Item 1. Schedule of Investments:
--------------------------------
Putnam Premier Income Fund
QUARTERLY PORTFOLIO HOLDINGS
10-31-04
Putnam Premier Income Fund
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The fund's portfolio
October 31, 2004 (Unaudited)
Corporate bonds and notes (37.7%) (a)
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Principal amount Value
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Basic Materials (4.2%)
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$850,000 Acetex Corp. sr. notes 10 7/8s, 2009
(Canada) $930,750
1,085,000 AK Steel Corp. company guaranty 7 7/8s,
2009 1,101,275
575,000 AK Steel Corp. company guaranty 7 3/4s,
2012 582,188
260,000 Avecia Group PLC company guaranty 11s,
2009 (United Kingdom) 244,400
1,020,000 BCP Caylux Holdings Luxembourg SCA 144A
sr. sub. notes 9 5/8s, 2014 (Luxembourg) 1,142,400
776,000 Boise Cascade, LLC 144A sr. sub. notes 7
1/8s, 2014 809,995
405,000 Century Aluminum Co. 144A company
guaranty 7 1/2s, 2014 429,300
695,000 Codelco, Inc. 144A sr. notes 4 3/4s,
2014 (Chile) 684,218
1,035,000 Compass Minerals Group, Inc. company
guaranty 10s, 2011 1,161,788
400,000 Compass Minerals International, Inc. sr.
disc. notes stepped-coupon zero % (12s,
6/1/08), 2013 (STP) 316,000
1,070,000 Compass Minerals International, Inc. sr.
notes stepped-coupon zero % (12 3/4s,
12/15/07), 2012 (STP) 898,800
738,000 Crystal US Holdings, LLC/US Sub 3 Corp.
144A sr. disc. notes stepped-coupon zero %
(10s, 10/1/09), 2014 (STP) 466,785
1,065,000 Dow Chemical Co. (The) notes 5 3/4s,
2009 1,147,333
265,000 Equistar Chemicals LP notes 8 3/4s, 2009 291,500
2,345,000 Equistar Chemicals LP/Equistar Funding
Corp. company guaranty 10 1/8s, 2008 2,685,025
615,000 Georgia-Pacific Corp. bonds 7 3/4s, 2029 679,575
1,340,000 Georgia-Pacific Corp. debs. 7.7s, 2015 1,544,350
60,000 Georgia-Pacific Corp. sr. notes 8s, 2024 69,450
4,000 Georgia-Pacific Corp. sr. notes 7 3/8s,
2008 4,400
950,000 Gerdau Ameristeel Corp. sr. notes 10
3/8s, 2011 (Canada) 1,097,250
1,385,000 Hercules, Inc. company guaranty 11 1/8s,
2007 1,675,850
280,000 Huntsman Advanced Materials, LLC 144A
sec. FRN 11.86s, 2008 299,600
330,000 Huntsman Advanced Materials, LLC 144A
sec. notes 11s, 2010 381,150
1,099,000 Huntsman Co., LLC sr. disc. notes zero %,
2008 703,360
731,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 768,464
2,190,000 Huntsman ICI Holdings sr. disc. notes
zero %, 2009 1,188,075
EUR 554,000 Huntsman International, LLC sr. sub.
notes Ser. EXCH, 10 1/8s, 2009 739,864
$555,000 Huntsman, LLC company guaranty 11 5/8s,
2010 654,206
415,000 Huntsman, LLC 144A company guaranty 11
1/2s, 2012 466,875
325,000 Innophos, Inc. 144A sr. sub. notes 8
7/8s, 2014 350,188
180,000 International Steel Group, Inc. sr.
notes 6 1/2s, 2014 192,600
1,910,000 ISP Chemco, Inc. company guaranty Ser.
B, 10 1/4s, 2011 2,124,875
55,000 Jefferson Smurfit Corp. company guaranty
7 1/2s, 2013 59,950
310,000 Jefferson Smurfit Corp. company guaranty
company guaranty 8 1/4s, 2012 344,100
80,000 Kaiser Aluminum & Chemical Corp. sr.
notes Ser. B, 10 7/8s, 2006 (In default)
(NON) 74,800
100,000 Lyondell Chemical Co. bonds 11 1/8s,
2012 117,875
980,000 Lyondell Chemical Co. company guaranty 9
1/2s, 2008 1,068,200
895,000 Lyondell Chemical Co. notes Ser. A, 9
5/8s, 2007 982,263
125,000 MDP Acquisitions PLC sr. notes 9 5/8s,
2012 (Ireland) 142,500
EUR 610,000 MDP Acquisitions PLC sr. notes Ser. EUR,
10 1/8s, 2012 (Ireland) 877,109
$535,181 MDP Acquisitions PLC sub. notes 15 1/2s,
2013 (Ireland) (PIK) 623,486
1,600,000 Millennium America, Inc. company
guaranty 9 1/4s, 2008 1,784,000
EUR 100,000 Nalco Co. sr. notes 7 3/4s, 2011 136,475
EUR 100,000 Nalco Co. sr. sub. notes 9s, 2013 134,885
$1,490,000 Nalco Co. sr. sub. notes 8 7/8s, 2013 1,633,413
795,000 Norske Skog Canada, Ltd. sr. notes 7
3/8s, 2014 (Canada) 826,800
609,379 PCI Chemicals Canada sec. sr. notes 10s,
2008 (Canada) 627,660
192,965 Pioneer Companies, Inc. sec. FRN 5.086s,
2006 193,930
180,000 Resolution Performance Products, LLC sr.
notes 9 1/2s, 2010 187,650
EUR 620,000 SGL Carbon SA 144A sr. notes 8 1/2s,
2012 (Luxembourg) 839,047
$965,000 Steel Dynamics, Inc. company guaranty 9
1/2s, 2009 1,066,325
207,976 Sterling Chemicals, Inc. sec. notes 10s,
2007 (PIK) 203,816
710,000 Stone Container Corp. sr. notes 9 3/4s,
2011 796,975
345,000 Stone Container Corp. sr. notes 8 3/8s,
2012 381,225
210,000 Stone Container Finance 144A company
guaranty 7 3/8s, 2014 (Canada) 224,175
1,225,000 Ucar Finance, Inc. company guaranty 10
1/4s, 2012 1,396,500
550,000 United Agri Products 144A sr. notes 8
1/4s, 2011 594,000
706,000 United States Steel Corp. sr. notes 9
3/4s, 2010 808,370
77,422 Wheeling-Pittsburgh Steel Corp. sr.
notes 6s, 2010 56,518
150,487 Wheeling-Pittsburgh Steel Corp. sr.
notes 5s, 2011 109,856
260,000 WHX Corp. sr. notes 10 1/2s, 2005 241,800
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42,365,592
Capital Goods (2.9%)
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698,000 AEP Industries, Inc. sr. sub. notes 9
7/8s, 2007 711,088
1,340,093 Air2 US 144A sinking fund Ser. D,
12.266s, 2020 (In default) (NON) 13
1,670,000 Allied Waste North America, Inc. company
guaranty Ser. B, 8 1/2s, 2008 1,753,500
242,000 Allied Waste North America, Inc. sec.
notes 6 1/2s, 2010 232,925
439,000 Amsted Industries, Inc. 144A sr. notes
10 1/4s, 2011 482,900
775,000 Argo-Tech Corp. 144A sr. notes 9 1/4s,
2011 844,750
840,000 BE Aerospace, Inc. sr. sub. notes 9
1/2s, 2008 866,603
660,000 BE Aerospace, Inc. sr. sub. notes Ser.
B, 8s, 2008 666,600
190,000 Berry Plastics Corp. company guaranty 10
3/4s, 2012 218,500
651,000 Blount, Inc. sr. sub. notes 8 7/8s, 2012 708,776
970,000 Browning-Ferris Industries, Inc. debs.
7.4s, 2035 834,200
1,152,000 Browning-Ferris Industries, Inc. sr.
notes 6 3/8s, 2008 1,137,600
EUR 151,000 Crown Euro Holdings SA 144A notes 6
1/4s, 2011 (France) 195,322
EUR 115,000 Crown Holdings SA bonds 10 1/4s, 2011
(France) 166,746
$1,240,000 Crown Holdings SA notes 10 7/8s, 2013
(France) 1,472,500
387,000 Crown Holdings SA notes 9 1/2s, 2011
(France) 441,180
2,596,000 Decrane Aircraft Holdings Co. company
guaranty zero %, 2008 986,480
985,000 Earle M. Jorgensen Co. sec. notes 9
3/4s, 2012 1,090,888
840,000 FIMEP SA sr. notes 10 1/2s, 2013
(France) 982,800
EUR 500,000 Flender Holdings 144A sr. notes 11s,
2010 (Germany) 750,103
$770,000 Flowserve Corp. company guaranty 12
1/4s, 2010 864,325
915,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 960,750
1,370,000 Invensys, PLC notes 9 7/8s, 2011 (United
Kingdom) 1,431,650
710,000 K&F Industries, Inc. sr. sub. notes Ser.
B, 9 5/8s, 2010 823,600
1,025,000 Legrand SA debs. 8 1/2s, 2025 (France) 1,176,188
120,000 Manitowoc Co., Inc. (The) company
guaranty 10 1/2s, 2012 138,450
EUR 240,000 Manitowoc Co., Inc. (The) company
guaranty 10 3/8s, 2011 340,360
$305,000 Manitowoc Co., Inc. (The) sr. notes 7
1/8s, 2013 327,113
305,000 Mueller Group, Inc. sec. FRN 5.89s, 2011 314,150
370,000 Mueller Group, Inc. sr. sub. notes 10s,
2012 399,600
775,000 Owens-Brockway Glass company guaranty 8
1/4s, 2013 852,500
725,000 Owens-Brockway Glass company guaranty 7
3/4s, 2011 788,438
1,345,000 Owens-Brockway Glass sr. sec. notes 8
3/4s, 2012 1,516,488
405,000 Pliant Corp. sec. notes 11 1/8s, 2009 435,375
363,000 Ploypore, Inc. 144A sr. sub. notes 8
3/4s, 2012 379,335
1,650,000 Sequa Corp. sr. notes 9s, 2009 1,839,750
325,000 Siebe PLC 144A sr. unsub. 6 1/2s, 2010
(United Kingdom) 301,438
255,000 Solo Cup Co. sr. sub. notes 8 1/2s, 2014 250,538
114,000 Tekni-Plex, Inc. company guaranty Ser.
