a_masterintincome.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2013
Date of reporting period: June 30, 2013



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/13 (Unaudited)
MORTGAGE-BACKED SECURITIES (49.1%)(a)
Principal amount Value
Agency collateralized mortgage obligations (17.5%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.83s, 2032 $239,483 $376,609
     IFB Ser. 3408, Class EK, 25.019s, 2037 118,611 174,408
     IFB Ser. 2979, Class AS, 23.568s, 2034 48,995 64,632
     IFB Ser. 3072, Class SM, 23.091s, 2035 178,465 260,445
     IFB Ser. 3072, Class SB, 22.944s, 2035 159,875 232,339
     IFB Ser. 3249, Class PS, 21.64s, 2036 134,288 190,008
     IFB Ser. 3727, Class PS, IO, 6.508s, 2038 1,290,510 130,681
     IFB Ser. 3998, Class KS, IO, 6.508s, 2027 2,075,702 323,031
     IFB Ser. 3895, Class SM, IO, 6.458s, 2040 3,477,260 541,155
     IFB Ser. 4048, Class GS, IO, 6.458s, 2040 1,876,481 356,888
     IFB Ser. 3940, Class PS, IO, 6.458s, 2040 4,797,361 731,118
     IFB Ser. 3860, Class SP, IO, 6.408s, 2040 3,634,167 536,621
     IFB Ser. 4032, Class SA, IO, 6.308s, 2042 3,690,989 620,628
     IFB Ser. 3708, Class SA, IO, 6.258s, 2040 3,685,045 577,741
     IFB Ser. 4125, Class SH, IO, 5.958s, 2042 2,222,205 376,264
     IFB Ser. 4112, Class SC, IO, 5.958s, 2042 8,363,753 1,400,937
     IFB Ser. 4105, Class LS, IO, 5.958s, 2041 2,368,886 458,995
     IFB Ser. 3922, Class CS, IO, 5.908s, 2041 1,552,545 216,020
     Ser. 3632, Class CI, IO, 5s, 2038 572,976 41,397
     Ser. 3626, Class DI, IO, 5s, 2037 250,180 7,035
     Ser. 304, Class C27, IO, 4 1/2s, 2042 5,346,922 927,798
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 3,549,476 540,230
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,996,332 293,261
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 8,340,872 1,245,291
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 476,390 50,709
     Ser. 3748, Class NI, IO, 4s, 2034 95,374 3,154
     Ser. 308, Class S1, 4s, 2043(FWC) 2,752,000 622,612
     Ser. 3751, Class MI, IO, 4s, 2034 2,339,227 36,445
     Ser. 304, Class C53, IO, 4s, 2032 2,188,452 336,409
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 2,141,241 331,207
     Ser. 304, IO, 3 1/2s, 2027 4,607,269 532,001
     Ser. 304, Class C37, IO, 3 1/2s, 2027 3,377,150 398,571
     Ser. 4165, Class TI, IO, 3s, 2042 9,210,338 1,281,157
     Ser. 4183, Class MI, IO, 3s, 2042 3,728,939 510,865
     Ser. 4210, Class PI, IO, 3s, 2041 2,639,558 308,498
     Ser. T-57, Class 1AX, IO, 0.004s, 2043 2,591,208 30,475
     Ser. 4077, Class TO, PO, zero %, 2041 1,121,717 884,642
     FRB Ser. 3326, Class WF, zero %, 2035 3,082 2,990
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.742s, 2036 243,275 465,517
     IFB Ser. 07-53, Class SP, 23.492s, 2037 157,793 231,976
     IFB Ser. 08-24, Class SP, 22.576s, 2038 153,668 230,505
     IFB Ser. 05-75, Class GS, 19.671s, 2035 157,102 215,444
     IFB Ser. 05-83, Class QP, 16.892s, 2034 200,400 264,541
     IFB Ser. 12-88, Class SB, IO, 6.477s, 2042 5,033,692 771,917
     IFB Ser. 10-99, Class NS, IO, 6.407s, 2039 2,723,276 345,529
     IFB Ser. 404, Class S13, IO, 6.207s, 2040 3,122,290 522,515
     IFB Ser. 10-35, Class SG, IO, 6.207s, 2040 2,403,423 410,216
     IFB Ser. 12-132, Class SB, IO, 6.007s, 2042 7,209,463 1,009,541
     IFB Ser. 13-19, Class DS, IO, 6.007s, 2041 4,646,582 922,964
     IFB Ser. 09-100, Class SA, IO, 6.007s, 2039 1,428,269 124,081
     IFB Ser. 13-18, Class SB, IO, 5.957s, 2041 2,108,390 378,034
     IFB Ser. 12-105, Class S, IO, 5.857s, 2042 1,704,899 302,620
     IFB Ser. 10-46, Class WS, IO, 5.557s, 2040 2,395,450 295,718
     Ser. 374, Class 6, IO, 5 1/2s, 2036 470,434 64,619
     Ser. 12-132, Class PI, IO, 5s, 2042 4,267,977 769,943
     Ser. 398, Class C5, IO, 5s, 2039 299,167 30,814
     Ser. 10-13, Class EI, IO, 5s, 2038 170,484 6,792
     Ser. 378, Class 19, IO, 5s, 2035 1,149,917 160,991
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 9,517,131 1,588,218
     Ser. 409, Class 81, IO, 4 1/2s, 2040 4,940,402 877,644
     Ser. 409, Class 82, IO, 4 1/2s, 2040 5,036,992 865,733
     Ser. 366, Class 22, IO, 4 1/2s, 2035 515,757 41,451
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 2,177,075 217,316
     Ser. 13-44, Class PI, IO, 4s, 2043 2,932,116 492,962
     Ser. 13-60, Class IP, IO, 4s, 2042 2,120,120 374,994
     Ser. 12-96, Class PI, IO, 4s, 2041 2,426,620 379,329
     Ser. 406, Class 2, IO, 4s, 2041 2,249,228 376,071
     Ser. 406, Class 1, IO, 4s, 2041 1,533,073 267,368
     Ser. 409, Class C16, IO, 4s, 2040 3,204,829 534,543
     Ser. 13-13, Class PI, IO, 3 1/2s, 2042 2,548,387 444,184
     Ser. 12-148, Class CI, IO, 3s, 2042 2,345,707 279,585
     Ser. 13-35, Class IP, IO, 3s, 2042 3,637,558 453,558
     Ser. 13-53, Class JI, IO, 3s, 2041 2,871,429 423,536
     Ser. 13-23, Class PI, IO, 3s, 2041 3,542,302 405,948
     Ser. 03-W10, Class 1, IO, 1.261s, 2043 558,835 21,437
     Ser. 99-51, Class N, PO, zero %, 2029 23,322 22,333
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.884s, 2041 2,476,418 2,584,513
     IFB Ser. 10-151, Class SL, IO, 6.508s, 2039 1,849,411 301,861
     IFB Ser. 11-51, Class DS, IO, 6.458s, 2041 3,450,046 573,563
     IFB Ser. 10-163, Class SI, IO, 6.437s, 2037 3,394,394 483,701
     IFB Ser. 10-35, Class CS, IO, 6.278s, 2040 4,447,276 800,519
     IFB Ser. 10-67, Class SE, IO, 6.258s, 2040 1,310,434 226,430
     IFB Ser. 13-91, Class SP, IO, 6.108s, 2042 3,822,000 728,550
     IFB Ser. 12-149, Class LS, IO, 6.058s, 2042 4,582,330 714,557
     IFB Ser. 10-26, Class QS, IO, 6.058s, 2040 2,175,477 394,403
     IFB Ser. 13-87, Class SA, IO, 6.008s, 2043 3,292,000 510,260
     IFB Ser. 10-120, Class SB, IO, 6.008s, 2035 544,585 50,510
     IFB Ser. 10-20, Class SC, IO, 5.958s, 2040 2,312,317 380,191
     IFB Ser. 12-77, Class MS, IO, 5.908s, 2042 1,923,424 477,394
     IFB Ser. 11-128, Class TS, IO, 5.858s, 2041 1,664,413 340,872
     IFB Ser. 10-158, Class SA, IO, 5.858s, 2040 1,268,146 208,838
     IFB Ser. 10-151, Class SA, 5.858s, 2040 1,259,957 207,641
     IFB Ser. 10-61, Class SJ, IO, 5.858s, 2040 3,068,632 436,636
     IFB Ser. 11-70, Class SM, IO, 5.698s, 2041 2,415,000 594,018
     IFB Ser. 11-70, Class SH, IO, 5.698s, 2041 2,481,000 611,120
     IFB Ser. 10-43, Class KS, IO, 5.558s, 2040 2,835,189 389,271
     IFB Ser. 10-31, Class SA, IO, 5.558s, 2040 3,597,833 546,047
     IFB Ser. 10-37, Class SG, IO, 5.508s, 2040 2,417,371 364,395
     IFB Ser. 10-115, Class BS, IO, 5.208s, 2040 3,909,559 554,415
     Ser. 13-22, Class IE, IO, 5s, 2043 3,539,363 642,577
     Ser. 13-22, Class OI, IO, 5s, 2043 3,259,597 596,912
     Ser. 13-3, Class IT, IO, 5s, 2043 2,913,367 533,508
     Ser. 13-6, Class IC, IO, 5s, 2043 2,666,189 489,086
     Ser. 12-146, Class IO, IO, 5s, 2042 2,645,272 447,448
     Ser. 13-6, Class CI, IO, 5s, 2042 1,872,835 374,604
     Ser. 10-35, Class UI, IO, 5s, 2040 1,534,249 286,471
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 5,293,298 948,892
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,822,669 349,752
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 1,357,452 162,745
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 364,931 62,513
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 12,339,778 2,356,362
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,278,592 172,674
     Ser. 11-73, Class IP, IO, 4 1/2s, 2039 3,458,211 415,212
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 4,289,713 573,363
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,743,695 191,737
     Ser. 13-38, Class LI, IO, 4s, 2043 3,693,271 751,027
     Ser. 12-56, Class IB, IO, 4s, 2042 2,014,782 361,797
     Ser. 12-47, Class CI, IO, 4s, 2042 5,009,897 880,641
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 8,788,403 1,436,289
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 2,981,741 439,807
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 5,344,624 838,892
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 7,706,158 1,100,671
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 3,942,059 632,306
     Ser. 11-70, PO, zero %, 2041 4,388,019 3,458,416
     Ser. 06-36, Class OD, PO, zero %, 2036 6,944 6,504
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 5.987s, 2045 3,512,134 614,623
63,148,288
Commercial mortgage-backed securities (15.9%)
Banc of America Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.403s, 2045 600,000 569,220
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 16,609 14,616
     Ser. 01-1, Class K, 6 1/8s, 2036 343,022 148,910
     Ser. 07-5, Class XW, IO, 0.532s, 2051 95,835,014 1,051,692
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-PW17, Class AJ, 6.083s, 2050 643,000 610,850
     FRB Ser. 06-PW12, Class AJ, 5.941s, 2038 718,000 716,196
     Ser. 05-PWR7, Class D, 5.304s, 2041(F) 441,000 407,874
     FRB Ser. 05-T20, Class C, 5.296s, 2042 600,000 577,620
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 714,221
     Ser. 05-PWR9, Class C, 5.055s, 2042(F) 401,000 380,915
Bear Stearns Commercial Mortgage Securities, Inc. 144A Ser. 06-PW14, Class XW, IO, 0.853s, 2038(F) 19,460,134 408,656
Citigroup Commercial Mortgage Trust
     Ser. 06-C5, Class AJ, 5.482s, 2049 610,000 567,714
     FRB Ser. 05-C3, Class B, 5.029s, 2043(F) 1,720,000 1,607,755
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class G, 5.615s, 2040(F) 3,000,000 2,969,936
     FRB Ser. 12-GC8, Class D, 5.041s, 2045(F) 401,000 389,394
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.323s, 2044 507,000 484,819
     Ser. 07-CD5, Class XS, IO, 0.065s, 2044 29,640,814 129,220
Comm Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.824s, 2044 1,035,000 1,064,600
     FRB Ser. 13-LC6, Class D, 4.434s, 2046 1,314,000 1,094,768
Commercial Mortgage Trust FRB Ser. 07-C9, Class F, 5.993s, 2049 962,000 904,280
Commercial Mortgage Trust 144A
     FRB Ser. 13-CR6, Class D, 4.316s, 2046 1,034,000 916,635
     FRB Ser. 13-CR8, Class D, 3.971s, 2046 769,000 598,359
     FRB Ser. 07-C9, Class AJFL, 0.883s, 2049(F) 1,641,000 1,427,701
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT2A, Class E, 1.55s, 2014 (Ireland) GBP 138,479 187,452
     FRB Ser. 05-CT1A, Class D, 1.55s, 2014 (Ireland) GBP 444,023 567,282
