
650,000 Cinemark USA, Inc. sr. sub. notes 9s,
2013 741,813
990,000 Cinemark, Inc. sr. disc. notes
stepped-coupon zero (9 3/4s, 3/15/07),
2009 (STP) 747,450
305,000 Constellation Brands, Inc. company
guaranty Ser. B, 8s, 2008 333,975
425,000 Constellation Brands, Inc. sr. sub.
notes Ser. B, 8 1/8s, 2012 464,313
353,000 CSC Holdings, Inc. sr. notes Ser. B, 7
5/8s, 2011 380,358
1,068,000 CSC Holdings, Inc. 144A sr. notes 6
3/4s, 2012 1,100,040
643,000 Dean Foods Co. sr. notes 6 5/8s, 2009 676,758
210,000 Del Monte Corp. company guaranty Ser. B,
9 1/4s, 2011 229,425
560,000 Del Monte Corp. sr. sub. notes 8 5/8s,
2012 627,200
2,742,000 Diva Systems Corp. sr. disc. notes Ser.
B, 12 5/8s, 2008 (In default) (NON) 11,996
1,370,000 Doane Pet Care Co. sr. sub. debs. 9
3/4s, 2007 1,349,450
485,000 Domino's, Inc. sr. sub. notes 8 1/4s,
2011 529,863
730,000 Echostar DBS Corp. sr. notes 6 3/8s,
2011 746,425
704,000 Echostar DBS Corp. 144A company guaranty
6 5/8s, 2014 714,560
322,000 Elizabeth Arden, Inc. company guaranty 7
3/4s, 2014 341,320
1,394,000 Granite Broadcasting Corp. sec. notes 9
3/4s, 2010 1,331,270
345,000 Jean Coutu Group, Inc. 144A sr. notes 7
5/8s, 2012 (Canada) 364,838
690,000 Jean Coutu Group, Inc. 144A sr. sub.
notes 8 1/2s, 2014 (Canada) 707,250
1,065,000 Kabel Deutsheland GmbH 144A sr. notes 10
5/8s, 2014 (Germany) 1,224,750
42,635 Knology, Inc. 144A sr. notes 12s, 2009
(PIK) 41,143
365,000 North Atlantic Trading Co. sr. notes 9
1/4s, 2012 308,425
825,000 Pinnacle Foods Holding Corp. 144A sr.
sub. notes 8 1/4s, 2013 785,813
145,000 Pinnacle Foods Holding Corp. 144A sr.
sub. notes 8 1/4s, 2013 138,113
840,000 Playtex Products, Inc. company guaranty
9 3/8s, 2011 896,700
770,000 Playtex Products, Inc. sec. notes 8s,
2011 841,225
750,000 Prestige Brands, Inc. 144A sr. sub.
notes 9 1/4s, 2012 796,875
165,000 Quebecor Media, Inc. sr. disc. notes
stepped-coupon zero (13 3/4s,
7/15/06), 2011 (Canada) (STP) 163,350
565,000 Quebecor Media, Inc. sr. notes 11 1/8s,
2011 (Canada) 646,925
694,000 Rainbow National Services, LLC 144A sr.
notes 8 3/4s, 2012 761,665
735,000 Remington Arms Co., Inc. company
guaranty 10 1/2s, 2011 709,275
560,000 Rite Aid Corp. company guaranty 9 1/2s,
2011 614,600
35,000 Rite Aid Corp. debs. 6 7/8s, 2013 31,500
75,000 Rite Aid Corp. notes 7 1/8s, 2007 75,000
380,000 Rite Aid Corp. sec. notes 8 1/8s, 2010 401,850
505,000 Rite Aid Corp. sr. notes 9 1/4s, 2013 510,050
40,000 Rite Aid Corp. 144A notes 6s, 2005 40,600
875,000 Sbarro, Inc. company guaranty 11s, 2009 883,750
255,000 Scotts Co. (The) sr. sub. notes 6 5/8s,
2013 268,388
963,000 Six Flags, Inc. sr. notes 9 5/8s, 2014 967,815
EUR 204,000 United Biscuits Finance company guaranty
10 5/8s, 2011 (United Kingdom) 295,278
$591,000 United Rentals (North America), Inc.
company guaranty 6 1/2s, 2012 576,225
373,000 Universal City Florida Holding Co. 144A
sr. notes 8 3/8s, 2010 386,988
471,000 Universal City Florida Holding Co. 144A
sr. notes FRN 4.41s, 2010 489,840
290,000 Videotron Ltee company guaranty 6 7/8s,
2014 (Canada) 299,788
770,000 Vivendi Universal SA sr. notes 6 1/4s,
2008 (France) 835,450
720,000 Williams Scotsman, Inc. company guaranty
9 7/8s, 2007 720,000
771,000 Young Broadcasting, Inc. company
guaranty 10s, 2011 823,043
365,000 Young Broadcasting, Inc. sr. sub. notes
8 3/4s, 2014 367,738
-------------
36,177,459
Energy (3.1%)
-----------------------------------------------------------------------------------------------------------
1,005,000 Arch Western Finance, LLC sr. notes 6
3/4s, 2013 1,037,663
342,000 Arch Western Finance, LLC 144A sr. notes
6 3/4s, 2013 353,115
487,000 Bluewater Finance, Ltd. company guaranty
10 1/4s, 2012 (Cayman Islands) 532,048
640,000 BRL Universal Equipment sec. notes 8
7/8s, 2008 672,000
565,000 CHC Helicopter Corp. sr. sub. notes 7
3/8s, 2014 (Canada) 596,075
340,000 Chesapeake Energy Corp. company guaranty
9s, 2012 388,450
269,000 Chesapeake Energy Corp. company guaranty
7 3/4s, 2015 292,538
1,031,000 Chesapeake Energy Corp. sr. notes 7
1/2s, 2013 1,122,501
279,000 Chesapeake Energy Corp. sr. notes 7s,
2014 297,135
510,000 Comstock Resources, Inc. sr. notes 6
7/8s, 2012 526,575
514,000 Dresser, Inc. company guaranty 9 3/8s,
2011 562,830
181,000 Dresser-Rand Group, Inc. 144A sr. sub.
notes 7 3/8s, 2014 184,620
550,000 Encore Acquisition Co. company guaranty
8 3/8s, 2012 611,875
255,000 Encore Acquisition Co. sr. sub. notes 6
1/4s, 2014 256,275
725,000 Exco Resources, Inc. company guaranty 7
1/4s, 2011 775,750
108,000 Forest Oil Corp. company guaranty 7
3/4s, 2014 117,450
540,000 Forest Oil Corp. sr. notes 8s, 2011 616,950
335,000 Forest Oil Corp. sr. notes 8s, 2008 368,500
395,000 Hanover Compressor Co. sr. notes 9s,
2014 439,438
355,000 Hanover Compressor Co. sr. notes 8 5/8s,
2010 387,838
530,000 Hanover Compressor Co. sub. notes zero
%, 2007 461,100
355,000 Hanover Equipment Trust sec. notes Ser.
B, 8 3/4s, 2011 385,175
584,000 Harvest Operations Corp. 144A sr. notes
7 7/8s, 2011 (Canada) 588,380
227,000 Hornbeck Offshore Services, Inc. 144A
sr. notes 6 1/8s, 2014 228,135
365,000 KCS Energy, Inc. sr. notes 7 1/8s, 2012 383,250
463,000 Key Energy Services, Inc. sr. notes 6
3/8s, 2013 472,260
774,000 Massey Energy Co. sr. notes 6 5/8s, 2010 808,830
700,000 Newfield Exploration Co. sr. notes 7
5/8s, 2011 787,500
348,000 Newfield Exploration Co. 144A sr. sub.
notes 6 5/8s, 2014 368,010
655,000 Offshore Logistics, Inc. company
guaranty 6 1/8s, 2013 664,825
552,209 Oslo Seismic Services, Inc. 1st mtge.
8.28s, 2011 585,643
355,000 Pacific Energy Partners/Pacific Energy
Finance Corp. sr. notes 7 1/8s, 2014 378,075
226,000 Parker Drilling Co. company guaranty
Ser. B, 10 1/8s, 2009 237,865
565,000 Petro Geo-Services notes 10s, 2010
(Norway) 644,100
115,000 Pioneer Natural Resources Co. company
guaranty 6 1/2s, 2008 123,272
415,000 Plains Exploration & Production Co. sr.
notes 7 1/8s, 2014 452,350
485,000 Plains Exploration & Production Co. sr.
sub. notes 8 3/4s, 2012 541,988
670,000 Pogo Producing Co. sr. sub. notes Ser.
B, 8 1/4s, 2011 726,950
826,000 Pride sr. notes 7 3/8s, 2014 902,405
600,000 Seabulk International, Inc. company
guaranty 9 1/2s, 2013 645,000
270,000 Seven Seas Petroleum, Inc. sr. notes
Ser. B, 12 1/2s, 2005 (In default) (NON)
(F) 3
915,000 Star Gas Partners LP/Star Gas Finance
Co. sr. notes 10 1/4s, 2013 1,001,925
326,000 Stone Energy Corp. 144A sr. sub. notes 6
3/4s, 2014 325,185
150,000 Universal Compression, Inc. sr. notes 7
1/4s, 2010 160,125
670,000 Vintage Petroleum, Inc. sr. notes 8
1/4s, 2012 740,350
145,000 Vintage Petroleum, Inc. sr. sub. notes 7
7/8s, 2011 154,063
-------------
22,906,390
Financial (0.8%)
-----------------------------------------------------------------------------------------------------------
1,020,000 China Development Bank notes 4 3/4s,
2014 996,806
310,000 Crescent Real Estate Equities LP notes 7
1/2s, 2007 (R) 332,475
765,000 Crescent Real Estate Equities LP sr.
notes 9 1/4s, 2009 (R) 839,588
992,000 E*Trade Finance Corp. 144A sr. notes 8s,
2011 1,066,400
1,308,160 Finova Group, Inc. notes 7 1/2s, 2009 640,998
245,000 Tengizchevroll Finance Co. 144A sec.
notes 6.124s, 2014 (Luxembourg) 246,225
1,240,000 VTB Bank (VTB Capital) 144A notes 7
1/2s, 2011 (Luxembourg) 1,320,600
540,000 Western Financial Bank sub. debs. 9
5/8s, 2012 615,600
-------------
6,058,692
Government (0.2%)
-----------------------------------------------------------------------------------------------------------
1,250,000 Aries Vermoegensverwaltungs 144A notes
9.6s, 2014 (Germany) 1,537,500
Health Care (3.2%)
-----------------------------------------------------------------------------------------------------------
332,000 Alderwoods Group, Inc. 144A sr. notes 7
3/4s, 2012 358,560
580,000 AmerisourceBergen Corp. company guaranty
7 1/4s, 2012 648,150
560,000 AmerisourceBergen Corp. sr. notes 8
1/8s, 2008 623,000
990,000 Ardent Health Services, Inc. sr. sub.
notes 10s, 2013 1,039,500
324,000 Community Health Systems, Inc. 144A sr.
sub. notes 6 1/2s, 2012 326,430
465,000 Ellan Finance PLC/Elan Finance Corp.
