a_masterinterinc.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2016
Date of reporting period: June 30, 2016



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/16 (Unaudited)
MORTGAGE-BACKED SECURITIES (49.2%)(a)
Principal amount Value
Agency collateralized mortgage obligations (15.5%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 24.014s, 2037 $62,401 $106,139
     IFB Ser. 2979, Class AS, 22.652s, 2034 6,211 6,633
     IFB Ser. 3072, Class SM, 22.176s, 2035 100,838 160,833
     IFB Ser. 3249, Class PS, 20.816s, 2036 62,705 98,489
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 1,783,663 268,798
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 955,714 136,667
     Ser. 4546, Class TI, 4s, 2045 4,041,124 419,267
     Ser. 4462, IO, 4s, 2045 1,592,003 239,788
     Ser. 4425, IO, 4s, 2045 5,413,877 564,234
     Ser. 4452, Class QI, IO, 4s, 2044 3,375,238 505,099
     Ser. 4193, Class PI, IO, 4s, 2043 2,370,925 341,344
     Ser. 4062, Class DI, IO, 4s, 2039 4,817,699 413,438
     Ser. 4501, Class BI, IO, 3 1/2s, 2043 4,566,316 325,761
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 2,981,802 347,010
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 2,722,939 316,885
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,423,754 181,203
     Ser. 304, Class C37, IO, 3 1/2s, 2027 1,748,745 171,331
     Ser. 4165, Class TI, IO, 3s, 2042 6,122,058 598,125
     Ser. 4183, Class MI, IO, 3s, 2042 2,617,484 246,305
     Ser. 4210, Class PI, IO, 3s, 2041 1,775,563 128,590
     FRB Ser. 57, Class 1AX, IO, 0.378s, 2043 1,820,257 19,722
     Ser. 3326, Class WF, zero %, 2035 1,123 953
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 37.18s, 2036 95,259 193,446
     IFB Ser. 07-53, Class SP, 22.538s, 2037 85,039 136,468
     IFB Ser. 08-24, Class SP, 21.621s, 2038 82,743 120,743
     IFB Ser. 05-75, Class GS, 18.89s, 2035 69,579 99,733
     IFB Ser. 05-83, Class QP, 16.215s, 2034 109,600 146,100
     IFB Ser. 13-18, Class SB, IO, 5.697s, 2041 1,504,462 169,252
     Ser. 374, Class 6, IO, 5 1/2s, 2036 157,513 31,602
     Ser. 12-132, Class PI, IO, 5s, 2042 2,211,867 336,500
     Ser. 378, Class 19, IO, 5s, 2035 477,270 74,645
     Ser. 15-16, Class MI, IO, 4 1/2s, 2045 2,573,939 463,309
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 714,904 138,667
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 4,946,600 565,421
     Ser. 409, Class 81, IO, 4 1/2s, 2040 2,375,947 332,207
     Ser. 409, Class 82, IO, 4 1/2s, 2040 2,569,874 357,410
     Ser. 366, Class 22, IO, 4 1/2s, 2035 129,822 5,763
     Ser. 15-88, Class QI, IO, 4s, 2044 3,069,484 400,986
     Ser. 13-41, Class IP, IO, 4s, 2043 1,842,978 283,432
     Ser. 13-44, Class PI, IO, 4s, 2043 1,801,377 246,797
     Ser. 13-60, Class IP, IO, 4s, 2042 1,404,223 194,144
     Ser. 12-96, Class PI, IO, 4s, 2041 1,306,448 137,166
     Ser. 409, Class C16, IO, 4s, 2040 1,729,708 225,557
     Ser. 12-145, Class TI, IO, 3s, 2042 2,692,644 211,103
     Ser. 13-35, Class IP, IO, 3s, 2042 2,377,165 218,031
     Ser. 13-53, Class JI, IO, 3s, 2041 2,035,613 172,824
     Ser. 13-23, Class PI, IO, 3s, 2041 2,185,070 156,320
     FRB Ser. 03-W10, Class 1, IO, 0.66s, 2043 342,070 4,570
     Ser. 99-51, Class N, PO, zero %, 2029 12,359 11,123
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.702s, 2043 978,049 161,261
     Ser. 14-122, Class IC, IO, 5s, 2044 1,376,980 253,833
     Ser. 14-76, IO, 5s, 2044 1,936,317 322,451
     Ser. 15-187, Class KI, IO, 5s, 2043 4,597,757 480,898
     Ser. 13-22, Class IE, IO, 5s, 2043 3,004,175 503,407
     Ser. 13-22, Class OI, IO, 5s, 2043 2,627,872 440,008
     Ser. 13-3, Class IT, IO, 5s, 2043 1,383,429 229,352
     Ser. 13-6, Class IC, IO, 5s, 2043 1,205,432 205,719
     Ser. 12-146, IO, 5s, 2042 1,217,609 207,188
     Ser. 13-6, Class CI, IO, 5s, 2042 888,263 138,409
     Ser. 13-130, Class IB, IO, 5s, 2040 862,952 55,946
     Ser. 13-16, Class IB, IO, 5s, 2040 734,352 25,295
     Ser. 11-41, Class BI, IO, 5s, 2040 528,031 35,136
     Ser. 10-35, Class UI, IO, 5s, 2040 424,203 72,773
     Ser. 10-20, Class UI, IO, 5s, 2040 1,317,625 208,844
     Ser. 10-9, Class UI, IO, 5s, 2040 5,911,017 988,251
     Ser. 09-121, Class UI, IO, 5s, 2039 3,057,887 527,975
     Ser. 15-79, Class GI, IO, 5s, 2039 1,106,600 173,342
     Ser. 14-147, Class IJ, IO, 4 1/2s, 2044 2,692,762 339,961
     Ser. 13-182, Class IQ, IO, 4 1/2s, 2043 2,712,080 461,054
     Ser. 14-100, Class LI, IO, 4 1/2s, 2043 3,769,113 501,179
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 2,578,922 386,039
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 653,045 79,051
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 361,780 13,288
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 160,431 16,670
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 2,492,349 367,173
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 2,364,699 366,103
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 2,625,458 384,380
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 1,604,093 243,275
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 1,136,363 234,329
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 546,030 46,200
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 1,717,351 128,269
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 441,475 12,573
     Ser. 15-186, Class AI, IO, 4s, 2045 6,679,651 915,045
     Ser. 15-53, Class MI, IO, 4s, 2045 2,805,121 596,074
     Ser. 15-40, IO, 4s, 2045 3,129,269 628,992
     Ser. 14-4, Class IC, IO, 4s, 2044 1,356,778 191,539
     Ser. 14-100, Class NI, IO, 4s, 2043 6,366,005 658,627
     Ser. 13-165, Class IL, IO, 4s, 2043 1,124,192 157,882
     Ser. 12-56, Class IB, IO, 4s, 2042 1,055,069 148,751
     Ser. 12-38, Class MI, IO, 4s, 2042 3,284,290 529,486
     Ser. 12-47, Class CI, IO, 4s, 2042 2,601,964 357,641
     Ser. 16-48, Class MI, IO, 3 1/2s, 2046 2,557,349 458,788
     Ser. 15-95, Class PI, IO, 3 1/2s, 2045 4,605,522 374,199
     Ser. 15-64, Class PI, IO, 3 1/2s, 2045 4,429,474 340,361
     Ser. 13-76, IO, 3 1/2s, 2043 4,688,857 449,474
     Ser. 13-28, IO, 3 1/2s, 2043 1,478,522 148,199
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 2,286,421 216,044
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 3,191,280 301,065
     Ser. 13-14, IO, 3 1/2s, 2042 6,858,075 741,015
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 2,356,256 221,441
     Ser. 12-136, Class BI, IO, 3 1/2s, 2042 2,506,831 422,652
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 2,936,224 507,438
     Ser. 12-113, Class ID, IO, 3 1/2s, 2042 1,546,061 287,719
     Ser. 15-52, Class KI, IO, 3 1/2s, 2040 5,126,397 522,616
     Ser. 15-96, Class NI, IO, 3 1/2s, 2039 2,846,680 262,464
     Ser. 15-124, Class DI, IO, 3 1/2s, 2038 2,558,850 324,541
     Ser. 13-H08, IO, 2.923s, 2063 5,766,628 433,074
     Ser. 16-H09, Class BI, IO, 2.236s, 2066 6,120,881 745,009
     Ser. 15-H15, Class BI, IO, 2.23s, 2065 3,355,851 431,036
     Ser. 16-H03, Class AI, IO, 2.051s, 2066 4,734,861 573,444
     Ser. 16-H03, Class DI, IO, 2.042s, 2065 5,184,862 553,448
     Ser. 15-H20, Class CI, IO, 2.04s, 2065 5,566,815 727,360
     Ser. 15-H24, Class AI, IO, 1.985s, 2065 4,984,913 647,540
     Ser. 16-H02, Class HI, IO, 1.859s, 2066 6,366,686 700,335
     Ser. 15-H25, Class EI, IO, 1.843s, 2065 4,792,655 535,819
     Ser. 15-H20, Class AI, IO, 1.833s, 2065 5,223,738 595,506
     Ser. 16-H10, Class AI, IO, 1.82s, 2066 12,930,527 1,242,543
     FRB Ser. 15-H08, Class CI, IO, 1.787s, 2065 2,883,835 299,910
     Ser. 16-H06, Class DI, IO, 1.728s, 2065 7,412,148 839,055
     Ser. 15-H23, Class BI, IO, 1.72s, 2065 5,112,902 545,547
     Ser. 13-H08, Class CI, IO, 1.657s, 2063 5,337,057 412,021
     Ser. 16-H06, Class CI, IO, 1.609s, 2066 6,991,012 625,696
     Ser. 15-H26, Class CI, IO, 0.742s, 2065 16,054,547 433,473
     Ser. 06-36, Class OD, PO, zero %, 2036 3,371 2,971
39,745,405
Commercial mortgage-backed securities (21.9%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 776,000 756,942
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.494s, 2051 69,289,825 263,572
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.573s, 2045 283,488 283,524
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW17, Class AJ, 6.083s, 2050 266,000 263,340
     FRB Ser. 07-T26, Class AJ, 5.566s, 2045 1,335,000 1,214,850
     Ser. 05-PWR7, Class D, 5.304s, 2041 441,000 373,924
     Ser. 05-PWR7, Class B, 5.214s, 2041 653,418 646,884
     Ser. 05-PWR9, Class C, 5.055s, 2042 401,000 388,970
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.562s, 2039 850,000 744,345
     FRB Ser. 06-PW14, Class XW, IO, 0.824s, 2038 14,992,091 64,466
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.326s, 2044 507,000 492,064
     FRB Ser. 07-CD5, Class XS, IO, 0.514s, 2044 23,261,001 33,069
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.823s, 2047 409,000 408,239
     FRB Ser. 11-C2, Class F, 5 1/4s, 2047 1,025,000 912,660
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 301,000 267,752
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 13-GC17, Class D, 5.26s, 2046 600,000 533,987
     FRB Ser. 14-GC21, Class D, 4.996s, 2047 807,000 646,165