Credit Suisse First Boston Commercial Mortgage Trust Ser. 05-C5, Class C, 5.1s, 2038 $416,000 425,886
Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, IO, 0.29s, 2039(F) 24,885,280 437,236
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 535,894 21,972
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 333,890 19,967
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.626s, 2044 881,000 843,382
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 286,492 286,492
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.073s, 2020 2,366,207 47,324
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.471s, 2045 305,000 286,700
     FRB Ser. 05-C1, Class D, 4.949s, 2048(F) 2,243,000 2,283,114
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 452,000 388,155
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 02-C3, Class H, 5.944s, 2039 4,874 4,871
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 803,000 792,031
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039(F) 846,000 860,673
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.826s, 2045(F) 1,213,000 1,282,037
     FRB Ser. 11-GC3, Class D, 5.728s, 2044 352,000 345,970
     FRB Ser. GC10, Class D, 4.563s, 2046(F) 398,000 370,053
     Ser. 05-GG4, Class XC, IO, 0.924s, 2039 55,773,073 613,504
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.193s, 2030 (Cayman Islands) 405,145 257,267
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.275s, 2051(F) 1,607,500 1,661,271
     FRB Ser. 06-LDP7, Class AJ, 6.056s, 2045 859,000 860,425
     Ser. 06-LDP6, Class AJ, 5.565s, 2043(F) 1,068,000 1,129,240
     FRB Ser. 04-CBX, Class E, 5.126s, 2037(F) 1,790,000 1,557,214
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 247,000 244,387
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 847,000 754,127
     FRB Ser. 05-LDP2, Class C, 4.911s, 2042 350,000 333,165
     FRB Ser. 13-C10, Class D, 4.3s, 2047 512,000 410,193
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 07-CB20, Class B, 6 3/8s, 2051 568,000 552,039
     FRB Ser. 07-CB20, Class C, 6 3/8s, 2051 410,000 377,815
     Ser. 07-CB20, Class X1, IO, 0.196s, 2051 58,487,500 539,840
LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 857,101 865,672
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.9s, 2039 1,250,000 1,062,500
     Ser. 06-C3, Class AJ, 5.72s, 2039(F) 517,000 498,835
     Ser. 06-C6, Class E, 5.541s, 2039(F) 750,000 678,166
LB-UBS Commercial Mortgage Trust 144A Ser. 06-C6, Class XCL, IO, 0.288s, 2039 18,544,921 355,951
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.388s, 2028 91,410 9
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.441s, 2051(F) 395,000 410,639
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049(F) 1,109,000 1,086,568
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.965s, 2037 285,215 13,205
     Ser. 07-C5, Class X, IO, 5.896s, 2049 1,672,524 41,813
Morgan Stanley BA/ML Trust 144A Ser. 13-C10, Class D, 4.219s, 2046 560,000 453,051
Morgan Stanley Capital I
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,110,495
     FRB Ser. 06-HQ8, Class B, 5.677s, 2044(F) 1,800,000 1,693,051
     Ser. 04-IQ8, Class C, 5.3s, 2040(F) 1,400,000 1,447,694
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,394,966 1,339,167
Morgan Stanley Capital I Trust
     FRB Ser. 07-T27, Class AJ, 5.816s, 2042(F) 392,000 418,852
     FRB Ser. 06-HQ8, Class D, 5.677s, 2044(F) 427,000 394,924
     Ser. 07-HQ11, Class C, 5.558s, 2044(F) 482,000 441,546
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.391s, 2043 1,215,429 1,249,680
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 193,000 144,750
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 541,475 81,221
UBS-Barclay's Commercial Mortgage Trust 144A Ser. 13-C6, Class D, 4.501s, 2046(F) 934,000 845,655
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C3, Class D, 5.123s, 2049 699,000 646,907
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.217s, 2045(F) 2,181,000 2,228,826
     FRB Ser. 06-C25, Class AJ, 5.919s, 2043 528,000 544,104
     FRB Ser. 05-C20, Class B, 5.415s, 2042 1,423,000 1,471,748
     Ser. 07-C34, IO, 0.502s, 2046 15,749,292 190,566
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 12-C6, Class D, 5.748s, 2045 405,000 380,194
     FRB Ser. 12-C9, Class D, 4.963s, 2045 689,000 602,875
57,195,699
Residential mortgage-backed securities (non-agency) (15.7%)
Adjustable Rate Mortgage Trust FRB Ser. 06-2, Class 1A1, 2.704s, 2036 1,009,511 883,322
Banc of America Funding Corp.
     Ser. 06-2, Class 2A2, 6 1/4s, 2036 430,000 433,225
     Ser. 06-2, Class 2A13, 6s, 2036 908,570 917,655
     FRB Ser. 07-C, Class 07-C, 2.76s, 2036 1,902,490 1,688,460
     FRB Ser. 06-G, Class 2A5, 0.472s, 2036 487,514 422,917
Banc of America Mortgage Securities Ser. 05-11, Class 1A10, 6s, 2035 500,000 480,000
Barclays Capital, LLC Trust
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 184,794 107,181
     Ser. 13-RR1, Class 3A3, 15.491s, 2037 342,264 284,079
     Ser. 13-RR1, Class 2A4, 10.827s, 2036 670,000 664,974
     Ser. 13-RR1, Class 9A4, 10.451s, 2036 250,000 251,250
     Ser. 13-RR1, Class 3A2, 4s, 2037 347,615 351,091
     Ser. 13-RR1, Class 4A2, 4s, 2037 378,381 377,435
     Ser. 12-RR10, Class 8A2, 4s, 2036 382,026 380,116
     Ser. 13-RR1, Class 1A2, 2.859s, 2035 660,000 478,500
     FRB Ser. 12-RR10, Class 9A2, 2.674s, 2035 980,000 803,600
Barclays Capital, LLC Trust 144A
     Ser. 12-RR11, Class 3A3, 16.35s, 2036 515,449 376,277
     FRB Ser. 12-RR12, Class 2A3, 13.88s, 2035 375,547 349,258
     FRB Ser. 12-RR12, Class 1A3, 12.788s, 2037 307,915 193,987
     FRB Ser. 12-RR11, Class 5A3, 12.607s, 2037 190,282 112,266
     FRB Ser. 13-RR2, Class 3A2, 9.049s, 2036 350,000 329,000
     FRB Ser. 10-RR12, Class 6A1, 5.998s, 2037 893,993 934,223
     Ser. 12-RR11, Class 9A2, 4s, 2037 918,648 916,351
     Ser. 12-RR12, Class 3A2, 4s, 2037 758,642 754,849
     Ser. 12-RR11, Class 4A2, 4s, 2037 546,603 545,237
     Ser. 12-RR12, Class 1A2, 4s, 2037 217,216 216,673
     Ser. 12-RR11, Class 3A2, 4s, 2036 188,801 188,329
     Ser. 12-RR12, Class 2A2, 4s, 2035 324,828 324,016
     FRB Ser. 12-RR11, Class 5A2, 4s, 2037 358,087 357,192
     Ser. 12-RR11, Class 11A2, 2.6s, 2036 279,650 171,985
     FRB Ser. 09-RR11, Class 2A2, 2.47s, 2035 850,000 655,010
     Ser. 09-RR7, Class 1A7, IO, 1.779s, 2046 27,859,727 931,560
     Ser. 09-RR7, Class 2A7, IO, 1.604s, 2047 31,726,906 1,288,111
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 06-1, Class A1, 2.37s, 2036 394,806 377,040
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.068s, 2034 44,609 3,154
Citigroup Mortgage Loan Trust, Inc. Ser. 2005-WF2, Class AF4, 4.964s, 2035 874,754 872,567
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-2, Class 3A2, 9.574s, 2037 400,000 375,920
     FRB Ser. 11-12, Class 2A2, 0.563s, 2035 900,000 711,000
Countrywide Alternative Loan Trust FRB Ser. 06-HY11, Class A1, 0.313s, 2036 530,860 367,621
Credit Suisse Commercial Mortgage Trust 144A
     FRB Ser. 08-4R, Class 3A4, 2.718s, 2038 650,000 542,750
     FRB Ser. 09-13R, Class 5A2, 0.973s, 2035 600,000 540,000
     FRB Ser. 08-4R, Class 1A4, 0.595s, 2037 500,000 340,000
DSLA Mortgage Loan Trust Ser. 04-AR2, Class X2, IO, PO, 2.484s, 2044 5,256,530 279,253
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.05s, 2043 (United Kingdom) GBP 384,009 573,544
     FRB Ser. 03-2, Class 2C1, 2.76s, 2043 (United Kingdom) EUR 1,028,000 1,314,010
GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036 $414,408 383,327
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.648s, 2035 725,000 663,883
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.858s, 2035 492,452 386,354
Lavender Trust 144A Ser. 10-RR2A, Class A3, 6 1/4s, 2036 350,000 368,375
MLCC Mortgage Investors, Inc. Ser. 04-A, Class XA2, IO, 1.242s, 2029 6,896,452 302,065
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.543s, 2035 503,112 410,035
Nomura Resecuritization Trust 144A FRB Ser. 11-2RA, Class 1A2, 5.195s, 2046 902,659 855,270
Residential Accredit Loans, Inc. Ser. 05-QR1, Class A, 6s, 2034 2,482,311 2,556,780
Structured Asset Mortgage Investments, Inc. FRB Ser. 04-AR7, Class B1, 1.092s, 2035 557,425 340,028
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 07-HY6, Class 2A1, 4.638s, 2037 2,418,433 1,964,976
     FRB Ser. 04-AR14, Class B1, 2.436s, 2035 721,814 418,652
     Ser. 05-AR17, Class X, IO, PO, 1.645s, 2045 7,465,364 419,927
     Ser. 04-AR10, Class X, IO, PO, 1.628s, 2044 2,318,524 115,926
     Ser. 05-AR11, Class X, IO, PO, 1.526s, 2045 7,912,519 405,912
     Ser. 05-AR19, Class X, IO, PO, 1 1/2s, 2045 13,226,218 682,473
     FRB Ser. 06-AR1, Class 2A1B, 1.238s, 2046 2,346,391 1,941,638
     FRB Ser. 06-AR1, Class 2A1C, 1.238s, 2046 1,797,085 1,006,366
     FRB Ser. 06-AR3, Class A1B, 1.168s, 2046 1,066,819 752,106
     FRB Ser. 06-AR17, Class 1A1, 0.979s, 2046 1,994,001 977,060
     Ser. 06-AR11, Class 2XPP, IO, PO, 0.911s, 2046 4,970,404 130,225
     FRB Ser. 05-AR11, Class A1C3, 0.703s, 2045(F) 1,896,207 1,460,248
     FRB Ser. 05-AR19, Class A1C3, 0.693s, 2045 2,070,577 1,635,755
     FRB Ser. 05-AR13, Class A1C3, 0.683s, 2045 4,343,596 3,388,004
     FRB Ser. 05-AR17, Class A1C3, 0.673s, 2045(F) 1,521,679 837,020
     FRB Ser. 05-AR8, Class 2AC2, 0.653s, 2045 1,229,291 958,847
     FRB Ser. 05-AR11, Class A1C4, 0.633s, 2045(F) 964,922 743,076
     FRB Ser. 05-AR13, Class A1B2, 0.623s, 2045 895,045 774,214
     FRB Ser. 05-AR17, Class A1B2, 0.603s, 2045 836,774 694,523
     FRB Ser. 05-AR15, Class A1B2, 0.603s, 2045 1,345,779 1,116,995
     FRB Ser. 05-AR19, Class A1C4, 0.593s, 2045 702,769 539,375
     FRB Ser. 05-AR11, Class A1B3, 0.593s, 2045 1,451,011 1,276,890
     FRB Ser. 05-AR8, Class 2AC3, 0.583s, 2045 433,174 337,875
     FRB Ser. 05-AR1, Class A3, 0.553s, 2045 482,446 426,965
     FRB Ser. 05-AR19, Class A1B3, 0.543s, 2045 411,968 354,293
     FRB Ser. 05-AR6, Class 2AB3, 0.463s, 2045 415,978 366,061
Wells Fargo Mortgage Backed Securities Trust
     Ser. 08-1, Class 4A1, 5 3/4s, 2038 957,745 974,505
     Ser. 07-12, Class A7, 5 1/2s, 2037 312,813 320,633
     Ser. 07-5, Class 1A1, 5 1/2s, 2037 1,307,813 1,353,586
     FRB Ser. 05-AR6, Class B1, 4.997s, 2035 356,248 324,186
56,429,417
Total mortgage-backed securities (cost $170,687,908) $176,773,404