144A sr. notes 7 3/4s, 2011 (Ireland) 495,225
340,000 Extendicare Health Services, Inc.
company guaranty 9 1/2s, 2010 380,800
535,000 Extendicare Health Services, Inc. sr.
sub. notes 6 7/8s, 2014 545,700
1,500,000 HCA, Inc. med. term notes 8.85s, 2007 1,617,890
1,240,000 HCA, Inc. notes 7s, 2007 1,301,444
263,000 HCA, Inc. notes 6 3/8s, 2015 263,563
260,000 HCA, Inc. notes 5 3/4s, 2014 251,868
980,000 Healthsouth Corp. notes 7 5/8s, 2012 980,000
510,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 529,125
245,000 Healthsouth Corp. sr. notes 8 3/8s, 2011 252,350
205,000 Healthsouth Corp. sr. notes 7s, 2008 208,075
365,000 Insight Health Services Corp. 144A
company guaranty 9 7/8s, 2011 368,650
252,132 Magellan Health Services, Inc. sr. notes
Ser. A, 9 3/8s, 2008 274,509
595,000 MedQuest, Inc. company guaranty Ser. B,
11 7/8s, 2012 699,125
805,000 MQ Associates, Inc. sr. disc. notes
stepped-coupon zero (12 1/4s,
8/15/08), 2012 (STP) 607,775
740,000 Omnicare, Inc. sr. sub. notes 6 1/8s,
2013 743,700
737,000 PacifiCare Health Systems, Inc. company
guaranty 10 3/4s, 2009 852,156
659,000 Province Healthcare Co. sr. sub. notes 7
1/2s, 2013 738,080
75,000 Service Corp. International notes 7.2s,
2006 78,000
25,000 Service Corp. International notes 6
7/8s, 2007 26,031
110,000 Service Corp. International notes 6
1/2s, 2008 113,575
270,000 Service Corp. International notes Ser.
*, 7.7s, 2009 291,600
775,000 Service Corp. International/US 144A sr.
notes 7s, 2016 802,125
720,000 Stewart Enterprises, Inc. notes 10 3/4s,
2008 779,400
390,000 Tenet Healthcare Corp. notes 7 3/8s,
2013 378,300
45,000 Tenet Healthcare Corp. sr. notes 6 1/2s,
2012 41,625
720,000 Tenet Healthcare Corp. sr. notes 6 3/8s,
2011 667,800
870,000 Tenet Healthcare Corp. 144A sr. notes 9
7/8s, 2014 948,300
825,000 Triad Hospitals, Inc. sr. notes 7s, 2012 868,313
1,282,000 Triad Hospitals, Inc. sr. sub. notes 7s,
2013 1,310,845
840,000 Universal Hospital Services, Inc. sr.
notes 10 1/8s, 2011 873,600
245,000 US Oncology, Inc. 144A sr. notes 9s,
2012 273,788
175,000 US Oncology, Inc. 144A sr. sub. notes 10
3/4s, 2014 202,563
422,000 Vanguard Health Holding Co. II, LLC 144A
sr. sub. notes 9s, 2014 451,540
305,000 Ventas Realty LP/Capital Corp. company
guaranty 9s, 2012 (R) 355,706
173,000 Ventas Realty LP/Capital Corp. 144A sr.
notes 6 5/8s, 2014 (R) 176,893
345,000 VWR International, Inc. 144A sr. notes 6
7/8s, 2012 361,819
-------------
23,107,498
Technology (1.3%)
-----------------------------------------------------------------------------------------------------------
865,000 Advanced Micro Devices, Inc. 144A sr.
notes 7 3/4s, 2012 900,681
457,000 AMI Semiconductor, Inc. company guaranty
10 3/4s, 2013 532,405
725,000 Celestica, Inc. sr.sub. notes 7 7/8s,
2011 (Canada) 777,563
690,000 Freescale Semiconductor, Inc. sr. notes
FRN Ser. B, 7 1/8s, 2014 748,650
1,150,000 Iron Mountain, Inc. company guaranty 8
5/8s, 2013 1,221,875
390,000 Iron Mountain, Inc. sr. sub. notes 8
1/4s, 2011 401,700
330,000 SCG Holding Corp. 144A notes zero,
2011 490,050
620,000 Seagate Technology Hdd Holdings company
guaranty 8s, 2009 (Cayman Islands) 668,050
1,375,000 UGS Corp. 144A sr. sub. notes 10s, 2012 1,564,063
EUR 195,000 Xerox Corp. sr. notes 9 3/4s, 2009 320,017
$1,255,000 Xerox Corp. sr. notes 7 5/8s, 2013 1,377,363
180,000 Xerox Corp. sr. notes 6 7/8s, 2011 191,700
-------------
9,194,117
Transportation (0.4%)
-----------------------------------------------------------------------------------------------------------
550,000 American Airlines, Inc. pass-through
certificates Ser. 01-1, 6.817s, 2011 517,000
760,000 Calair, LLC/Calair Capital Corp. company
guaranty 8 1/8s, 2008 611,800
910,000 Kansas City Southern Railway Co. company
guaranty 9 1/2s, 2008 1,032,850
190,000 Kansas City Southern Railway Co. company
guaranty 7 1/2s, 2009 199,500
240,154 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 255,464
190,000 Travel Centers of America, Inc. company
guaranty 12 3/4s, 2009 216,600
620,000 United AirLines, Inc. debs. 9 1/8s, 2012
(In default) (NON) 54,250
-------------
2,887,464
Utilities & Power (3.5%)
-----------------------------------------------------------------------------------------------------------
54,000 AES Corp. (The) sr. notes 8 7/8s, 2011 61,695
30,000 AES Corp. (The) sr. notes 8 3/4s, 2008 32,850
1,885,000 AES Corp. (The) 144A sec. notes 8 3/4s,
2013 2,144,188
540,000 Allegheny Energy Supply 144A bonds 8
1/4s, 2012 603,450
340,000 Allegheny Energy Supply 144A sec. notes
10 1/4s, 2007 385,900
280,000 CenterPoint Energy Resources Corp. debs.
6 1/2s, 2008 300,230
240,000 CenterPoint Energy Resources Corp. sr.
notes Ser. B, 7 7/8s, 2013 285,262
90,000 CMS Energy Corp. pass-through
certificates 7s, 2005 90,000
600,000 CMS Energy Corp. sr. notes 8.9s, 2008 662,250
230,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 261,338
180,000 CMS Energy Corp. sr. notes 7 3/4s, 2010 196,875
635,000 DPL, Inc. sr. notes 6 7/8s, 2011 693,504
295,000 Dynegy Holdings, Inc. sr. notes 6 7/8s,
2011 283,938
1,810,000 Dynegy Holdings, Inc. 144A sec. notes 10
1/8s, 2013 2,072,450
385,000 Dynegy-Roseton Danskamme company
guaranty Ser. A, 7.27s, 2010 387,888
265,000 Edison Mission Energy sr. notes 10s,
2008 304,088
15,000 Edison Mission Energy sr. notes 9 7/8s,
2011 17,775
130,000 Edison Mission Energy sr. notes 7.73s,
2009 139,750
200,000 El Paso CGP Co. notes 6 3/8s, 2009 199,250
275,000 El Paso Corp. notes Ser. MTN, 6.95s,
2007 288,063
670,000 El Paso Corp. sr. notes 7 3/8s, 2012 678,375
365,000 El Paso Natural Gas Co. sr. notes Ser.
A, 7 5/8s, 2010 401,044
1,290,000 El Paso Production Holding Co. company
guaranty 7 3/4s, 2013 1,351,275
650,000 Ferrellgas Partners LP/Ferrellgas
Partners Finance sr. notes 6 3/4s, 2014 667,875
845,000 Mission Energy Holding Co. sec. notes 13
1/2s, 2008 1,054,138
400,000 Monongahela Power Co. 144A 1st. mtge.
6.7s, 2014 443,556
534,000 Nevada Power Co. 2nd mtge. 9s, 2013 624,780
235,000 Nevada Power Co. 144A general ref. mtge.
5 7/8s, 2015 236,763
1,020,000 Northwest Pipeline Corp. company
guaranty 8 1/8s, 2010 1,128,375
115,000 Northwestern Corp. notes 8 3/4s, 2012
(In default) (NON)(F) 1
319,000 Norwest Corp./OLD 144A sec. notes 5
7/8s, 2014 326,327
2,300,000 NRG Energy, Inc. 144A sr. sec. notes 8s,
2013 2,507,000
655,000 Orion Power Holdings, Inc. sr. notes
12s, 2010 831,850
615,000 PSEG Energy Holdings, Inc. notes 7 3/4s,
2007 650,363
485,000 SEMCO Energy, Inc. sr. notes 7 3/4s,
2013 532,591
150,000 Sierra Pacific Power Co. general ref.