B, 12 3/4s, 2010 86,070
640,000 Tekni-Plex, Inc. 144A sr. sec. notes 8
3/4s, 2013 610,400
265,000 Terex Corp. company guaranty 9 1/4s,
2011 296,800
995,000 Terex Corp. company guaranty Ser. B, 10
3/8s, 2011 1,124,350
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29,801,142
Communication Services (3.1%)
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469,000 Alamosa Delaware, Inc. company guaranty
11s, 2010 544,040
371,000 Alamosa Delaware, Inc. company guaranty
stepped-coupon zero % (12s, 7/31/05),
2009 (STP) 395,115
440,000 Alamosa Delaware, Inc. sr. notes 8 1/2s,
2012 466,400
270,000 American Cellular Corp. company guaranty
9 1/2s, 2009 225,450
515,000 American Tower Corp. sr. notes 7 1/2s,
2012 538,175
1,040,000 American Towers, Inc. company guaranty 7
1/4s, 2011 1,105,000
770,000 Asia Global Crossing, Ltd. sr. notes 13
3/8s, 2010 (Bermuda) (In default) (NON) 61,600
1,065,000 Centennial Cellular Operating Co.
company guaranty 10 1/8s, 2013 1,155,525
205,000 Cincinnati Bell Telephone Co. company
guaranty 6.3s, 2028 179,375
58,000 Cincinnati Bell, Inc. company guaranty 7
1/4s, 2013 58,145
1,145,000 Cincinnati Bell, Inc. sr. sub. notes 8
3/8s, 2014 1,093,475
565,000 Cincinnati Bell, Inc. sr. sub. notes 7
1/4s, 2023 519,800
1,475,000 Citizens Communications Co. notes 9
1/4s, 2011 1,696,250
441,450 Colo.com, Inc. 144A sr. notes 13 7/8s,
2010 (In default) (NON) 44
1,060,000 Crown Castle International Corp. sr.
notes 9 3/8s, 2011 1,203,100
365,000 Eircom Funding notes 8 1/4s, 2013
(Ireland) 406,063
540,000 Fairpoint Communications, Inc. sr. sub.
notes 12 1/2s, 2010 577,800
337,135 Firstworld Communication Corp. sr. disc.
notes zero %, 2008 (In default) (NON) 34
300,220 Globix Corp. company guaranty 11s, 2008
(PIK) 273,200
1,200,000 Inmarsat Finance PLC company guaranty 7
5/8s, 2012 (United Kingdom) 1,212,000
420,000 iPCS, Inc. 144A sr. notes 11 1/2s, 2012 457,800
780,000 Level 3 Financing, Inc. 144A sr. notes
10 3/4s, 2011 670,800
1,005,000 Madison River Capital Corp. sr. notes 13
1/4s, 2010 1,070,325
1,458,000 MCI, Inc. sr. notes 7.735s, 2014 1,405,148
358,000 MCI, Inc. sr. notes 6.688s, 2009 353,078
1,000 MCI, Inc. sr. notes 5.908s, 2007 998
2,080,000 Nextel Communications, Inc. sr. notes 7
3/8s, 2015 2,308,800
2,150,000 Nextel Communications, Inc. sr. notes
5.95s, 2014 2,198,375
58,000 Nextel Partners, Inc. sr. notes 12 1/2s,
2009 66,845
1,765,000 Nextel Partners, Inc. sr. notes 8 1/8s,
2011 1,932,675
1,300,000 Qwest Communications International, Inc.
144A sr. notes 7 1/2s, 2014 1,254,500
3,360,000 Qwest Corp. 144A notes 9 1/8s, 2012 3,788,400
505,000 Qwest Services Corp. 144A notes 14 1/2s,
2014 626,200
240,000 Rogers Cantel, Ltd. debs. 9 3/4s, 2016
(Canada) 276,000
380,000 Rogers Wireless, Inc. sec. notes 9 5/8s,
2011 (Canada) 433,200
420,000 Rural Cellular Corp. sr. sub. notes 9
3/4s, 2010 361,200
445,000 SBA Telecommunications Inc./SBA
Communication Corp. sr. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/07), 2011 (STP) 374,913
935,000 TSI Telecommunication Services, Inc.
company guaranty Ser. B, 12 3/4s, 2009 1,047,200
510,000 UbiquiTel Operating Co. sr. notes 9
7/8s, 2011 552,075
336,000 UbiquiTel Operating Co. 144A sr. notes 9
7/8s, 2011 363,720
765,000 Western Wireless Corp. sr. notes 9 1/4s,
2013 814,725
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32,067,568
Consumer Cyclicals (8.5%)
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316,000 Advertising Direct 144A sr. notes 9
1/4s, 2012 (Canada) 329,825
395,000 Ameristar Casinos, Inc. company guaranty
10 3/4s, 2009 450,300
915,000 Argosy Gaming Co. sr. sub. notes 7s,
2014 974,475
640,000 Asbury Automotive Group, Inc. sr. sub.
notes 8s, 2014 624,000
1,230,000 Autonation, Inc. company guaranty 9s,
2008 1,414,500
210,000 Beazer Homes USA, Inc. company guaranty
8 3/8s, 2012 231,525
820,000 Boyd Gaming Corp. sr. sub. notes 8 3/4s,
2012 922,500
230,000 Boyd Gaming Corp. sr. sub. notes 7 3/4s,
2012 253,575
190,000 Boyd Gaming Corp. sr. sub. notes 6 3/4s,
2014 199,263
450,000 Building Materials Corp. company
guaranty 8s, 2008 460,125
500,000 Chumash Casino & Resort Enterprise 144A
sr. notes 9s, 2010 560,000
1,655,000 Coinmach Corp. sr. notes 9s, 2010 1,712,925
635,000 Collins & Aikman Products company
guaranty 10 3/4s, 2011 635,000
145,000 D.R. Horton, Inc. company guaranty 8s,
2009 163,488
880,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 1,003,200
220,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 237,050
600,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 601,500
220,000 Dana Corp. notes 10 1/8s, 2010 248,050
785,000 Dana Corp. notes 9s, 2011 932,188
135,000 Dana Corp. notes 7s, 2029 132,300
405,000 Dana Corp. notes 6 1/2s, 2009 426,263
780,000 Dayton Superior Corp. sec. notes 10
3/4s, 2008 830,700
295,000 Delco Remy International, Inc. company
guaranty 11s, 2009 309,750
740,000 Delco Remy International, Inc. sr. sub.
notes 9 3/8s, 2012 734,450
661,675 Derby Cycle Corp. (The) sr. notes 10s,
2008 (In default) (NON) 66
DEM 1,700,694 Derby Cycle Corp. (The) sr. notes 9
3/8s, 2008 (In default) (NON) 111
$1,545,000 Dex Media West, LLC/Dex Media Finance
Co. sr. notes Ser. B, 8 1/2s, 2010 1,761,300
705,000 Dex Media, Inc. disc. notes zero %, 2013 535,800
805,000 Dex Media, Inc. notes 8s, 2013 861,350
265,000 Dura Operating Corp. company guaranty
Ser. B, 8 5/8s, 2012 273,281
51,000 FelCor Lodging LP company guaranty 10s,
2008 (R) 53,550
301,000 FelCor Lodging LP company guaranty 9s,
2008 (R) 338,625
680,000 Finlay Fine Jewelry Corp. sr. notes 8
3/8s, 2012 742,900
965,000 Gaylord Entertainment Co. sr. notes 8s,
2013 1,039,788
1,160,000 Goodyear Tire & Rubber Co. (The) notes
7.857s, 2011 1,099,100
285,000 Goodyear Tire & Rubber Co. (The) notes 6
3/8s, 2008 276,450
585,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 (R) 601,088
1,960,199 Hollinger Participation Trust 144A sr.
notes 12 1/8s, 2010 (Canada) (PIK) 2,469,851
1,370,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 1,414,525
389,000 Host Marriott LP sr. notes Ser. E, 8
3/8s, 2006 (R) 410,395
1,050,000 Host Marriott LP 144A sr. notes 7s, 2012
(R) 1,134,000
475,000 Houghton Mifflin Co. sr. sub. notes 9
7/8s, 2013 515,375
1,174,000 Icon Health & Fitness company guaranty
11 1/4s, 2012 974,420
895,000 IESI Corp. company guaranty 10 1/4s,
2012 966,600
385,000 Inn of the Mountain Gods sr. notes 12s,
2010 446,600
725,000 ITT Corp. debs. 7 3/8s, 2015 819,250
815,000 ITT Corp. notes 6 3/4s, 2005 839,450
1,370,000 JC Penney Co., Inc. debs. 7.95s, 2017 1,585,775
245,000 JC Penney Co., Inc. debs. 7.65s, 2016 278,075
615,000 JC Penney Co., Inc. debs. 7 1/8s, 2023 656,513
40,000 JC Penney Co., Inc. notes 8s, 2010 45,800
2,170,000 John Q. Hammons Hotels LP/John Q.
Hammons Hotels Finance Corp. III 1st
mtge. Ser. B, 8 7/8s, 2012 2,495,500
728,000 Jostens Holding Corp. sr. disc. notes
stepped-coupon zero % (10 1/4s,
12/1/08), 2013 (STP) 513,240
1,602,000 Jostens IH Corp. 144A company guaranty 7
5/8s, 2012 1,658,070
180,000 K. Hovnanian Enterprises, Inc. company
guaranty 10 1/2s, 2007 207,900
795,000 K. Hovnanian Enterprises, Inc. company
guaranty 8 7/8s, 2012 886,425
540,000 K. Hovnanian Enterprises, Inc. company
guaranty 6 3/8s, 2014 546,750
405,000 K. Hovnanian Enterprises, Inc. sr. notes
6 1/2s, 2014 415,125
500,000 K2, Inc. 144A sr. notes 7 3/8s, 2014 545,000
1,885,000 Laidlaw International, Inc. sr. notes 10
3/4s, 2011 2,167,750
780,000 Lamar Media Corp. company guaranty 7
1/4s, 2013 846,300
1,406,000 Levi Strauss & Co. sr. notes 12 1/4s,
2012 1,451,695
600,000 Mandalay Resort Group sr. notes 6 3/8s,
2011 624,750
985,000 MeriStar Hospital Corp. company guaranty
9 1/8s, 2011 (R) 1,049,025
530,000 MeriStar Hospital Corp. company guaranty
9s, 2008 (R) 556,500
410,000 Meritage Corp. company guaranty 9 3/4s,
2011 457,150
275,000 Meritage Corp. sr. notes 7s, 2014 282,219
560,000 Meritor Automotive, Inc. notes 6.8s,
2009 571,200
615,000 Metaldyne Corp. 144A sr. notes 10s, 2013 587,325
1,085,000 MGM Mirage, Inc. company guaranty 8
1/2s, 2010 1,247,750
680,000 MGM Mirage, Inc. company guaranty 6s,
2009 703,800
250,000 Mirage Resorts, Inc. debs. 7 1/4s, 2017 260,000
165,000 Mohegan Tribal Gaming Authority sr. sub.
notes 8s, 2012 182,325
430,000 Mohegan Tribal Gaming Authority sr. sub.
notes 6 3/8s, 2009 450,425
415,000 Owens Corning bonds 7 1/2s, 2018 (In
default) (NON) 203,350
1,185,000 Owens Corning notes 7 1/2s, 2005 (In
default) (NON) 580,650
635,000 Oxford Industries, Inc. sr. notes 8
7/8s, 2011 685,800
1,250,000 Park Place Entertainment Corp. sr. notes
7 1/2s, 2009 1,415,625
680,000 Park Place Entertainment Corp. sr. notes
7s, 2013 764,150
545,000 Park Place Entertainment Corp. sr. sub.
notes 8 7/8s, 2008 627,431
5,000 Park Place Entertainment Corp. sr. sub.
notes 8 1/8s, 2011 5,844
1,320,000 Penn National Gaming, Inc. sr. sub.
notes 8 7/8s, 2010 1,455,300
310,000 Phillips-Van Heusen Corp. sr. notes 7
1/4s, 2011 324,725
765,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 3/4s, 2013 812,813
360,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 1/4s, 2012 371,700
1,515,000 PRIMEDIA, Inc. company guaranty 8 7/8s,
2011 1,579,388
1,110,000 PRIMEDIA, Inc. 144A sr. notes 8s, 2013 1,112,775
510,000 Reader's Digest Association, Inc. (The)
sr. notes 6 1/2s, 2011 529,125
995,000 Resorts International Hotel and Casino,
Inc. company guaranty 11 1/2s, 2009 1,146,738
175,000 RH Donnelley Finance Corp. I company
guaranty 8 7/8s, 2010 198,625
1,290,000 RH Donnelley Finance Corp. I 144A sr.
notes 8 7/8s, 2010 1,464,150
650,000 RH Donnelley Finance Corp. I 144A sr.
sub. notes 10 7/8s, 2012 794,625
920,000 Russell Corp. company guaranty 9 1/4s,
2010 989,000
1,538,000 Saks, Inc. company guaranty 7s, 2013 1,561,070
1,665,000 Samsonite Corp. sr. sub. notes 8 7/8s,
2011 1,773,225
530,000 Schuler Homes, Inc. company guaranty 10
1/2s, 2011 609,500
1,545,000 Sealy Mattress Co. sr. sub. notes 8
1/4s, 2014 1,633,838
590,000 Standard Pacific Corp. sr. notes 7 3/4s,
2013 643,100
70,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 7/8s, 2012 82,075
535,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 575,794
665,000 Station Casinos, Inc. sr. notes 6s, 2012 694,925
715,000 Station Casinos, Inc. sr. sub. notes 6
7/8s, 2016 759,688
470,000 Technical Olympic USA, Inc. company
guaranty 10 3/8s, 2012 528,750
305,000 Technical Olympic USA, Inc. company
guaranty 9s, 2010 332,450
EUR 185,000 Teksid Aluminum 144A company guaranty 11
3/8s, 2011 (Luxembourg) 206,477
$1,040,000 Tenneco Automotive, Inc. sec. notes Ser.