     FRB Ser. 13-GC11, Class E, 4.603s, 2046 396,000 308,745
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.956s, 2046 3,279,000 3,230,926
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 6.007s, 2049 962,000 949,627
     Ser. 06-C8, Class AJ, 5.377s, 2046 1,887,000 1,802,085
COMM Mortgage Trust 144A
     FRB Ser. 13-CR11, Class D, 5.337s, 2046 121,000 112,651
     FRB Ser. 13-CR9, Class D, 4.399s, 2045 428,000 412,686
     Ser. 12-LC4, Class E, 4 1/4s, 2044 392,000 320,716
     Ser. 13-LC13, Class E, 3.719s, 2046 574,000 416,035
     Ser. 14-CR18, Class E, 3.6s, 2047 592,000 372,395
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.859s, 2039 16,826,645 109,373
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 653,495 326,747
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, IO, 0.961s, 2020 1,803,225 26,886
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.631s, 2048 2,843,000 2,810,306
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.52s, 2044 1,052,477 1,035,374
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 216,995 210,485
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 1.053s, 2041 4,554,741 60,745
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.557s, 2046 407,000 361,986
     FRB Ser. 13-GC10, Class E, 4.557s, 2046 393,000 285,436
     FRB Ser. 05-GG4, Class XC, IO, 0.673s, 2039 2,362,940 5,435
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.497s, 2046 662,000 530,659
     FRB Ser. 14-GC18, Class D, 5.112s, 2047 1,954,000 1,601,694
     Ser. 11-GC3, Class E, 5s, 2044 577,000 550,981
     FRB Ser. 14-GC26, Class D, 4.661s, 2047 811,000 623,643
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class D, 4.974s, 2047 455,000 379,698
     FRB Ser. 14-C18, Class E, 4.474s, 2047 407,000 285,877
     FRB Ser. 14-C25, Class D, 4.097s, 2047 1,050,000 808,185
     Ser. 14-C25, Class E, 3.332s, 2047 788,000 460,225
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.284s, 2051 1,092,500 1,081,903
     FRB Ser. 06-LDP6, Class B, 5.856s, 2043 368,641 368,641
     Ser. 06-LDP8, Class B, 5.52s, 2045 328,000 303,630
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 375,000 374,625
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.384s, 2051 488,000 492,050
     FRB Ser. 07-CB20, Class C, 6.384s, 2051 534,000 493,427
     FRB Ser. 11-C3, Class F, 5.801s, 2046 410,000 417,175
     Ser. 13-C13, Class E, 3.986s, 2046 763,000 596,208
     Ser. 13-C10, Class E, 3 1/2s, 2047 943,000 696,500
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 541,000 400,881
     FRB Ser. 07-CB20, Class X1, IO, 0.454s, 2051 45,043,284 145,742
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 235,930 240,960
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 99,498 99,438
     FRB Ser. 06-C3, Class C, 5.704s, 2039 1,837,000 1,802,556
     Ser. 06-C6, Class E, 5.541s, 2039 750,000 297,600
     FRB Ser. 06-C6, Class C, 5.482s, 2039 1,200,000 920,280
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.859s, 2039 10,010,774 17,919
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.41s, 2048 443,000 392,152
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.472s, 2051 184,000 190,403
     Ser. 06-C2, Class AJ, 5.802s, 2043 1,014,000 1,008,930
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.321s, 2037 34,295 1,300
     FRB Ser. 07-C5, Class X, IO, 5.886s, 2049 1,002,506 67,268
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 1,105,000 1,090,525
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 388,000 382,219
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.854s, 2047 923,000 739,957
     FRB Ser. 13-C11, Class F, 4.56s, 2046 496,000 383,477
     FRB Ser. 13-C10, Class E, 4.219s, 2046 666,000 519,880
     Ser. 14-C17, Class E, 3 1/2s, 2047 723,000 436,737
     Ser. 15-C24, Class D, 3.257s, 2048 484,000 319,718
     Ser. 14-C19, Class D, 3 1/4s, 2047 550,000 369,955
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,089,180
     FRB Ser. 06-HQ8, Class C, 5.59s, 2044 550,000 550,000
     FRB Ser. 06-HQ8, Class D, 5.59s, 2044 823,000 580,627
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,102,000 760,380
     Ser. 06-HQ10, Class B, 5.448s, 2041 700,000 658,024
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 842,000 837,369
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.477s, 2043 369,000 367,118
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6.097s, 2039 925,009 843,053
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 674,048 674,452
STRIPS CDO 144A FRB Ser. 03-1A, Class N, 1s, 2018 (Cayman Islands) 193,000 38,600
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8s, 2038 613,971 153,493
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.492s, 2046 429,000 386,315
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.254s, 2045 1,920,000 1,494,144
     FRB Ser. 07-C34, IO, 0.456s, 2046 13,405,199 88,474
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.777s, 2045 462,000 393,578
     FRB Ser. 13-LC12, Class D, 4.433s, 2046 188,000 166,232
     Ser. 14-LC18, Class D, 3.957s, 2047 756,000 547,078
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 13-C16, Class D, 5.149s, 2046 399,000 377,614
     FRB Ser. 14-C19, Class E, 5.136s, 2047 1,219,000 873,527
     Ser. 12-C6, Class E, 5s, 2045 534,000 427,787
     FRB Ser. 12-C7, Class E, 4.992s, 2045 372,000 349,796
     Ser. 12-C7, Class F, 4 1/2s, 2045 2,524,000 2,134,042
     Ser. 14-C19, Class D, 4.234s, 2047 681,000 533,297
     Ser. 13-C12, Class E, 3 1/2s, 2048 510,000 387,294
56,057,884
Residential mortgage-backed securities (non-agency) (11.8%)
BCAP, LLC Trust 144A
     FRB Ser. 11-RR3, Class 3A6, 2.589s, 2036 1,201,224 600,612
     FRB Ser. 15-RR5, Class 2A3, 1.48s, 2046 620,000 386,535
     FRB Ser. 12-RR5, Class 4A8, 0.616s, 2035 218,230 202,327
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.378s, 2034 369,904 364,076
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, Class M6, 5.211s, 2034 43,061 23,204
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.746s, 2025 (Bermuda) 484,000 487,630
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A1, 2.145s, 2046 360,489 302,811
     FRB Ser. 05-38, Class A1, 1.937s, 2035 505,027 444,468
     FRB Ser. 06-OA10, Class 1A1, 1.397s, 2046 337,650 237,936
     FRB Ser. 06-OA7, Class 1A2, 1.377s, 2046 900,643 684,489
     FRB Ser. 05-38, Class A3, 0.803s, 2035 1,194,786 1,015,670
     FRB Ser. 05-59, Class 1A1, 0.778s, 2035 636,925 515,909
     FRB Ser. 06-OC2, Class 2A3, 0.743s, 2036 416,608 291,626
     FRB Ser. 06-OA10, Class 4A1, 0.643s, 2046 4,844,012 3,390,808
CSMC Trust 144A
     FRB Ser. 10-18R, Class 6A4, 3.097s, 2036 2,000,000 1,767,381
     FRB Ser. 09-13R, Class 3A2, 2.589s, 2036 981,064 544,490
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 16-HQA1, Class B, 13.203s, 2028 250,000 266,528
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.953s, 2025 992,315 1,065,151
     Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA2, Class B, 10.953s, 2028 250,000 252,500
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA2, Class B, 10.953s, 2028 326,000 307,094
     Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA1, Class B, 10.453s, 2028 900,000 862,740
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA3, Class B, 9.803s, 2028 663,958 627,750
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA2, Class B, 8.003s, 2027 590,947 565,046
     Structured Agency Credit Risk FRB Ser. 16-HQA2, Class M3, 5.603s, 2028 490,000 486,427
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, 13.203s, 2028 300,000 321,750
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 12.703s, 2028 1,030,000 1,135,472
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.203s, 2028 570,000 613,041
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.203s, 2028 800,000 861,260
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 6.353s, 2028 1,870,000 1,940,293
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.153s, 2028 2,479,000 2,550,515
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.003s, 2028 100,000 102,261
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.453s, 2025 1,316,000 1,326,038
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 5.453s, 2025 720,000 729,481
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.003s, 2025 438,473 445,489
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.453s, 2025 64,000 63,816
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.453s, 2025 130,000 129,959
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 0.633s, 2036 777,560 385,592
MortgageIT Trust FRB Ser. 05-3, Class M2, 0.983s, 2035 266,981 234,286
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 199,105 199,097
Nomura Resecuritization Trust 144A FRB Ser. 15-4R, Class 1A14, 0.59s, 2047 500,000 250,000
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 2.503s, 2035 195,005 188,550
     FRB Ser. 05-AR19, Class A1C3, 0.953s, 2045 921,375 775,060
     FRB Ser. 05-AR13, Class A1C3, 0.943s, 2045 2,207,168 1,853,363
     FRB Ser. 05-AR19, Class A1C4, 0.853s, 2045 480,157 393,729
30,192,260
Total mortgage-backed securities (cost $137,179,081) $125,995,549