mtge. 6 1/4s, 2012 156,563
915,000 Sierra Pacific Resources sr. notes 8
5/8s, 2014 1,033,950
90,000 Southern California Edison Co. notes 6
3/8s, 2006 92,825
320,000 Teco Energy, Inc. notes 10 1/2s, 2007 368,800
185,000 Teco Energy, Inc. notes 7.2s, 2011 202,575
280,000 Teco Energy, Inc. notes 7s, 2012 305,900
585,000 Texas Genco LLC/Texas Genco Financing
Corp. 144A sr. notes 6 7/8s, 2014 604,744
1,050,000 Utilicorp Canada Finance Corp. company
guaranty 7 3/4s, 2011 (Canada) 1,090,688
361,000 Utilicorp United, Inc. sr. notes 9.95s,
2011 408,833
399,000 Western Resources, Inc. sr. notes 9
3/4s, 2007 447,245
150,000 Williams Cos., Inc. (The) notes 8 1/8s,
2012 173,250
226,429 York Power Funding 144A notes 12s, 2007
(Cayman Islands) (In default) (NON) 23
-------------
25,730,453
-------------
Total Corporate bonds and notes (cost $253,259,882) $269,430,733
U.S. Government and Agency Mortgage Obligations (28.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$37,200,000 Federal Home Loan Mortgage Corporation 6
1/2s, TBA, January 1, 2035 $39,030,939
Federal National Mortgage Association
Pass-Through Certificates
69 8 1/2s, March 1, 2006 71
18,065 8s, with due dates from October 1, 2025
to July 1, 2028 19,675
14,287 7 1/2s, December 1, 2029 15,336
12,608,441 6 1/2s, with due dates from May 1, 2026
to August 1, 2034 13,249,670
31,157 6 1/2s, October 1, 2018 32,779
79,400,000 6 1/2s, TBA, January 1, 2033 83,246,221
244,449 5s, April 1, 2019 248,784
39,100,000 5s, TBA, January 1, 2020 39,717,045
3,541,075 4 1/2s, with due dates from August 1,
2033 to June 1, 2034 3,431,108
26,200,000 4 1/2s, TBA, January 1, 2020 26,114,033
-------------
Total U.S. Government and Agency Mortgage Obligations (cost $204,881,765) $205,105,661
U.S. Treasury Obligations (9.6%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
U.S. Treasury Notes
$7,500,000 6 1/2s, February 15, 2010 $8,491,406
23,608,000 4 1/4s, August 15, 2013 23,788,748
27,242,000 3 1/4s, August 15, 2008 27,114,303
10,518,000 1 5/8s, March 31, 2005 10,501,566
-------------
Total U.S. Treasury Obligations (cost $70,395,811) $69,896,023
Foreign government bonds and notes (10.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$545,000 Brazil (Federal Republic of) bonds 10
1/2s, 2014 $646,643
1,220,000 Bulgaria (Republic of) 144A bonds 8
1/4s, 2015 1,525,000
CAD 3,680,000 Canada (Government of) bonds Ser. WH31,
6s, 2008 3,329,173
$1,260,000 Colombia (Republic of) bonds Ser. NOV, 9
3/4s, 2009 1,435,140
2,150,000 Colombia (Republic of) notes 10 3/4s,
2013 2,567,100
325,000 Dominican (Republic of) notes 9.04s,
2013 268,938
EUR 5,530,000 France (Government of) bonds 4s, 2013 7,771,361
EUR 8,330,000 Germany (Federal Republic of) bonds Ser.
95, 7 3/8s, 2005 11,326,964
EUR 5,500,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 8,080,529
EUR 1,345,000 Greece (Hellenic Republic of) bonds 3
1/2s, 2008 1,864,549
$460,000 Indonesia (Republic of) FRN 3.205s, 2005 456,550
185,000 Indonesia (Republic of) FRN 2.795s, 2006 181,300
1,420,000 Indonosia (Republic of) 144A sr. notes 6
3/4s, 2014 1,420,000
1,500,000 Peru (Republic of) bonds 8 3/8s, 2016 1,680,000
1,075,000 Philippines (Republic of) bonds 8 3/8s,
2011 1,077,688
925,000 Philippines (Republic of) sr. notes 8
7/8s, 2015 925,000
9,190,000 Russia (Federation of) unsub. 8 1/4s,
2010 10,136,570
945,000 Russia (Ministry of Finance) deb. Ser.
V, 3s, 2008 880,646
1,385,000 South Africa (Republic of) notes 7 3/8s,
2012 1,578,900
860,000 South Africa (Republic of) notes 6 1/2s,
2014 934,390
EUR 1,000,000 Spain (Government of) bonds 5.4s, 2011 1,525,590
SEK 26,915,000 Sweden (Government of) bonds Ser. 3101,
4s, 2008 5,048,107
SEK 30,690,000 Sweden (Government of) debs. Ser. 1041,
6 3/4s, 2014 5,644,775
$915,000 Venezuela (Republic of) notes 10 3/4s,
2013 1,093,425
350,000 Venezuela (Republic of) notes 8 1/2s,
2014 371,000
2,095,000 Venezuela (Republic of) unsub. bonds 5
3/8s, 2010 1,967,205
-------------
Total Foreign government bonds and notes (cost $61,163,750) $73,736,543
Asset-backed securities (9.8%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$443,964 ABSC NIMS Trust 144A Ser. 03-HE5, Class
A, 7s, 2033 $446,184
Aegis Asset Backed Securities Trust 144A
81,129 Ser. 04-1N, Class Note, 5s, 2034 81,129
200,270 Ser. 04-2N, Class N1, 4 1/2s, 2034 199,800
167,601 Ser. 04-4N, Class Note, 5s, 2034 167,601
302,000 Ameriquest Finance NIM Trust 144A Ser.
04-RN9, Class N2, 10s, 2034 279,743
3,217,273 Amortizing Residential Collateral Trust
Ser. 02-BC1, Class A, IO, 6s, 2005 28,849
44,953 AQ Finance NIM Trust 144A Ser. 03-N9A,
Class Note, 7.385s, 2033 45,065
Arcap REIT, Inc. 144A
383,000 Ser. 03-1A, Class E, 7.11s, 2038 407,416
361,000 Ser. 04-1A, Class E, 6.42s, 2039 366,584
Argent NIM Trust 144A
52,403 Ser. 03-N6, Class A, 6.4s, 2034 (Cayman
Islands) 52,534
50,736 Ser. 04-WN2, Class A, 4.55s, 2034
(Cayman Islands) 50,799
Asset Backed Funding Corp. NIM Trust
144A
8,891 Ser. 03-WF1, Class N1, 8.35s, 2032 8,891
156,000 Ser. 04-0PT1, Class N2, 6.9s, 2033
(Cayman Islands) 155,999
190,992 Ser. 04-0PT5, Class N1, 4 1/2s, 2034
(Cayman Islands) 190,992
271,303 Ser. 04-FF1, Class N1, 5s, 2034 (Cayman
Islands) 270,411
38,000 Ser. 04-FF1, Class N2, 5s, 2034 (Cayman
Islands) 35,024
252,000 Ser. 04-HE1, Class N2, 8s, 2034 (Cayman
Islands) 244,847
307,753 Aviation Capital Group Trust 144A FRB
Ser. 03-2A, Class G1, 3.11s, 2033 308,210
340,000 Bank One Issuance Trust FRB Ser. 03-C4,
Class C4, 3.43s, 2011 340,093
17,631,434 Bayview Financial Acquisition Trust Ser.
03-X, Class A, IO, 0.9s, 2006 313,656
Bear Stearns Asset Backed Securities NIM
Trust 144A
200,049 Ser. 04-HE10, Class A1, 4 1/4s, 2034
(Cayman Islands) 200,049
348,589 Ser. 04-HE6, Class A1, 5 1/4s, 2034
(Cayman Islands) 349,188
273,613 Ser. 04-HE7N, Class A1, 5 1/4s, 2034
(Cayman Islands) 274,126
286,000 Bear Stearns Asset Backed Securities,
Inc. Ser. 04-FR3, Class M6, 3 1/4s, 2034 286,000
Bombardier Capital Mortgage
Securitization Corp.
784,465 Ser. 99-B, Class A3, 7.18s, 2015 604,038
816,103 Ser. 99-B, Class A4, 7.3s, 2016 630,831
184,346 Bombardier Capital Mortgage
Securitization Corp. FRB Ser. 00-A,
Class A1, 2.56s, 2030 95,282
CARSSX Finance, Ltd. 144A
114,383 FRB Ser. 04-AA, Class B3, 5.75s, 2011
(Cayman Islands) 116,885
643,294 FRB Ser. 04-AA, Class B4, 7.9s, 2011
(Cayman Islands) 660,306
350,000 Chase Credit Card Master Trust FRB Ser.
03-3, Class C, 3.48s, 2010 358,689
54,495 Chase Funding Net Interest Margin 144A
Ser. 03-4A, Class Note, 6 3/4s, 2036 54,631
CHEC NIM Ltd., 144A
313,428 Ser. 04-2, Class N1, 4.45s, 2034 (Cayman
Islands) 313,410
94,000 Ser. 04-2, Class N2, 8s, 2034 (Cayman
Islands) 93,463
58,000 Ser. 04-2, Class N3, 8s, 2034 (Cayman
Islands) 49,880
Conseco Finance Securitizations Corp.
318,698 Ser. 00-2, Class A4, 8.48s, 2030 320,291
2,025,895 Ser. 00-4, Class A4, 7.73s, 2031 1,979,142
240,000 Ser. 00-4, Class A5, 7.97s, 2032 205,760
3,412,000 Ser. 00-4, Class A6, 8.31s, 2032 2,973,465
888,387 Ser. 00-6, Class M2, 8.2s, 2032 88,839
268,000 Ser. 01-04, Class A4, 7.36s, 2033 275,242
897,000 Ser. 01-1, Class A5, 6.99s, 2032 853,386
13,000 Ser. 01-3, Class A3, 5.79s, 2033 13,269
3,073,000 Ser. 01-3, Class A4, 6.91s, 2033 3,053,705
300,000 Ser. 01-3, Class M2, 7.44s, 2033 49,500
819,989 Ser. 01-4, Class B1, 9.4s, 2033 110,698
2,181,993 Ser. 02-1, Class A, 6.681s, 2033 2,280,183
295,000 FRB Ser. 01-4, Class M1, 4.03s, 2033 122,770
790,000 Consumer Credit Reference IDX Securities
FRB Ser. 02-1A, Class A, 4.52s, 2007 800,096
Countrywide Asset Backed Certificates
144A
1,313,989 Ser. 04-6N, Class N1, 6 1/4s, 2035 1,313,989
200,652 Ser. 04-BC1N, Class Note, 5 1/2s, 2035 200,402
431,000 Crest, Ltd. 144A Ser. 03-2A, Class E2,
8s, 2038 430,427
420,000 First Chicago Lennar Trust 144A Ser.