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (32.8%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.2%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $541,697 $610,033
     3 1/2s, TBA, July 1, 2043 7,000,000 7,187,032
7,797,065
U.S. Government Agency Mortgage Obligations (30.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4s, with due dates from August 1, 2042 to August 1, 2042(FWC) 2,045,755 2,116,544
     3 1/2s, with due dates from September 1, 2042 to April 1, 2043 1,949,045 1,979,741
Federal National Mortgage Association Pass-Through Certificates
     4s, TBA, July 1, 2043 14,000,000 14,589,532
     3 1/2s, with due dates from March 1, 2043 to May 1, 2043 9,955,884 10,039,132
     3 1/2s, TBA, July 1, 2043 61,000,000 61,953,125
     3s, TBA, July 1, 2043 20,000,000 19,556,250
110,234,324
Total U.S. government and agency mortgage obligations (cost $120,178,663) $118,031,389

U.S. TREASURY OBLIGATIONS (0.5%)(a)
Principal amount Value
U.S. Treasury Notes
     1/4s, July 15, 2015(i) $1,210,000 $1,208,016
     1/4s, September 15, 2015(i) 661,000 658,819
Total U.S. treasury Obligations (cost $1,866,835) $1,866,835

CORPORATE BONDS AND NOTES (30.2%)(a)
Principal amount Value
Basic materials (2.5%)
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) $125,000 $148,326
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 110,000 108,900
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 180,000 178,200
Ashland, Inc. 144A sr. unsec. unsub. notes 3s, 2016 415,000 417,075
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 332,000 351,920
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 15,000 14,250
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 90,000 90,900
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 110,000 107,525
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 196,100
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 (Mexico) 380,000 401,850
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 200,000 192,000
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 100,000 99,500
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 283,000 292,905
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 135,000 139,050
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 202,000 203,515
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 180,000 177,300
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 90,000 87,525
Grohe Holding GmbH 144A company company guaranty sr. FRN notes 4.209s, 2017 (Germany) EUR 213,000 276,971
HD Supply, Inc. company guaranty sr. unsec. sub. notes 10 1/2s, 2021 $90,000 92,925
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 328,000 380,480
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 155,000 156,938
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 215,000 214,463
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 135,000 137,700
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A company guaranty sr. notes 8 7/8s, 2018 81,000 82,620
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 287,000 314,983
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 180,000 177,750
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 64,000 54,080
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 74,025
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 119,911 158,038
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $265,000 297,463
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 174,000 189,660
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 220,000 247,215
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 415,000 451,560
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 135,000 140,578
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 $35,000 36,400
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 80,000 83,400
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 87,000 83,303
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 155,000 166,238
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 58,000 59,305
Orion Engineered Carbons Bondco GmbH 144A company guaranty sr. notes 9 5/8s, 2018 (Germany) 17,000 18,403
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 200,000
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 140,000 137,900
PQ Corp. 144A sr. notes 8 3/4s, 2018 135,000 138,038
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 130,000 140,725
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 137,000 139,055
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 132,000 139,425
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 110,000 106,700
SGL Carbon SE company guaranty sr. sub. FRN notes Ser. EMTN, 1.453s, 2015 (Germany) EUR 152,000 194,784
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 $30,000 31,650
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 40,000 42,300
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 20,000 19,700
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 145,000 148,263
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 227,000 213,948
USG Corp. sr. unsec. notes 9 3/4s, 2018 144,000 163,440
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 55,000 54,038
8,971,305
Capital goods (1.9%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 275,000 280,500
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 419,000 467,185
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 117,631 162,052
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 140,000 190,482
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland) $225,000 216,000
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 298,000 321,840
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 140,000 140,000
Ball Corp. company guaranty sr. unsec. notes 4s, 2023 35,000 32,288
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 86,000 93,525
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 24,000 27,120
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 105,000 106,050
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 106,000 105,205
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 119,000 121,380
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 310,000 341,000
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 26,000 27,300
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 135,000 127,238
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 50,000 68,911
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 $150,000 153,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 200,000 209,000
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 58,000 35,380
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 193,000 194,448
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 100,000 139,569
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $307,000 328,490
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 198,000 198,000
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 70,000 65,450
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 20,000 21,800
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 319,000 315,810
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 115,000 119,888
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) 400,000 417,000
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 200,000 218,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 105,000 105,788
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 100,000 107,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 100,000 103,250
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 150,000 160,500
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 140,000 149,800
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 45,000 45,900
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 215,000 218,225
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 236,000 254,290
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 226,000 237,865
TransDigm, Inc. 144A sr. unsec. sub. notes 7 1/2s, 2021 45,000 46,013
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021 150,000 149,250
6,822,792
Communication services (4.0%)
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 265,000 300,775
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 163,500
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 48,375
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 131,000 136,895
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 165,000 156,750
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 70,000 65,625
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 121,000 128,260
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 40,000 40,400
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 56,000 57,540
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 19,000 19,024
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 78,000 81,315
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 355,000 377,188
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 100,000 96,000
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 70,000 74,725
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 135,000 129,600
CyrusOne LP/CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 45,000 46,125
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 326,000 339,040
DISH DBS Corp. company guaranty notes 7 1/8s, 2016 88,000 95,260
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 109,000 115,813
DISH DBS Corp. 144A sr. unsec. notes 4 1/4s, 2018 275,000 269,500
Equinix, Inc. sr. unsec. notes 7s, 2021 130,000 141,050
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 65,000 74,263
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 753,000 828,300
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 50,000 50,000
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 214,000 226,840
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 260,000 276,250
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 365,000 379,600
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 147,000
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 80,000 77,600
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 187,000 193,078
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 418,000 422,180
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg) 260,000 261,950
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 105,000 145,554
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $124,000 133,920
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 143,000 152,295
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 40,000 42,000
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 17,000 16,958
Lynx I Corp. 144A sr. notes 6s, 2021 GBP 235,000 353,849
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 $59,000 63,425
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 306,000 325,890
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 239,000 243,183
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 206,000 209,605
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 (Mexico) 127,000 123,190
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 (Mexico) 14,000 11,830
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 (Mexico) 46,000 35,535
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 55,000 58,850
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 105,000 99,488
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 156,000 172,380
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 180,000 279,246
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $180,000 175,500
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 75,000 80,727
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 68,000 73,610
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 55,000 55,138
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 801,000 899,123
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 147,000 155,085
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 160,000 184,000
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 105,000 110,250
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 418,000 488,015
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 295,000 387,780
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) EUR $100,000 130,891
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 293,000 418,671
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 130,000 179,689
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 84,174 115,341
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR $360,000 440,919
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 361,000 498,352
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 164,000 159,900
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 50,000 82,651
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 $6,000 6,413
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 191,000 198,640
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 329,000 349,563
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 325,000 422,554
Windstream Corp. company guaranty sr. unsec. notes 6 3/8s, 2023 $90,000 84,150
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 60,000 63,900
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 247,000 271,083
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 109,000 112,815
14,431,779
Consumer cyclicals (4.8%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 25,000 27,688
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 10,000 5,000
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 407,000 307,285
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 117,000 90,090
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 150,000 169,875
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 225,000 224,438
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 80,000 83,400
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 255,000 284,325
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 55,000 57,750
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 60,000 65,550
Beazer Homes USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2023 229,000 231,290
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 105,000 105,000
Bon-Ton Department Stores, Inc. (The) 144A notes 8s, 2021 50,000 50,813
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 220,000 221,650
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 100,000 98,717
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 106,750
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 180,000 191,250
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 140,000 154,700
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 60,000 61,500
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 129,000 77,400
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 51,000 53,104
Caesars Entertainment Operating Co., Inc. 144A company guaranty sr. notes 9s, 2020 535,000 510,925
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 70,000 76,300
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 100,000 96,000
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 79,000 76,235
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 75,000 79,125
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 305,000 336,644
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 40,000 43,400
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 25,000 24,000
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty notes 10 3/4s, 2017(PIK) 319,905 345,497
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 135,000 128,250
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 262,000 254,140
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 211,000 218,385
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 135,000 139,050
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 133,000 129,675
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 176,000 172,040
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 300,000 313,500
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 50,000 48,625
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 385,000 410,573
General Motors Financial Co., Inc. 144A sr. unsec. notes 4 1/4s, 2023 70,000 65,188
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 125,000 127,500
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 255,478
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) $226,000 255,466
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 175,000 186,594
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 100,000 102,000
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 208,000 230,360
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 105,000 100,275
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 130,000 135,850
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 356,000 374,690
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 271,000 358,744
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 $310,000 353,400
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 75,000 77,063
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 50,000 54,750
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 115,000 124,200
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 300,000 325,500
L Brands, Inc. sr. notes 5 5/8s, 2022 85,000 86,063
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 55,000 56,513
Lear Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2023 200,000 190,000
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 200,000 212,500
Lennar Corp. 144A company guaranty sr. unsec. notes 5s, 2022 70,000 66,500
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 83,000 94,521
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 340,000 20,400
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 123,000 132,533
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 145,000 142,100
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 335,000 365,988
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 65,000 69,550
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 120,000 124,200
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 110,000 119,075
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 40,000 41,200
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 525,213 548,848
Navistar International Corp. sr. notes 8 1/4s, 2021 280,000 275,100
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 290,000 295,800
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 40,000 40,800
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 85,000 87,550
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 27,000 29,025
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 94,000 88,830
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 290,000 314,650
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 113,000 120,910
Owens Corning company guaranty sr. unsec. notes 9s, 2019 92,000 113,160
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 50,000 54,750
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 160,000 163,200
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 100,000 107,500
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 70,000 70,700
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 50,000 52,750
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 75,000 72,000
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 75,000 70,313
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 51,000 55,080
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 135,000 136,688
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 152,000 162,640
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 324,000 345,060
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands) EUR 310,000 447,898
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 $70,000 67,200