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (47.2%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (5.8%)
Government National Mortgage Association Pass-Through Certificates
     3 1/2s, TBA, August 1, 2046 $5,000,000 $5,298,633
     3 1/2s, TBA, July 1, 2046 9,000,000 9,550,547
14,849,180
U.S. Government Agency Mortgage Obligations (41.4%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, July 1, 2046 3,000,000 3,372,188
     4 1/2s, TBA, July 1, 2046 3,000,000 3,275,156
     4s, TBA, August 1, 2046 1,000,000 1,071,328
     4s, TBA, July 1, 2046 1,000,000 1,072,188
     3 1/2s, TBA, August 1, 2046 7,000,000 7,375,976
     3 1/2s, TBA, July 1, 2046 40,000,000 42,196,876
     3s, TBA, August 1, 2046 14,000,000 14,500,391
     3s, TBA, July 1, 2046 32,000,000 33,202,499
106,066,602
Total U.S. government and agency mortgage obligations (cost $119,726,172) $120,915,782

U.S. GOVERNMENT AGENCY OBLIGATIONS (0.1%)(a)
Principal amount Value
Federal National Mortgage Association unsec. notes zero %, June 1, 2017(i) $145,000 $144,127
Total U.S. government agency obligations (cost $144,127) $144,127

CORPORATE BONDS AND NOTES (34.3%)(a)
Principal amount Value
Basic materials (3.2%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $180,000 $179,730
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) 256,000 301,440
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 86,000 85,463
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 228,000 238,830
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 93,000 107,648
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 343,000 349,860
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 333,000 362,138
Builders FirstSource, Inc. 144A sr. notes 7 5/8s, 2021 14,000 14,630
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany) 153,000 170,978
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 18,000 19,103
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 490,000 475,300
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 200,000 213,250
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 211,000 196,758
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 305,000 296,613
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021 83,000 83,000
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 238,000 183,855
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 93,000 91,169
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 150,000 144,750
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55s, 2022 (Indonesia) 16,000 14,080
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2023 280,000 312,900
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 298,000 312,125
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 285,000 238,688
Huntsman International, LLC company guaranty sr. unsec. notes 5 1/8s, 2022 112,000 110,880
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 178,000 178,890
Joseph T Ryerson & Son, Inc. 144A sr. notes 11s, 2022 140,000 144,900
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020 229,000 236,729
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 262,000 262,000
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada) 80,000 78,000
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 140,000 143,150
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 322,000 335,685
Pactiv LLC sr. unsec. unsub. bonds 8 3/8s, 2027 20,000 21,000
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 400,000 396,000
PQ Corp. 144A company guaranty sr. notes 6 3/4s, 2022 45,000 46,913
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 124,000 141,050
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 110,000 113,850
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2024 60,000 61,575
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2022 54,000 55,553
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 45,000 46,856
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland) 119,000 138,784
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 125,000 131,250
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 50,000 51,125
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 20,000 20,400
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 30,000 30,713
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021 201,000 141,203
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 135,000 133,313
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 125,000 130,781
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 115,000 120,463
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023 55,000 48,400
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 216,000 221,400
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 116,000 119,190
8,052,361
Capital goods (2.0%)
Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 485,000 489,850
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 218,000 241,980
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024 120,000 117,600
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022 190,000 190,000
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2024 (Ireland) 280,000 286,300
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 185,000 188,469
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 255,000 246,713
Berry Plastics Corp. company guaranty notes 6s, 2022 70,000 72,363
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 107,494
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 67,000 67,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 235,000 256,150
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg) 105,000 109,988
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 364,000 318,500
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 234,000 229,320
Manitowoc Foodservice, Inc. 144A sr. unsec. notes 9 1/2s, 2024 235,000 262,613
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 215,000 199,413
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 235,000 237,938
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025 95,000 97,613
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 402,000 414,060
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7s, 2024 144,000 148,248
Terex Corp. company guaranty sr. unsec. notes 6s, 2021 127,000 127,159
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8 3/4s, 2023 160,000 156,800
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 45,000 47,700
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024 150,000 152,157
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 235,000 238,083
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 150,000 152,063
5,155,574
Communication services (4.2%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 200,000 197,000
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg) 480,000 484,800
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 265,000 279,906
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 153,827
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 198,000 202,455
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5 1/2s, 2026 105,000 106,575
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 249,000 258,338
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5 3/4s, 2026 49,000 50,470
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2023 360,000 362,025
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 152,000 149,340
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 40,000 41,500
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 210,000 199,500
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 165,000 157,163
Crown Castle International Corp. sr. unsec. notes 4 7/8s, 2022(R) 85,000 93,288
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 109,000 99,190
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 120,000 122,400
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 170,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 132,000 122,760
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 238,000 242,760
Frontier Communications Corp. sr. unsec. notes 11s, 2025 151,000 156,285
Frontier Communications Corp. sr. unsec. notes 10 1/2s, 2022 197,000 208,451
Frontier Communications Corp. sr. unsec. notes 8 7/8s, 2020 63,000 67,253
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 80,000 75,421
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 50,000 44,375
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 117,000 80,730
Intelsat Jackson Holdings SA company guaranty sr. unsec. unsub. bonds 6 5/8s, 2022 (Bermuda) 80,000 54,000
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 13,000 3,185
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg) 57,000 14,108
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 60,000 60,750
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 65,000 67,729
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 75,000 75,281
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 205,000 207,050
Numericable-SFR SA 144A company guaranty sr. notes 6s, 2022 (France) 600,000 586,500
Numericable-SFR SA 144A sr. bonds 6 1/4s, 2024 (France) 200,000 190,000
Numericable-SFR SA 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 111,807
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $40,000 40,600
Sprint Communications, Inc. sr. unsec. notes 7s, 2020 105,000 93,319
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 286,000 304,590
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023 753,000 615,578
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021 290,000 247,225
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023 282,000 299,625
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025 140,000 146,300
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 206,000 215,270
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023 156,000 161,460
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 75,000 76,219
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 190,000 199,263
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 295,000 357,946
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 84,000 98,302
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 90,720 106,151
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 190,350 220,603
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $363,000 375,705
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 211,500 289,457
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022 $286,000 265,980
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 391,000 404,685
Wind Acquisition Finance SA 144A company guaranty notes 7 3/8s, 2021 (Luxembourg) 200,000 190,500
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 125,000 136,822
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021 $56,000 52,780
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023 371,000 311,640
10,706,242
Consumer cyclicals (5.2%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 110,000 110,550
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025 105,000 104,475
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 164,000 168,920
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 249,000 218,498
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 219,000 239,371
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 102,000 93,840
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 98,000 40,180
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 150,000 159,750
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 235,000 234,413
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 120,000 114,750
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 243,000 258,188
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024 85,000 87,550
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 100,000 102,456
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 72,000 73,260
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023 25,000 24,750
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020 136,000 129,200
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 362,000 362,000
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 65,000 69,063
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020 45,000 46,350
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7s, 2023 230,000 238,625
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5 1/4s, 2023 (Italy) 200,000 198,750
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 134,000 74,538
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020 175,000 181,344
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2026 70,000 72,100
Goodyear Tire & Rubber Co. (The) company guaranty sr. unsec. notes 5s, 2026 55,000 56,031
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 266,000 277,305
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 205,271
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4 5/8s, 2024 $145,000 145,363
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 357,000 359,678
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 288,000 216,000
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 122,000 126,575
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 173,000 179,001
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 31,000 29,140
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 120,000 105,000
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 332,000 317,890
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 197,000 222,118
L Brands, Inc. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 85,000 91,375
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 55,000 57,200
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 80,000 82,800
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025 25,000 26,219
Lear Corp. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 55,000 57,888
Lennar Corp. company guaranty sr. unsec. notes 4 1/2s, 2019 85,000 88,222
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 249,000 253,046
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2021 105,000 109,200
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 73,000 73,365
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 80,000 83,000
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 234,000 224,640
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 175,000 191,188
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 28,000 29,400
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 147,000 158,760
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 113,000 79,383
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK) 425,000 323,000
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021 95,000 77,425
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg) 258,000 267,030
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021 267,000 277,013
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025 135,000 139,050
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024 94,000 96,585
Owens Corning company guaranty sr. unsec. notes 4.2s, 2024 129,000 134,931
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021 222,000 225,885
Penske Automotive Group, Inc. company guarantee sr. unsec. sub. notes 5 1/2s, 2026 57,000 54,150
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 192,000 192,000
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 124,000 119,660
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2026 180,000 184,500
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2025 180,000 177,750
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023 134,000 135,005
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022 8,000 8,180
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 32,000 32,800
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 240,000 248,700
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 155,000 158,488
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 530,000 430,625
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 50,000 31,625
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 150,000 150,750
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 98,000 102,900
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 19,000 19,570
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 218,000 222,905
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 117,000 120,949
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 295,000 304,219
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5 3/4s, 2025 105,000 109,331
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2022 10,000 10,600
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020 10,000 10,438
Standard Industries, Inc. 144A sr. unsec. notes 6s, 2025 45,000 47,025
Standard Industries, Inc. 144A sr. unsec. notes 5 3/8s, 2024 220,000 223,850
Standard Industries, Inc./NJ 144A sr. unsec. notes 5 1/8s, 2021 20,000 20,550
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 183,000 181,170
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 326,000 325,185
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 70,000 68,338
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021 233,000 238,825
Tempur Sealy International, Inc. 144A company guaranty sr. unsec. unsub. bonds 5 1/2s, 2026 80,000 78,600
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 250,000 256,333
Tribune Media Co. company guaranty sr. unsec. notes 5 7/8s, 2022 $185,000 184,075
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 44,000 45,980
13,283,974
Consumer staples (1.9%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada) 340,000 352,645
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 125,000 126,875
Ashtead Capital, Inc. 144A company guaranty notes 6 1/2s, 2022 455,000 473,482
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 200,500
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 170,000 167,450
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 70,000 67,550
BlueLine Rental Finance Corp. 144A notes 7s, 2019 234,000 201,240
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022 105,000 101,588
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 402,000 399,990
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 50,000 51,938
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 255,000 263,543
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 100,575
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 247,000 248,853
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R) 123,000 126,536
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 145,000 149,531
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 200,000 196,000
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 350,000 362,250
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 67,000 69,345
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5 1/4s, 2026 130,000 133,250
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5s, 2024 130,000 132,275
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 34,000 34,340
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 86,000 85,785
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 140,000 141,050
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021 240,000 231,600
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 240,000 256,200
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 48,000 25,680
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022 195,000 208,650
4,908,721
Energy (7.4%)
Antero Resources Corp. company guaranty sr. unsec. notes 5 5/8s, 2023 78,000 75,660
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 90,000 86,400
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 192,000 187,680
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 150,000 132,750
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021 65,000 58,175
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada) 125,000 100,625
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada) 18,000 15,066
California Resources Corp. 144A company guaranty notes 8s, 2022 316,000 224,360
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) (In default)(NON) 90,000 40,050
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 187,000 158,483
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023 193,000 193,483
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 88,440
Continental Resources, Inc. company guaranty sr. unsec. notes 3.8s, 2024 110,000 95,975
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 35,000 24,150
Denbury Resources, Inc. 144A company guaranty notes 9s, 2021 198,000 198,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 80,000 48,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020 349,000 246,918
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 647,000 746,630
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020 170,000 38,250
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 357,000 71,400
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 60,000 56,700
Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 (In default)(NON) 28,000 11,200
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 189,000 189,473
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) (In default)(NON) 149,000 10,430
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 (In default)(NON) 440,000 150,700
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada)(F) 80,000 4
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7s, 2024 (Canada) 47,000 36,190
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 92,000 71,300
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2017 (In default)(NON) 225,000 79,313
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022 329,000 331,468
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 105,000 102,113
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 86,000 77,830
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 285,000 263,269
Pertamina Persero PT 144A sr. unsec. unsub. notes 4 7/8s, 2022 (Indonesia) 925,000 973,107
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 203,325
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8 3/8s, 2021 (Brazil) 422,000 434,660
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 (Brazil) 390,000 402,188
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 1/4s, 2024 (Brazil) 2,398,000 2,125,228
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5 3/8s, 2021 (Brazil) 625,000 572,469
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 2,724,000 2,455,005
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8 1/2s, 2017 (Venezuela) 2,468,000 1,727,600
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8s, 2019 (Mexico) 1,535,000 1,710,082
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4 1/2s, 2026 (Mexico) 2,285,000 2,199,084
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2023 84,000 73,080
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 26,000 22,880
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 100,000 102,250
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 100,000 99,250
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023 100,000 100,375
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020 75,000 78,047
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON) 415,000 8,300
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 (In default)(NON) 205,000 84,050
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada) 155,000 160,619
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 (In default)(NON) 20,000 1,200
SM Energy Co. sr. unsec. sub. notes 5s, 2024 91,000 77,805
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 115,000 106,375
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 46,000 33,113
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $55,000 52,525
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) (In default)(NON) 45,000 11,475
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022 30,000 6,900
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021 48,000 37,080
Williams Cos., Inc. (The) sr. unsec. sub. notes 4.55s, 2024 31,000 28,474
Williams Cos., Inc. (The) sr. unsec. unsub. notes 3.7s, 2023 125,000 110,625
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 148,756
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023 203,000 195,895
WPX Energy, Inc. sr. unsec. notes 7 1/2s, 2020 185,000 184,652
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 241,000 224,130
18,961,089
Financials (4.5%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 336,000 321,720
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 629,975
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 95,000 95,238
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 75,000 78,102
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 137,000 141,833
CIT Group, Inc. sr. unsec. notes 3 7/8s, 2019 65,000 65,325
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023 110,000 111,375
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 140,738
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022 130,000 132,275
CIT Group, Inc. 144A sr. unsec. notes 6 5/8s, 2018 205,000 216,275
CIT Group, Inc. 144A sr. unsec. notes 5 1/2s, 2019 165,000 172,631
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 195,000 200,850
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 100,000 103,500
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021 344,000 327,660
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 96,000
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 119,000 125,545
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 160,000 162,000
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2025(R) 160,000 155,800
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK) 68,000 65,280
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 205,000 196,800
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 215,000 202,665
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 15,000 16,163
iStar, Inc. sr. unsec. notes 5s, 2019(R) 55,000 51,288
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R) 215,000 224,138
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2021(R) 75,000 77,438
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020 80,000 75,000
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 213,000 182,115
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019 41,000 27,880
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019 102,000 99,450
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 118,000 114,460
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 43,000 42,140
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 50,000 44,438
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 245,000 233,056
Royal Bank of Scotland Group PLC unsec. sub. bonds 5 1/8s, 2024 (United Kingdom) 100,000 97,510
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7 3/4s, 2018 (Russia) 2,750,000 2,964,302
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6 1/8s, 2022 (Russia) 325,000 359,125
Sberbank of Russia Via SB Capital SA 144A sr. unsec. unsub. notes 4.95s, 2017 (Russia) 500,000 508,721
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6s, 2020 590,000 552,388
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019 105,000 97,781
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 185,000 171,819
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018 70,000 56,000
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 156,000 158,535
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 199,000 197,010
VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4 7/8s, 2026(R) 25,000 25,688
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 1,047,471
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 200,000 209,000
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021 61,000 29,966
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 91,000 89,863
11,494,332
Health care (2.5%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021 195,000 200,363
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 85,000 82,450
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 192,000 171,840
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 130,000 132,600
Centene Escrow Corp. 144A sr. unsec. notes 6 1/8s, 2024 175,000 186,047
Centene Escrow Corp. 144A sr. unsec. notes 5 5/8s, 2021 55,000 57,338
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 183,000 160,125
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 274,000 232,215
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 240,000 198,000
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands) 208,000 213,720
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 165,000 143,550
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland) 400,000 352,000
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 158,000 154,050
HCA, Inc. company guaranty sr. bonds 5 1/4s, 2026 113,000 117,308
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 758,000 841,380
HCA, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2022 55,000 62,563
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025 50,000 51,250
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 160,000 163,600
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018 5,000 4,988
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7 7/8s, 2021 160,000 170,099
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 143,000 127,628
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 70,000 70,875
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 120,000 119,700
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R) 130,000 135,248
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022 249,000 256,470
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024 498,000 516,675
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 96,000 97,200
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 35,000 35,263
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 98,000 97,265
Tenet Healthcare Corp. company guaranty sr. FRN 4.153s, 2020 170,000 167,875
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 355,000 374,525
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020 231,000 243,705
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 7s, 2020 30,000 26,475
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 23,000 19,780
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025 160,000 128,400
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023 179,000 144,543
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 35,000 28,875
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 85,000 68,266
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020 124,000 105,943
6,460,197
Technology (1.4%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 54,000 11,880
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 466,000 333,190
Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc. company guaranty sr. unsec. notes 5 3/4s, 2023 161,000 168,446
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 121,000 124,025
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45s, 2023 195,000 202,327
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023 200,000 202,500
First Data Corp. 144A notes 5 3/4s, 2024 190,000 188,575
First Data Corp. 144A sr. notes 5 3/8s, 2023 165,000 167,559
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 6s, 2022 110,000 115,995
Infor US, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 438,000 413,638
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 57,000 59,708
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R) 185,000 194,713
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 75,000 78,469
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 185,000 173,900
Micron Technology, Inc. 144A sr. notes 7 1/2s, 2023 39,000 41,438
NXP BV/NXP Funding, LLC 144A Company guaranty sr. unsec. notes 4 5/8s, 2023 (Netherlands) 215,000 218,763
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 125,000 61,250
Techem Energy Metering Service GmbH & Co. KG 144A company guaranty sr. unsec. sub. notes 7 7/8s, 2020 (Germany) EUR 200,000 233,099
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 265,000 308,911
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 $217,000 230,020
3,528,406
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 205,000 195,263
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 385,000 381,150
576,413
Utilities and power (1.8%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 665,000 666,663
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023 70,000 68,600
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 152,213
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95s, 2026 60,000 63,007
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025 340,000 330,650
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 45,000 47,138
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024 35,000 36,400
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 350,000 352,657
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 20,000 19,300
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 428,000 428,535
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 10,000 9,600
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8 5/8s, 2022 247,000 291,084
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 138,850 162,801
Energy Transfer Equity LP company guaranty sr. notes 7 1/2s, 2020 150,000 159,000
Energy Transfer Equity LP sr. sub. notes 5 7/8s, 2024 90,000 87,525
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 35,775
GenOn Energy, Inc. sr. unsec. sub. notes 9 7/8s, 2020 190,000 134,900
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2020 150,000 155,625
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 45,000 44,325
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021 595,000 615,825
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2026 147,000 146,265
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022 85,000 87,219
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 170,000 181,839
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 121,067
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 194,025
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 90,000 30,600
4,622,638
Total corporate bonds and notes (cost $91,515,749) $87,749,947