97-CHL1, Class E, 7.863s, 2039 428,794
First Franklin NIM Trust 144A
140,018 Ser. 03-FF3A, Class A, 6 3/4s, 2033 139,475
30,797 Ser. 04-FF1, Class N1, 4 1/2s, 2034 30,710
324,136 Ser. 04-FF10, Class N1, 4.45s, 2034
(Cayman Islands) 324,115
62,584 Freemont NIM Trust 144A Ser. 04-3, Class
B, 7 1/2s, 2034 61,351
389,389 Freemont Trust 144A Ser. 04-3A, 4 1/2s,
2034 388,727
Fremont NIM Trust 144A
27,401 Ser. 03-B, Class Note, 5.65s, 2033 27,435
272,485 Ser. 04-A, Class Note, 4 3/4s, 2034 271,531
Granite Mortgages PLC
EUR 1,430,000 FRB Ser. 03-2, Class 2C1, 5.2s, 2043
(United Kingdom) 2,036,024
GBP 1,075,000 FRB Ser. 03-2, Class 3C, 6.444s, 2043
(United Kingdom) 2,117,952
$440,000 Granite Mortgages PLC FRB Ser. 02-1,
Class 1C, 3.379s, 2042 (United Kingdom) 446,908
Green Tree Financial Corp.
367,449 Ser. 94-4, Class B2, 8.6s, 2019 258,703
883,982 Ser. 94-6, Class B2, 9s, 2020 704,310
371,800 Ser. 95-4, Class B1, 7.3s, 2025 350,654
362,579 Ser. 95-8, Class B1, 7.3s, 2026 286,859
387,000 Ser. 96-8, Class M1, 7.85s, 2027 340,381
100,530 Ser. 99-3, Class A5, 6.16s, 2031 101,614
1,247,000 Ser. 99-5, Class A5, 7.86s, 2030 1,115,131
Greenpoint Manufactured Housing
2,249,233 Ser. 00-3, Class IA, 8.45s, 2031 2,187,379
50,000 Ser. 99-5, Class A4, 7.59s, 2028 53,125
1,180,000 GS Auto Loan Trust 144A Ser. 04-1, Class
D, 5s, 2011 1,162,066
GSAMP Trust 144A
49,443 Ser. 03-HE1N, Class Note, 7 1/4s, 2033 49,472
138,524 Ser. 04-FM1N, Class Note, 5 1/4s, 2033 138,400
144,160 Ser. 04-HE1N, Class N1, 5s, 2034 143,900
1,471,071 Ser. 04-NIM1, Class N1, 5 1/2s, 2034 1,470,336
519,000 Ser. 04-NIM1, Class N2, zero, 2034 383,972
1,395,835 Ser. 04-NIM2, Class N, 4 7/8s, 2034 1,389,833
94,160 Ser. 04-RENM, Class Note, 5 1/2s, 2032 94,160
260,939 Ser. 04-SE2N, Class Note, 5 1/2s, 2034 260,809
235,000 Holmes Financing PLC FRB Ser. 8, Class
2C, 2.79s, 2040 (United Kingdom) 235,955
Holmes Financing PLC FRB
210,000 Ser. 4, Class 3C, 3.37s, 2040 (United
Kingdom) 212,688
560,000 Ser. 5, Class 2C, 3.52s, 2040 (United
Kingdom) 561,568
Home Equity Asset Trust 144A
114,134 Ser. 02-5N, Class A, 8s, 2033 114,419
14,625 Ser. 03-4N, Class A, 8s, 2033 14,662
117,878 Ser. 03-7N, Class A, 5 1/4s, 2034 117,952
82,773 Ser. 04-1N, Class A, 5s, 2034 82,773
345,270 Ser. 04-5N, Class A, 5 1/4s, 2034 345,702
1,260,000 LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class
FFL, 5.167s, 2037 (Cayman Islands) 1,241,478
Long Beach Asset Holdings Corp. NIM
Trust 144A
26,054 Ser. 03-2, Class N1, 7.627s, 2033 26,054
16,071 Ser. 03-4, Class N1, 6.535s, 2033 16,071
200,090 Ser. 04-2, Class N1, 4.94s, 2034 200,090
273,542 Ser. 04-5, Class Note, 5s, 2034 274,143
Long Beach Mortgage Loan Trust
1,683,844 Ser. 04-3, Class S1, IO, 4 1/2s, 2006 93,401
841,925 Ser. 04-3, Class S2, IO, 4 1/2s, 2006 46,701
GBP 900,000 Lothian Mortgages PLC 144A FRN Ser. 3A,
Class D, 5.699s, 2039 (United Kingdom) 1,727,730
$1,046,356 Madison Avenue Manufactured Housing
Contract FRB Ser. 02-A, Class B1, 5.67s,
2032 575,496
Master Asset Backed Securities NIM Trust
144A
143,000 Ser. 04-CI5, Class N2, 10s, 2034 142,843
239,368 Ser. 04-HE1, Class A, 5 1/4s, 2034 239,344
350,000 MBNA Credit Card Master Note Trust FRN
Ser. 03-C5, Class C5, 3.58s, 2010 357,899
71,906 Merrill Lynch Mortgage Investors, Inc.
Ser. 03-WM3N, Class N1, 8s, 2005 72,093
Merrill Lynch Mortgage Investors, Inc.
144A
157,347 Ser. 04-FM1N, Class N1, 5s, 2035 156,655
125,574 Ser. 04-HE1N, Class N1, 5s, 2006 124,695
170,117 Mid-State Trust Ser. 11, Class B,
8.221s, 2038 164,832
214,000 Morgan Stanley ABS Capital I FRB Ser.
04-HE8, Class B3, 5.62s, 2034 216,179
178,000 Morgan Stanley Auto Loan Trust 144A Ser.
04-HB2, Class E, 5s, 2012 172,493
Morgan Stanley Dean Witter Capital I
170,237 FRN Ser. 01-NC3, Class B1, 4.87s, 2031 168,792
358,000 FRN Ser. 01-NC4, Class B1, 4.92s, 2032 354,941
79,133 New Century Mortgage Corp. NIM Trust
144A Ser. 03-B, Class Note, 6 1/2s, 2033 79,405
90,114 Novastar NIM Trust 144A Ser. 04-N1,
Class Note, 4.458s, 2034 90,114
Oakwood Mortgage Investors, Inc.
1,022,000 Ser. 00-D, Class A4, 7.4s, 2030 667,747
1,227,424 Ser. 01-C, Class A2, 5.92s, 2017 781,366
697,703 Ser. 01-C, Class A4, 7.405s, 2030 489,104
222,174 Ser. 01-D, Class A2, 5.26s, 2019 171,074
845,000 Ser. 01-D, Class A4, 6.93s, 2031 664,755
1,470,395 Ser. 01-E, Class A2, 5.05s, 2019 1,201,588
469,783 Ser. 02-A, Class A2, 5.01s, 2020 397,268
443,000 Ser. 02-B, Class A4, 7.09s, 2032 397,031
1,932,308 Ser. 02-C, Class A1, 5.41s, 2032 1,718,041
768,218 Ser. 99-B, Class A4, 6.99s, 2026 694,997
1,379,154 Ser. 99-D, Class A1, 7.84s, 2029 1,304,815
302,919 Oakwood Mortgage Investors, Inc. 144A
Ser. 01-B, Class A4, 7.21s, 2030 288,624
485,000 Ocean Star PLC 144A FRB Ser. 04-A, Class
E, 8.606s, 2018 (Ireland) 485,000
Option One Mortgage Securities Corp. NIM
Trust 144A
41,018 Ser. 03-5, Class Note, 6.9s, 2033 41,223
71,000 Park Place Securities NIM Trust 144A
Ser. 04-WCW2, Class D, 7.387s, 2034 71,000
230,603 Pass-Through Amortizing Credit Card
Trust Ser. 02-1A, Class A4FL, 7.61s,
2012 231,028
90,000 People's Choice Net Interest Margin Note
144A Ser. 04-2, Class B, 5s, 2034 81,540
Permanent Financing PLC FRB
350,000 Ser. 1, Class 3C, 3.66s, 2042 (United
Kingdom) 353,360
350,000 Ser. 3, Class 3C, 3.61s, 2042 (United
Kingdom) 354,760
887,000 Permanent Financing PLC Ser. 6, Class
3C, 2.85s, 2042 (United Kingdom) 1,702,774
1,313,000 Providian Gateway Master Trust Ser. 02,
Class B, zero, 2006 1,193,232
2,541,393 Residential Asset Mortgage Products,
Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s,
2005 63,384
511,868 Residential Asset Securities Corp. 144A
Ser. 04-N10B, Class A1, 5s, 2034 511,868
93,052 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 95,728
SAIL Net Interest Margin Notes 144A
266,584 Ser. 03-10A, Class A, 7 1/2s, 2033
(Cayman Islands) 267,917
83,713 Ser. 03-12A, Class A, 7.35s, 2033
(Cayman Islands) 84,550
95,710 Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman
Islands) 96,428
39,922 Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman
Islands) 39,878
192,390 Ser. 03-5, Class A, 7.35s, 2033 (Cayman
Islands) 192,334
64,032 Ser. 03-6A, Class A, 7s, 2033 (Cayman
Islands) 64,032
147,038 Ser. 03-7A, Class A, 7s, 2033 (Cayman
Islands) 145,947
35,735 Ser. 03-8A, Class A, 7s, 2033 (Cayman
Islands) 35,555
97,270 Ser. 03-9A, Class A, 7s, 2033 (Cayman
Islands) 96,764
180,008 Ser. 03-BC2A, Class A, 7 3/4s, 2033
(Cayman Islands) 179,485
756,769 Ser. 04-10A, Class A, 5s, 2034 757,071
434,726 Ser. 04-2A, Class A, 5 1/2s, 2034
(Cayman Islands) 434,726
538,708 Ser. 04-4A, Class A, 5s, 2034 (Cayman
Islands) 537,900
284,337 Ser. 04-7A, Class A, 4 3/4s, 2034
(Cayman Islands) 283,941
45,737 Ser. 04-7A, Class B, 6 3/4s, 2034
(Cayman Islands) 44,978
546,009 Ser. 04-8A, Class A, 5s, 2034 (Cayman
Islands) 546,009
197,738 Ser. 04-8A, Class B, 6 3/4s, 2034
(Cayman Islands) 193,299
299,054 Ser. 04-AA, Class A, 4 1/2s, 2034
(Cayman Islands) 298,007
Sasco Net Interest Margin Trust 144A
73,176 Ser. 03-AM1, Class A, 7 3/4s, 2033 72,819
273,262 Ser. 03-BC1, Class B, zero, 2033 232,273
77,488 Saxon Net Interest Margin Trust 144A
Ser. 03-A, Class A, 6.656s, 2033 77,488
82,586 Sharps SP I, LLC Net Interest Margin
Trust Ser. 03-NC1N, Class N, 7 1/4s,
2033 82,925
Sharps SP I, LLC Net Interest Margin
Trust 144A
94,148 Ser. 03-0P1N, Class NA, 4.45s, 2033 94,035
60,967 Ser. 03-HS1N, Class N, 7.48s, 2033 61,120
29,913 Ser. 03-TC1N, Class N, 7.45s, 2033 29,913
24,664 Ser. 04-FM1N, Class N, 6.16s, 2033 24,726
117,425 Ser. 04-HE2N, Class NA, 5.43s, 2034 117,131
34,148 Ser. 04-HS1N, Class Note, 5.92s, 2034 34,148
140,000 South Coast Funding FRB Ser. 3A, Class
A2, 3.46s, 2038 141,750
Structured Asset Investment Loan Trust
136,235 Ser. 03-BC1A, Class A, 7 3/4s, 2033 136,660
4,060,735 Ser. 03-BC2, Class A, IO, 6s, 2005 56,574
1,928,005 Ser. 03-BC8, Class A, IO, 6s, 2005 45,828
10,983,737 Ser. 04-1, Class A, IO, 6s, 2005 315,481
467,000 TIAA Real Estate CD0, Ltd. Ser. 03-1A,
Class E, 8s, 2038 (Cayman Islands) 449,933
390,000 TIAA Real Estate CD0, Ltd. 144A Ser.