B, 10 1/4s, 2013 1,211,600
725,000 THL Buildco, Inc. (Nortek, Inc.) 144A
sr. sub. notes 8 1/2s, 2014 768,500
1,700,000 Trump Atlantic City Associates company
guaranty 11 1/4s, 2006 1,491,750
715,000 United Auto Group, Inc. company guaranty
9 5/8s, 2012 795,438
1,215,000 Vertis, Inc. company guaranty Ser. B, 10
7/8s, 2009 1,324,350
1,015,000 Vertis, Inc. 144A sub. notes 13 1/2s,
2009 1,055,600
1,135,000 WCI Communities, Inc. company guaranty 9
1/8s, 2012 1,262,688
552,000 William Carter Holdings Co. (The)
company guaranty Ser. B, 10 7/8s, 2011 632,040
770,000 WRC Media Corp. sr. sub. notes 12 3/4s,
2009 724,763
87,000 Yell Finance BV sr. notes 10 3/4s, 2011
(Netherlands) 99,920
-------------
87,062,569
Consumer Staples (5.1%)
-----------------------------------------------------------------------------------------------------------
110,000 Adelphia Communications Corp. notes Ser.
B, 9 7/8s, 2005 (In default) (NON) 94,050
560,000 Adelphia Communications Corp. sr. notes
10 7/8s, 2010 (In default) (NON) 488,600
25,000 Adelphia Communications Corp. sr. notes
10 1/4s, 2011 (In default) (NON) 22,125
75,000 Adelphia Communications Corp. sr. notes
9 3/8s, 2009 (In default) (NON) 65,625
1,505,000 Adelphia Communications Corp. sr. notes
Ser. B, 7 3/4s, 2009 (In default) (NON) 1,260,438
765,000 Affinity Group, Inc. sr. sub. notes 9s,
2012 818,550
915,000 AMC Entertainment, Inc. sr. sub. notes 9
7/8s, 2012 979,050
770,000 AMC Entertainment, Inc. 144A sr. sub.
notes 8s, 2014 739,200
266,296 Archibald Candy Corp. company guaranty
10s, 2007 (In default) (NON)(PIK) 106,518
890,000 Armkel, LLC/Armkel Finance sr. sub.
notes 9 1/2s, 2009 968,988
365,000 ASG Consolidated LLC/ASG Finance, Inc.
144A sr. disc. notes stepped-coupon zero %
(11 1/2s, 11/1/08), 2011 232,688
790,000 Brand Services, Inc. company guaranty
12s, 2012 884,800
700,000 Capital Records, Inc. 144A company
guaranty 8 3/8s, 2009 780,500
360,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s,
1/15/07), 2012 (STP) 211,500
735,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (11 3/4s,
5/15/06), 2011 (STP) 474,075
980,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 11 1/8s,
2011 818,300
1,195,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 3/4s,
2009 1,009,775
585,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 1/4s,
2010 479,700
2,310,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10s, 2011 1,848,000
265,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 8 5/8s, 2009 213,325
910,000 Cinemark USA, Inc. sr. sub. notes 9s,
2013 1,028,300
1,385,000 Cinemark, Inc. sr. disc. notes
stepped-coupon zero % (9 3/4s, 3/15/07),
2014 (STP) 979,888
420,000 Constellation Brands, Inc. company
guaranty Ser. B, 8s, 2008 460,950
595,000 Constellation Brands, Inc. sr. sub.
notes Ser. B, 8 1/8s, 2012 651,525
600,000 CSC Holdings, Inc. debs. 7 5/8s, 2018 638,250
515,000 CSC Holdings, Inc. sr. notes Ser. B, 7
5/8s, 2011 560,063
1,460,000 CSC Holdings, Inc. 144A sr. notes 6
3/4s, 2012 1,511,100
907,000 Dean Foods Co. sr. notes 6 5/8s, 2009 954,618
310,000 Del Monte Corp. company guaranty Ser. B,
9 1/4s, 2011 342,550
780,000 Del Monte Corp. sr. sub. notes 8 5/8s,
2012 879,450
3,586,000 Diva Systems Corp. sr. disc. notes Ser.
B, 12 5/8s, 2008 (In default) (NON) 15,689
1,150,000 Doane Pet Care Co. sr. sub. debs. 9
3/4s, 2007 1,144,250
365,000 Dole Food Co. sr. notes 8 7/8s, 2011 404,238
275,000 Dole Food Co. sr. notes 8 5/8s, 2009 304,563
678,000 Domino's, Inc. sr. sub. notes 8 1/4s,
2011 742,410
1,038,000 Echostar DBS Corp. sr. notes 6 3/8s,
2011 1,075,628
991,000 Echostar DBS Corp. 144A company guaranty
6 5/8s, 2014 1,005,865
452,000 Elizabeth Arden, Inc. company guaranty 7
3/4s, 2014 481,945
1,660,000 Granite Broadcasting Corp. sec. notes 9
3/4s, 2010 1,531,350
500,000 Jean Coutu Group, Inc. 144A sr. notes 7
5/8s, 2012 (Canada) 528,750
1,005,000 Jean Coutu Group, Inc. 144A sr. sub.
notes 8 1/2s, 2014 (Canada) 1,025,100
1,515,000 Kabel Deutsheland GmbH 144A sr. notes 10
5/8s, 2014 (Germany) 1,696,800
59,690 Knology, Inc. 144A sr. notes 12s, 2009
(PIK) 57,302
272,000 Land O'Lakes, Inc. sr. notes 8 3/4s,
2011 252,280
1,270,000 News America Holdings, Inc. company
guaranty 9 1/4s, 2013 1,643,512
515,000 North Atlantic Trading Co. sr. notes 9
1/4s, 2012 499,550
1,170,000 Pinnacle Foods Holding Corp. 144A sr.
sub. notes 8 1/4s, 2013 1,105,650
204,000 Pinnacle Foods Holding Corp. 144A sr.
sub. notes 8 1/4s, 2013 192,780
1,165,000 Playtex Products, Inc. company guaranty
9 3/8s, 2011 1,226,163
1,075,000 Playtex Products, Inc. sec. notes 8s,
2011 1,174,438
1,050,000 Prestige Brands, Inc. 144A sr. sub.
notes 9 1/4s, 2012 1,060,500
45,000 Quebecor Media, Inc. sr. disc. notes
stepped-coupon zero % (13 3/4s,
7/15/06), 2011 (Canada) (STP) 43,650
800,000 Quebecor Media, Inc. sr. notes 11 1/8s,
2011 (Canada) 926,000
1,010,000 Rainbow National Services, LLC 144A sr.
notes 8 3/4s, 2012 1,080,700
1,030,000 Remington Arms Co., Inc. company
guaranty 10 1/2s, 2011 911,550
780,000 Rite Aid Corp. company guaranty 9 1/2s,
2011 863,850
50,000 Rite Aid Corp. debs. 6 7/8s, 2013 44,750
105,000 Rite Aid Corp. notes 7 1/8s, 2007 106,050
525,000 Rite Aid Corp. sec. notes 8 1/8s, 2010 560,438
710,000 Rite Aid Corp. sr. notes 9 1/4s, 2013 740,175
55,000 Rite Aid Corp. 144A notes 6s, 2005 55,550
1,220,000 Sbarro, Inc. company guaranty 11s, 2009 1,157,475
355,000 Scotts Co. (The) sr. sub. notes 6 5/8s,
2013 374,525
1,350,000 Six Flags, Inc. sr. notes 9 5/8s, 2014 1,289,250
1,037,000 Six Flags, Inc. sr. notes 8 7/8s, 2010 1,000,705
523,000 United Rentals (North America), Inc.
company guaranty 6 1/2s, 2012 517,770
405,000 Videotron Ltee company guaranty 6 7/8s,
2014 (Canada) 425,250
1,070,000 Vivendi Universal SA sr. notes 6 1/4s,
2008 (France) 1,163,625
1,010,000 Williams Scotsman, Inc. company guaranty
9 7/8s, 2007 969,600
1,068,000 Young Broadcasting, Inc. company
guaranty 10s, 2011 1,121,400
510,000 Young Broadcasting, Inc. sr. sub. notes
8 3/4s, 2014 494,700
-------------
51,518,277
Energy (3.9%)
-----------------------------------------------------------------------------------------------------------
1,390,000 Arch Western Finance, LLC sr. notes 6
3/4s, 2013 1,476,875
483,000 Arch Western Finance, LLC 144A sr. notes
6 3/4s, 2013 513,188
300,000 Belden & Blake Corp. 144A sec. notes 8
3/4s, 2012 324,000
677,000 Bluewater Finance, Ltd. company guaranty
10 1/4s, 2012 (Cayman Islands) 748,085
890,000 BRL Universal Equipment sec. notes 8
7/8s, 2008 938,950
795,000 CHC Helicopter Corp. sr. sub. notes 7
3/8s, 2014 (Canada) 846,675
475,000 Chesapeake Energy Corp. company guaranty
9s, 2012 546,844
371,000 Chesapeake Energy Corp. company guaranty
7 3/4s, 2015 411,810
1,365,000 Chesapeake Energy Corp. sr. notes 7
1/2s, 2013 1,521,975
400,000 Chesapeake Energy Corp. sr. notes 7s,
2014 434,000
720,000 Comstock Resources, Inc. sr. notes 6
7/8s, 2012 745,200
975,000 Dresser, Inc. company guaranty 9 3/8s,
2011 1,087,125
755,000 Encore Acquisition Co. company guaranty
8 3/8s, 2012 838,050
360,000 Encore Acquisition Co. sr. sub. notes 6
1/4s, 2014 369,000
1,020,000 Exco Resources, Inc. company guaranty 7
1/4s, 2011 1,104,150
480,000 Forest Oil Corp. company guaranty 7
3/4s, 2014 526,800
770,000 Forest Oil Corp. sr. notes 8s, 2011 877,800
275,000 Forest Oil Corp. sr. notes 8s, 2008 304,563
555,000 Hanover Compressor Co. sr. notes 9s,
2014 618,825
495,000 Hanover Compressor Co. sr. notes 8 5/8s,
2010 544,500
745,000 Hanover Compressor Co. sub. notes zero %,
2007 633,250
495,000 Hanover Equipment Trust sec. notes Ser.
B, 8 3/4s, 2011 546,975
584,000 Harvest Operations Corp. 144A sr. notes
7 7/8s, 2011 (Canada) 605,170
670,000 Hornbeck Offshore Services, Inc. sr.
notes 10 5/8s, 2008 738,675
515,000 KCS Energy, Inc. sr. notes 7 1/8s, 2012 538,175
646,000 Key Energy Services, Inc. sr. notes 6
3/8s, 2013 663,765
1,081,000 Massey Energy Co. sr. notes 6 5/8s, 2010 1,126,943
980,000 Newfield Exploration Co. sr. notes 7
5/8s, 2011 1,120,875
505,000 Newfield Exploration Co. 144A sr. sub.
notes 6 5/8s, 2014 541,613
655,000 Offshore Logistics, Inc. company
guaranty 6 1/8s, 2013 677,925
804,693 Oslo Seismic Services, Inc. 1st mtge.