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.7%)(a)
Principal amount Value
Argentina (Republic of) 144A sr. unsec. notes 7 1/2s, 2026 (Argentina) $908,000 $983,742
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 420,000 441,525
Brazil (Federal Republic of) sr. unsec. unsub. notes 10s, 2017 (Brazil) (units) BRL 2,850 871,231
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $725,000 815,625
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 848,092 945,623
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina) 1,850,000 1,993,375
Cordoba (Province of) 144A sr. unsec. unsub. notes 7 1/8s, 2021 (Argentina) 1,295,000 1,298,238
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 265,000 289,102
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 1/4s, 2017 (Croatia) 225,000 232,228
Croatia (Republic of) 144A sr. unsec. unsub. notes 6s, 2024 (Croatia) 200,000 218,088
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5 1/2s, 2025 (Dominican Republic) 725,000 737,688
Gabon (Republic of) 144A sr. unsec. bonds 6.95s, 2025 (Gabon) 322,000 280,781
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 132,000 140,023
Hellenic (Republic of) sr. unsec. unsub. bonds 4 3/4s, 2019 (Greece) EUR 484,000 483,531
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2026 (Greece)(STP) EUR 241,000 185,685
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2025 (Greece)(STP) EUR 281,000 219,978
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 7,880,992 6,307,302
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 4,788,000 3,927,620
Indonesia (Republic of) 144A sr. unsec. notes 4 3/4s, 2026 (Indonesia) $200,000 215,011
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3 3/8s, 2023 (Indonesia) 560,000 564,030
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 200,000 213,730
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2027 (Ukraine) 168,000 158,794
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,285,000 742,730
Total foreign government and agency bonds and notes (cost $24,266,175) $22,265,680