02-1A, Class IV, 6.84s, 2037 367,940
2,475,124 Washington Mutual Ser. 03-S1, Class A11,
IO, 5 1/2s, 2033 112,154
Wells Fargo Home Equity Trust 144A
989,731 Ser. 04-2, Class N1, 4.45s, 2034 989,672
214,000 Ser. 04-2, Class N2, 8s, 2034 203,300
Whole Auto Loan Trust 144A
591,883 Ser. 03-1, Class D, 6s, 2010 590,218
504,000 Ser. 04-1, Class D, 5.6s, 2011 501,874
-------------
Total Asset-backed securities (cost $73,439,680) $71,141,153
Collateralized mortgage obligations (3.9%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$367,000 Banc of America Commercial Mortgage,
Inc. 144A Ser. 01-1, Class K, 6 1/8s,
2036 $272,498
141,000 Banc of America Large Loan 144A FRN Ser.
02-FL2A, Class L1, 5.34s, 2014 141,403
350,000 Bear Stearns Commercial Mortgage
Securitization Corp. 144A Ser. 04-ESA,
Class K, 4.6s, 2016 349,999
533,000 Commercial Mortgage Pass-Through
Certificates 144A Ser. 01-FL4A, Class D,
2.95s, 2013 519,598
CS First Boston Mortgage Securities
Corp. 144A
356,000 FRB Ser. 03-TF2A, Class L, 6.4s, 2014 353,983
966,000 Ser. 98-C1, Class F, 6s, 2040 706,009
354,000 Ser. 02-CP5, Class M, 5 1/4s, 2035 253,426
23,602,021 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 1.076s,
2031 634,923
DLJ Commercial Mortgage Corp.
286,492 Ser. 98-CF2, Class B4, 6.04s, 2031 279,364
915,958 Ser. 98-CF2, Class B5, 5.95s, 2031 624,434
DLJ Mortgage Acceptance Corp. 144A
275,000 Ser. 97-CF1, Class B2, 8.16s, 2030 68,750
266,000 Ser. 97-CF1, Class B1, 7.91s, 2030 291,080
134,464 EURO 144A FRN Ser. 6A, Class F, 7.148s,
2010 (United Kingdom) 261,719
Fannie Mae
118,732 Ser. 98-51, Class SG, IO, 24.6s, 2022 56,335
407,422 Ser. 02-36, Class SJ, 14.081s, 2029 432,901
435,673 Ser. 03-W3, Class 1A3, 7 1/2s, 2042 466,663
9,357 Ser. 03-W2, Class 1A3, 7 1/2s, 2042 10,025
1,077 Ser. 02-W1, Class 2A, 7 1/2s, 2042 1,148
3,930 Ser. 02-14, Class A2, 7 1/2s, 2042 4,205
517,895 Ser. 01-T10, Class A2, 7 1/2s, 2041 552,082
2,507 Ser. 02-T4, Class A3, 7 1/2s, 2041 2,680
6,683 Ser. 01-T8, Class A1, 7 1/2s, 2041 7,134
2,014,424 Ser. 01-T7, Class A1, 7 1/2s, 2041 2,148,012
302,647 Ser. 01-T3, Class A1, 7 1/2s, 2040 322,943
914,068 Ser. 01-T1, Class A1, 7 1/2s, 2040 977,094
378,346 Ser. 99-T2, Class A1, 7 1/2s, 2039 404,571
190,029 Ser. 00-T6, Class A1, 7 1/2s, 2030 202,630
895,739 Ser. 01-T4, Class A1, 7 1/2s, 2028 961,397
2,164 Ser. 02-W3, Class A5, 7 1/2s, 2028 2,316
935,547 Ser. 03-58, Class ID, IO, 6s, 2033 177,023
942,625 Ser. 03-26, Class IG, IO, 6s, 2033 143,937
735,939 Ser. 322, Class 2, IO, 6s, 2032 146,498
924,423 Ser. 318, Class 2, IO, 6s, 2032 186,736
1,234,331 Ser. 03-118, Class S, IO, 5.683s, 2033 156,220
1,362,183 Ser. 03-118, Class SF, IO, 5.683s, 2033 170,273
882,742 Ser. 02-36, Class QH, IO, 5.633s, 2029 32,371
4,464,321 Ser. 338, Class 2, IO, 5 1/2s, 2033 939,600
1,959,602 Ser. 329, Class 2, IO, 5 1/2s, 2033 413,966
2,004,011 Ser. 03-45, Class PI, IO, 5 1/2s, 2029 187,876
2,623,333 Ser. 03-37, Class IC, IO, 5 1/2s, 2027 241,840
373,432 Ser. 03-6, Class IB, IO, 5 1/2s, 2022 7,424
6,512,026 Ser. 03-34, Class ES, IO, 4.583s, 2033 456,723
2,737,409 Ser. 03-34, Class SG, IO, 4.583s, 2033 193,827
7,679,696 Ser. 03-W10, Class 1A, IO, 1.703s, 2043 179,705
9,111,220 Ser. 03-W10, Class 3A, IO, 1.664s, 2043 219,580
4,955,674 Ser. 03-W17, Class 12, IO, 1.158s, 2033 161,989
14,293,295 Ser. 02-T18, IO, 0.521s, 2042 203,313
152,446 Ser. 99-51, Class N, PO, zero, 2029 130,079
65,567 Ser. 99-52, Class MO, PO, zero, 2026 63,137
Federal Home Loan Mortgage Corp.
Structured Pass-Through Securities
12,583 Ser. T-58, Class 4A, 7 1/2s, 2043 13,450
4,867,615 Ser. T-57, Class 1AX, IO, 0.449s, 2043 53,101
13,248,448 FFCA Secured Lending Corp. Ser. 00-1,
Class X, IO, 1.563s, 2020 780,089
Freddie Mac
514,021 IFB Ser. 2763, Class SC, 20.24s, 2032 601,729
2,888,984 Ser. 216, IO, 6s, 2032 569,554
1,418,300 Ser. 2515, Class IG, IO, 5 1/2s, 2032 372,286
677,653 Ser. 2626, Class IK, IO, 5 1/2s, 2030 130,566
729,500 Ser. 2590, Class IH, IO, 5 1/2s, 2028 136,781
503,008 Ser. 2833, Class IK, IO, 5 1/2s, 2023 72,465
315,910 Ser. 215, PO, zero, 2031 290,306
313,603 Ser. 2235, PO, zero, 2030 265,093
GE Capital Commercial Mortgage Corp.
144A
596,000 Ser. 00-1, Class G, 6.131s, 2033 532,913
370,000 Ser. 00-1, Class H, 6.131s, 2033 264,644
529,968 GMAC Commercial Mortgage Securities,
Inc. 144A Ser. 99-C3, Class G, 6.974s,
2036 422,803
Government National Mortgage Association
306,197 Ser. 01-43, Class SJ, IO, 5.19s, 2029 3,971
151,344 Ser. 98-2, Class EA, PO, zero, 2028 125,971
214,000 GS Mortgage Securities Corp. II 144A FRB
Ser. 03-FL6A, Class L, 5.65s, 2015 214,268
1,125,121 Hermione (European Loan Conduit No. 14)
144A FRB Class A, 5.348s, 2011 (Ireland) 2,171,775
253,101 LB Commercial Conduit Mortgage Trust
144A Ser. 99-C1, Class G, 6.41s, 2031 243,641
876,000 Lehman Brothers Floating Rate Commercial
Mortgage Trust 144A FRN Ser. 03-LLFA,
Class L, 5.85s, 2014 864,289
Mach One Commercial Mortgage Trust 144A
422,000 Ser. 04-1A, Class J, 5.45s, 2040 351,546
212,000 Ser. 04-1A, Class K, 5.45s, 2040 172,780
96,000 Ser. 04-1A, Class L, 5.45s, 2040 69,716
8,442,605 Merrill Lynch Mortgage Investors, Inc.
Ser. 96-C2, Class JS, IO, 2.13s, 2028 429,725
5,737,000 Merrill Lynch Mortgage Trust 144A Ser.
04-BPC1, Class XC, 0.059s, 2041 110,258
1,022,469 Mezz Cap Commercial Mortgage Trust 144A
Ser. 04-C1, Class X, IO, 6.18s, 2037 456,756
1,730,000 Morgan Stanley Capital I 144A Ser.
04-RR, Class F7, 6s, 2039 1,267,381
4,345,004 Mortgage Capital Funding, Inc. Ser.
97-MC2, Class X, IO, 1.285s, 2012 112,744
327,112 Mortgage Capital Funding, Inc. FRB Ser.