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 70,000 70,000
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 20,000 19,400
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 130,000 125,450
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 10,000 10,600
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 10,000 10,525
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 110,000 115,913
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 35,000 33,863
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 70,000 66,500
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 42,000 44,310
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 247,000 229,710
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 152,425 155,855
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 350,000 396,375
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 50,000 49,875
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 99,000 105,188
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 200,000 210,000
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 7 5/8s, 2018 356,000 388,040
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 135,000 138,713
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 350,000 369,688
17,178,597
Consumer staples (1.7%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,400,000 632,907
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 $50,000 54,375
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A sr. unsec. notes 5 1/2s, 2023 75,000 72,375
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 100,000 95,500
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 184,000 205,160
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 199,000 208,950
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 50,000 48,875
Claire's Stores, Inc. 144A sr. notes 9s, 2019 230,000 253,000
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 50,000 46,875
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 111,000 126,124
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 96,525
Corrections Corp. of America 144A sr. unsec. notes 4 5/8s, 2023(R) 50,000 49,000
Corrections Corp. of America 144A sr. unsec. notes 4 1/8s, 2020(R) 40,000 39,100
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 118,000 128,325
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 115,000 127,650
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 165,000 176,550
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 152,000 226,750
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $200,000 182,098
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 225,000 215,156
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 65,000 69,713
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 30,000 31,313
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 75,000 77,250
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 156,000 211,866
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) $67,000 70,183
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 350,000 352,625
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 105,000 108,675
Landry's Inc. 144A sr. unsec. notes 9 3/8s, 2020 50,000 52,375
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 179,000 187,503
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 90,000 96,300
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 215,000 228,975
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 235,000 229,125
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 235,000 259,381
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 55,000 60,913
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 145,000 155,150
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 385,000 421,575
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 144,000 155,880
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 421,000 464,153
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 72,000 75,420
6,293,670
Energy (6.8%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 135,000 137,025
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 277,000 256,918
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 146,813
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 130,000 103,675
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 136,000 109,140
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 283,000 317,996
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 207,000 205,965
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 60,000 60,150
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 50,000 51,875
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 155,000 163,138
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 296,000 316,720
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 155,400
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 50,000 67,808
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $440,000 486,200
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 50,000 50,625
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 239,625
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 110,000 108,900
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 87,120
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 225,000 120,876
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $90,000 51,300
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 125,000 130,938
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 710,000 747,275
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 345,000 351,038
Continental Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 75,000 72,938
Continental Resources, Inc./OK company guaranty sr. unsec. unsub. notes 7 1/8s, 2021 81,000 89,100
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 365,000 386,900
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 7 1/8s, 2022 65,000 66,138
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 7 1/8s, 2021 100,000 98,000
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 118,000 127,440
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 31,000 32,318
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 378,000 353,430
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 98,000 98,245
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 150,000 147,750
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 116,000 120,350
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 2,055,000 2,505,682
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 176,000 204,060
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 230,000 243,708
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 195,000 192,075
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 310,000 313,875
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 433,000 420,010
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 15,000 15,938
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 75,000 75,000
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 105,000 108,150
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 121,000 116,160
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 55,000 59,675
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 65,000 68,250
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 188,000 206,800
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2019 265,000 252,413
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 80,000 57,600
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 242,000 239,883
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 108,000 104,760
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 225,000 163,125
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 275,000 272,297
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 240,000 242,400
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 110,000 114,400
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 200,000 208,191
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 150,000 147,375
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 234,000 259,740
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 19,000 19,048
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 925,000 885,688
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 317,000 301,150
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 440,000 506,365
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 627,934
Petroleos de Venezuela SA company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 500,000 500,000
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,300,000 1,056,016
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 620,000 582,453
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,120,000 985,130
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 1,380,000 1,264,425
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 190,000 190,950
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 225,000 225,000
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,855,000 2,244,550
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 140,000 148,212
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 150,000 160,875
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 75,000 73,313
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 124,000 133,920
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 60,000 58,575
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 75,000 75,750
Samson Investment Co. 144A sr. unsec. notes 10s, 2020 415,000 437,306
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 124,000 118,420
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 65,000 64,675
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 165,000 171,600
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 85,000 89,038
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 105,000 110,250
Suburban Propane Partners LP/Suburban Energy Finance Corp. sr. unsec. notes 7 3/8s, 2021 130,000 135,200
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 170,000 173,825
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 480,000 492,000
24,482,364
Financials (3.3%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 94,000 90,240
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 90,000 87,075
Air Lease Corp. sr. unsec. notes 6 1/8s, 2017 165,000 170,775
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 140,000 149,768
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 70,038
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 651,163
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 150,000 144,750
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 790,000 772,303
Boparan Holdings, Ltd. 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) GBP 150,000 245,823
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 $56,000 59,080
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 82,000 77,695
CIT Group, Inc. sr. unsec. notes 5s, 2022 395,000 392,038
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 138,206
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 221,400
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 165,000 170,363
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 170,000 162,775
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 344,000 349,160
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 32,000 33,360
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 385,000 404,250
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 51,000 52,530
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 200,000 198,500
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 76,000 77,140
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 70,000 64,400
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 180,000 169,200
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 115,000 119,313
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 75,000 79,500
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 110,000 115,500
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 75,000 79,500
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 9 5/8s, 2019 90,000 100,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 80,000 84,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 213,000 204,480
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 210,000 208,950
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 190,000 190,475
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 214,000 211,325
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 100,000 111,250
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 130,000 137,638
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 201,000 200,498
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia) 2,750,000 2,802,766
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 325,000 337,216
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 500,000 517,250
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 85,000 76,075
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 161,919
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) 200,000 193,572
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 1,037,740
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 113,000 120,345
12,042,944
Health care (2.2%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 100,000 100,000
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 134,000 134,000
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 139,000 148,383
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 220,000 226,738
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 160,000 169,600
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 220,000 316,548
Envision Healthcare Holdings, Inc. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $205,000 207,563
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 160,000 162,400
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 80,000 85,100
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 137,207
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $428,000 467,590
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 220,000 233,750
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 130,000 131,300
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 165,000 171,600
HCA, Inc. sr. notes 6 1/2s, 2020 825,000 893,062
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 55,000 60,775
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 325,000 337,593
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 166,000 167,556
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 88,000 89,540
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 85,000 88,825
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 145,000 160,225
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 193,000 206,993
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 128,000 132,000
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 205,000 222,938
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 85,000 90,525
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 341,000 524,675
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) EUR $120,000 156,110
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 75,000 74,813
Service Corp. International/US sr. notes 7s, 2019 80,000 84,600
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 262,000 268,550
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 185,000 196,100
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 310,000 319,300
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 120,841 120,841
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 160,000 168,800
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 200,000 210,500
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 1/2s, 2021 50,000 46,625
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 3/8s, 2021 155,000 142,213
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 30,000 30,600
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 75,000 76,875
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 29,625
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 30,000 31,050
VPII Escrow Corp. 144A sr. unsec. notes 6 3/4s, 2018 (Canada) 220,000 225,500
7,848,588
Technology (1.0%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 107,000 81,053
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 291,000 262,628
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 23,000 23,288
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 283,000 286,891
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 39,000 43,290
Ceridian Corp. 144A sr. unsec. notes 11s, 2021 16,000 17,600
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 80,000 82,000
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 412,000 435,690
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 231,000 235,620
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 75,000 81,750
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 105,000 107,888
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 135,000 134,663
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 140,000 126,000
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 43,000 47,300
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 123,000 133,455
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 55,000 59,606
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 470,000 488,800
Softbank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 192,208
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 115,000 115,575
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 149,000 157,940
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 188,000 200,690
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 200,000 275,137
3,589,072
Transportation (0.4%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 528,000 570,175
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $178,000 191,795
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 385,000 425,425
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 145,000 144,275
1,331,670
Utilities and power (1.6%)
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 475,000 534,375
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 148,163
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 70,000 65,275
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 149,000 161,665
Calpine Corp. 144A sr. notes 7 1/4s, 2017 383,000 399,278
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 401,000 501
El Paso Natural Gas Co. debs. 8 5/8s, 2022 247,000 317,959
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 296,000 324,120
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022 95,000 104,975
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 595,000 650,037
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 300,000 327,750
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 75,000 80,250
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 50,000 53,500
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 295,000 332,613
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 109,504 112,242
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 65,000 60,392
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 278,000 305,800
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 49,950
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 785,000 858,232
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 635,162
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 110,000 128,879
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 118,200
Regency Energy Partners 144A company guaranty sr. unsec. notes 4 1/2s, 2023 100,000 90,500
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 90,000 67,275
5,927,093
Total corporate bonds and notes (cost $107,616,953) $108,919,874