SENIOR LOANS (1.8%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $233,801 $219,968
Asurion, LLC bank term loan FRN 8 1/2s, 2021 139,000 133,730
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 136,799 99,692
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 220,457 154,687
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 851,175 849,047
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 10 3/4s, 2017 69,650 69,940
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 254,800 238,238
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 37,010 36,363
Dell International, LLC bank term loan FRN Ser. B2, 4s, 2020 62,560 62,427
DPx Holdings BV bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 117,600 114,248
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 90,670 85,995
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 208,146 154,548
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.938s, 2019 323,000 235,655
Jeld-Wen, Inc. bank term loan FRN 4s, 2021 158,791 158,592
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 104,213 104,082
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term loan FRN Ser. B , 6s, 2022 270,000 265,410
MEG Energy Corp. bank term loan FRN Ser. B, 3 3/4s, 2020 (Canada) 129,661 113,129
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 164,175 154,598
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 282,641 253,406
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 78,600 73,949
Petco Animal Supplies, Inc. bank term loan FRN Ser. B1, 5s, 2023 149,625 148,814
ROC Finance, LLC bank term loan FRN 5s, 2019 339,874 322,880
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 59,961 55,614
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 118,001 114,313
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.676s, 2017 496,516 164,781
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.676s, 2017 5,096 1,691
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 101,908 98,749
Total senior loans (cost $5,141,959) $4,484,546

PURCHASED SWAP OPTIONS OUTSTANDING (0.1%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Credit Suisse International
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 $3,987,800 $24,641
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 3,987,800 6,181
Goldman Sachs International
     1.4825/3 month USD-LIBOR-BBA/Jul-26 Jul-16/1.4825 18,819,400 213,224
     1.3275/3 month USD-LIBOR-BBA/Jul-26 Jul-16/1.3275 11,081,000 42,551
     2.089/6 month AUD-BBR-BBSW/Jul-26 Jul-16/2.089 AUD 6,296,000 14,556
     (1.65)/3 month USD-LIBOR-BBA/Jul-26 Jul-16/1.65 18,819,400 12,985
     (1.73)/3 month USD-LIBOR-BBA/Jul-26 Jul-16/1.73 18,819,400 4,893
     (1.82)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.82 21,360,800 21
     (1.306)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.306 21,360,800 21
JPMorgan Chase Bank N.A.
     (1.15)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.15 21,360,800 214
Total purchased swap options outstanding (cost $802,340) $319,287

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
EUR/USD (Put) Jul-16/$1.10 EUR 9,181,100 $53,389
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/102.80 $10,000,000 33,400
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/102.70 10,000,000 30,600
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/102.52 10,000,000 25,700
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/102.42 10,000,000 23,600
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.78 10,000,000 12,600
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.59 10,000,000 10,500
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.48 10,000,000 9,400
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.30 10,000,000 7,800
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/101.52 10,000,000 1,700
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/101.39 10,000,000 1,400
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/101.98 10,000,000 10
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/102.03 10,000,000 10
USD/CAD (Call) Jul-16/ CAD 1.32 5,053,000 13,997
Total purchased options outstanding (cost $1,081,160) $224,106

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $100,000 $100,813
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 69,000 45,928
Total convertible bonds and notes (cost $155,715) $146,741

COMMON STOCKS (0.0%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 9,978 $100
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 9,978 100
Tribune Media Co. Class 1C(F) 40,066 10,017
Total common stocks (cost $65,186) $10,217

SHORT-TERM INVESTMENTS (6.9%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.47%(AFF) Shares 7,564,651 $7,564,651
SSgA Prime Money Market Fund Class N 0.39%(P) Shares 40,000 40,000
U.S. Treasury Bills 0.27%, August 18, 2016(SEG)(SEGSF)(SEGCCS) $3,441,000 3,439,947
U.S. Treasury Bills 0.20%, August 11, 2016(SEGSF)(SEGCCS) 2,654,000 2,653,384
U.S. Treasury Bills 0.20%, August 4, 2016(SEGCCS) 832,000 831,831
U.S. Treasury Bills 0.24%, July 21, 2016 99,000 98,990
U.S. Treasury Bills 0.23%, July 14, 2016(SEGSF)(SEGCCS) 2,696,000 2,695,879
U.S. Treasury Bills 0.22%, July 7, 2016(SEGSF) 260,000 259,997
Total short-term investments (cost $17,584,448) $17,584,679

TOTAL INVESTMENTS
Total investments (cost $397,662,112)(b) $379,840,661









FORWARD CURRENCY CONTRACTS at 6/30/16 (aggregate face value $142,902,576) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/21/16 $2,755,954 $2,679,565 $76,389
British Pound Sell 9/21/16 1,173,435 1,207,224 33,789
Canadian Dollar Sell 7/21/16 147,694 157,283 9,589
Chilean Peso Buy 7/21/16 297,503 292,149 5,354
Chilean Peso Sell 7/21/16 297,503 290,086 (7,417)
Euro Buy 9/21/16 603,744 635,158 (31,414)
Hong Kong Dollar Sell 8/18/16 1,310,240 1,310,100 (140)
Japanese Yen Sell 8/18/16 79,593 94,091 14,498
Malaysian Ringgit Buy 8/18/16 1,302,061 1,296,955 5,106
New Zealand Dollar Buy 7/21/16 2,214,372 2,148,712 65,660
Swedish Krona Sell 9/21/16 1,248,917 1,320,232 71,315
Barclays Bank PLC
Australian Dollar Buy 7/21/16 1,464,475 1,485,021 (20,546)
British Pound Sell 9/21/16 2,444,789 2,515,146 70,357
Canadian Dollar Sell 7/21/16 1,437,069 1,448,636 11,567
Euro Buy 9/21/16 2,561,099 2,568,226 (7,127)
Japanese Yen Sell 8/18/16 1,251,662 1,283,034 31,372
New Zealand Dollar Sell 7/21/16 666,830 638,548 (28,282)
Norwegian Krone Buy 9/21/16 459,568 460,737 (1,169)
Swedish Krona Buy 9/21/16 1,264,856 1,290,757 (25,901)
Swedish Krona Sell 9/21/16 1,286,962 1,271,033 (15,929)
Swiss Franc Buy 9/21/16 91,549 97,126 (5,577)
Citibank, N.A.
Australian Dollar Buy 7/21/16 1,297,814 1,267,701 30,113
Brazilian Real Sell 10/3/16 196,979 183,036 (13,943)
British Pound Buy 9/21/16 1,778,137 1,926,060 (147,923)
Canadian Dollar Sell 7/21/16 1,657,062 1,657,552 490
Euro Sell 9/21/16 1,946,782 1,971,295 24,513
Mexican Peso Buy 7/21/16 109,018 112,434 (3,416)
New Zealand Dollar Buy 7/21/16 2,277,937 2,197,724 80,213
South African Rand Buy 7/21/16 1,269,327 1,245,101 24,226
Credit Suisse International
Australian Dollar Buy 7/21/16 1,313,318 1,355,272 (41,954)
Australian Dollar Sell 7/21/16 1,335,084 1,334,328 (756)
British Pound Sell 9/21/16 1,271,354 1,291,302 19,948
Canadian Dollar Sell 7/21/16 3,175,254 3,129,433 (45,821)
Hong Kong Dollar Sell 8/18/16 1,001,332 1,001,251 (81)
Japanese Yen Sell 8/18/16 1,368,005 1,287,166 (80,839)
New Zealand Dollar Buy 7/21/16 2,877,707 2,807,021 70,686
Norwegian Krone Sell 9/21/16 3,447,469 3,459,380 11,911
Swedish Krona Sell 9/21/16 5,062,615 5,168,975 106,360
Deutsche Bank AG
Australian Dollar Sell 7/21/16 657,031 639,636 (17,395)
Euro Buy 9/21/16 175,058 169,546 5,512
Japanese Yen Sell 8/18/16 136,390 68,975 (67,415)
Goldman Sachs International
Australian Dollar Buy 7/21/16 2,258,430 2,300,028 (41,598)
British Pound Sell 9/21/16 2,420,276 2,522,226 101,950
Canadian Dollar Buy 7/21/16 1,295,336 1,226,112 69,224
Euro Buy 9/21/16 3,714,723 3,755,676 (40,953)
Indonesian Rupiah Buy 8/18/16 1,289,202 1,269,947 19,255
Japanese Yen Sell 8/18/16 2,969,224 2,986,061 16,837
New Zealand Dollar Buy 7/21/16 2,182,697 2,064,126 118,571
South Korean Won Buy 8/18/16 343 21,033 (20,690)
Swedish Krona Sell 9/21/16 3,247,742 3,263,407 15,665
HSBC Bank USA, National Association
Australian Dollar Buy 7/21/16 1,327,777 1,296,592 31,185
British Pound Sell 9/21/16 1,271,354 1,291,326 19,972
Canadian Dollar Sell 7/21/16 739,319 732,526 (6,793)
Euro Sell 9/21/16 3,155,939 3,176,599 20,660
Hong Kong Dollar Sell 8/18/16 1,308,537 1,308,533 (4)
Polish Zloty Sell 9/21/16 42,659 52,744 10,085
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/21/16 649,504 720,505 (71,001)
British Pound Sell 9/21/16 3,578,657 3,691,156 112,499
Canadian Dollar Buy 7/21/16 1,310,044 1,311,431 (1,387)
Euro Buy 9/21/16 2,689,416 2,730,091 (40,675)
Hong Kong Dollar Sell 8/18/16 1,337,543 1,337,417 (126)
Indonesian Rupiah Buy 11/16/16 1,256,567 1,263,473 (6,906)
Japanese Yen Sell 8/18/16 1,399,874 1,380,611 (19,263)
New Zealand Dollar Buy 7/21/16 2,154,731 2,027,070 127,661
Norwegian Krone Buy 9/21/16 1,926,493 1,962,066 (35,573)
Russian Ruble Buy 9/21/16 1,275,678 1,244,921 30,757
Swedish Krona Sell 9/21/16 6,582,686 6,728,667 145,981
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 7/21/16 1,464,923 1,364,790 (100,133)
British Pound Sell 9/21/16 1,078,180 1,076,872 (1,308)
Canadian Dollar Sell 7/21/16 2,707,868 2,708,176 308
Euro Sell 9/21/16 4,893,053 4,946,117 53,064
Japanese Yen Sell 8/18/16 1,274,125 1,282,513 8,388
New Zealand Dollar Buy 7/21/16 3,093,158 3,027,044 66,114
Norwegian Krone Sell 9/21/16 2,693,564 2,677,565 (15,999)
State Street Bank and Trust Co.
Australian Dollar Buy 7/21/16 1,234,161 1,287,820 (53,659)
Australian Dollar Sell 7/21/16 1,307,951 1,281,204 (26,747)
Brazilian Real Sell 10/3/16 682,246 634,760 (47,486)
British Pound Sell 9/21/16 1,173,435 1,221,449 48,014
Canadian Dollar Buy 7/21/16 1,935,187 1,965,217 (30,030)
Singapore Dollar Sell 8/18/16 1,320,377 1,310,903 (9,474)
UBS AG
Australian Dollar Buy 7/21/16 1,310,187 1,260,061 50,126
Canadian Dollar Sell 7/21/16 1,463,543 1,458,078 (5,465)
Euro Sell 9/21/16 1,268,697 1,298,965 30,268
Japanese Yen Buy 8/18/16 1,332,884 1,319,777 13,107
Japanese Yen Sell 8/18/16 1,362,349 1,313,347 (49,002)
New Zealand Dollar Buy 7/21/16 1,338,583 1,281,006 57,577
WestPac Banking Corp.
Canadian Dollar Buy 7/21/16 1,139,051 1,123,081 15,970
Mexican Peso Buy 7/21/16 1,993 1,946 47
Mexican Peso Sell 7/21/16 1,993 1,924 (69)
New Zealand Dollar Buy 7/21/16 661,479 632,610 28,869
Total $793,736