8.28s, 2011 865,426
505,000 Pacific Energy Partners/Pacific Energy
Finance Corp. 144A sr. notes 7 1/8s,
2014 547,925
316,000 Parker Drilling Co. company guaranty
Ser. B, 10 1/8s, 2009 334,960
1,065,000 Peabody Energy Corp. sr. notes 5 7/8s,
2016 1,065,000
880,000 Pemex Project Funding Master Trust
company guaranty 8 5/8s, 2022 1,009,800
795,000 Petro Geo-Services notes 10s, 2010
(Norway) 906,300
1,626,000 Petroleos Mexicanos company guaranty 9
1/2s, 2027 (Mexico) 1,991,850
1,410,000 Petronas Capital, Ltd. company guaranty
7 7/8s, 2022 (Malaysia) 1,725,558
315,000 Petronas Capital, Ltd. company guaranty
7s, 2012 (Malaysia) 361,463
350,000 Petronas Capital, Ltd. 144A company
guaranty 7 7/8s, 2022 (Malaysia) 428,330
800,000 Plains Exploration & Production Co.
company guaranty Ser. B, 8 3/4s, 2012 904,000
595,000 Plains Exploration & Production Co. sr.
notes 7 1/8s, 2014 660,450
420,000 Plains Exploration & Production Co. sr.
sub. notes 8 3/4s, 2012 474,600
920,000 Pogo Producing Co. sr. sub. notes Ser.
B, 8 1/4s, 2011 1,014,300
1,166,000 Pride International, Inc. 144A sr. notes
7 3/8s, 2014 1,311,750
830,000 Seabulk International, Inc. company
guaranty 9 1/2s, 2013 883,950
420,000 Seven Seas Petroleum, Inc. sr. notes
Ser. B, 12 1/2s, 2005 (In default) (NON) 4
1,041,000 Star Gas Partners LP/Star Gas Finance
Co. sr. notes 10 1/4s, 2013 1,001,963
518,702 Star Gas Propane 1st Mtge. 8.04s, 2009 565,385
205,000 Universal Compression, Inc. sr. notes 7
1/4s, 2010 219,350
900,000 Vintage Petroleum, Inc. sr. notes 8
1/4s, 2012 1,008,000
205,000 Vintage Petroleum, Inc. sr. sub. notes 7
7/8s, 2011 221,400
-------------
39,473,545
Financial (1.1%)
-----------------------------------------------------------------------------------------------------------
2,725,000 China Development Bank notes 4 3/4s,
2014 2,693,663
435,000 Crescent Real Estate Equities LP notes 7
1/2s, 2007 (R) 449,138
1,075,000 Crescent Real Estate Equities LP sr.
notes 9 1/4s, 2009 (R) 1,163,688
1,390,000 E*Trade Finance Corp. 144A sr. notes 8s,
2011 1,466,450
1,929,620 Finova Group, Inc. notes 7 1/2s, 2009 877,977
792,000 iStar Financial, Inc. sr. notes 8 3/4s,
2008 (R) 912,808
180,000 iStar Financial, Inc. sr. notes 7s, 2008
(R) 195,763
595,000 iStar Financial, Inc. sr. notes 6s, 2010
(R) 630,365
2,360,000 VTB Bank (VTB Capital) 144A notes 7
1/2s, 2011 (Luxembourg) 2,442,600
760,000 Western Financial Bank sub. debs. 9
5/8s, 2012 866,400
-------------
11,698,852
Health Care (3.0%)
-----------------------------------------------------------------------------------------------------------
505,000 Alderwoods Group, Inc. 144A sr. notes 7
3/4s, 2012 545,400
805,000 AmerisourceBergen Corp. company guaranty
7 1/4s, 2012 873,425
780,000 AmerisourceBergen Corp. sr. notes 8
1/8s, 2008 856,050
1,375,000 Ardent Health Services, Inc. sr. sub.
notes 10s, 2013 1,405,938
470,000 Extendicare Health Services, Inc.
company guaranty 9 1/2s, 2010 528,750
745,000 Extendicare Health Services, Inc. sr.
sub. notes 6 7/8s, 2014 765,488
920,000 HCA, Inc. debs. 7.19s, 2015 967,190
350,000 HCA, Inc. notes 8.36s, 2024 376,400
750,000 HCA, Inc. notes 7.69s, 2025 757,658
1,385,000 HCA, Inc. notes 7s, 2007 1,467,115
768,000 HCA, Inc. notes 5 3/4s, 2014 744,714
1,365,000 Healthsouth Corp. notes 7 5/8s, 2012 1,324,050
705,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 719,100
340,000 Healthsouth Corp. sr. notes 8 3/8s, 2011 338,300
290,000 Healthsouth Corp. sr. notes 7s, 2008 288,550
515,000 Insight Health Services Corp. 144A
company guaranty 9 7/8s, 2011 515,000
340,845 Magellan Health Services, Inc. sr. notes
Ser. A, 9 3/8s, 2008 368,965
795,000 MedQuest, Inc. company guaranty Ser. B,
11 7/8s, 2012 920,213
1,170,000 MQ Associates, Inc. 144A sr. disc. notes
zero %, 2012 772,200
1,045,000 Omnicare, Inc. sr. sub. notes 6 1/8s,
2013 1,055,450
1,022,000 PacifiCare Health Systems, Inc. company
guaranty 10 3/4s, 2009 1,177,855
1,055,000 Province Healthcare Co. sr. sub. notes 7
1/2s, 2013 1,192,150
390,000 Service Corp. International debs. 7
7/8s, 2013 425,100
105,000 Service Corp. International notes 7.2s,
2006 109,725
35,000 Service Corp. International notes 6
7/8s, 2007 37,013
155,000 Service Corp. International notes 6
1/2s, 2008 162,750
370,000 Service Corp. International notes Ser.
*, 7.7s, 2009 406,075
1,085,000 Service Corp. International/US 144A sr.
notes 7s, 2016 1,117,550
1,010,000 Stewart Enterprises, Inc. notes 10 3/4s,
2008 1,108,475
530,000 Tenet Healthcare Corp. notes 7 3/8s,
2013 500,850
25,000 Tenet Healthcare Corp. sr. notes 6 1/2s,
2012 22,688
645,000 Tenet Healthcare Corp. sr. notes 6 3/8s,
2011 588,563
1,240,000 Tenet Healthcare Corp. 144A sr. notes 9
7/8s, 2014 1,298,900
1,150,000 Triad Hospitals, Inc. sr. notes 7s, 2012 1,230,500
1,792,000 Triad Hospitals, Inc. sr. sub. notes 7s,
2013 1,836,800
740,000 Universal Hospital Services, Inc. sr.
notes 10 1/8s, 2011 754,800
350,000 US Oncology, Inc. 144A sr. notes 9s,
2012 378,000
250,000 US Oncology, Inc. 144A sr. sub. notes 10
3/4s, 2014 272,500
594,000 Vanguard Health Holding Co. II, LLC 144A
sr. sub. notes 9s, 2014 620,730
425,000 Ventas Realty LP/Capital Corp. company
guaranty 9s, 2012 494,063
243,000 Ventas Realty LP/Capital Corp. 144A sr.
notes 6 5/8s, 2014 247,860
480,000 VWR International, Inc. 144A sr. notes 6
7/8s, 2012 507,600
-------------
30,080,503
Technology (1.4%)
-----------------------------------------------------------------------------------------------------------
731,000 Advanced Micro Devices, Inc. 144A sr.
notes 7 3/4s, 2012 732,828
625,000 AMI Semiconductor, Inc. company guaranty
10 3/4s, 2013 732,813
1,030,000 Celestica, Inc. sr.sub. notes 7 7/8s,
2011 (Canada) 1,102,100
1,000,000 Freescale Semiconductor, Inc. 144A sr.
notes 7 1/8s, 2014 1,060,000
305,000 Iron Mountain, Inc. company guaranty 8
5/8s, 2013 330,163
770,000 Iron Mountain, Inc. sr. sub. notes 8
1/4s, 2011 793,100
100,000 Lucent Technologies, Inc. debs. 6 1/2s,
2028 85,500
1,435,000 Lucent Technologies, Inc. debs. 6.45s,
2029 1,232,306
75,000 Lucent Technologies, Inc. notes 5 1/2s,
2008 76,875
530,000 Nortel Networks Corp. notes 6 1/8s, 2006
(Canada) 541,925
711,000 ON Semiconductor Corp. company guaranty
13s, 2008 803,430
465,000 SCG Holding Corp. 144A notes zero %,
2011 632,400
855,000 Seagate Technology Hdd Holdings company
guaranty 8s, 2009 (Cayman Islands) 923,400
1,136,000 UGS Corp. 144A sr. sub. notes 10s, 2012 1,272,320
1,075,000 Xerox Capital Trust I company guaranty
8s, 2027 1,075,000
555,000 Xerox Corp. notes Ser. MTN, 7.2s, 2016 584,138
1,565,000 Xerox Corp. sr. notes 7 5/8s, 2013 1,721,500
255,000 Xerox Corp. sr. notes 6 7/8s, 2011 272,213
-------------
13,972,011
Transportation (0.5%)
-----------------------------------------------------------------------------------------------------------
760,000 American Airlines, Inc. pass-through
certificates Ser. 01-1, 6.817s, 2011 684,000
1,365,000 Calair, LLC/Calair Capital Corp. company
guaranty 8 1/8s, 2008 1,112,475
1,270,000 Kansas City Southern Railway Co. company
guaranty 9 1/2s, 2008 1,412,875
260,000 Kansas City Southern Railway Co. company
guaranty 7 1/2s, 2009 270,400
770,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 762,300
332,615 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 336,357
260,000 Travel Centers of America, Inc. company
guaranty 12 3/4s, 2009 297,700
-------------
4,876,107
Utilities & Power (4.0%)
-----------------------------------------------------------------------------------------------------------
77,000 AES Corp. (The) sr. notes 8 7/8s, 2011 88,935
43,000 AES Corp. (The) sr. notes 8 3/4s, 2008 47,623
1,085,000 AES Corp. (The) 144A sec. notes 9s, 2015 1,261,313
1,530,000 AES Corp. (The) 144A sec. notes 8 3/4s,
2013 1,761,413
740,000 Allegheny Energy Supply 144A bonds 8
1/4s, 2012 834,350
475,000 Allegheny Energy Supply 144A sec. notes
10 1/4s, 2007 546,250
1,124,000 Calpine Corp. 144A sec. notes 8 1/2s,
2010 826,140
390,000 CenterPoint Energy Resources Corp. debs.
6 1/2s, 2008 421,853
335,000 CenterPoint Energy Resources Corp. sr.
notes Ser. B, 7 7/8s, 2013 400,477
130,000 CMS Energy Corp. pass-through
certificates 7s, 2005 130,485
1,190,000 CMS Energy Corp. sr. notes 8.9s, 2008 1,326,850
315,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 357,525
250,000 CMS Energy Corp. sr. notes 7 3/4s, 2010 273,750
875,000 DPL, Inc. sr. notes 6 7/8s, 2011 953,750
425,000 Dynegy Holdings, Inc. sr. notes 6 7/8s,
2011 411,188
1,990,000 Dynegy Holdings, Inc. 144A sec. notes 10
1/8s, 2013 2,318,350
525,000 Dynegy-Roseton Danskamme company
guaranty Ser. A, 7.27s, 2010 530,250
800,000 Dynegy-Roseton Danskamme company
guaranty Ser. B, 7.67s, 2016 770,000
370,000 Edison Mission Energy sr. notes 10s,
2008 431,975
15,000 Edison Mission Energy sr. notes 9 7/8s,
2011 17,738
560,000 El Paso Corp. sr. notes 7 3/8s, 2012 565,600
1,275,000 El Paso Corp. sr. notes Ser. MTN, 7
3/4s, 2032 1,173,000
265,000 El Paso Natural Gas Co. debs. 8 5/8s,
2022 296,800
1,390,000 El Paso Production Holding Co. company
guaranty 7 3/4s, 2013 1,449,075
910,000 Ferrellgas Partners LP/Ferrellgas
Partners Finance sr. notes 6 3/4s, 2014 941,850
300,000 Kansas Gas & Electric debs. 8.29s, 2016 309,690
1,765,000 Midwest Generation, LLC sec. sr. notes 8
3/4s, 2034 1,998,863
1,180,000 Mission Energy Holding Co. sec. notes 13
1/2s, 2008 1,495,650
560,000 Monongahela Power Co. 144A 1st. mtge.