98-MC2, Class E, 7.292s, 2030 361,733
Option One Mortgage Securities Corp. NIM
Trust 144A
4,067 Ser. 03-2B, Class N1, 7.63s, 2033
(Cayman Islands) 4,067
STRIPS 144A
162,000 Ser. 03-1A, Class M, 5s, 2018 (Cayman
Islands) 134,395
193,000 Ser. 03-1A, Class N, 5s, 2018 (Cayman
Islands) 144,306
174,000 Ser. 04-1A, Class M, 5s, 2018 (Cayman
Islands) 145,847
167,000 Ser. 04-1A, Class N, 5s, 2018 (Cayman
Islands) 126,970
398,000 TITAN 144A FRB Ser. 04-2, Class D,
5.819s, 2034 (United Kingdom) 540,922
180,000 Trizechahn Office Properties Trust 144A
Ser. 01-TZHA, Class D3, 6.943s, 2013 190,341
-------------
Total Collateralized mortgage obligations (cost $31,825,259) $28,470,621
Senior loans (2.5%) (a)(c)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
Basic Materials (0.3%)
-----------------------------------------------------------------------------------------------------------
1,500,000 Goodman Manufacturing bank term loan FRN
Ser. B, 4.27s, 2011 $1,522,500
136,882 Graphics Packaging bank term loan FRN
Ser. Ser. C, 4.5089s, 2010 139,175
173,688 Hercules, Inc. bank term loan FRN Ser.
B, 3.9523s, 2010 174,469
114,449 Nalco Co. bank term loan FRN Ser. B,
4.3257s, 2010 115,987
174,433 SGL Carbon, LLC bank term loan FRN
4.95s, 2009 175,305
-------------
2,127,436
Capital Goods (0.2%)
-----------------------------------------------------------------------------------------------------------
149,519 Allied Waste Industries, Inc. bank term
loan FRN 5.1245s, 2010 151,653
25,457 Allied Waste Industries, Inc. bank term
loan FRN Ser. C, 1.84s, 2010 25,751
182,869 Amsted Industries bank term loan FRN
4.8839s, 2010 185,384
127,458 EaglePicher bank term loan FRN Ser. B,
5.46s, 2009 128,096
69,448 Flowserve Corp. bank term loan FRN Ser.
C, 5.033s, 2009 70,490
118,629 Invensys, PLC bank term loan FRN Ser.
B-1, 5.477s, 2009 (United Kingdom) 120,261
141,743 Mueller Group bank term loan FRN
5.0987s, 2011 142,983
148,875 Solo Cup Co. bank term loan FRN 4.8762s,
2011 151,480
91,654 SPX Corp. bank term loan FRN Ser. B, 4
1/4s, 2009 91,998
49,501 Transdigm, Inc. bank term loan FRN Ser.
C, 4.6s, 2010 50,089
-------------
1,118,185
Communication Services (0.1%)
-----------------------------------------------------------------------------------------------------------
49,667 Consolidated Communications bank term
loan FRN Ser. C, 4.6446s, 2012 50,412
231,000 Nextel Communications, Inc. bank term
loan FRN Ser. E, 4.6875s, 2010 231,130
79,398 PanAmSat Corp. bank term loan FRN Ser.
B, 5.16s, 2011 79,786
195,000 Qwest Communications International, Inc.
bank term loan FRN Ser. A, 7.39s, 2007 203,166
49,750 SBA Senior Finance, Inc. bank term loan
FRN 4.8691s, 2008 50,325
-------------
614,819
Consumer Cyclicals (0.7%)
-----------------------------------------------------------------------------------------------------------
450,000 Advertising Direct bank term loan FRN
4.4s, 2011 453,375
450,000 Boise Cascade Corp. bank term loan FRN
Ser. C, 4.4688s, 2011 450,563
141,780 Coinmach Corp. bank term loan FRN Ser.
B, 5.3624s, 2009 143,198
163,525 Dex Media West, LLC bank term loan FRN
Ser. B, 4.1772s, 2010 165,024
120,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 7.03s, 2006 121,500
75,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 4.6s, 2007 75,703
171,350 Hayes Lemmerz International, Inc. bank
term loan FRN 6.0443s, 2009 173,778
98,750 IESI Corp. bank term loan FRN 5.0793s,
2010 99,367
162,963 Lamar Media bank term loan FRN Ser. D,
4.0625s, 2010 164,389
50,000 Landsource bank term loan FRN Ser. B,
4.9375s, 2010 50,688
75,127 Penn National Gaming, Inc. bank term
loan FRN Ser. D, 4.48s, 2010 75,315
127,175 Primedia, Inc. bank term loan FRN Ser.
B, 5.0625s, 2009 124,154
1,300,000 Raycom Media, Inc. bank term loan FRN
Ser. B, 4 1/4s, 2012 1,314,625
215,280 RH Donnelley Finance Corp. bank term
loan FRN Ser. B, 4.1873s, 2011 217,276
600,714 Sealy Mattress Co. bank term loan FRN
Ser. C, 4.5351s, 2012 608,724
450,000 TRW Automotive bank term loan FRN Ser.
B, 3.52s, 2010 450,563
104,475 TRW Automotive bank term loan FRN Ser.
D-1, 4 1/8s, 2011 105,154
165,000 WRC Media Corp. bank term loan FRN
6.7613s, 2009 163,763
-------------
4,957,159
Consumer Staples (0.7%)
-----------------------------------------------------------------------------------------------------------
34,454 Affinity Group Holdings bank term loan
FRN Ser. B1, 5.3683s, 2009 34,770
86,135 Affinity Group Holdings bank term loan
FRN Ser. B2, 4.975s, 2009 86,925
116,933 AMF Bowling Worldwide bank term loan FRN
Ser. B, 5.4852s, 2009 117,956
900,000 Century Cable Holdings bank term loan
FRN 7 1/4s, 2009 893,571
688,800 Charter Communications Holdings,
LLC/Capital Corp. bank term loan FRN
Ser. B, 5.3798s, 2011 689,159
1,000,000 Constellation Brands, Inc. bank term
loan FRN Ser. B, 3.77s, 2011 1,013,250
158,995 Del Monte Foods Co. bank term loan FRN
Ser. B, 4.38s, 2010 161,380
148,665 DirecTV bank term loan FRN Ser. B-2,
4.4001s, 2010 150,301
14,266 Dole Food Co. bank term loan FRN Ser. D,
4.7592s, 2009 14,494
120,000 Dole Holding Co. bank term loan FRN 7s,
2010 122,700
69,300 Insight Midwest LP/Insight Capital, Inc.
bank term loan FRN 5.1875s, 2009 70,320
179,550 MGM Studios bank term loan FRN Ser. B,
4.48s, 2011 179,909
500,000 Olympus Cable bank term loan FRN Ser. B,
7s, 2010 496,328
107,956 Rayovac Corp. bank term loan FRN Ser. C,
4.7671s, 2009 109,485
243,139 Roundy's bank term loan FRN 4.2638s,
2009 245,571
84,461 Six Flags, Inc. bank term loan FRN Ser.
B, 4.84s, 2009 85,596
152,916 Sum Media bank term loan FRN Ser. B,
4.1443s, 2009 153,824
650,000 Universal City Development bank term
loan FRN Class B, 4.41s, 2011 659,750
198,500 Warner Music Group bank term loan FRN
Ser. B, 5.2092s, 2011 200,981
-------------
5,486,270
Energy (--%)
-----------------------------------------------------------------------------------------------------------
180,000 Dresser, Inc. bank term loan FRN 5.84s,
2010 182,700
Financial (0.1%)
-----------------------------------------------------------------------------------------------------------
900,000 General Growth Propery bank term loan
FRN Ser. B, 4.53s, 2008 902,250
Health Care (0.2%)
-----------------------------------------------------------------------------------------------------------
123,438 Beverly Enterprises, Inc. bank term loan
FRN 4.5103s, 2008 125,135
119,700 Community Health Systems, Inc. bank term
loan FRN Ser. B, 4.1495s, 2011 120,579
197,010 Concentra bank term loan FRN 5.0443s,
2009 198,570
295,684 DaVita, Inc. bank term loan FRN Ser. B,
4.1819s, 2009 296,001
119,400 Fisher Scientific International, Inc.
bank term loan FRN Ser. B, 3.6806s, 2011 120,221
98,750 Hanger Orthopedic Group, Inc. bank term
loan FRN 5.475s, 2009 99,614
108,625 Kinetic Concepts, Inc. bank term loan
FRN Ser. B, 3.73s, 2011 109,259
148,125 Medex, Inc. bank term loan FRN Ser. B,
5.4147s, 2009 149,730
476,607 Triad Hospitals, Inc. bank term loan FRN
Ser. B, 4.46s, 2008 482,505
-------------
1,701,614
Transportation (--%)
-----------------------------------------------------------------------------------------------------------
126,824 Pacer International, Inc. bank term loan
FRN 4.4061s, 2010 128,409
Utilities & Power (0.2%)
-----------------------------------------------------------------------------------------------------------
797,000 EL Paso bank term loan FRN Ser. B, Class
B, 5.1875s, 2009 803,199
208,000 El Paso Corp. bank Corp. term loan FRN
Ser. C, 5.165s, 2009 209,332
120,000 Unisource Energy bank term loan FRN Ser.
B, 5.652s, 2011 118,650
118,206 Williams Products bank term loan FRN
Ser. C, 4.9944s, 2007 119,782
-------------
1,250,963
-------------
Total Senior loans (cost $18,179,874) $18,469,805
Common stocks (0.5%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
1,987 AboveNet, Inc. (NON) (S) $63,584
2,305 Alderwoods Group, Inc. (NON) 26,231
820,000 AMRESCO Creditor Trust (acquired 6/17/99
and 2/10/00, cost $138,193)
(RES)(NON)(F) 820
898 Birch Telecom, Inc. (NON)(F) 9
501 Comdisco Holding Co., Inc. (S) 11,177
3,445,121 Contifinancial Corp. Liquidating Trust
Units 68,902
15,321 Covad Communications Group, Inc. (NON)
(S) 32,940
497 Crown Castle International Corp. (NON) 8,270
903 Genesis HealthCare Corp. (NON) 31,632
45,911 Globix Corp. (NON) 165,280
470,000 iPCS Escrow, Inc. (NON)(F) 470
10,939 iPCS, Inc. (NON) 333,640
199 Knology, Inc. (NON) 778
105 Leucadia National Corp. 7,295
6,483 Lodgian, Inc. (NON) 79,741
120,000 Loewen Group International, Inc.
(NON)(F) 12
3,774 Northwestern Corp. (NON) 105,672
1,158 Polymer Group, Inc. Class A (NON) 22,002
715 PSF Group Holdings, Inc. 144A Class A
(NON)(F) 1,072,995
53,520 Regal Entertainment Group (F) 1,111,075
110 Sterling Chemicals, Inc. (NON) 4,098
740 Sun Healthcare Group, Inc. (NON) 6,816
12 USA Mobility, Inc. (NON) 424
948,004 VFB LLC (acquired 10/27/00 and 12/8/03,
cost $948,004) (RES) 194,341
4,438 Washington Group International, Inc.