FUTURES CONTRACTS OUTSTANDING at 6/30/16 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
U.S. Treasury Bond 30 yr (Long) 29 $4,997,969             Sep-16 $271,817
U.S. Treasury Bond Ultra 30 yr (Long) 22 4,100,250             Sep-16 254,503
U.S. Treasury Note 5 yr (Long) 3 366,492             Sep-16 6,697
U.S. Treasury Note 10 yr (Short) 68 $9,042,938             Sep-16 (244,509)
U.S. Treasury Note Ultra 10 yr (Short) 10 1,456,719             Sep-16 (47,911)
Total $240,597












WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/16 (premiums $1,923,221) (Unaudited)


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

Credit Suisse International
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 $3,987,800 $69,164

Goldman Sachs International
1.65875/3 month USD-LIBOR-BBA/Jul-26 Jul-16/1.65875 18,819,400 2,258
(1.215)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.215 21,360,800 24,138
(0.901)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/0.901 21,360,800 25,633
1.57/3 month USD-LIBOR-BBA/Jul-26 Jul-16/1.57 18,819,400 30,111
(0.7325)/3 month USD-LIBOR-BBA/Jul-18 Jul-16/0.7325 51,940,000 39,995

JPMorgan Chase Bank N.A.
1.41/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.41 21,360,800 21
1.28/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.28 21,360,800 21
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 6,568,000 613,484
Total $804,825












WRITTEN OPTIONS OUTSTANDING at 6/30/16 (premiums $984,375) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/$102.18 $10,000,000 $18,700
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/102.09 10,000,000 17,100
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.90 10,000,000 14,200
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.80 10,000,000 12,900
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.56 10,000,000 10,200
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.47 10,000,000 9,300
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.28 10,000,000 7,700
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.19 10,000,000 7,000
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/101.04 10,000,000 6,000
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/100.85 10,000,000 5,000
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/100.75 10,000,000 4,500
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/100.56 10,000,000 3,700
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/100.30 10,000,000 2,800
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/100.11 10,000,000 2,400
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/100.02 10,000,000 2,100
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-16/99.83 10,000,000 1,800
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/100.80 10,000,000 500
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/100.68 10,000,000 400
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/99.97 10,000,000 100
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/100.09 10,000,000 100
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/100.73 10,000,000 10
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/101.36 10,000,000 10
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/100.73 10,000,000 10
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/101.39 10,000,000 10
Total $126,540













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/16 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Citibank, N.A.
     (1.455)/3 month USD-LIBOR-BBA/Jul-26 (Purchased) Jul-16/1.455 $22,806,600 $(127,147) $(2,281)
     1.585/3 month USD-LIBOR-BBA/Jul-26 (Written) Jul-16/1.585 22,806,600 44,473 (2,281)
     1.515/3 month USD-LIBOR-BBA/Jul-26 (Written) Jul-16/1.515 22,806,600 78,683 (2,737)

Goldman Sachs International
     (2.0745)/3 month USD-LIBOR-BBA/Sep-21 (Purchased) Sep-16/2.0745 11,403,300 (41,052) 1,254
     1.5595/3 month USD-LIBOR-BBA/Sep-21 (Purchased) Sep-16/1.5595 11,403,300 (52,455) (10,035)
     1.1665/3 month USD-LIBOR-BBA/Dec-17 (Written) Dec-16/1.1665 45,613,200 45,613 4,561
     (0.6665)/3 month USD-LIBOR-BBA/Dec-17 (Written) Dec-16/0.6665 45,613,200 47,894 456

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 5,037,775 (123,441) 212,947
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 5,037,775 (128,005) 175,466
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 18,352,200 (128,924) 51,698
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 9,176,100 (60,672) 29,630
     (2.01575)/3 month USD-LIBOR-BBA/Sep-21 (Purchased) Sep-16/2.01575 11,403,300 (44,473) 7,184
     1.49825/3 month USD-LIBOR-BBA/Sep-21 (Purchased) Sep-16/1.49825 11,403,300 (44,473) (9,807)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 5,037,775 (134,045) (132,010)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 5,037,775 (141,058) (139,446)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 22,065,500 146,184 145,853
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 22,065,500 141,058 140,557
     (0.634)/3 month USD-LIBOR-BBA/Dec-17 (Written) Dec-16/0.634 45,613,200 44,473 1,825
     1.134/3 month USD-LIBOR-BBA/Dec-17 (Written) Dec-16/1.134 45,613,200 44,473 (912)
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 18,352,200 56,194 (51,753)
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 36,704,400 117,454 (98,735)
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 22,065,500 127,038 (200,133)
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 22,065,500 125,773 (240,955)
Total $(6,435) $(119,654)












TBA SALE COMMITMENTS OUTSTANDING at 6/30/16 (proceeds receivable $33,322,695) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, July 1, 2046 $1,000,000       7/14/16 $1,072,188
Federal National Mortgage Association, 3 1/2s, July 1, 2046 7,000,000       7/14/16 7,384,453
Federal National Mortgage Association, 3s, July 1, 2046 19,000,000       7/14/16 19,713,983
Government National Mortgage Association, 3 1/2s, July 1, 2046 5,000,000       7/20/16 5,305,860
Total $33,476,484















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/16 (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)
JPMorgan Chase Bank N.A.
MXN 37,435,000 $—      1/1/26 1 month MXN-TIIE-BANXICO 6.16% $17,950
MXN 22,629,000 —      1/2/26 1 month MXN-TIIE-BANXICO 6.14% 10,774
Total—     $28,724