6.7s, 2014 608,177
930,000 Nevada Power Co. 2nd mtge. 9s, 2013 1,083,450
1,400,000 Northwest Pipeline Corp. company
guaranty 8 1/8s, 2010 1,569,750
90,000 Northwestern Corp. debs. 6.95s, 2028 (In
default) (NON) 79,200
160,000 Northwestern Corp. notes 8 3/4s, 2012
(In default) (NON) 140,800
451,000 Norwest Corp./OLD 144A sec. notes 5
7/8s, 2014 462,275
2,795,000 NRG Energy, Inc. 144A sr. sec. notes 8s,
2013 3,077,994
805,000 Orion Power Holdings, Inc. sr. notes
12s, 2010 1,014,300
1,185,000 PG&E Corp. sec. notes 6 7/8s, 2008 1,285,725
220,000 PG&E Gas Transmission Northwest sr.
notes 7.1s, 2005 228,525
850,000 PSEG Energy Holdings, Inc. notes 7 3/4s,
2007 909,500
670,000 SEMCO Energy, Inc. sr. notes 7 3/4s,
2013 721,925
210,000 Sierra Pacific Power Co. general ref.
mtge. 6 1/4s, 2012 217,350
1,285,000 Sierra Pacific Resources sr. notes 8
5/8s, 2014 1,458,475
130,000 Southern California Edison Co. notes 6
3/8s, 2006 135,418
440,000 Teco Energy, Inc. notes 10 1/2s, 2007 515,900
250,000 Teco Energy, Inc. notes 7.2s, 2011 272,500
400,000 Teco Energy, Inc. notes 7s, 2012 432,000
105,000 Tennessee Gas Pipeline Co. debs. 7s,
2028 101,325
555,000 Tennessee Gas Pipeline Co. unsecd. notes
7 1/2s, 2017 593,850
135,000 Transcontinental Gas Pipeline Corp.
debs. 7 1/4s, 2026 143,100
1,460,000 Utilicorp Canada Finance Corp. company
guaranty 7 3/4s, 2011 (Canada) 1,522,050
510,000 Utilicorp United, Inc. sr. notes 9.95s,
2011 573,750
547,000 Western Resources, Inc. sr. notes 9
3/4s, 2007 621,964
200,000 Williams Cos., Inc. (The) notes 8 3/4s,
2032 227,000
210,000 Williams Cos., Inc. (The) notes 8 1/8s,
2012 246,750
755,000 Williams Cos., Inc. (The) notes 7 5/8s,
2019 849,375
334,976 York Power Funding 144A notes 12s, 2007
(Cayman Islands) (In default) (NON) 34
-------------
41,033,205
-------------
Total Corporate bonds and notes (cost $364,932,970) $383,949,371
Foreign government bonds and notes (12.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
EUR 6,000,000 Austria (Republic of) 144A notes Ser.
EMTN, 3.8s, 2013 $7,609,269
USD 980,000 Brazil (Federal Republic of) bonds 10
1/2s, 2014 1,097,110
USD 2,640,000 Brazil (Federal Republic of) bonds 10
1/8s, 2027 2,805,000
USD 2,415,000 Brazil (Federal Republic of) bonds 8
7/8s, 2019 2,390,850
USD 1,300,000 Bulgaria (Republic of) 144A bonds 8
1/4s, 2015 1,625,000
CAD 2,725,000 Canada (Government of) bonds 5 1/2s,
2010 2,394,514
CAD 930,000 Canada (Government of) bonds Ser. WL43,
5 3/4s, 2029 846,876
USD 560,000 Colombia (Republic of) bonds 10 3/8s,
2033 609,000
USD 1,285,000 Colombia (Republic of) bonds Ser. NOV, 9
3/4s, 2009 1,452,050
USD 3,010,000 Colombia (Republic of) notes 10 3/4s,
2013 3,484,075
USD 460,000 Dominican (Republic of) notes 9.04s,
2013 372,600
USD 2,085,000 Ecuador (Republic of) bonds
stepped-coupon Ser. REGS, 8s, 2030 1,761,825
USD 575,000 El Salvador (Republic of) bonds 8 1/4s,
2032 578,738
USD 380,000 El Salvador (Republic of) 144A bonds 8
1/4s, 2032 382,470
USD 405,000 El Salvador (Republic of) 144A bonds 7
5/8s, 2034 410,670
EUR 1,845,000 France (Government of) bonds 5 3/4s,
2032 2,783,133
EUR 4,830,000 France (Government of) bonds 5 1/2s,
2010 6,843,611
EUR 9,000,000 France (Government of) bonds 4s, 2013 11,641,701
EUR 1,080,000 France (Government of) deb. 4s, 2009 1,424,477
EUR 7,250,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 10,014,305
EUR 6,340,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 8,652,507
EUR 1,875,000 Hellenic Greece (Republic of) bonds 3
1/2s, 2008 2,428,693
USD 260,000 Indonesia (Republic of) FRN 2.005s, 2006 252,200
USD 645,000 Indonesia (Republic of) FRN 2.005s, 2005 636,938
USD 1,995,000 Indonosia (Republic of) 144A sr. notes 6
3/4s, 2014 1,952,108
NZD 7,610,000 New Zealand (Government of) bonds Ser.
1106, 8s, 2006 5,394,442
NZD 8,036,000 New Zealand (Government of) bonds Ser.
709, 7s, 2009 5,707,409
USD 520,000 Peru (Republic of) bonds 8 3/4s, 2033 518,440
USD 730,000 Philippines (Republic of) notes 10 5/8s,
2025 763,945
USD 1,425,000 Philippines (Republic of) sr. notes 8
7/8s, 2015 1,396,500
USD 8,662,500 Russia (Federation of) 144A unsub.
stepped-coupon 5s (7 1/2s, 3/31/07),
2030 (STP) 8,675,494
USD 1,335,000 Russia (Ministry of Finance) deb. Ser.
V, 3s, 2008 1,234,875
USD 2,705,000 South Africa (Republic of) notes 7 3/8s,
2012 3,090,463
USD 1,210,000 South Africa (Republic of) notes 6 1/2s,
2014 1,314,665
SEK 37,600,000 Sweden (Government of) bonds Ser. 3101,
4s, 2008 6,601,454
SEK 43,075,000 Sweden (Government of) debs. Ser. 1041,
6 3/4s, 2014 7,239,236
USD 392,011 Ukraine (Government of) sr. notes Ser.
REGS, 11s, 2007 426,116
USD 1,025,000 Ukraine (Government of) 144A bonds
7.65s, 2013 1,054,725
USD 1,515,000 Ukraine (Government of) 144A unsub.
notes 6 7/8s, 2011 1,528,332
USD 3,610,000 United Mexican States bonds Ser. MTN,
8.3s, 2031 4,174,965
USD 570,000 Venezuela (Republic of) bonds 9 3/8s,
2034 582,255
USD 650,000 Venezuela (Republic of) notes 10 3/4s,
2013 750,750
USD 495,000 Venezuela (Republic of) notes 8 1/2s,
2014 504,281
USD 1,020,000 Venezuela (Republic of) unsub. bonds 5
3/8s, 2010 932,790
-------------
Total Foreign government bonds and notes (cost $110,212,382) $126,340,857
Asset-backed securities (8.7%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$250,909 ABSC NIMS Trust 144A Ser. 03-HE5, Class
A, 7s, 2033 $252,164
Aegis Asset Backed Securities Trust 144A
144,569 Ser. 04-1N, Class Note, 5s, 2034 144,253
335,699 Ser. 04-2N, Class N1, 4 1/2s, 2034 333,758
267,654 Ser. 04-4N, Class Note, 5s, 2034 267,554
427,000 Ameriquest Finance NIM Trust 144A Ser.
04-RN9, Class N2, 10s, 2034 395,509
4,491,818 Amortizing Residential Collateral Trust
Ser. 02-BC1, Class A, Interest Only
(IO), 6s, 2005 87,057
82,951 AQ Finance NIM Trust 144A Ser. 03-N9A,
Class Note, 7.385s, 2033 83,366
Arcap REIT, Inc. 144A
535,000 Ser. 03-1A, Class E, 7.11s, 2038 574,456
304,000 Ser. 04-1A, Class E, 6.42s, 2039 311,267
Argent NIM Trust 144A
136,779 Ser. 03-N6, Class A, 6.4s, 2034 (Cayman
Islands) 137,121
92,692 Ser. 04-WN2, Class A, 4.55s, 2034
(Cayman Islands) 92,344
Asset Backed Funding Corp. NIM Trust
144A
29,222 Ser. 03-WF1, Class N1, 8.35s, 2032 29,222
220,000 Ser. 04-0PT1, Class N2, 6.9s, 2033
(Cayman Islands) 219,999
303,000 Ser. 04-0PT5, Class N1, 4 1/2s, 2034
(Cayman Islands) 302,980
440,029 Ser. 04-FF1, Class N1, 5s, 2034 (Cayman
Islands) 438,582
27,000 Ser. 04-FF1, Class N2, 5s, 2034 (Cayman
Islands) 26,911
356,000 Ser. 04-HE1, Class N2, 8s, 2034 (Cayman
Islands) 345,895
433,788 Aviation Capital Group Trust 144A FRB
Ser. 03-2A, Class G1, 2.61s, 2033 435,415
480,000 Bank One Issuance Trust FRB Ser. 03-C4,
Class C4, 2.9s, 2011 488,928
26,943,990 Bayview Financial Acquisition Trust Ser.
03-X, Class A, IO, 0.9s, 2006 470,383
Bear Stearns Asset Backed Securities NIM
Trust 144A
490,574 Ser. 04-HE6, Class A1, 5 1/4s, 2034
(Cayman Islands) 489,884
442,940 Ser. 04-HE7N, Class A1, 5 1/4s, 2034
(Cayman Islands) 442,940
352,000 Bear Stearns Asset Backed Securities,
Inc. Ser. 04-FR3, Class M6, 5.21s, 2034 352,000
Bombardier Capital Mortgage
Securitization Corp.
1,026,598 Ser. 99-B, Class A3, 7.18s, 2015 803,313
1,167,858 Ser. 99-B, Class A4, 7.3s, 2016 916,999
CARSSX Finance, Ltd. 144A
170,000 FRB Ser. 04-AA, Class B3, 5.22s, 2011
(Cayman Islands) 170,085
220,000 FRB Ser. 04-AA, Class B4, 7.37s, 2011
(Cayman Islands) 220,110
490,000 Chase Credit Card Master Trust FRB Ser.
03-3, Class C, 2.95s, 2010 501,049
165,826 Chase Funding Net Interest Margin 144A
Ser. 03-4A, Class Note, 6 3/4s, 2036 166,241
CHEC NIM Ltd., 144A
509,000 Ser. 04-2, Class N1, 4.45s, 2034 (Cayman
Islands) 506,094
132,000 Ser. 04-2, Class N2, 8s, 2034 (Cayman
Islands) 131,992
81,000 Ser. 04-2, Class N3, 8s, 2034 (Cayman
Islands) 69,660
Conseco Finance Securitizations Corp.