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.2%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $1,520,000 $1,159,000
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 (Argentina) 197,000 200,940
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 5,149,000 4,461,608
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 770,000 820,604
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) BRL 1,500 689,350
Brazil (Federal Republic of) unsub. notes 10s, 2014 (Brazil) BRL 990 466,601
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 170,000,000 354,576
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) $225,000 234,720
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 265,000 277,256
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 22,600,000 377,851
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) $690,000 723,016
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) 390,000 380,092
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) 760,000 657,065
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 9,750,000 292,462
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) EUR 1,523,000 2,189,236
Poland (Government of) sr. unsec. bonds 5s, 2022 (Poland) $365,000 392,375
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal) EUR 443,000 554,984
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) $200,000 204,274
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,817,800 2,129,097
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 2,600,000 2,671,110
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 200,000 187,194
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) EUR 443,000 621,693
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) $200,000 209,788
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 1,205,000 1,405,500
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 (Ukraine) 175,000 161,000
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 300,000 296,997
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 1,725,000 1,716,997
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 (Ukraine) 250,000 222,500
United Mexican States unsec. bonds Ser. M20, 10s, 2024 (Mexico) MXN 26,895,000 2,754,996
United Mexican States unsec. bonds 6 1/2s, 2022 (Mexico) MXN 38,102,000 3,071,961
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 (Venezuela) $1,985,000 1,986,648
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela) 1,285,000 1,344,046
Total foreign government and agency bonds and notes (cost $34,447,435) $33,215,537

SENIOR LOANS (1.2%)(a)(c)
Principal amount Value
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) $205,000 $200,900
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 139,650 139,825
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 24,089 24,089
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.443s, 2018 900,450 794,197
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 220,046 219,221
Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017 230,000 232,332
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.944s, 2019 423,000 384,798
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 149,078 148,572
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 194,909 187,530
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.2s, 2014(PIK) 101,321 98,231
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.2s, 2014(PIK) 57,673 55,914
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 150,000 149,831
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R) 114,075 115,501
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 51,606 51,778
Neiman Marcus Group, Inc. (The) bank term loan FRN 4s, 2018 160,000 159,250
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 88,200 86,216
Springleaf Financial Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 67,835 67,857
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.72s, 2017 640,516 447,240
Travelport, LLC bank term loan FRN 9 1/2s, 2016 264,360 270,142
Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK) 50,507 50,128
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 135,000 135,458
Univision Communications, Inc. bank term loan FRN Ser. C1, 4 1/2s, 2020 97,579 96,603
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 4 1/2s, 2020 135,000 134,687
West Corp. bank term loan FRN Ser. B8, 3 3/4s, 2018 54,881 54,799
Total senior loans (cost $4,509,922) $4,305,099

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 8,156 $394,037
United Technologies Corp. $3.75 cv. pfd. 2,100 124,656
Total convertible preferred stocks (cost $487,602) $518,693

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 353 $335,515
M/I Homes, Inc. $2.438 pfd. 4,100 104,550
Total preferred stocks (cost $302,913) $440,065

COMMON STOCKS (0.1%)(a)
Shares Value
Tribune Co.(NON) 3,337 $189,875
Tribune Co. Class 1C(F) 291,353 72,838
Trump Entertainment Resorts, Inc.(NON) 94 188
Total common stocks (cost $162,984) $262,901

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $100,000 $118,625
Total convertible bonds and notes (cost $109,646) $118,625

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46..86 20 $1,600
Total warrants (cost $60) $1,600