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/16 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$41,820,800 $(251,477)     6/28/26 3 month USD-LIBOR-BBA 1.4825% $169,850
20,910,400 250,649      6/28/26 1.65875% 3 month USD-LIBOR-BBA (313,666)
41,820,800 (230,566)     6/21/26 3 month USD-LIBOR-BBA 1.55% 470,081
20,910,400 229,738      6/21/26 1.715% 3 month USD-LIBOR-BBA (451,740)
100,045,000 (E) 214,561      9/21/18 1.12% 3 month USD-LIBOR-BBA (488,956)
17,486,300 (E) 112,094      9/21/21 1.40% 3 month USD-LIBOR-BBA (211,281)
20,322,800 (E) 221,626      9/21/26 1.75% 3 month USD-LIBOR-BBA (439,271)
587,900 (E) 13,855      9/21/46 2.17% 3 month USD-LIBOR-BBA (30,743)
56,275,000 (211)     6/8/18 0.95082% 3 month USD-LIBOR-BBA (244,297)
14,755,000 (119)     6/8/21 3 month USD-LIBOR-BBA 1.22839% 182,190
12,425,000 (164)     6/8/26 1.60208% 3 month USD-LIBOR-BBA (275,930)
7,322,000 (249)     6/8/46 3 month USD-LIBOR-BBA 2.06188% 389,364
119,372,000 (E) (480,557)     9/21/18 3 month USD-LIBOR-BBA 1.05% 192,822
3,860,000 (E) 5,358      9/21/46 3 month USD-LIBOR-BBA 2.10% 231,670
36,002,000 (E) (212,760)     9/21/21 3 month USD-LIBOR-BBA 1.30% 275,930
32,896,000 (E) (21,201)     9/21/26 1.65% 3 month USD-LIBOR-BBA (776,165)
16,101,000 (116)     6/21/26 3 month USD-LIBOR-BBA 1.42% 68,739
7,800,000 (103)     6/20/26 1.4215% 3 month USD-LIBOR-BBA (34,702)
8,540,000 (113)     6/24/26 3 month USD-LIBOR-BBA 1.56% 150,395
6,586,800 (87)     6/28/26 1.5675% 3 month USD-LIBOR-BBA (120,175)
31,365,600 51,862      6/28/26 1.4825% 3 month USD-LIBOR-BBA (264,133)
18,819,400 (42,069)     7/1/26 3 month USD-LIBOR-BBA 1.4825% 144,525
12,000,000 (45)     6/29/18 3 month USD-LIBOR-BBA 0.711% (5,737)
7,700,000 (102)     6/29/26 1.36146% 3 month USD-LIBOR-BBA 11,642
7,700,000 (102)     6/29/26 1.3534% 3 month USD-LIBOR-BBA 17,598
12,000,000 (45)     6/29/18 3 month USD-LIBOR-BBA 0.7115% (5,629)
7,700,000 (102)     6/29/26 1.35735% 3 month USD-LIBOR-BBA 14,678
12,000,000 (45)     6/29/18 3 month USD-LIBOR-BBA 0.716% (4,546)
5,249,300 (69)     6/29/26 1.336% 3 month USD-LIBOR-BBA 20,763
7,600,000 (100)     6/30/26 1.35629% 3 month USD-LIBOR-BBA 15,600
AUD 9,076,000 (E) 67,499      9/28/26 2.35% 6 month AUD-BBR-BBSW (21,376)
AUD 25,940,000 (E) 3,072      9/28/18 3 month AUD-BBR-BBSW 1.75% 9,320
AUD 9,111,000 (E) 4,499      9/28/21 2.05% 6 month AUD-BBR-BBSW (11,938)
CAD 33,676,000 (E) (21,067)     9/21/18 3 month CAD-BA-CDOR 0.90% (1,726)
CAD 12,582,000 (E) 85,927      9/21/26 1.50% 3 month CAD-BA-CDOR (67,615)
CAD 5,187,000 (E) 15,963      9/21/21 1.05% 3 month CAD-BA-CDOR (6,890)
CHF 2,438,000 (E) 47,832      9/21/26 6 month CHF-LIBOR-BBA 0.15% (10,024)
CHF 6,737,000 (E) 19,790      9/21/18 6 month CHF-LIBOR-BBA 0.70% (7,268)
CHF 17,818,000 (E) 136,693      9/21/21 6 month CHF-LIBOR-BBA 0.55% (53,858)
EUR 29,288,000 (E) 171,443      9/21/21 0.05% 6 month EUR-EURIBOR-REUTERS (39,368)
EUR 5,681,000 (E) (81,588)     9/21/26 6 month EUR-EURIBOR-Telerate 0.55% 16,732
GBP 8,935,000 (E) 3,285      9/21/18 6 month GBP-LIBOR-BBA 0.75% 68,646
GBP 7,905,000 (E) 206,485      9/21/21 1.00% 6 month GBP-LIBOR-BBA (1,986)
GBP 87,000 (E) (4,107)     9/21/26 6 month GBP-LIBOR-BBA 1.35% (115)
JPY 511,900,000 (30)     2/19/20 6 month JPY-LIBOR-BBA 1.3975% 306,350
JPY 129,260,000 (19)     11/13/45 6 month JPY-LIBOR-BBA 1.32125% 417,841
JPY 165,552,000 (40)     11/26/35 6 month JPY-LIBOR-BBA 1.09% 298,494
JPY 129,260,000 (19)     1/5/46 1.22015% 6 month JPY-LIBOR-BBA (386,052)
JPY 165,552,000 (44)     1/5/36 1.00875% 6 month JPY-LIBOR-BBA (278,939)
NOK 20,338,000 (E) (27,269)     9/21/26 6 month NOK-NIBOR-NIBR 1.50% 6,424
NOK 710,000 (E) —      9/21/18 0.80% 6 month NOK-NIBOR-NIBR 70
NOK 910,000 (E) 602      9/21/21 1.10% 6 month NOK-NIBOR-NIBR (170)
NZD 6,989,000 38,276      6/15/26 3.10% 3 month NZD-BBR-FRA (156,133)
NZD 9,578,000 2,143      6/15/18 3 month NZD-BBR-FRA 2.40% 25,012
NZD 29,659,000 (23,926)     6/15/21 2.70% 3 month NZD-BBR-FRA (396,732)
NZD 1,096,000 (4,708)     6/15/21 3 month NZD-BBR-FRA 2.7003% 9,079
NZD 9,494,000 14,637      6/15/18 2.4001% 3 month NZD-BBR-FRA (8,045)
NZD 3,041,000 (E) (10,934)     9/21/21 3 month NZD-BBR-FRA 2.50% 5,157
NZD 530,000 (E) (8,934)     9/21/26 3 month NZD-BBR-FRA 2.90% (1,664)
SEK 35,396,000 (E) (31,679)     9/21/26 3 month SEK-STIBOR-SIDE 1.10% 95,322
SEK 20,345,000 (E) 14,658      9/21/21 0.30% 3 month SEK-STIBOR-SIDE (15,064)
Total$477,781     $(1,517,640)
(E)   Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/16 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$365,564 $—      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $(4,557)
138,986 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 280
340,227 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (590)
330,556 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 665
38,535 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (27)
172,376 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 32
824,843 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,660
1,132,999 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 1,156
381,664 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (1,760)
495,112 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (4,364)
298,218 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (2,629)
378,027 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (3,332)
577,386 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (403)
82,823 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (58)
1,414,045 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 13,127
1,186,346 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,416
2,377,960 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 28,895
198,707 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,467
2,620,713 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (9,368)
1,787,402 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,010
10,445,798 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 39,494
6,240,977 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (52,832)
EUR 2,881,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco (14,100)
EUR 1,441,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco (5,837)
EUR 2,049,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco (7,163)
Citibank, N.A.
$649,020 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,454
1,390,956 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,259
129,915 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 491
Credit Suisse International
556,382 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,104
422,298 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,575)
833,110 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (7,343)
881,866 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 8,187
977,564 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 9,075
866,884 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (7,641)
321,999 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,913)
266,222 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (3,430)
701,569 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (8,710)
234,669 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (2,913)
429,109 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (5,327)
3,234,472 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (42,326)
836,026 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,940)
829,246 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (11,845)
1,556,072 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 18,908
Deutsche Bank AG
422,298 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,575)
Goldman Sachs International
469,629 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (814)
190,509 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (133)
907,459 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,311)
907,459 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,311)
290,171 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,456)
109,006 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (923)
834,765 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (9,533)
25,340 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (44)
216,017 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (374)
583,989 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,639)
227,077 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (394)
454,155 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (787)
14,305 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (10)
67,561 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (821)
204,814 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,734)
397,488 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,365)
245,724 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,080)
18,898 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (160)
50,359 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (426)
2,117,143 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (26,389)
1,844,241 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (22,988)
434,188 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,276)
1,405,143 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 13,044
1,901,479 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (24,497)
1,502,511 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (19,357)
695,094 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (8,955)
829,660 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,857)
874,676 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 10,859
EUR 10,371,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (85,744)
EUR 3,424,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (28,308)
EUR 2,881,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco (607)
EUR 2,881,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco (5,851)
EUR 2,882,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco (45,889)
EUR 1,717,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco (15,320)
JPMorgan Chase Bank N.A.
$2,787,045 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (33,866)
1,593,881 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (19,368)
2,441,492 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (29,667)
1,512,994 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (18,385)
1,405,143 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 13,044
EUR 1,441,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco (28,839)
EUR 1,441,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco (27,363)
EUR 1,837,000 —      1/27/21 (0.755%) Eurostat Eurozone HICP excluding tobacco (16,920)
EUR 1,511,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco (12,650)
Total$—     $(571,342)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/16 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $4,375 $64,000 5/11/63 300 bp $(329)
  CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp (1,866)
  CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp (3,318)
  CMBX NA BBB- Index BBB-/P 16,587 291,000 5/11/63 300 bp (4,802)
Credit Suisse International
  CMBX NA BB Index — (47,639) 2,699,000 5/11/63 (500 bp) 320,685
  CMBX NA BB Index — (1,359) 140,000 1/17/47 (500 bp) 25,880
  CMBX NA BBB- Index BBB-/P 6,547 73,000 5/11/63 300 bp 1,182
  CMBX NA BBB- Index BBB-/P 2,023 154,000 5/11/63 300 bp (9,296)
  CMBX NA BBB- Index BBB-/P 7,175 655,000 5/11/63 300 bp (40,967)
  CMBX NA BBB- Index BBB-/P 14,751 1,019,000 5/11/63 300 bp (60,146)
  CMBX NA BBB- Index BBB-/P 1,266 12,000 1/17/47 300 bp 53
  CMBX NA BBB- Index BBB-/P 84,881 845,000 1/17/47 300 bp (549)
  CMBX NA BBB- Index BBB-/P 227,253 3,042,000 1/17/47 300 bp (80,293)
  CMBX NA BBB- Index BBB-/P 127,703 3,588,000 1/17/47 300 bp (235,043)
  CMBX NA BBB- Index BBB-/P 421,041 12,275,000 1/17/47 300 bp (819,962)
Goldman Sachs International
  CMBX NA BBB- Index BBB-/P (906) 131,000 5/11/63 300 bp (10,535)
  CMBX NA BBB- Index BBB-/P 627 63,000 1/17/47 300 bp (5,742)
  CMBX NA BBB- Index BBB-/P 303 85,000 1/17/47 300 bp (8,290)
  CMBX NA BBB- Index BBB-/P 303 85,000 1/17/47 300 bp (8,290)
  CMBX NA BBB- Index BBB-/P 2,777 103,000 1/17/47 300 bp (7,636)
  CMBX NA BBB- Index BBB-/P 761 178,000 1/17/47 300 bp (17,235)
  CMBX NA BBB- Index BBB-/P 635 178,000 1/17/47 300 bp (17,361)
  CMBX NA BBB- Index BBB-/P 635 178,000 1/17/47 300 bp (17,361)
  CMBX NA BBB- Index BBB-/P 1,145 292,000 1/17/47 300 bp (28,376)
  CMBX NA BB Index — (3,293) 385,000 5/11/63 (500 bp) 49,247
  CMBX NA BB Index — (2,365) 223,000 5/11/63 (500 bp) 28,067
  CMBX NA BB Index — (1,143) 119,000 5/11/63 (500 bp) 15,097
  CMBX NA BB Index — 2,532 112,000 5/11/63 (500 bp) 17,817
  CMBX NA BB Index — 1,027 61,000 5/11/63 (500 bp) 9,351
  CMBX NA BB Index — 523 51,000 5/11/63 (500 bp) 7,483
  CMBX NA BB Index — 62 51,000 5/11/63 (500 bp) 7,022
  CMBX NA BB Index — (1,448) 140,000 1/17/47 (500 bp) 25,791
  CMBX NA BB Index — (146) 73,000 1/17/47 (500 bp) 14,058
  CMBX NA BBB- Index BBB-/P 34 3,000 5/11/63 300 bp (186)
  CMBX NA BBB- Index BBB-/P (51) 19,000 5/11/63 300 bp (1,447)
  CMBX NA BBB- Index BBB-/P (193) 48,000 5/11/63 300 bp (3,721)
  CMBX NA BBB- Index BBB-/P (602) 60,000 5/11/63 300 bp (5,012)
  CMBX NA BBB- Index BBB-/P (1,283) 77,000 5/11/63 300 bp (6,943)
  CMBX NA BBB- Index BBB-/P (908) 113,000 5/11/63 300 bp (9,213)
  CMBX NA BBB- Index BBB-/P (1,287) 118,000 5/11/63 300 bp (9,960)
  CMBX NA BBB- Index BBB-/P (1,966) 196,000 5/11/63 300 bp (16,372)
  CMBX NA BBB- Index BBB-/P 6,073 147,000 1/17/47 300 bp (8,788)
  CMBX NA BBB- Index BBB-/P 7,025 169,000 1/17/47 300 bp (10,061)
  CMBX NA BBB- Index BBB-/P 7,940 184,000 1/17/47 300 bp (10,662)
  CMBX NA BBB- Index BBB-/P 7,407 184,000 1/17/47 300 bp (11,196)
  CMBX NA BBB- Index BBB-/P 7,407 184,000 1/17/47 300 bp (11,196)
  CMBX NA BBB- Index BBB-/P 5,988 200,000 1/17/47 300 bp (14,232)
  CMBX NA BBB- Index BBB-/P 4,300 204,000 1/17/47 300 bp (16,324)
  CMBX NA BBB- Index BBB-/P 9,514 314,000 1/17/47 300 bp (22,231)
  CMBX NA BBB- Index BBB-/P 43,693 315,000 1/17/47 300 bp 11,846
  CMBX NA BBB- Index BBB-/P 11,316 382,000 1/17/47 300 bp (27,304)
  CMBX NA BBB- Index BBB-/P 120,386 605,000 1/17/47 300 bp 59,216
  CMBX NA BBB- Index BBB-/P 21,189 665,000 1/17/47 300 bp (46,041)
  CMBX NA BBB- Index BBB-/P 29,631 957,000 1/17/47 300 bp (67,122)
JPMorgan Securities LLC
  CMBX NA BBB- Index BBB-/P 1,268 50,000 1/17/47 300 bp (3,787)
  CMBX NA BBB- Index BBB-/P 8,386 159,000 1/17/47 300 bp (7,689)
  CMBX NA BBB- Index BBB-/P 11,619 210,000 1/17/47 300 bp (9,612)
  CMBX NA BBB- Index BBB-/P 11,137 426,000 1/17/47 300 bp (31,932)
Total$1,200,562$(1,135,633)
*   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, 2016. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2015 through June 30, 2016 (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 $255,955,827.
(b) The aggregate identified cost on a tax basis is $403,492,697, resulting in gross unrealized appreciation and depreciation of $1,900,292 and $25,552,508, respectively, or net unrealized depreciation of $23,652,036.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund* $— $1,017,662 $1,017,662 $19 $—
Putnam Short Term Investment Fund* 1,182,949 74,902,531 68,520,829 26,875 7,564,651
Totals $1,182,949 $75,920,193 $69,538,491 $26,894 $7,564,651
* 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.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management 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) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $134,569,731 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 85.6%
Greece 3.0
Russia 1.6
Argentina 1.6
Brazil 1.5
Venezuela 1.3
Mexico 1.2
Canada 1.0
Luxembourg 0.6
Indonesia 0.5
Other 2.1
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) 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 scheduled 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 scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedging duration and convexity, to isolate prepayment risk, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $147,057 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,073,727 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,403,279 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $10,017
    Energy — — 200
Total common stocks — — 10,217
Convertible bonds and notes — 146,741 —
Corporate bonds and notes — 87,749,943 4
Foreign government and agency bonds and notes 22,265,680
Mortgage-backed securities — 125,630,202 365,347
Purchased options outstanding — 224,106 —
Purchased swap options outstanding — 319,287 —
Senior loans — 4,484,546 —
U.S. government agency obligations — 144,127 —
U.S. government and agency mortgage obligations — 120,915,782 —
U.S. government and agency mortgage obligations 7,604,651 9,980,028 —
Totals by level $7,604,651 $371,860,442 $375,568