484,099 Ser. 00-2, Class A4, 8.48s, 2030 493,548
4,469,000 Ser. 00-4, Class A6, 8.31s, 2032 3,920,265
1,313,889 Ser. 00-6, Class M2, 8.2s, 2032 177,375
378,000 Ser. 01-04, Class A4, 7.36s, 2033 392,704
1,230,000 Ser. 01-1, Class A5, 6.99s, 2032 1,180,233
18,000 Ser. 01-3, Class A3, 5.79s, 2033 18,448
2,614,000 Ser. 01-3, Class A4, 6.91s, 2033 2,626,547
400,000 Ser. 01-3, Class M2, 7.44s, 2033 76,000
1,207,120 Ser. 01-4, Class B1, 9.4s, 2033 162,961
3,191,596 Ser. 02-1, Class A, 6.681s, 2033 3,346,512
414,000 FRB Ser. 01-4, Class M1, 3.59s, 2033 171,396
1,100,000 Consumer Credit Reference IDX Securities
FRB Ser. 02-1A, Class A, 3.919s, 2007 1,115,158
Countrywide Asset Backed Certificates
144A
2,177,268 Ser. 04-6N, Class N1, 6 1/4s, 2035 2,175,090
332,754 Ser. 04-BC1N, Class Note, 5 1/2s, 2035 331,402
603,000 Crest, Ltd. 144A Ser. 03-2A, Class E2,
8s, 2038 610,161
590,000 First Chicago Lennar Trust 144A Ser.
97-CHL1, Class E, 7.827s, 2039 611,019
First Franklin NIM Trust 144A
255,008 Ser. 03-FF3A, Class A, 6 3/4s, 2033 254,018
472,000 Ser. 04-FF10, Class N1, 4 1/2s, 2034
(Cayman Islands) 471,969
Fremont NIM Trust 144A
48,445 Ser. 03-B, Class Note, 5.65s, 2033 48,324
505,558 Ser. 04-A, Class Note, 4 3/4s, 2034 504,042
Granite Mortgages PLC
490,000 FRB Ser. 02-1, Class 1C, 3.379s, 2042
(United Kingdom) 497,693
EUR 2,005,000 FRB Ser. 03-2, Class 2C1, 4 5/8s, 2043
(United Kingdom) 2,625,134
GBP 1,505,000 FRB Ser. 03-2, Class 3C, 6.38s, 2043
(United Kingdom) 2,827,070
Green Tree Financial Corp.
$518,653 Ser. 94-4, Class B2, 8.6s, 2019 363,627
1,251,681 Ser. 94-6, Class B2, 9s, 2020 1,006,039
525,430 Ser. 95-4, Class B1, 7.3s, 2025 495,546
509,436 Ser. 95-8, Class B1, 7.3s, 2026 392,266
214,687 Ser. 95-F, Class B2, 7.1s, 2021 195,802
523,000 Ser. 96-8, Class M1, 7.85s, 2027 455,010
151,724 Ser. 99-3, Class A5, 6.16s, 2031 153,999
1,739,000 Ser. 99-5, Class A5, 7.86s, 2030 1,566,771
Greenpoint Manufactured Housing
3,224,638 Ser. 00-3, Class IA, 8.45s, 2031 3,220,124
50,000 Ser. 99-5, Class A4, 7.59s, 2028 53,560
1,663,000 GS Auto Loan Trust 144A Ser. 04-1, Class
D, 5s, 2011 1,641,367
GSAMP Trust 144A
103,406 Ser. 03-HE1N, Class Note, 7 1/4s, 2033 103,096
242,140 Ser. 04-FM1N, Class Note, 5 1/4s, 2033 241,971
238,019 Ser. 04-HE1N, Class N1, 5s, 2034 237,591
2,397,946 Ser. 04-NIM1, Class N1, 5 1/2s, 2034 2,397,976
732,000 Ser. 04-NIM1, Class N2, zero %, 2034 541,534
274,633 Ser. 04-RENM, Class Note, 5 1/2s, 2032 274,359
381,010 Ser. 04-SE2N, Class Note, 5 1/2s, 2034 381,010
Holmes Financing PLC FRB
300,000 Ser. 4, Class 3C, 2.9s, 2040 (United
Kingdom) 303,840
690,000 Ser. 5, Class 2C, 3.52s, 2040 (United
Kingdom) 691,932
331,000 Ser. 8, Class 2C, 2.79s, 2040 (United
Kingdom) 331,828
Home Equity Asset Trust 144A
227,876 Ser. 02-5N, Class A, 8s, 2033 229,015
82,731 Ser. 03-4N, Class A, 8s, 2033 83,351
271,287 Ser. 03-7N, Class A, 5 1/4s, 2034 271,287
165,335 Ser. 04-1N, Class A, 5s, 2034 164,921
LNR CDO, Ltd. 144A
1,755,000 FRB Ser. 02-1A, Class FFL, 4.683s, 2037
(Cayman Islands) 1,717,443
1,070,000 FRB Ser. 03-1A, Class EFL, 4.833s, 2036
(Cayman Islands) 1,130,027
Long Beach Asset Holdings Corp. NIM
Trust 144A
93,284 Ser. 03-2, Class N1, 7.627s, 2033 93,284
58,629 Ser. 03-4, Class N1, 6.535s, 2033 58,629
340,143 Ser. 04-2, Class N1, 4.94s, 2034 340,143
448,758 Ser. 04-5, Class Note, 5s, 2034 449,746
2,584,614 Long Beach Mortgage Loan Trust Ser.
04-3, Class S1, IO, 4 1/2s, 2006 149,423
GBP 1,200,000 Lothian Mortgages PLC 144A Ser. 3A,
Class D, 5.458s, 2039 (United Kingdom) 2,198,520
$1,457,253 Madison Avenue Manufactured Housing
Contract FRB Ser. 02-A, Class B1,
5.183s, 2032 859,779
200,000 Master Asset Backed Securities NIM Trust
144A Ser. 04-CI5, Class N2, 10s, 2034 197,964
490,000 MBNA Credit Card Master Note Trust FRN
Ser. 03-C5, Class C5, 3.05s, 2010 500,803
136,302 Merrill Lynch Mortgage Investors, Inc.
Ser. 03-WM3N, Class N1, 8s, 2005 136,929
Merrill Lynch Mortgage Investors, Inc.
144A
262,087 Ser. 04-FM1N, Class N1, 5s, 2035 259,728
205,047 Ser. 04-HE1N, Class N1, 5s, 2006 203,612
242,382 Mid-State Trust Ser. 11, Class B,
8.221s, 2038 237,280
303,000 Morgan Stanley ABS Capital I FRB Ser.
04-HE8, Class B3, 5.04s, 2034 303,000
Morgan Stanley ABS Capital I 144A
21,197 Ser. 03-NC9N, Class Note, 7.6s, 2033 21,303
71,140 Ser. 04-NC2N, Class Note, 6 1/4s, 2033 71,385
240,000 Morgan Stanley Auto Loan Trust 144A Ser.
04-HB2, Class E, 5s, 2012 232,181
Morgan Stanley Dean Witter Capital I
437,327 FRN Ser. 01-NC3, Class B1, 4.383s, 2031 434,157
499,000 FRN Ser. 01-NC4, Class B1, 4.433s, 2032 493,150
141,140 New Century Mortgage Corp. NIM Trust
144A Ser. 03-B, Class Note, 6 1/2s, 2033 141,647
210,805 Novastar NIM Trust 144A Ser. 04-N1,
Class Note, 4.458s, 2034 210,805
Oakwood Mortgage Investors, Inc.
1,451,000 Ser. 00-D, Class A4, 7.4s, 2030 944,891
2,048,891 Ser. 01-C, Class A2, 5.92s, 2017 1,343,663
993,404 Ser. 01-C, Class A4, 7.405s, 2030 712,470
1,720,422 Ser. 01-E, Class A2, 5.05s, 2019 1,420,826
720,000 Ser. 02-A, Class A2, 5.01s, 2020 619,632
2,789,367 Ser. 02-C, Class A1, 5.41s, 2032 2,512,383
1,088,838 Ser. 99-B, Class A4, 6.99s, 2026 994,500
1,059,268 Ser. 99-D, Class A1, 7.84s, 2029 1,013,931
683,000 Oceanstar 144A FRB Ser. 04, Class E,
8.606s, 2018 683,000
Option One Mortgage Securities Corp. NIM
Trust 144A
19,378 Ser. 03-2B, Class N1, 7.63s, 2033
(Cayman Islands) 19,378
77,713 Ser. 03-5, Class Note, 6.9s, 2033 78,101
100,000 Park Place Securities NIM Trust 144A
Ser. 04-WCW2, Class D, 7.387s, 2034 100,000
421,637 Pass-Through Amortizing Credit Card
Trust Ser. 02-1A, Class A4FL, 7.389s,
2012 422,597
145,000 People's Choice Net Interest Margin Note
144A Ser. 04-2, Class B, 5s, 2034 131,370
Permanent Financing PLC FRB
380,000 Ser. 1, Class 3C, 3.063s, 2042 (United
Kingdom) 383,648
490,000 Ser. 3, Class 3C, 3.013s, 2042 (United
Kingdom) 496,664
1,848,000 Providian Gateway Master Trust Ser. 02,
Class B, zero %, 2006 1,652,800
3,548,361 Residential Asset Mortgage Products,
Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s,
2005 109,506
371,060 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 384,453
SAIL Net Interest Margin Notes 144A
447,197 Ser. 03-10A, Class A, 7 1/2s, 2033
(Cayman Islands) 447,173
190,789 Ser. 03-12A, Class A, 7.35s, 2033
(Cayman Islands) 190,731
192,433 Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman
Islands) 191,467
74,344 Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman
Islands) 74,263
356,350 Ser. 03-5, Class A, 7.35s, 2033 (Cayman
Islands) 356,246
108,486 Ser. 03-6A, Class A, 7s, 2033 (Cayman
Islands) 107,679
245,302 Ser. 03-7A, Class A, 7s, 2033 (Cayman
Islands) 243,482
63,208 Ser. 03-8A, Class A, 7s, 2033 (Cayman
Islands) 62,890
169,461 Ser. 03-9A, Class A, 7s, 2033 (Cayman
Islands) 168,580
320,703 Ser. 03-BC2A, Class A, 7 3/4s, 2033 319,771
742,224 Ser. 04-2A, Class A, 5 1/2s, 2034
(Cayman Islands) 742,224
901,023 Ser. 04-4A, Class A, 5s, 2034 (Cayman
Islands) 899,672
239,630 Ser. 04-7A, Class A, 4 3/4s, 2034
(Cayman Islands) 239,297
47,420 Ser. 04-7A, Class B, 6 3/4s, 2034
(Cayman Islands) 46,633
1,328,327 Ser. 04-8A, Class A, 5s, 2034 1,328,327
290,996 Ser. 04-8A, Class B, 6 3/4s, 2034 284,463
487,000 Ser. 04-AA, Class A, 4 1/2s, 2034 485,296
7,127 Sasco Arc Net Interest Margin Notes 144A
Ser. 02-BC10, Class A, 7 3/4s, 2033 7,062
Sasco Net Interest Margin Trust 144A
255,933 Ser. 03-AM1, Class A, 7 3/4s, 2033 254,685
381,740 Ser. 03-BC1, Class B, zero %, 2033 324,479
152,565 Saxon Net Interest Margin Trust 144A
Ser. 03-A, Class A, 6.656s, 2033 152,565
175,589 Sharps SP I, LLC Net Interest Margin
Trust Ser. 03-NC1N, Class N, 7 1/4s,
2033 176,576
Sharps SP I, LLC Net Interest Margin
Trust 144A
113,980 Ser. 03-0P1N, Class NA, 4.45s, 2033 113,980
112,367 Ser. 03-HS1N, Class N, 7.48s, 2033 112,719
53,257 Ser. 03-TC1N, Class N, 7.45s, 2033 53,257
190,033 Ser. 04-HE2N, Class NA, 5.43s, 2034 189,805
57,450 Ser. 04-HS1N, Class Note, 5.92s, 2034 57,450
200,000 South Coast Funding FRB Ser. 3A, Class
A2, 2.91s, 2038 202,500
Structured Asset Investment Loan Trust
266,653 Ser. 03-BC1A, Class A, 7 3/4s, 2033 265,357
5,664,011 Ser. 03-BC2, Class A, IO, 6s, 2005 137,754
2,688,674 Ser. 03-BC8, Class A, IO, 6s, 2005 91,706
15,461,232 Ser. 04-1, Class A, IO, 6s, 2005 603,542
650,000 TIAA Real Estate CD0, Ltd. Ser. 03-1A,
Class E, 8s, 2038 632,267
544,000 TIAA Real Estate CD0, Ltd. 144A Ser.