(NON) (S) 183,068
-------------
Total Common stocks (cost $8,687,867) $3,531,272
Brady bonds (0.5%) (a) (cost $2,818,735)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$3,476,498 Brazil (Federal Republic of) FRB Ser. 18
YR, 3 1/8s, 2012 $3,315,884
Preferred stocks (0.3%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
15 Dobson Communications Corp. 13.00% pfd.
(PIK) $6,000
320 First Republic Capital Corp. 144A 10.50%
pfd. 329,600
12,814 iStar Financial, Inc. Ser. F, $1.95 cum.
pfd. (R) 330,761
101 Paxson Communications Corp. 14.25% cum.
pfd. (PIK) 742,350
874 Rural Cellular Corp. Ser. B, 11.375%
cum. pfd. (PIK) 672,980
-------------
Total Preferred stocks (cost $2,364,693) $2,081,691
Convertible preferred stocks (0.1%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
9,140 Crown Castle International Corp. $3.125
cum. cv. pfd. $445,575
2,441 Emmis Communications Corp. Ser. A,
$3.125 cum. cv. pfd. 112,286
54 Paxson Communications Corp. 144A 9.75%
cv. pfd. (PIK) 297,000
-------------
Total Convertible preferred stocks (cost $860,227) $854,861
Warrants (0.1%) (a) (NON)
-----------------------------------------------------------------------------------------------------------
Number of warrants Expiration date Value
-----------------------------------------------------------------------------------------------------------
719 AboveNet, Inc. 9/8/2008 $8,627
846 AboveNet, Inc. 9/8/2010 6,767
1,020 Dayton Superior Corp. 144A 6/15/2009 1
1,193 Huntsman Co., LLC 144A 5/15/2011 560,710
508 MDP Acquisitions PLC 144A 10/1/2013 20,320
390 Mikohn Gaming Corp. 144A 8/15/2008 1,268
400 ONO Finance PLC 144A (United Kingdom) 2/15/2011 4
410 Pliant Corp. 144A 6/1/2010 4
1,830 Travel Centers of America, Inc. 144A 5/1/2009 9,150
1,670 Ubiquitel, Inc. 144A 4/15/2010 1
2,740 Washington Group International, Inc.
Ser. A 1/25/2006 36,935
3,131 Washington Group International, Inc.
Ser. B 1/25/2006 32,750
1,692 Washington Group International, Inc.
Ser. C 1/25/2006 15,313
590 XM Satellite Radio Holdings, Inc. 144A 3/15/2010 56,050
-------------
Total Warrants (cost $680,109) $747,900
Units (0.1%) (a)
-----------------------------------------------------------------------------------------------------------
Number of units Value
-----------------------------------------------------------------------------------------------------------
870,000 Morrison Knudsen Corp. zero, 2032 $73,950
991 XCL Equity Units zero (F) 439,663
-------------
Total Units (cost $1,720,483) $513,613
Convertible bonds and notes (--%) (a) (cost $2,018,410)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$2,430,000 Cybernet Internet Services
International, Inc. 144A cv. sr. disc.
notes 13s, 2009 (Denmark) (In default)
(NON) $24
Short-term investments (21.5%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$5,000,000 Danske Corp. for an effective yield of
2.29%, January 14, 2005 4,995,793
6,115,000 Delaware Funding Corp. for an effective
yield of 2.26%, January 13, 2005 6,110,332
10,000,000 Dexia Delaware, LLC for an effective
yield of 2.3%, January 19, 2005 $9,988,350
10,000,000 Federal Home Loan Banks for an effective
yield of 2.22%, January 13, 2005 9,993,094
10,000,000 Preferred Receivables for an effective
yield of 2.35%, January 11, 2005 9,993,583
5,000,000 Sheffield Receivables Corp. for an
effective yield of 2.34%, January 11,
2005 4,996,799
700,000 U.S. Treasury Bill, for an effective
yield of 2.2%, March 31, 2005 (SEG) 696,270
274,551 Short-term investments held as
collateral for loaned securities with
yields ranging from 2.15% to 2.50% and
due dates ranging from January 3, 2005
to February 2, 2005(d) 274,305
109,670,027 Putnam Prime Money Market Fund (e) 109,670,027
-------------
Total Short-term investments (cost $156,718,554) $156,718,553
-----------------------------------------------------------------------------------------------------------
Total Investments (cost $889,015,099)(b) $904,014,337
-----------------------------------------------------------------------------------------------------------
Forward currency contracts to buy at December 31, 2004 (Unaudited)
(aggregate face value $102,719,996)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------
Australian Dollar $20,986,261 $20,857,600 4/20/05 $128,661
British Pound 21,903,747 21,811,631 3/16/05 92,116
Danish Krone 1,283,442 1,255,052 3/16/05 28,390
Euro 14,932,498 14,799,945 3/16/05 132,553
Japanese Yen 29,545,328 29,571,077 5/18/05 (25,749)
New Zealand Dollar 316,123 314,530 4/20/05 1,593
Polish Zloty 595,303 571,815 3/16/05 23,488
Swedish Krona 2,748,804 2,725,953 3/16/05 22,851
Swiss Franc 8,964,870 8,971,843 3/16/05 (6,973)
Taiwan Dollar 1,871,383 1,840,550 5/18/05 30,833
----------------------------------------------------------------------
$427,763
----------------------------------------------------------------------
Forward currency contracts to sell at December 31, 2004 (Unaudited)
(aggregate face value $110,031,471)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------
Australian Dollar $6,671,452 $6,520,734 4/20/05 $(150,718)
British Pound 3,021,383 3,044,987 3/16/05 23,604
Canadian Dollar 21,856,802 21,955,722 4/20/05 98,920
Euro 40,932,274 40,349,775 3/16/05 (582,499)
Japanese Yen 2,620,873 2,600,372 5/18/05 (20,501)
Norwegian Krone 10,692,249 10,557,170 3/16/05 (135,079)
Swedish Krona 10,955,972 10,815,017 3/16/05 (140,955)
Swiss Franc 14,201,302 14,187,694 3/16/05 (13,608)
----------------------------------------------------------------------
$(920,836)
----------------------------------------------------------------------
Futures contracts outstanding at December 31, 2004 (Unaudited)
Unrealized
Aggregate Expiration appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------
CBT Interest Rate
Swap 10 yr (Long) $1,654,219 $1,664,195 Mar-05 $(9,976)
Euro-Bobl
5 yr (Long) 18,566,530 18,606,409 Mar-05 (39,879)
Euro-Bund
10 yr (Long) 24,821,054 24,731,577 Mar-05 89,477
Japanese Government
Bond 10 yr (Long) 12,154,612 12,141,896 Mar-05 12,716
Japanese Government
Bond 10 yr(Long) 4,457,335 4,451,988 Mar-05 5,347
U.S. Treasury Note
5 yr (Long) 3,724,063 3,742,540 Mar-05 (18,477)
U.S. Treasury Note
10 yr (Long) 3,358,125 3,351,383 Mar-05 6,742
U.S. Treasury Bond
30 yr (Short) 10,575,000 10,613,366 Mar-05 38,366
----------------------------------------------------------------------
$84,316
----------------------------------------------------------------------
TBA sale commitments outstanding at December 31, 2004 (Unaudited)
(proceeds receivable $76,450,195)
Principal Settlement
Agency amount date Value
----------------------------------------------------------------------
FNMA, 6 1/2s,
January 1, 2035 $37,200,000 01/13/2005 $39,001,875
FNMA, 5s,
January 1, 2020 36,800,000 01/13/2005 37,380,748
----------------------------------------------------------------------
$76,382,623
----------------------------------------------------------------------
Interest rate swap contracts outstanding at December 31, 2004 (Unaudited)
Unrealized
Notional Termination appreciation/
amount date (depreciation)
--------------------------------------------------------------------------
Agreement with Bank of America,
N.A. dated March 25, 2004 to
pay semi-annually the notional
amount multiplied by 3.075% and
receive quarterly the notional
amount multiplied by the three
month USD-LIBOR. $16,800,000 3/29/09 405,227
Agreement with Bank of America,
N.A. dated January 22, 2004 to
pay semi-annually the notional
amount multiplied by 1.97375%
and receive quarterly the
notional amount multiplied by
the three month USD-LIBOR. 13,900,000 1/26/06 99,194
Agreement with Bank of America,
N.A. dated December 2, 2003 to
pay semi-annually the notional
amount multiplied by 2.444% and
receive quarterly the notional
amount multiplied by the three
month USD-LIBOR. 6,270,000 12/4/05 34,376
Agreement with Bank of America,
N.A. dated January 22, 2004 to
pay semi-annually the notional
amount multiplied by 4.35% and
receive quarterly the notional
amount multiplied by the three
month USD-LIBOR. 4,400,000 1/26/14 (3,638)
Agreement with Credit Suisse
First Boston International
dated July 7, 2004 to pay
semi-annually the notional
amount multiptied by 4.945% and
receive quarterly the notional
amount multiplied by the three
month USD-LIBOR. 5,699,500 7/9/14 (270,007)
Agreement with Credit Suisse
First Boston International
dated July 7, 2004 to receive
semi-annually the notional
amount multiptied by 2.931% and
pay quarterly the notional
amount multiplied by the three
month USD-LIBOR. 5,048,700 7/9/06 21,568
Agreement with Lehman Brothers
Special Financing, Inc. dated
January 22, 2004 to pay
semi-annually the notional
amount multiplied by 1.955% and
receive quarterly the notional
amount multiplied by the three
month USD-LIBOR-BBA. 13,900,000 1/26/06 102,046
Agreement with Lehman Brothers
Special Financing, Inc. dated
December 9, 2003 to receive
semi-annually the notional
amount multiptied by 4.641% and
pay quarterly the notional
amount multiplied by the three
month USD-LIBOR-BBA. 9,188,000 12/11/13 85,772
Agreement with Lehman Brothers
Special Financing, Inc. dated
January 22, 2004 to pay
semi-annually the notional
amount multiplied by 4.3375%
and receive quarterly the
notional amount multiplied by
the three month USD-LIBOR-BBA. 4,400,000 1/26/14 579
Agreement with Merrill Lynch
Capital Services, Inc. dated
September 27, 2002 to receive
semi-annually the notional
amount multiplied by the six
month JPY-LIBOR-BBA and pay
semi-annually the notional
amount multiplied by 0.399%. JPY 2,443,000,000 10/1/07 (89,858)
Agreement with Merrill Lynch
Capital Services, Inc. dated
November 17, 2000 to pay
semi-annually the notional
amount multiplied by the three
month USD-LIBOR-BBA and
receive the notional amount
multiplied by 6.68%. 6,500,000 11/21/05 237,368
--------------------------------------------------------------------------
$622,627
--------------------------------------------------------------------------
Credit default contracts outstanding at December 31, 2004 (Unaudited)
Notional
amount Value
--------------------------------------------------------------------------
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.35% and
the fund pays in the event of a
credit default in one of the
underlying securities in the
basket of BB CMBS securities. $1,116,444 $14,708
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.55625%
and the fund pays in the event
of a credit default in one of
the underlying securities in
the basket of BB CMBS securities. 1,116,444 3,582
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.4625%
and the fund pays in the event
of a credit default in one of
the underlying securities in
the basket of BB CMBS securities. 558,222 8,857
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.433%
and the fund pays in the event
of a credit default in one of
the underlying securities in
the basket of BB CMBS securities. 418,667 7,377
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.475%
and the fund pays in the event
of a credit default in one of
the underlying securities in
the basket of BB CMBS securities. 279,111 2,455
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.5% and
the fund pays in the event of a
credit default in one of the
underlying securities in the
basket of BB CMBS securities. 139,556 5,450
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on
which the notional amount is
reduced to zero or the date on
which the assets securing the
reference obligation are
liquidated, the fund receives a
payment of the outstanding
notional amount times 2.6% and
the fund pays in the event of a
credit default in one of the
underlying securities in the
basket of BB CMBS securities. 139,556 (3,961)
--------------------------------------------------------------------------
$38,468
--------------------------------------------------------------------------
NOTES
(a) Percentages indicated are based on net assets of $729,374,060.