SHORT-TERM INVESTMENTS (10.2%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.03%(AFF) 16,014,108 $16,014,108
SSgA Prime Money Market Fund 0.03%(P) 7,110,000 7,110,000
U.S. Treasury Bills zero %, August 22, 2013(i) $605,000 605,000
U.S. Treasury Bills with effective yields ranging from 0.12% to 0.13%, May 29, 2014(SEGSF) 2590000 2,587,014
U.S. Treasury Bills with effective yields ranging from 0.09% to 0.11%, April 3, 2014(SEGSF) 2,500,000 2,497,892
U.S. Treasury Bills with an effective yield of 0.13%, March 6, 2014(SEGSF)(SEG) 572,000 571,586
U.S. Treasury Bills with effective yields ranging from 0.14% to 0.15%, February 6, 2014(SEGSF)(SEG) 1,662,000 1,661,162
U.S. Treasury Bills with an effective yield of 0.13%, January 9, 2014(SEGSF)(SEG) 842,000 841,720
U.S. Treasury Bills with an effective yield of 0.14%, December 12, 2013(SEGSF)(SEG) 1,211,000 1,210,642
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.13%, October 17, 2013(SEG)(SEGSF)(SEGCCS) 3,789,000 3,788,401
Total short-term investments (cost $36,885,311) $36,887,525

TOTAL INVESTMENTS
Total investments (cost $477,256,232)(b) $481,341,547













FORWARD CURRENCY CONTRACTS at 6/30/13 (aggregate face value $203,404,883) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 9/18/13 $8,361 $8,359 $2
British Pound Sell 9/18/13 8,361 8,430 69
Canadian Dollar Buy 7/17/13 2,477,015 2,529,039 (52,024)
Canadian Dollar Sell 7/17/13 2,477,015 2,549,769 72,754
Chilean Peso Buy 7/17/13 1,058,720 1,123,333 (64,613)
Chilean Peso Sell 7/17/13 1,058,720 1,079,057 20,337
Euro Buy 9/18/13 101,693 102,266 (573)
Euro Sell 9/18/13 101,693 101,588 (105)
Japanese Yen Sell 8/22/13 814,068 877,355 63,287
Peruvian New Sol Buy 7/17/13 1,299,907 1,397,510 (97,603)
Peruvian New Sol Sell 7/17/13 1,299,907 1,363,928 64,021
Singapore Dollar Sell 8/22/13 1,223,934 1,230,090 6,156
South Korean Won Buy 8/22/13 807,759 818,060 (10,301)
South Korean Won Sell 8/22/13 807,759 809,484 1,725
Swiss Franc Buy 9/18/13 420,282 431,376 (11,094)
Swiss Franc Sell 9/18/13 420,282 419,478 (804)
Barclays Bank PLC
Australian Dollar Buy 7/17/13 5,482 188,947 (183,465)
Brazilian Real Sell 7/17/13 655,085 615,911 (39,174)
British Pound Sell 9/18/13 649,418 659,323 9,905
Canadian Dollar Sell 7/17/13 3,061,101 3,136,227 75,126
Chilean Peso Buy 7/17/13 1,588,481 1,667,115 (78,634)
Chilean Peso Sell 7/17/13 1,588,481 1,627,629 39,148
Euro Sell 9/18/13 2,189,339 2,220,515 31,176
Indonesian Rupiah Sell 8/22/13 268,731 238,424 (30,307)
Japanese Yen Sell 8/22/13 82,468 74,323 (8,145)
Malaysian Ringgit Buy 8/22/13 1,205,706 1,276,773 (71,067)
Malaysian Ringgit Sell 8/22/13 1,205,706 1,236,293 30,587
Mexican Peso Sell 7/17/13 1,039,242 1,053,879 14,637
New Taiwan Dollar Buy 8/22/13 276,453 279,819 (3,366)
New Taiwan Dollar Sell 8/22/13 276,453 278,243 1,790
Norwegian Krone Buy 9/18/13 898,608 898,478 130
Norwegian Krone Sell 9/18/13 856,317 904,470 48,154
Polish Zloty Sell 9/18/13 79,943 79,144 (799)
Russian Ruble Buy 9/18/13 147,008 150,693 (3,685)
Russian Ruble Sell 9/18/13 147,008 149,540 2,532
Singapore Dollar Sell 8/22/13 2,038,207 2,042,226 4,019
Swedish Krona Buy 9/18/13 1,371,234 1,401,848 (30,614)
Swedish Krona Sell 9/18/13 1,371,234 1,399,398 28,164
Swiss Franc Buy 9/18/13 438,822 437,173 1,649
Citibank, N.A.
Australian Dollar Buy 7/17/13 539,173 786,358 (247,185)
Brazilian Real Sell 7/17/13 548,651 519,124 (29,527)
British Pound Sell 9/18/13 2,356,423 2,373,826 17,403
Canadian Dollar Buy 7/17/13 870,472 917,138 (46,666)
Euro Buy 9/18/13 533,077 533,976 (899)
Japanese Yen Sell 8/22/13 1,179,045 1,284,032 104,987
Mexican Peso Buy 7/17/13 545,020 545,953 (933)
Mexican Peso Sell 7/17/13 545,020 546,463 1,443
South African Rand Buy 7/17/13 781,051 818,726 (37,675)
South African Rand Sell 7/17/13 781,051 826,282 45,231
Swedish Krona Buy 9/18/13 30,293 30,968 (675)
Swedish Krona Sell 9/18/13 30,293 30,018 (275)
Swiss Franc Sell 9/18/13 1,791,521 1,791,860 339
Thai Baht Buy 8/22/13 807,269 852,881 (45,612)
Thai Baht Sell 8/22/13 807,269 828,404 21,135
Turkish Lira Sell 9/18/13 266,106 269,464 3,358
Credit Suisse International
Australian Dollar Buy 7/17/13 1,980,560 2,375,756 (395,196)
Brazilian Real Buy 7/17/13 1,199,091 1,279,360 (80,269)
Brazilian Real Sell 7/17/13 1,199,091 1,246,474 47,383
British Pound Sell 9/18/13 1,348,851 1,360,506 11,655
Canadian Dollar Buy 7/17/13 4,447,697 4,601,717 (154,020)
Canadian Dollar Sell 7/17/13 4,447,697 4,575,758 128,061
Chilean Peso Buy 7/17/13 1,324,926 1,394,906 (69,980)
Chilean Peso Sell 7/17/13 1,324,926 1,356,228 31,302
Chinese Yuan Buy 8/22/13 1,107,152 1,099,429 7,723
Chinese Yuan Sell 8/22/13 1,107,152 1,101,864 (5,288)
Czech Koruna Sell 9/18/13 525,276 535,226 9,950
Euro Buy 9/18/13 1,784,779 1,790,164 (5,385)
Indonesian Rupiah Buy 8/22/13 270,804 275,380 (4,576)
Indonesian Rupiah Sell 8/22/13 270,804 271,082 278
Japanese Yen Sell 8/22/13 1,042,284 1,103,286 61,002
Mexican Peso Sell 7/17/13 1,006,849 1,043,510 36,661
New Taiwan Dollar Buy 8/22/13 276,449 280,800 (4,351)
New Taiwan Dollar Sell 8/22/13 276,449 278,240 1,791
Norwegian Krone Buy 9/18/13 142,372 206,375 (64,003)
Philippine Peso Buy 8/22/13 539,778 567,961 (28,183)
Philippine Peso Sell 8/22/13 539,778 551,403 11,625
Polish Zloty Buy 9/18/13 902,408 931,130 (28,722)
Polish Zloty Sell 9/18/13 902,408 927,490 25,082
Russian Ruble Buy 9/18/13 65,460 67,093 (1,633)
Russian Ruble Sell 9/18/13 65,460 66,577 1,117
South African Rand Buy 7/17/13 1,046,256 1,075,821 (29,565)
South African Rand Sell 7/17/13 1,046,256 1,086,056 39,800
Swedish Krona Sell 9/18/13 984,065 1,022,791 38,726
Swiss Franc Sell 9/18/13 1,791,522 1,808,492 16,970
Turkish Lira Sell 9/18/13 266,055 269,566 3,511
Deutsche Bank AG
Australian Dollar Buy 7/17/13 1,171,344 1,323,916 (152,572)
Australian Dollar Sell 7/17/13 1,171,344 1,225,476 54,132
Brazilian Real Buy 7/17/13 777,106 839,610 (62,504)
Brazilian Real Sell 7/17/13 777,106 807,704 30,598
British Pound Sell 9/18/13 933,691 941,698 8,007
Canadian Dollar Buy 7/17/13 1,853,674 1,894,275 (40,601)
Canadian Dollar Sell 7/17/13 1,853,674 1,902,196 48,522
Euro Sell 9/18/13 1,955,353 1,966,938 11,585
Japanese Yen Buy 8/22/13 1,862,179 1,826,135 36,044
Mexican Peso Buy 7/17/13 3,848,714 4,032,847 (184,133)
Mexican Peso Sell 7/17/13 3,848,714 4,013,009 164,295
Norwegian Krone Buy 9/18/13 146,575 152,928 (6,353)
Norwegian Krone Sell 9/18/13 146,575 146,700 125
Polish Zloty Buy 9/18/13 270,980 278,352 (7,372)
Polish Zloty Sell 9/18/13 270,980 276,565 5,585
Swedish Krona Buy 9/18/13 73,790 75,425 (1,635)
Swedish Krona Sell 9/18/13 73,790 73,127 (663)
Swiss Franc Buy 9/18/13 839,186 842,923 (3,737)
Swiss Franc Sell 9/18/13 839,186 837,935 (1,251)
Goldman Sachs International
British Pound Buy 9/18/13 204,616 206,397 (1,781)
British Pound Sell 9/18/13 204,616 204,558 (58)
Canadian Dollar Sell 7/17/13 48,761 33,342 (15,419)
Euro Sell 9/18/13 2,642,076 2,655,754 13,678
Japanese Yen Buy 8/22/13 1,382,760 1,328,753 54,007
Norwegian Krone Buy 9/18/13 192,626 192,809 (183)
Norwegian Krone Sell 9/18/13 192,626 200,939 8,313
HSBC Bank USA, National Association
Australian Dollar Sell 7/17/13 2,038,661 2,119,736 81,075
British Pound Sell 9/18/13 424,128 429,433 5,305
Canadian Dollar Sell 7/17/13 122,520 107,602 (14,918)
Euro Sell 9/18/13 2,706,790 2,703,689 (3,101)
Indian Rupee Sell 8/22/13 346,200 353,823 7,623
Indonesian Rupiah Sell 8/22/13 268,731 256,531 (12,200)
Japanese Yen Buy 8/22/13 813,062 765,330 47,732
Norwegian Krone Buy 9/18/13 913,121 903,848 9,273
Philippine Peso Buy 8/22/13 269,265 283,153 (13,888)
Philippine Peso Sell 8/22/13 269,265 272,101 2,836
Polish Zloty Buy 9/18/13 266,217 276,540 (10,323)
Polish Zloty Sell 9/18/13 266,217 273,814 7,597
Russian Ruble Buy 9/18/13 35,444 36,076 (632)
Russian Ruble Sell 9/18/13 35,444 36,323 879
South African Rand Buy 7/17/13 781,061 818,422 (37,361)
South African Rand Sell 7/17/13 781,061 825,942 44,881
Swedish Krona Buy 9/18/13 870,590 905,749 (35,159)
Swiss Franc Buy 9/18/13 140,059 143,753 (3,694)
Swiss Franc Sell 9/18/13 140,059 139,813 (246)
Thai Baht Buy 8/22/13 268,090 282,866 (14,776)
Thai Baht Sell 8/22/13 268,090 272,357 4,267
JPMorgan Chase Bank N.A.
Australian Dollar Sell 7/17/13 1,063,820 1,031,453 (32,367)
Brazilian Real Buy 7/17/13 1,238,839 1,363,068 (124,229)
Brazilian Real Sell 7/17/13 1,291,634 1,360,168 68,534
British Pound Sell 9/18/13 733,028 742,368 9,340
Canadian Dollar Sell 7/17/13 495,783 486,417 (9,366)
Chilean Peso Buy 7/17/13 1,205,449 1,271,704 (66,255)
Chilean Peso Sell 7/17/13 1,205,449 1,219,907 14,458
Chinese Yuan Buy 8/22/13 689,329 684,144 5,185
Chinese Yuan Sell 8/22/13 689,329 685,951 (3,378)
Czech Koruna Sell 9/18/13 525,276 534,340 9,064
Euro Buy 9/18/13 1,035,684 1,054,454 (18,770)
Japanese Yen Sell 8/22/13 2,112,450 2,210,664 98,214
Malaysian Ringgit Buy 8/22/13 931,771 964,379 (32,608)
Malaysian Ringgit Sell 8/22/13 931,771 955,886 24,115
Mexican Peso Sell 7/17/13 777,440 770,243 (7,197)
New Taiwan Dollar Buy 8/22/13 276,453 279,427 (2,974)
New Taiwan Dollar Sell 8/22/13 276,453 278,430 1,977
Norwegian Krone Buy 9/18/13 1,416,939 1,440,587 (23,648)
Polish Zloty Buy 9/18/13 84,466 89,804 (5,338)
Russian Ruble Sell 9/18/13 83,259 83,230 (29)
Singapore Dollar Sell 8/22/13 2,038,285 2,035,399 (2,886)
South African Rand Buy 7/17/13 274,412 272,271 2,141
South African Rand Sell 7/17/13 274,412 271,298 (3,114)
South Korean Won Buy 8/22/13 812,343 822,411 (10,068)
South Korean Won Sell 8/22/13 812,343 814,555 2,212
Swedish Krona Buy 9/18/13 519,683 534,380 (14,697)
Swiss Franc Buy 9/18/13 370,700 369,163 1,537
Swiss Franc Sell 9/18/13 370,700 370,135 (565)
State Street Bank and Trust Co.
Australian Dollar Sell 7/17/13 1,976,175 2,141,912 165,737
Brazilian Real Sell 7/17/13 677,640 679,928 2,288
British Pound Sell 9/18/13 887,478 898,408 10,930
Canadian Dollar Sell 7/17/13 761,924 753,738 (8,186)
Chilean Peso Sell 7/17/13 299,363 239,690 (59,673)
Colombian Peso Buy 7/17/13 1,080,347 1,129,859 (49,512)
Colombian Peso Sell 7/17/13 1,080,347 1,097,274 16,927
Czech Koruna Sell 9/18/13 525,276 534,449 9,173
Euro Sell 9/18/13 228,257 219,930 (8,327)
Japanese Yen Sell 8/22/13 244,662 283,822 39,160
Mexican Peso Sell 7/17/13 954,192 940,253 (13,939)
Norwegian Krone Buy 9/18/13 390,144 408,937 (18,793)
Polish Zloty Buy 9/18/13 381,205 388,488 (7,283)
Polish Zloty Sell 9/18/13 381,205 396,875 15,670
Singapore Dollar Sell 8/22/13 2,175,339 2,173,899 (1,440)
South Korean Won Buy 8/22/13 538,559 537,855 704
South Korean Won Sell 8/22/13 538,559 530,680 (7,879)
Swedish Krona Buy 9/18/13 288,668 307,259 (18,591)
Swiss Franc Buy 9/18/13 262,001 261,641 360
UBS AG
Australian Dollar Buy 7/17/13 2,958,781 3,344,098 (385,317)
Australian Dollar Sell 7/17/13 2,958,781 3,136,783 178,002
British Pound Sell 9/18/13 443,891 447,659 3,768
Canadian Dollar Buy 7/17/13 3,136,666 3,221,647 (84,981)
Canadian Dollar Sell 7/17/13 3,136,666 3,214,692 78,026
Chilean Peso Buy 7/17/13 1,061,583 1,108,770 (47,187)
Chilean Peso Sell 7/17/13 1,061,583 1,082,836 21,253
Euro Buy 9/18/13 1,297,535 1,305,907 (8,372)
Japanese Yen Sell 8/22/13 1,425,189 1,488,271 63,082
Mexican Peso Sell 7/17/13 970,785 954,501 (16,284)
New Taiwan Dollar Buy 8/22/13 524,485 534,435 (9,950)
New Taiwan Dollar Sell 8/22/13 524,485 528,503 4,018
Norwegian Krone Buy 9/18/13 689,663 721,769 (32,106)
Philippine Peso Buy 8/22/13 537,166 565,287 (28,121)
Philippine Peso Sell 8/22/13 537,166 549,507 12,341
Polish Zloty Buy 9/18/13 532,435 553,080 (20,645)
Polish Zloty Sell 9/18/13 532,435 548,204 15,769
Russian Ruble Sell 9/18/13 220,893 222,857 1,964
Singapore Dollar Sell 8/22/13 2,038,286 2,031,536 (6,750)
Swedish Krona Sell 9/18/13 945,927 971,638 25,711
Swiss Franc Sell 9/18/13 3,245,504 3,240,686 (4,818)
WestPac Banking Corp.
Australian Dollar Buy 7/17/13 2,589,618 2,784,812 (195,194)
Australian Dollar Sell 7/17/13 2,589,618 2,722,390 132,772
British Pound Buy 9/18/13 849,322 854,673 (5,351)
Canadian Dollar Sell 7/17/13 513,842 508,588 (5,254)
Euro Sell 9/18/13 319,013 322,653 3,640
Japanese Yen Sell 8/22/13 243,124 345,937 102,813
Mexican Peso Buy 7/17/13 2,057,319 2,172,650 (115,331)
Mexican Peso Sell 7/17/13 2,057,319 2,140,741 83,422
Total $(1,055,757)