02-1A, Class IV, 6.84s, 2037 436,549
3,737,517 Washington Mutual Ser. 03-S1, Class A11,
IO, 5 1/2s, 2033 159,735
Wells Fargo Home Equity Trust 144A
1,515,084 Ser. 04-2, Class N1, 4.45s, 2034 1,514,994
303,000 Ser. 04-2, Class N2, 8s, 2034 287,850
Whole Auto Loan Trust 144A
960,040 Ser. 03-1, Class D, 6s, 2010 960,190
814,000 Ser. 04-1, Class D, 5.6s, 2034 813,988
-------------
Total Asset-backed securities (cost $91,103,298) $88,844,377
Collateralized mortgage obligations (4.5%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$298,000 Banc of America Large Loan 144A FRN Ser.
02-FL2A, Class L1, 4.84s, 2014 $298,501
490,000 Bear Stearns Commercial Mortgage
Securitization Corp. 144A Ser. 04-ESA,
Class K, 4.368s, 2016 489,998
6,055,397 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, IO, 0.781s, 2017 138,139
Commercial Mortgage Pass-Through
Certificates 144A
402,000 FRB Ser. 01-FL4A, Class E, 3.17s, 2013 357,780
313,000 Ser. 01-FL4A, Class D, 2.72s, 2013 303,403
1,858,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2033 2,005,479
2,814,000 Criimi Mae Commercial Mortgage Trust
144A Ser. 98-C1, Class B, 7s, 2033 2,995,353
CS First Boston Mortgage Securities
Corp. 144A
1,360,000 Ser. 98-C1, Class F, 6s, 2040 1,003,239
501,000 FRB Ser. 03-TF2A, Class L, 5.87s, 2014 497,878
499,000 Ser. 02-CP5, Class M, 5 1/4s, 2035 358,208
53,625,258 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 0.962s,
2023 1,353,121
DLJ Commercial Mortgage Corp.
399,789 Ser. 98-CF2, Class B4, 6.04s, 2031 407,483
1,281,541 Ser. 98-CF2, Class B5, 5.95s, 2031 843,858
375,000 DLJ Mortgage Acceptance Corp. 144A Ser.
97-CF1, Class B1, 7.91s, 2030 419,830
Fannie Mae
180,050 Ser. 98-51, Class SG, IO, 25.08s, 2022 83,313
654,818 Ser. 02-36, Class SJ, 15.294s, 2029 712,771
1,077 Ser. 92-15, Class L, IO, 10.38s, 2022 10,114
629,547 Ser. 03-W3, Class 1A3, 7 1/2s, 2042 684,029
12,262 Ser. 03-W2, Class 1A3, 7 1/2s, 2042 13,297
1,386 Ser. 02-W1, Class 2A, 7 1/2s, 2042 1,495
5,337 Ser. 02-14, Class A2, 7 1/2s, 2042 5,819
756,382 Ser. 01-T10, Class A2, 7 1/2s, 2041 815,919
3,427 Ser. 02-T4, Class A3, 7 1/2s, 2041 3,707
8,558 Ser. 01-T8, Class A1, 7 1/2s, 2041 9,247
2,980,108 Ser. 01-T7, Class A1, 7 1/2s, 2041 3,216,416
450,961 Ser. 01-T3, Class A1, 7 1/2s, 2040 486,501
1,347,667 Ser. 01-T1, Class A1, 7 1/2s, 2040 1,475,597
558,747 Ser. 99-T2, Class A1, 7 1/2s, 2039 604,412
282,788 Ser. 00-T6, Class A1, 7 1/2s, 2030 311,816
1,321,627 Ser. 01-T4, Class A1, 7 1/2s, 2028 1,435,524
2,747 Ser. 02-W3, Class A5, 7 1/2s, 2028 2,982
1,817,712 Ser. 03-118, Class S, IO, 6.168s, 2033 263,568
2,028,114 Ser. 03-118, Class SF, IO, 6.168s, 2033 265,498
1,418,772 Ser. 02-36, Class QH, IO, 6.118s, 2029 61,096
1,417,975 Ser. 03-58, Class ID, IO, 6s, 2033 254,792
1,478,132 Ser. 03-26, Class IG, IO, 6s, 2033 227,622
1,112,135 Ser. 322, Class 2, IO, 6s, 2032 205,398
1,410,782 Ser. 318, Class 2, IO, 6s, 2032 266,947
6,518,112 Ser. 338, Class 2, IO, 5 1/2s, 2033 1,365,748
2,954,369 Ser. 329, Class 2, IO, 5 1/2s, 2033 603,799
2,960,130 Ser. 03-45, Class PI, IO, 5 1/2s, 2029 276,290
3,897,397 Ser. 03-37, Class IC, IO, 5 1/2s, 2027 376,344
640,000 Ser. 03-6, Class IB, IO, 5 1/2s, 2022 14,480
9,822,578 Ser. 03-34, Class ES, IO, 5.068s, 2033 738,690
4,091,327 Ser. 03-34, Class SG, IO, 5.068s, 2033 309,784
6,041,748 Ser. 03-23, Class AI, IO, 5s, 2017 606,621
2,663,700 Ser. 03-24, Class IC, IO, 5s, 2015 423,567
11,421,592 Ser. 03-W10, Class 1A, IO, 1.794s, 2043 285,540
13,492,993 Ser. 03-W10, Class 3A, IO, 1.756s, 2043 354,191
7,420,926 Ser. 03-W17, Class 12, IO, 1.158s, 2033 244,571
11,900,347 Ser. 00-T6, IO, 0.751s, 2030 213,834
21,180,174 Ser. 02-T18, IO, 0.521s, 2042 304,667
231,726 Ser. 99-51, Class N, Principal Only
(PO), zero %, 2029 200,696
108,350 Ser. 99-52, Class MO, PO, zero %, 2026 105,205
Federal Home Loan Mortgage Corp.
Structured Pass-Through Securities
16,648 Ser. T-58, Class 4A, 7 1/2s, 2043 18,010
7,257,345 Ser. T-57, Class 1AX, IO, 0.445s, 2043 79,105
18,561,978 FFCA Secured Lending Corp. Ser. 00-1,
Class X, IO, 1.566s, 2020 1,173,472
Freddie Mac
753,911 Ser. 2763, Class SC, 21.12s, 2032 915,869
2,672,917 Ser. 2448, Class SM, IO, 6.13s, 2032 242,233
4,358,594 Ser. 216, IO, 6s, 2032 802,936
2,008,400 Ser. 2515, Class IG, IO, 5 1/2s, 2032 526,026
964,069 Ser. 2626, Class IK, IO, 5 1/2s, 2030 189,091
1,033,400 Ser. 2590, Class IH, IO, 5 1/2s, 2028 214,108
2,619,000 Ser. 2596, Class IQ, IO, 5 1/2s, 2026 180,283
712,362 Ser. 2833, Class IK, IO, 5 1/2s, 2023 100,835
482,233 Ser. 215, PO, zero %, 2031 446,593
466,426 Ser. 2235, PO, zero %, 2030 395,296
GE Capital Commercial Mortgage Corp.
144A
838,000 Ser. 00-1, Class G, 6.131s, 2033 748,028
522,000 Ser. 00-1, Class H, 6.131s, 2033 384,099
739,550 GMAC Commercial Mortgage Securities,
Inc. 144A Ser. 99-C3, Class G, 6.974s,
2036 592,523
Government National Mortgage Association
563,550 Ser. 01-43, Class SJ, IO, 5.69s, 2029 9,598
252,989 Ser. 02-63, Class ST, IO, 3.741s, 2024 578
220,807 Ser. 98-2, Class EA, PO, zero %, 2028 187,893
300,000 GS Mortgage Securities Corp. II 144A FRB
Ser. 03-FL6A, Class L, 5.12s, 2015 300,375
GBP 1,629,301 Hermione (European Loan Conduit No. 14)
144A FRB Class A, 5.326s, 2011 (Ireland) 3,002,953
$355,850 LB Commercial Conduit Mortgage Trust
144A Ser. 99-C1, Class G, 6.41s, 2031 282,994
Mach One Commercial Mortgage Trust 144A
594,000 Ser. 04-1A, Class J, 5.45s, 2040 499,257
297,000 Ser. 04-1A, Class K, 5.45s, 2040 243,124
135,000 Ser. 04-1A, Class L, 5.45s, 2040 98,888
9,354,516 Merrill Lynch Mortgage Investors, Inc.
Ser. 96-C2, Class JS, IO, 2.13s, 2028 503,396
1,439,843 Mezz Cap Commercial Mortgage Trust 144A
Ser. 04-C1, Class X, IO, 6.18s, 2037 660,753
2,430,000 Morgan Stanley Capital I 144A Ser.
04-RR, Class F7, 6s, 2039 1,742,587
7,461,761 Mortgage Capital Funding, Inc. Ser.
97-MC2, Class X, IO, 1.29s, 2012 203,631
459,501 Mortgage Capital Funding, Inc. FRB Ser.
98-MC2, Class E, 7.136s, 2030 513,595
Starwood Asset Receivables Trust 144A
245,003 FRB Ser. 03-1A, Class F, 3.033s, 2022 245,322
308,522 FRB Ser. 03-1A, Class E, 2.983s, 2022 308,923
STRIPS 144A
229,000 Ser. 03-1A, Class M, 5s, 2018 (Cayman
Islands) 192,612
272,000 Ser. 03-1A, Class N, 5s, 2018 (Cayman
Islands) 206,285
245,000 Ser. 04-1A, Class M, 5s, 2018 (Cayman
Islands) 207,393
235,000 Ser. 04-1A, Class N, 5s, 2018 (Cayman
Islands) 180,010
271,000 Trizechahn Office Properties Trust 144A
Ser. 01-TZHA, Class D3, 6.943s, 2013 290,147
-------------
Total Collateralized mortgage obligations (cost $51,718,683) $46,202,998
Senior loans (1.7%) (a)(c)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
Basic Materials (0.2%)
-----------------------------------------------------------------------------------------------------------
$222,750 Graphics Packaging bank term loan FRN
4.52s, 2010 $226,481
348,250 Hercules, Inc. bank term loan FRN Ser.
B, 3.9523s, 2010 350,644
171,674 Nalco Co. bank term loan FRN Ser. B,
4.4259s, 2010 174,597
233,752 SGL Carbon, LLC bank term loan FRN
4.9488s, 2009 234,921
350,000 Wellman 1st. lien bank term loan FRN
5.6938s, 2009 355,250
380,000 Wellman 2nd. lien bank term loan FRN
8.4438s, 2010 385,542
-------------
1,727,435
Capital Goods (0.2%)
-----------------------------------------------------------------------------------------------------------
206,096 Allied Waste Industries, Inc. bank term
loan FRN 4.554s, 2010 208,078
35,003 Allied Waste Industries, Inc. bank term
loan FRN Ser. C, 1.84s, 2010 35,332
282,132 Amsted Industries bank term loan FRN
5.7552s, 2010 284,601
214,230 EaglePicher bank term loan FRN Ser. B,
4.8625s, 2009 214,765
130,564 Flowserve Corp. bank term loan FRN Ser.