(b) The aggregate identified cost on a tax basis is $891,090,183 resulting
in gross unrealized appreciation and depreciation of $34,002,937 and
$21,078,783, respectively, or net unrealized appreciation of
$12,924,154.
(c) Senior loans are exempt from registration under the Security Act
of 1933, as amended, but contain certain restrictions on resale and
cannot be sold publicly. Theses loans pay interest at rates which
adjust periodically. The interest rate shown for senior loans are the
current interest rates at December 31, 2004. 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.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically
represent the new interest or dividend rate to be paid and the date
the fund will begin accruing interest or dividend income at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The
total market value of restricted securities held at December 31, 2004
was $195,161 or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the
discretion of the issuer.
(SEG) A portion of this security was pledged and segregated with the
custodian to cover margin requirements for futures contracts at
December 31, 2004.
(F) Security is valued at fair value following procedures approved by
the Trustees.
(R) Real Estate Investment Trust.
(S) Securities on loan, in part or in entirety, at December 31, 2004.
(d) The fund may lend securities, through its agents, to qualified
borrowers in order to earn additional income. The loans are
collateralized by cash and/or securities in an amount at least equal
to the market value of the securities loaned. The market value of
securities loaned is determined daily and any additional required
collateral is allocated to the fund on the next business day. The risk
of borrower default will be borne by the fund's agents; the fund will
bear the risk of loss with respect to the investment of the cash
collateral. Income from securities lending is included in investment
income on the statement of operations. At December 31, 2004, the value
of securities loaned amounted to $257,143. The fund received cash
collateral of $274,305 which is pooled with collateral of other Putnam
funds into 25 issues of high grade short-term investments.
(e) Pursuant to an exemptive order from the Securities and Exchange
Commission, the fund invests in Putnam Prime Money Market Fund, an
open-end management investment company managed by Putnam Investment
Management, LLC ("Putnam Management"), the fund's manager, an indirect
wholly-owned subsidiary of Putnam, LLC. Management fees paid by the
fund are reduced by an amount equal to the management fees paid by
Putnam Prime Money Market Fund with respect to assets invested by the
fund in Putnam Prime Money Market Fund. Income distributions earned by
the fund totaled $596,237 for the period ended December 31, 2004.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes
(FRN) are the current interest rates shown at March 31, 2004.
TBA after the name of a security represents to be announced
securities.
Security valuation Investments for which market quotations are readily
available are valued at the last reported sales price on their
principal exchange, or official closing price for certain markets. If
no sales are reported-- as in the case of some securities traded
over-the-counter-- a security is valued at its last reported bid
price. Market quotations are not considered to be readily available
for certain debt obligations; such investments are valued at fair
value on the basis of valuations furnished by an independent pricing
service or dealers, approved by the Trustees. 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. 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
securities taking into account multiple factors, including movements
in the U.S. securities markets. 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 are
translated into U.S. dollars at the current exchange rate. Short-term
investments having remaining maturities of 60 days or less are valued
at amortized cost, which approximates fair value. Other investments,
including certain restricted securities, are valued at fair value
following procedures approved by the Trustees. Such valuations and
procedures are reviewed periodically by the Trustees.
Forward currency contracts The fund may buy and sell forward currency
contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts are used
to protect against a decline in value relative to the U.S. dollar of
the currencies in which its portfolio securities are denominated or
quoted (or an increase in the value of a currency in which securities
a fund intends to buy are denominated, when a fund holds cash reserves
and short term investments). The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange rates
supplied by a quotation service. The market value of the contract will
fluctuate with changes in currency exchange rates. The contract is
marked to market daily and the change in market value is recorded as
an unrealized gain or loss. 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.
The fund could be exposed to risk if the value of the currency changes
unfavorably, if the counterparties to the contracts are unable to meet
the terms of their contracts or if the fund is unable to enter into a
closing position. Risks may exceed amounts recognized on the statement
of assets and liabilities. Forward currency contracts outstanding at
period end, if any, are listed after the fund's portfolio.
Futures and options contracts The fund may use futures and options
contracts to hedge against changes in the values of securities the
fund owns or expects to purchase. The fund may also write options on
securities it owns or in which it may invest to increase its current
returns.
The potential risk to the fund is that the change in value of futures
and 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, or if the counterparty to the contract is
unable to perform. Risks may exceed amounts recognized on the
statement of assets and liabilities. When the contract is closed, the
fund records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at
the time it was closed. 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 a reduction to sales proceeds. If
a written put option is exercised, the premium originally received is
recorded as a reduction to the cost of investments.
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." 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. Options traded over-the-counter are valued using prices
supplied by dealers. Futures and written option contracts outstanding
at period end, if any, are listed after the fund's portfolio.
Interest rate swap contracts The fund may enter into interest rate
swap contracts, which are arrangements between two parties to
exchange cash flows based on a notional principal amount, to manage
the fund's exposure to interest rates. Interest rate swap contracts
are marked to market daily based upon quotations from market makers
and the change, if any, is recorded as unrealized gain or loss.
Payments received or made are recorded as realized gains or loss.
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 on its obligation to perform. Risk of loss
may exceed amounts recognized on the statement of assets and
liabilities. Interest rate swap contracts outstanding at period
end, if any, are listed after the fund's portfolio.
Credit default contracts The fund may enter into credit default
contracts where one party, the protection buyer, makes an upfront or
periodic payment to a counter party, the protection seller, in
exchange for the right to receive a contingent payment. The maximum
amount of the payment may equal the notional amount, at par, of the
underlying index or security as a result of a related credit event. An
upfront payment received by the fund, as the protection seller, is
recorded as a liability on the fund's books. An upfront payment made
by the fund, as the protection buyer, is recorded as an asset on the
fund's books. Periodic payments received or paid by the fund are
recorded as realized gains or losses. The credit default contracts are
marked to market daily based upon quotations from market makers and
the change, if any, is recorded as unrealized gain or loss. Payments
received or made as a result of a credit event or termination of the
contract are recognized, net of a proportional amount of the upfront
payment, as realized gains or losses. 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, 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 comparable publicly traded securities or that
the counterparty may default on its obligation to perform. Risks of
loss may exceed amounts recognized on the statement of asses and
liabilities. Credit default contracts outstanding at period end, if
any, are listed after the fund's portfolio.
TBA purchase commitments The fund may enter into "TBA" (to be
announced) commitments to purchase securities for a fixed unit price
at a future date beyond customary settlement time. Although the unit
price has been established, the principal value has not been
finalized. However, the amount of the commitments will not
significantly differ from the principal amount. The fund holds, and
maintains until settlement date, cash or high-grade debt obligations
in an amount sufficient to meet the purchase price, or the fund may
enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities
themselves, and involve a risk of loss if the value of the security to
be purchased declines prior to the settlement date, which risk is in
addition to the risk of decline in the value of the fund's other
assets.
Unsettled TBA purchase commitments are valued at fair value of the
underlying securities, according to the procedures described under
"Security valuation" above. The contract is "marked-to-market" daily
and the change in market value is recorded by the fund as an
unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments
with the intention of acquiring securities for its portfolio or for
delivery pursuant to options contracts it has entered into, the fund
may dispose of a commitment prior to settlement if Putnam Management
deems it appropriate to do so.
TBA sale commitments The fund may enter into TBA sale commitments to
hedge its portfolio positions or to sell mortgage-backed securities it
owns under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date.
During the time a TBA sale commitment is outstanding, equivalent
deliverable securities or an offsetting TBA purchase commitment
deliverable on or before the sale commitment date, are held as "cover"
for the transaction.
Unsettled TBA sale commitments are valued at fair value of the
underlying securities, generally according to the procedures described
under "Security valuation" above. The contract is "marked-to-market"
daily and the change in market value is recorded by the fund as an
unrealized gain or loss. If the TBA sale commitment is closed through
the acquisition of an offsetting purchase commitment, the fund
realizes a gain or loss. If the fund delivers securities under the
commitment, the fund realizes a gain or a loss from the sale of the
securities based upon the unit price established at the date the
commitment was entered into. TBA sale commitments outstanding at
period end, if any, are listed after the fund's portfolio.
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:
------------------
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
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.
NAME OF REGISTRANT
By (Signature and Title): /s/ Michael T. Healy
--------------------------
Michael T. Healy
Principal Accounting Officer
Date: February 28, 2005
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/ Charles E. Porter
---------------------------
Charles E. Porter
Principal Executive Officer
Date: February 28, 2005
By (Signature and Title): /s/ Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: February 28, 2005