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $793,736 $—
Futures contracts 240,597 — —
Written options outstanding — (126,540) —
Written swap options outstanding — (804,825) —
Forward premium swap option contracts — (119,654) —
TBA sale commitments — (33,476,484) —
Interest rate swap contracts — (1,966,697) —
Total return swap contracts — (571,342) —
Credit default contracts — (2,336,195) —
Totals by level $240,597 $(38,608,001) $—


During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in Note 1), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
The following is a reconciliation of Level 3 assets as of the close of the reporting period:
Investments in securities: Balance as of September 30, 2016 Accrued discounts/premiums Realized gain/(loss) Change in net unrealized appreciation/(depreciation) # Cost of purchases Proceeds from sales Total transfers into Level 3 † Total transfers out of Level 3 † Balance as of June 30, 2016
Common stocks*:                  
Consumer cyclicals $10,017  $--  $--  $--  $--  $--  $--  $--  $10,017 
Energy 798  --  --  (598) --  --  --  --  200 
Total common stocks $10,815  $--  $--  $(598) $--  $--  $--  $--  $10,217 
Corporate bonds and notes $6  --  2  (2) --  (2) --  --  $4 
Mortgage-backed securities $4,913,176  (296,543) (45,906) 31,256  --  (855,000) 326,747  (3,708,383) $365,347 
Totals $4,923,997  $(296,543) $(45,904) $30,656  $--  $(855,002) $326,747  $(3,708,383) $375,568 

* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

†Transfers during the reporting period are accounted for using the end of period market value. Transfers in include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period. Transfers out include valuations where a secondary pricing source was obtained for certain securities.

# Includes $598 related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $573,747 $2,909,942
Foreign exchange contracts 2,035,401 1,174,279
Interest rate contracts 7,002,613 9,875,067
Total $9,611,761 $13,959,288


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$84,000,000
Purchased currency options (contract amount)$4,600,000
Purchased swap option contracts (contract amount)$440,800,000
Written TBA commitment option contracts (contract amount) (Note 3)$171,000,000
Written swap option contracts (contract amount)551,500,000
Futures contracts (number of contracts)$200
Forward currency contracts (contract amount)$247,000,000
OTC interest rate swap contracts (notional)$476,200,000
Centrally cleared interest rate swap contracts (notional)$2,057,500,000
OTC total return swap contracts (notional)$123,300,000
OTC credit default contracts (notional)$37,800,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  OTC Interest rate swap contracts*#   $--  $--  $--  $--  $--  $--  $--  $--  $28,724  $--  $--  $--  $--  $--  $--    28,724 
  Centrally cleared interest rate swap contracts§   --  --  1,802,757  --  --  --  --  --  --  --  --  --  --  --  --    1,802,757 
  OTC Total return swap contracts*#   --  104,202  --  8,204  38,274  --  23,903  --  13,044  --  --  --  --  --  --    187,627 
  OTC Credit default contracts*#   --  --  --  --  395,563  --  178,184  --  --  --  --  --  --  --  --    573,747 
  Futures contracts§   --  --  --  --  --  --  --  --  --  --  --  --  --  --  --    -- 
  Forward currency contracts#   281,700  113,296  --  159,555  208,905  5,512  341,502  81,902  416,898  --  --  127,874  48,014  151,078  44,886    1,981,122 
  Forward premium swap option contracts#   --  --  --  --  --  --  6,271  --  765,160  --  --  --  --  --  --    771,431 
  Purchased swap options#   --  --  --  --  30,822  --  288,251  --  214  --  --  --  --  --  --    319,287 
  Purchased options#   --  --  --  67,386  --  --  --  --  156,720  --  --  --  --  --  --    224,106 
                                       
  Total Assets   $281,700  $217,498  $1,802,757  $235,145  $673,564  $5,512  $838,111  $81,902  $1,380,760  $--  $--  $127,874  $48,014  $151,078  $44,886    $5,888,801 
                                       
  Liabilities:                                    
  OTC Interest rate swap contracts*#   --  --  --  --  --  --  --  --  --  --  --  --  --  --  --    -- 
  Centrally cleared interest rate swap contracts§   --  --  1,782,803  --  --  --    --  --  --  --  --  --  --  --    1,782,803 
  OTC Total return swap contracts*#   --  107,020  --  --  107,963  3,575  353,353  --  187,058  --  --  --  --  --  --    758,969 
  OTC Credit default contracts*#   57,183  --  --  --  2,137,661  --  629,668  --  --  85,430  --  --  --  --  --    2,909,942 
  Futures contracts§   --  --  --  --  --  --  --  --  --  --  31,859  --  --  --  --    31,859 
  Forward currency contracts#   38,971  104,531  --  165,282  169,451  84,810  103,241  6,797  174,931  --  --  117,440  167,396  54,467  69    1,187,386 
  Forward premium swap option contracts#   --  --  --  7,299  --  --  10,035  --  873,751  --  --  --  --  --  --    891,085 
  Written swap options#   --  --  --  --  69,164  --  122,135  --  613,526  --  --  --  --  --  --    804,825 
  Written options#   --  --  --  --  --  --  --  --  126,540  --  --  --  --  --  --    126,540 
                                       
  Total Liabilities   $96,154  $211,551  $1,782,803  $172,581  $2,484,239  $88,385  $1,218,432  $6,797  $1,975,806  $85,430  $31,859  $117,440  $167,396  $54,467  $69    $8,493,409 
                                       
  Total Financial and Derivative Net Assets   $185,546  $5,947  $19,954  $62,564  $(1,810,675) $(82,873) $(380,321) $75,105  $(595,046) $(85,430) $(31,859) $10,434  $(119,382) $96,611  $44,817    $(2,604,608)
  Total collateral received (pledged)##†   $144,127  $--  $--  $40,000  $(1,810,675) $(82,873) $(208,937) $--  $(595,046) $(85,430) $--  $10,434  $(119,382) $--  $--     
  Net amount   $41,419  $5,947  $19,954  $22,564  $--  $--  $(171,384) $75,105  $--  $--  $(31,859) $--  $--  $96,611  $44,817     
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

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

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

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

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

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

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