FUTURES CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 3 $324,821             Sep-13 $(10,384)
Canadian Government Bond 10 yr (Long) 23 2,873,852             Sep-13 (103,310)
Japanese Government Bond 10 yr (Short) 10 14,387,981             Sep-13 48,351
Japanese Government Bond 10 yr Mini (Long) 4 575,156             Sep-13 (2,315)
U.K. Gilt 10 yr (Short) 4 680,777             Sep-13 27,792
U.S. Treasury Bond 30 yr (Long) 34 $4,618,688             Sep-13 (6,877)
U.S. Treasury Note 10 yr (Long) 150 18,984,375             Sep-13 (69,785)
Total $(116,528)












TBA SALE COMMITMENTS OUTSTANDING at 6/30/13 (proceeds receivable $30,555,000) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, July 1, 2043 $3,000,000       7/15/2013 $3,126,328
Federal National Mortgage Association, 3 1/2s, July 1, 2043 13,000,000       7/15/2013 13,203,125
Federal National Mortgage Association, 3s, July 1, 2043 14,000,000       7/15/2013 13,689,375
Total $30,018,828








OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
$35,052,700 (E) $(367,109)     9/18/23 2.20% 3 month USD-LIBOR-BBA $1,491,737
36,034,800 (E) 525,168      9/18/23 3 month USD-LIBOR-BBA 2.20% (1,385,757)
CAD 4,603,000 —      5/1/23 3 month CAD-BA-CDOR 2.135% (293,828)
CAD 11,003,000 —      4/26/23 2.17% 3 month CAD-BA-CDOR 665,893
CAD 1,766,000 —      6/3/23 2.515% 3 month CAD-BA-CDOR 59,356
Barclays Bank PLC
1,463,000 (16,825)     6/19/23 3 month USD-LIBOR-BBA 2.00% (107,859)
1,828,000 (589)     6/19/15 0.40% 3 month USD-LIBOR-BBA 3,044
33,964,000 (E) 68,607      9/18/15 3 month USD-LIBOR-BBA 0.45% (28,190)
36,542,000 (E) (10,069)     9/18/15 0.45% 3 month USD-LIBOR-BBA 94,076
4,666,000 (E) 55,774      9/18/23 3 month USD-LIBOR-BBA 2.20% (191,664)
1,929,000 (E) 5,872      9/18/43 3.15% 3 month USD-LIBOR-BBA 130,081
4,982,000 (E) 1,909      9/18/18 1.15% 3 month USD-LIBOR-BBA 133,483
28,331,000 (E) (226,572)     9/18/23 2.20% 3 month USD-LIBOR-BBA 1,275,820
27,675,000 —      6/5/20 1.78% 3 month USD-LIBOR-BBA 595,892
14,518,000 —      6/5/28 3 month USD-LIBOR-BBA 2.87125% (497,440)
AUD 4,210,000 —      5/3/23 3.7425% 6 month AUD-BBR-BBSW 170,258
AUD 3,552,000 —      5/22/23 3.86% 6 month AUD-BBR-BBSW 115,330
EUR 21,333,000 —      10/16/22 1.747% 6 month EUR-EURIBOR-REUTERS 82,860
EUR 41,668,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 20,068
EUR 4,030,000 —      5/21/23 1.567% 6 month EUR-EURIBOR-Telerate 196,694
EUR 7,618,000 —      5/22/23 6 month EUR-EURIBOR-Telerate 1.595% (345,944)
EUR 1,372,000 —      5/31/23 1.751% 6 month EUR-EURIBOR-Telerate 37,257
EUR 1,424,000 —      6/6/23 1.779% 6 month EUR-EURIBOR-Telerate 34,768
GBP 2,735,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (332,845)
GBP 4,913,000 —      5/20/23 1.995% 6 month GBP-LIBOR-BBA 359,308
GBP 1,789,000 —      5/29/23 2.091% 6 month GBP-LIBOR-BBA 108,542
JPY 363,435,000 —      5/13/23 6 month JPY-LIBOR-BBA 0.7375% (93,846)
JPY 272,916,000 —      5/24/43 6 month JPY-LIBOR-BBA 1.95% 1,605
JPY 951,030,000 —      5/29/43 1.965% 6 month JPY-LIBOR-BBA (72,458)
SEK 9,580,000 —      5/2/23 2.065% 3 month SEK-STIBOR-SIDE 80,052
SEK 21,908,000 —      5/10/23 2.195% 3 month SEK-STIBOR-SIDE 146,221
SEK 28,842,000 —      5/16/23 2.1835% 3 month SEK-STIBOR-SIDE 198,235
Citibank, N.A.
6,250,000 (E) (66,793)     9/18/43 3 month USD-LIBOR-BBA 3.15% (469,230)
11,785,000 (E) 1,891      9/18/15 0.45% 3 month USD-LIBOR-BBA 35,478
10,886,000 (E) 15,864      9/18/18 1.15% 3 month USD-LIBOR-BBA 303,363
9,482,000 (E) 24,204      9/18/23 2.20% 3 month USD-LIBOR-BBA 527,035
GBP 3,838,000 —      4/26/23 6 month GBP-LIBOR-BBA 1.815% (365,825)
PLN 4,211,000 —      1/17/23 3.84% 6 month PLN-WIBOR-WIBO 27,862
Credit Suisse International
$76,786,000 (E) 36,392      9/18/18 1.15% 3 month USD-LIBOR-BBA 2,064,311
64,271,000 (E) 12,864      9/18/15 3 month USD-LIBOR-BBA 0.45% (170,309)
88,160,800 (E) 397,662      9/18/23 3 month USD-LIBOR-BBA 2.20% (4,277,506)
6,662,200 (E) (139,715)     9/18/23 2.20% 3 month USD-LIBOR-BBA 213,582
18,372,000 (E) (22,520)     9/18/15 0.45% 3 month USD-LIBOR-BBA 29,840
1,320,000 (E) 9,725      9/18/43 3.15% 3 month USD-LIBOR-BBA 94,720
AUD 6,128,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8725% (187,355)
AUD 3,976,000 —      5/10/23 6 month AUD-BBR-BBSW 3.73% (165,288)
AUD 3,531,000 —      5/23/23 3.88% 6 month AUD-BBR-BBSW 109,414
CAD 2,716,000 —      5/6/23 3 month CAD-BA-CDOR 2.2625% (144,890)
CAD 2,966,000 —      4/25/23 3 month CAD-BA-CDOR 2.208% (169,695)
CAD 6,804,000 —      4/29/23 3 month CAD-BA-CDOR 2.15% (424,330)
CAD 2,274,000 —      6/20/23 3 month CAD-BA-CDOR 2.825% (18,940)
CHF 4,348,000 —      5/3/23 1.0075% 6 month CHF-LIBOR-BBA 203,428
CHF 4,348,000 —      5/3/23 1.01875% 6 month CHF-LIBOR-BBA 198,511
EUR 13,940,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (74,685)
EUR 12,260,000 —      5/22/23 6 month EUR-EURIBOR-Telerate 1.601% (547,702)
EUR 2,725,000 —      5/27/23 1.643% 6 month EUR-EURIBOR-Telerate 109,283
GBP 2,923,000 —      5/20/23 6 month GBP-LIBOR-BBA 2.0025% (210,665)
SEK 21,916,000 —      5/2/23 2.07% 3 month SEK-STIBOR-SIDE 181,668
SEK 26,320,000 —      5/27/23 3 month SEK-STIBOR-SIDE 2.2275% (167,993)
SEK 19,381,000 —      6/3/23 3 month SEK-STIBOR-SIDE 2.3475% (93,731)
Deutsche Bank AG
347,578,000 (E) 34,123      9/18/15 0.45% 3 month USD-LIBOR-BBA 1,024,721
33,208,000 (E) (23,960)     9/18/18 3 month USD-LIBOR-BBA 1.15% (900,984)
22,447,000 (E) 10,487      9/18/23 3 month USD-LIBOR-BBA 2.20% (1,179,877)
379,000 (E) 1,321      9/18/43 3.15% 3 month USD-LIBOR-BBA 25,725
Goldman Sachs International
1,369,000 (E) (2,639)     9/18/18 1.15% 3 month USD-LIBOR-BBA 33,516
20,619,000 —      5/21/23 3 month USD-LIBOR-BBA 2.077% (1,079,690)
10,250,000 —      5/22/23 2.06875% 3 month USD-LIBOR-BBA 545,119
18,866,000 (E) 120,937      9/18/43 3 month USD-LIBOR-BBA 3.15% (1,093,845)
17,760,300 (E) (158,522)     9/18/23 2.20% 3 month USD-LIBOR-BBA 783,306
49,624,000 (E) 4,529      9/18/15 3 month USD-LIBOR-BBA 0.45% (136,900)
855,000 (E) 9,944      9/18/18 3 month USD-LIBOR-BBA 1.15% (12,637)
22,531,300 (E) 300,886      9/18/23 3 month USD-LIBOR-BBA 2.20% (893,949)
AUD 3,362,000 —      5/1/23 3.775% 6 month AUD-BBR-BBSW 127,776
AUD 12,947,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8825% (385,899)
AUD 2,175,000 —      5/27/23 3.955% 6 month AUD-BBR-BBSW 55,263
CAD 3,625,000 —      4/25/23 3 month CAD-BA-CDOR 2.2069% (207,751)
CAD 5,252,000 —      5/23/23 2.41% 3 month CAD-BA-CDOR 219,447
CAD 2,722,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR 86,143
CHF 11,865,000 —      5/2/23 6 month CHF-LIBOR-BBA 1.008% (553,651)
CHF 3,507,000 —      5/13/23 1.0325% 6 month CHF-LIBOR-BBA 157,890
CHF 2,848,000 —      5/16/23 1.065% 6 month CHF-LIBOR-BBA 119,319
CHF 1,758,000 —      7/1/23 6 month CHF-LIBOR-BBA 1.5175% 19
CHF 6,400,000 —      7/2/23 6 month CHF-LIBOR-BBA 1.515% (1,694)
EUR 6,343,000 —      10/18/22 1.818% 6 month EUR-EURIBOR-REUTERS (29,979)
EUR 43,654,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (35,485)
EUR 43,654,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (116,270)
EUR 43,654,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (35,491)
EUR 43,654,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (121,879)
EUR 43,654,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (64,544)
EUR 43,654,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (84,454)
EUR 180,124,000 (E) —      8/6/17 1 month EUR-EONIA-OIS-COMPOUND 0.01102 (654,139)
EUR 5,487,000 —      2/22/23 6 month EUR-EURIBOR-Telerate 1.9135% 9,239
EUR 25,939,000 —      2/22/15 0.59% 6 month EUR-EURIBOR-Telerate (48,744)
EUR 7,210,000 —      5/22/23 1.595% 6 month EUR-EURIBOR-Telerate 327,416
GBP 2,735,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 17,152
GBP 5,818,000 —      5/20/23 6 month GBP-LIBOR-BBA 1.9963% (424,419)
GBP 2,496,000 —      5/23/23 2.01625% 6 month GBP-LIBOR-BBA 175,630
GBP 2,227,000 —      5/30/23 2.0475% 6 month GBP-LIBOR-BBA 148,832
JPY 402,918,000 —      5/28/23 1.015% 6 month JPY-LIBOR-BBA (3,558)
SEK 23,880,000 —      5/27/23 3 month SEK-STIBOR-SIDE 2.2375% (149,216)
JPMorgan Chase Bank N.A.
9,807,000 —      2/28/18 0.92% 3 month USD-LIBOR-BBA 205,106
24,903,000 (E) (59,974)     9/18/18 1.15% 3 month USD-LIBOR-BBA 597,714
76,595,200 (E) (715,020)     9/18/23 2.20% 3 month USD-LIBOR-BBA 3,346,824
17,776,100 (E) 391,258      9/18/23 3 month USD-LIBOR-BBA 2.20% (551,409)
12,401,000 (E) 2,994      9/18/15 3 month USD-LIBOR-BBA 0.45% (32,349)
2,974,000 —      6/7/23 3 month USD-LIBOR-BBA 2.343% (87,914)
AUD 3,763,000 —      4/30/23 3.805% 6 month AUD-BBR-BBSW 134,222
AUD 4,929,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8875% (144,977)
CAD 3,470,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR 73,397
CAD 10,253,000 —      2/26/18 3 month CAD-BA-CDOR 1.65% (220,697)
CAD 3,475,000 —      6/26/23 3 month CAD-BA-CDOR 2.9775% 14,618
CAD 4,647,000 —      4/26/23 2.1706% 3 month CAD-BA-CDOR 281,007
CAD 4,280,000 —      5/15/23 2.384% 3 month CAD-BA-CDOR 186,177
CAD 1,999,000 —      6/14/23 2.6025% 3 month CAD-BA-CDOR 53,621
GBP 4,603,000 —      2/20/23 2.226% 6 month GBP-LIBOR-BBA 135,027
GBP 22,719,000 —      2/20/15 6 month GBP-LIBOR-BBA 0.668% (44,444)
ILS 9,828,000 —      6/19/23 3 month TELBOR03 3.41% (58,979)
ILS 4,794,000 —      6/21/23 3 month TELBOR03 3.59% (8,897)
JPY 2,402,400,000 —      2/19/15 6 month JPY-LIBOR-BBA 0.705% 213,469
JPY 511,900,000 —      2/19/20 6 month JPY-LIBOR-BBA 1.3975% 263,564
JPY 458,341,000 —      5/7/43 1.74375% 6 month JPY-LIBOR-BBA 213,281
JPY 436,078,000 —      6/3/43 6 month JPY-LIBOR-BBA 1.945% 1,408
JPY 127,997,000 —      6/7/43 1.955% 6 month JPY-LIBOR-BBA (1,439)
PLN 4,211,000 —      1/16/23 3.855% 6 month PLN-WIBOR-WIBO 22,155
PLN 4,211,000 —      1/21/23 3.81% 6 month PLN-WIBOR-WIBO 31,339
Royal Bank of Scotland PLC (The)
2,163,000 (28,658)     6/19/23 2.00% 3 month USD-LIBOR-BBA 105,934
Total $(369,684)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$10,223,000 (E) $(168,619)     9/18/23 2.20% 3 month USD-LIBOR-BBA $373,507
28,279,600 (E) 753,277      9/18/23 3 month USD-LIBOR-BBA 2.20% (746,392)
8,473,300 (11,763)     6/21/23 3 month USD-LIBOR-BBA 2.3625% (258,922)
33,893,300 85,981      7/2/23 3 month USD-LIBOR-BBA 2.58% (272,272)
1,364,000 (E) 6,817      9/18/15 3 month USD-LIBOR-BBA 0.45% 2,930
9,662,000 (E) (40,127)     9/18/15 0.45% 3 month USD-LIBOR-BBA (12,591)
14,213,000 (E) (385,246)     9/18/23 2.20% 3 month USD-LIBOR-BBA 368,471
1,805,000 (24)     6/10/23 3 month USD-LIBOR-BBA 2.27% (66,188)
GBP 9,116,000 (E) (76)     12/24/18 2.04% 6 month GBP-LIBOR-BBA (175,191)
GBP 9,596,000 (E) (120)     12/24/23 6 month GBP-LIBOR-BBA 2.8675% 192,973
GBP 2,157,000 (E) (60)     12/24/43 3.46% 6 month GBP-LIBOR-BBA (37,952)
$12,090,000 (254)     7/2/28 3.20125% 3 month USD-LIBOR-BBA (56,593)
13,702,000 (E) 37,242      9/18/15 3 month USD-LIBOR-BBA 0.45% (1,808)
7,801,000 (E) 282,206      9/18/23 3 month USD-LIBOR-BBA 2.20% (131,480)
30,164,000 (E) (1,220,092)     9/18/23 2.20% 3 month USD-LIBOR-BBA 379,504
38,006,000 (E) (98,669)     9/18/15 0.45% 3 month USD-LIBOR-BBA 9,648
4,300,000 (57)     7/2/23 2.7025% 3 month USD-LIBOR-BBA (2,852)
23,047,500 (263)     7/2/20 3 month USD-LIBOR-BBA 2.1650% 36,590
23,800,000 (192)     6/26/18 1.765% 3 month USD-LIBOR-BBA (252,393)
6,100,000 (207)     6/26/43 3.55% 3 month USD-LIBOR-BBA (136,632)
25,700,000 (339)     6/26/23 3 month USD-LIBOR-BBA 2.875% 444,036
EUR 10,100,000 (179)     6/20/23 1.835% 6 month EUR-EURIBOR-Telerate 192,338
EUR 13,900,000 (E) (202)     7/2/23 2.895% 6 month EUR-EURIBOR-Telerate (18,838)
EUR 2,207,000 (38)     7/2/23 2.0125% 6 month EUR-EURIBOR-Telerate (2,595)
GBP 9,116,000 (E) (133)     9/10/18 6 month GBP-LIBOR-BBA 1.38% (178,577)
GBP 1,176,000 (24)     6/6/23 2.10% 6 month GBP-LIBOR-BBA 70,955
GBP 2,157,000 (E) (114)     9/10/43 6 month GBP-LIBOR-BBA 3.17875% (120,384)
GBP 9,596,000 (E) (211)     9/10/23 2.29% 6 month GBP-LIBOR-BBA 445,813
JPY 139,941,000 (48)     7/1/43 6 month JPY-LIBOR-BBA 1.871% (24,938)
$14,832,000 (E) (400,329)     9/18/23 2.20% 3 month USD-LIBOR-BBA 386,213
5,469,000 (E) 6,491      9/18/15 3 month USD-LIBOR-BBA 0.45% (9,096)
9,662,000 (203)     6/12/28 3 month USD-LIBOR-BBA 2.93% (265,795)
18,420,000 (210)     6/12/20 1.8675% 3 month USD-LIBOR-BBA 300,387
12,090,000 (254)     6/28/28 3.2625% 3 month USD-LIBOR-BBA (156,066)
23,047,500 (263)     6/28/20 3 month USD-LIBOR-BBA 2.24% 160,822
JPY 225,758,000 (81)     6/21/43 1.8975% 6 month JPY-LIBOR-BBA 23,522
Total $460,154
(E)   Extended effective date.






OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$6,970,807 $—      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools $(179,813)
1,894,889 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 48,879
Barclays Bank PLC
410,797 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 461
609,486 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,417
744,844 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 836
646,282 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 624
2,118,070 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 42,492
8,567,221 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 171,872
540,852 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,850
2,616,253 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,090)
265,521 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (2,621)
933,423 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 18,726
30,936 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 621
557,620 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 538
3,345,723 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,231
2,314,355 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 46,430
1,015,184 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 15,416
2,284,899 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,939)
2,126,764 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,054
631,499 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (6,233)
105,628 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,219
579,219 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,013)
5,320,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (195,824)
287,175 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 277
1,869,337 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 48,220
1,410,632 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (23,551)
654,591 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (10,928)
2,560,245 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 51,363
365,040 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 638
1,672,861 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,616
1,906,663 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,625)
1,575,794 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (15,554)
964,401 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,351)
706,734 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,178
1,840,176 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 36,917
531,436 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,742)
318,139 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 357
1,191,581 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 23,905
2,427,677 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (13,463)
9,166,722 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,852
603,866 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (10,082)
2,001,300 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,933
359,895 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 404
1,166,776 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,310
845,853 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 950
3,835,873 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (98,947)
104,276 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 72
107,075 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (372)
5,781,773 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (20,089)
3,620,698 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 2,513
4,129,776 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 14,349
2,586,146 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic MBX Index 6.00% 30 year Fannie Mae pools (1,795)
4,300,326 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (110,927)
661,357 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (17,060)
1,734,033 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (34,787)
905,561 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,501)
452,856 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,751)
452,856 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,751)
1,894,889 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 48,879
908,721 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,520)
2,360,147 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (14,337)
908,721 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,520)
3,157,636 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (63,347)
28,939 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (101)
2,953,883 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 59,260
2,191,677 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (43,968)
1,048,498 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 33,712
631,536 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 20,305
631,226 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 610
800,546 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 25,740
1,836,919 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,383)
584,199 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 15,069
1,582,688 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 18,267
227,028 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2,620
1,814,282 (4,110)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (15,132)
1,031,684 484      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (579)
Citibank, N.A.
1,300,928 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,256
2,788,102 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,693
2,434,013 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,351
1,312,659 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 26,334
2,064,738 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (53,260)
1,438,410 —      1/12/41 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (17,239)
3,249,912 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (65,198)
Credit Suisse International
1,115,241 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,077
14,606,318 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (243,853)
3,651,580 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (60,963)
681,665 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,675
1,137,709 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 22,824
1,157,570 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,022)
2,345,417 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (39,157)
2,352,759 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (47,200)
1,463,003 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 37,738
1,894,889 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 48,879
2,953,350 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 59,249
584,199 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 15,069
3,429,662 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (68,804)
2,864,808 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (57,473)
2,781,600 6,085      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (49,412)
3,802,498 594      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (75,271)
2,808,269 75,033      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 22,407
2,356,837 83,226      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 25,940
2,219,946 55,152      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,040
Deutsche Bank AG
1,157,570 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,022)
Goldman Sachs International
464,044 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,309
353,734 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 5,372
1,401,300 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 21,280
3,040,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 78,979
2,280,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 56,977
522,209 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,027
739,271 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,831
738,015 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 19,037
1,512,959 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,859
1,512,959 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,859
1,221,006 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 31,496
368,757 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 9,512
2,517,041 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 50,496
1,250,787 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,093
4,726,701 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 121,926
4,334,396 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 111,806
795,395 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,764)
298,798 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,038)
8,070,063 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 208,168
2,032,672 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 52,433
683,266 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,707
2,001,259 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 40,148
619,770 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 9,412
644,561 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 9,788
1,374,532 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 27,575
39,647 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 458
845,736 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 21,816
6,275,598 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 138,656
677,564 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 10,289
404,710 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 6,146
1,355,128 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 20,578
1,458,493 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 37,622
285,630 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 3,297
7,752,743 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 155,532
2,582,114 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 51,801
529,651 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,626
561,421 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,951)
2,886,677 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 57,911
1,217,183 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 24,419
2,699,459 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 54,155
1,089,563 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,786)
673,561 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,340)
19,968 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 230
51,801 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (180)
138,040 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (480)
1,998,592 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 40,095
1,303,592 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 26,152
2,497,839 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 50,111
1,782,571 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 35,761
3,712,889 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 74,486
3,529,802 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 60,330
3,448,331 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (69,179)
3,436,063 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (68,933)
510,982 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,251)
510,982 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,251)
1,378,329 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (35,553)
1,438,410 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 17,239
306,033 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,532)
299,659 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 4,551
1,679,094 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 33,685
1,666,420 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 42,986
2,914,946 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (58,478)
2,893,439 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 74,637
3,074,807 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 52,553
1,894,889 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 48,879
1,641,757 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 32,936
3,134,701 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 62,887
1,168,398 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 30,139
2,483,971 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 49,832
2,431,991 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (62,734)
863,272 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (22,268)
4,527,367 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (90,826)
4,527,367 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (90,826)
3,120,833 5,364      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (57,245)
3,624,940 112,712      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 25,504
EUR 10,100,000 —      6/20/23 1.84% Eurostat Eurozone HICP excluding tobacco 18,668
GBP 2,141,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (27,809)
GBP 2,141,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (32,564)
GBP 4,282,000 —      9/20/17 2.6625% GBP Non-revised UK Retail Price Index (130,254)
GBP 2,141,000 —      9/21/17 2.66% GBP Non-revised UK Retail Price Index (65,127)
GBP 2,141,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (32,564)
JPMorgan Chase Bank N.A.
$4,796,727 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 96,230
3,155,977 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 81,409
2,743,196 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 55,033
Total $1,067,740











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/13 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB Index BBB-/P $4,375 $64,000 5/11/63 300 bp $(2,006)
  CMBX NA BBB Index BBB-/P 8,497 141,000 5/11/63 300 bp (5,561)
  CMBX NA BBB Index BBB-/P 17,409 282,000 5/11/63 300 bp (10,706)
  CMBX NA BBB Index BBB-/P 16,587 291,000 5/11/63 300 bp (12,426)
Barclays Bank PLC
  Irish Gov't, 4.50%, 4/18/2020 — (35,493) 443,000 9/20/17 (100 bp) (28,328)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (72,281) 443,000 9/20/17 (100 bp) (29,144)
Credit Suisse International
  CMBX NA BBB Index BBB-/P 1,528 52,000 5/11/63 300 bp (3,656)
  CMBX NA BBB Index BBB-/P 1,125 145,000 5/11/63 300 bp (13,332)
  CMBX NA BBB Index BBB-/P 19,923 163,000 5/11/63 300 bp 3,672
  CMBX NA BBB Index BBB-/P 15,907 164,000 5/11/63 300 bp (444)
  CMBX NA BBB Index BBB-/P 3,291 172,000 5/11/63 300 bp (13,857)
  CMBX NA BBB Index BBB-/P 20,934 263,000 5/11/63 300 bp (5,287)
  CMBX NA BBB Index BBB-/P 20,979 288,000 5/11/63 300 bp (7,734)
  CMBX NA BBB Index BBB-/P 3,367 290,000 5/11/63 300 bp (25,546)
  CMBX NA BBB Index BBB-/P 4,963 323,000 5/11/63 300 bp (27,240)
  CMBX NA BBB Index BBB-/P 37,060 328,000 5/11/63 300 bp 4,358
  CMBX NA BBB Index BBB-/P 31,814 328,000 5/11/63 300 bp (887)
  CMBX NA BBB Index BBB-/P 26,325 340,000 5/11/63 300 bp (7,573)
  CMBX NA BBB Index BBB-/P 22,366 340,000 5/11/63 300 bp (11,533)
  CMBX NA BBB Index BBB-/P 27,130 340,000 5/11/63 300 bp (6,768)
  CMBX NA BBB Index BBB-/P 6,043 343,000 5/11/63 300 bp (28,154)
  CMBX NA BBB Index BBB-/P 10,467 344,000 5/11/63 300 bp (23,830)
  CMBX NA BBB Index BBB-/P 31,881 416,000 5/11/63 300 bp (9,594)
  CMBX NA BBB Index BBB-/P 35,087 855,000 5/11/63 300 bp (50,157)
  Spain Gov't, 5.50%, 7/30/2017 — (52,226) 443,000 9/20/17 (100 bp) (25,072)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 82,442 705,000 3/20/17 500 bp (258,674)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B+/P — EUR 425,000 9/20/13 715 bp 10,295
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 535 bp 6,547
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 477 bp 5,751
JPMorgan Chase Bank N.A.
  NA HY Series 20 Index B+/P (85,529) $2,582,000 6/20/18 500 bp (4,924)
Total $(581,810)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
ILS Israeli Shekel
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
PLN Polish Zloty
SEK Swedish Krona
Key to holding's abbreviations
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2012 through June 30, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $360,310,105.
(b) The aggregate identified cost on a tax basis is $484,735,362, resulting in gross unrealized appreciation and depreciation of $8,291,369 and $11,685,184, respectively, or net unrealized depreciation of $3,393,815.
(NON) Non-income-producing security.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliates Market value at the beginning of the reporting period Purchase cost Sale proceeds Capital gain distributions Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $6,987,387 $93,701,638 $100,689,025 $18,125 $—
Putnam Short Term Investment Fund * — 107,096,938 91,082,830 6,778 16,014,108
Totals $6,987,387 $200,798,576 $191,771,855 $24,903 $16,014,108
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $137,763,338 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 83.0%
Russia 2.7
Mexico 1.8
Venezuela 1.7
Argentina 1.2
Brazil 1.0
United Kingdom 0.8
Luxembourg 0.8
Ireland 0.7
Canada 0.6
Ukraine 0.6
Indonesia 0.5
Germany 0.5
Other 4.1
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Futures contracts: The fund used futures contracts to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The 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. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk.
An OTC interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Upfront premiums are recorded as realizes gains and losses at the closing of the contract. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin. Payments received or made are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty. There is minimal counterparty risk with respect to centrally cleared interest rate contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors or industries, and to gain exposure to rates of inflation in specific regions or countries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC credit default contracts to hedge credit risk, and to gain exposure on individual names and/or baskets of securities.
In an OTC credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant OTC credit default contract.
For the fund's average notional amount on OTC credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $9,413,429 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $11,208,064.
TBA purchase commitments: The fund may enter into TBA 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, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
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 the 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 TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Consumer cyclicals $189,875 $188 $72,838
Total common stocks 189,875 188 72,838
Convertible bonds and notes — 118,625 —
Convertible preferred stocks 124,656 394,037 —
Corporate bonds and notes — 108,919,874 —
Foreign government and agency bonds and notes 33,215,537
Mortgage-backed securities — 176,773,404 —
Preferred stocks — 440,065 —
Senior loans — 4,305,099 —
U.S. government and agency mortgage obligations — 118,031,389 —
U.S. treasury obligations — 1,866,835 —
Warrants — 1,600 —
Short-term investments 23,124,108 13,763,417 —
Totals by level $23,438,639 $457,830,070 $72,838



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(1,055,757) $—
Futures contracts (116,528) — —
TBA sale commitments — (30,018,828) —
Interest rate swap contracts — 1,053,407 —
Total return swap contracts — 733,200 —
Credit default contracts — (785,781) —
Totals by level $(116,528) $(30,073,759) $—


At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $180,654 $966,435
Foreign exchange contracts 3,052,567 4,108,324
Equity contracts 1,600 —
Interest rate contracts 30,792,992 29,122,913
Total $34,027,813 $34,197,672


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Futures contracts (number of contracts) 500
Forward currency contracts (contract amount) $329,200,000
OTC interest rate swap contracts (notional) $2,230,300,000
Centrally cleared interest rate swap contracts (notional) $145,300,000
OTC total return swap contracts (notional) $309,700,000
OTC credit default swap contracts (notional) $14,200,000
Warrants (number of warrants) 200

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



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

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

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

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 29, 2013

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 29, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 29, 2013