C, 4.5625s, 2009 132,359
158,173 Invensys, PLC bank term loan FRN Ser.
B-1, 5.477s, 2009 (United Kingdom) 160,150
188,991 Mueller Group bank term loan FRN
4.5696s, 2011 189,936
192,500 Roper bank term loan FRN 3.9084s, 2008 192,500
199,000 Solo Cup Co. bank term loan FRN 4.3096s,
2011 200,907
137,828 SPX Corp. bank term loan FRN Ser. B,
3.9375s, 2009 139,207
74,438 Transdigm, Inc. bank term loan FRN Ser.
C, 4.09s, 2010 75,322
-------------
1,833,157
Communication Services (0.1%)
-----------------------------------------------------------------------------------------------------------
99,667 Consolidated Communications bank term
loan FRN Ser. B, 4.6079s, 2012 100,414
148,500 Dobson Communications Corp. bank term
loan FRN 5.3827s, 2010 147,869
347,375 Nextel bank term loan FRN Ser. E,
4.1875s, 2010 348,316
110,000 PanAmSat Corp. bank term loan FRN Ser.
B, 4.66s, 2011 110,575
268,125 Qwest Communications International, Inc.
bank term loan FRN Ser. A, 6 1/2s, 2007 278,323
99,750 SBA Senior Finance, Inc. bank term loan
FRN 5.5398s, 2008 100,560
-------------
1,086,057
Consumer Cyclicals (0.4%)
-----------------------------------------------------------------------------------------------------------
84,124 Advance Stores bank term loan FRN Ser.
C, 5.5705s, 2007 84,194
800,000 Borgata Resorts bank term loan FRN
4.58s, 2011 805,000
226,047 Borgata Resorts bank term loan FRN Ser.
B, 4.1257s, 2007 227,460
188,259 Coinmach Corp. bank term loan FRN Ser.
B, 4.6302s, 2009 189,906
254,722 Dex Media West, LLC bank term loan FRN
Ser. B, 4.0952s, 2010 258,225
160,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 6.43s, 2006 161,850
150,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 4.6s, 2007 151,453
236,225 Hayes Lemmerz International, Inc. bank
term loan FRN 5.5586s, 2009 238,809
148,500 IESI Corp. bank term loan FRN 4.6111s,
2010 150,356
244,444 Lamar Media bank term loan FRN 3.5313s,
2010 246,354
100,000 Landsource bank term loan FRN Ser. B, 4
1/2s, 2010 101,500
160,273 Penn National Gaming, Inc. bank term
loan FRN Ser. D, 4.4778s, 2010 162,644
49,525 Pinnacle Entertainment, Inc. bank term
loan FRN 4.84s, 2009 50,144
190,762 PRIMEDIA, Inc. bank term loan FRN Ser.
B, 4 3/4s, 2009 183,990
369,472 RH Donnelley Finance Corp. bank term
loan FRN Ser. B, 3.86s, 2011 374,668
369,396 Scientific Gaming bank term loan FRN
Ser. C, 4.34s, 2008 373,706
140,000 Sealy Mattress Co. bank term loan FRN
Ser. C, 4.3196s, 2012 141,808
154,225 TRW Automotive bank term loan FRN Ser.
D-1, 4 1/8s, 2011 156,442
220,000 WRC Media Corp. bank term loan FRN
6.7613s, 2009 218,488
-------------
4,276,997
Consumer Staples (0.5%)
-----------------------------------------------------------------------------------------------------------
47,522 Affinity Group Holdings bank term loan
FRN Ser. B1, 6.0069s, 2009 47,977
118,804 Affinity Group Holdings bank term loan
FRN Ser. B2, 5.975s, 2009 119,943
210,237 AMF Bowling Worldwide bank term loan FRN
Ser. B, 4.9681s, 2009 211,419
1,120,000 Century Cable Holdings bank term loan
FRN 6 3/4s, 2009 1,104,800
319,200 Charter Communications Holdings,
LLC/Capital Corp. bank term loan FRN
Ser. B, 4.92s, 2011 316,468
154,685 Constellation Brands, Inc. bank term
loan FRN 3 1/2s, 2008 155,127
238,490 Del Monte Foods Co. bank term loan FRN
Ser. B, 3.9628s, 2010 242,440
202,350 DirecTV bank term loan FRN Ser. B-2,
3.8842s, 2010 205,031
20,355 Dole Food Co. bank term loan FRN Ser. D,
4.3855s, 2009 20,618
160,000 Dole Holding Co. bank term loan FRN 7s,
2010 162,100
104,213 Insight Midwest LP/Insight Capital, Inc.
bank term loan FRN 4 3/4s, 2009 105,616
240,000 MGM bank term loan FRN Ser. B, 4.48s,
2011 240,660
465,000 Olympus Cable bank term loan FRN Ser. B,
6 3/4s, 2010 457,299
144,309 Rayovac Corp. bank term loan FRN Ser.
Cc, 4.2584s, 2009 146,354
292,515 Roundy's bank term loan FRN 3.8476s,
2009 295,075
127,010 Six Flags, Inc. bank term loan FRN Ser.
B, 4.34s, 2009 127,724
229,374 Sum Media bank term loan FRN Ser. B,
3.684s, 2009 230,736
398,000 Warner Music Group bank term loan FRN
Ser. B, 4.5345s, 2011 403,188
-------------
4,592,575
Energy (--%)
-----------------------------------------------------------------------------------------------------------
240,000 Dresser, Inc. bank term loan FRN 5.19s,
2010 243,600
83,781 Magellan Midstream Holdings bank term
loan FRN 4.65s, 2008 84,829
121,894 Peabody Energy Corp. bank term loan FRN
Ser. B, 5.5392s, 2010 123,037
-------------
451,466
Financial (--%)
-----------------------------------------------------------------------------------------------------------
326,082 Hilb, Rogal & Hamilton Co. bank term
loan FRN Ser. B, 3 7/8s, 2007 326,082
Health Care (0.2%)
-----------------------------------------------------------------------------------------------------------
185,625 Beverly Enterprises, Inc. bank term loan
FRN 4.5103s, 2008 188,100
160,000 Community Health Systems, Inc. bank term
loan FRN Ser. B, 3.54s, 2011 160,429
296,101 Concentra bank term loan FRN 4 3/4s,
2009 298,692
494,335 DaVita, Inc. bank term loan FRN Ser. B,
3.9763s, 2009 500,051
159,600 Fisher Scientific International, Inc.
bank term loan FRN Ser. B, 3.34s, 2011 160,747
148,500 Hanger Orthopedic Group, Inc. bank term
loan FRN 5.475s, 2009 147,015
172,313 Kinetic Concepts, Inc. bank term loan
FRN Ser. B, 3.98s, 2011 174,215
203,672 Medex, Inc. bank term loan FRN Ser. B,
4.89s, 2009 205,878
-------------
1,835,127
Transportation (--%)
-----------------------------------------------------------------------------------------------------------
177,779 Pacer International, Inc. bank term loan
FRN 4.1318s, 2010 180,002
Utilities & Power (0.1%)
-----------------------------------------------------------------------------------------------------------
238,502 Allegheny Energy, Inc. bank term loan
FRN Ser. C, 5.5393s, 2011 239,396
169,756 Teton Power Funding bank term loan FRN
5.16s, 2011 172,091
160,000 Unisource Energy bank term loan FRN Ser.
B, 5.652s, 2011 157,900
162,944 Williams Products bank term loan FRN
Ser. C, 4.37s, 2007 165,116
-------------
734,503
-------------
Total Senior loans (cost $16,722,351) $17,043,401
Common stocks (0.6%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
2,767 AboveNet, Inc. (NON) (S) $67,792
3,074 Alderwoods Group, Inc. (NON) 31,140
1,005,000 AMRESCO Creditor Trust (acquired
6/17/99, cost $174,438) (RES)(NON)(R) 1,005
19 Arch Wireless, Inc. Class A (NON) 543
2,452 Archibald Candy Corp. 2
1,522 Birch Telecom, Inc. (NON) 15
643 Comdisco Holding Co., Inc. (S) 14,307
3,390,037 Contifinancial Corp. Liquidating Trust
Units 50,851
21,241 Covad Communications Group, Inc. (NON)
(S) 31,862
1,529 Genesis HealthCare Corp. (NON) 46,910
64,253 Globix Corp. (NON) (S) 167,058
750,000 iPCS Escrow, Inc. (NON) 750
17,455 iPCS, Inc. (NON) 349,973
282 Knology, Inc. (NON) 843
147 Leucadia National Corp. (S) 8,695
9,031 Lodgian, Inc. (NON) 93,019
160,000 Loewen Group International, Inc. (NON) 16
1,112 Polymer Group, Inc. Class A (NON) 13,666
2,502 PSF Group Holdings, Inc. 144A Class A
(NON) 3,753,720
74,020 Regal Entertainment Group 1,473,738
368 Sterling Chemicals, Inc. (NON) 9,053
1,195 Sun Healthcare Group, Inc. (NON) (S) 8,843
1,292,251 VFB LLC (acquired various dates from
6/22/99 to 12/8/03, cost $955,585)
(RES)(NON) 245,528
6,378 Washington Group International, Inc.
(NON) 222,401
-------------
Total Common stocks (cost $18,688,575) $6,591,730
Brady bonds (0.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$2,350,000 Argentina (Government of) FRB Ser. L-GL,
2.438s, 2023 $1,269,000
1,107,353 Brazil (Federal Republic of) FRB Ser.
18YR, 3 1/8s, 2012 1,015,332
591,176 Brazil (Federal Republic of) govt.
guaranty FRB Ser. RG, 3 1/8s, 2012 542,050
985,000 Peru (Republic of) coll. FLIRB Ser.
20YR, 4 1/2s, 2017 876,650
853,600 Peru (Republic of) FRB Ser. PDI, 5s,
2017 781,044
-------------
Total Brady bonds (cost $3,944,259) $4,484,076
Preferred stocks (0.4%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
8,279 Avecia Group PLC $4.00 pfd. (acquired
various dates from 12/3/03 to 1/26/04,
cost $119,710) (United Kingdom)
(RES)(PIK) $182,138
15,119 Doane Pet Care Co. $7.125 pfd. 676,575
38 Dobson Communications Corp. 13.00% pfd.
(PIK) 14,440
540 First Republic Capital Corp. 144A 10.50%
pfd. 556,200
17,777 iStar Financial, Inc. $1.95 cum. pfd.
(R) 460,424
132 Paxson Communications Corp. 14.25% cum.
pfd. (PIK) (S) 1,003,200
1,234 Rural Cellular Corp. Ser. B, 11.375%
cum. pfd. (PIK) 1,024,220
-------------
Total Preferred stocks (cost $4,064,620) $3,917,197
Convertible preferred stocks (0.2%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
12,672 Crown Castle International Corp. $3.125
cum. cv. pfd. $601,920
7,495 Omnicare, Inc. $2.00 cv. pfd. 345,707
91 Paxson Communications Corp. 144A 9.75%
cv. pfd. (PIK) 500,500
9,530 Williams Cos., Inc. (The) 144A $2.75 cv.
pfd. 690,925
-------------
Total Convertible preferred stocks (cost $2,114,775) $2,139,052
Warrants (0.1%) (a) (NON)
-----------------------------------------------------------------------------------------------------------
Number of warrants Expiration date Value
-----------------------------------------------------------------------------------------------------------
1,178 AboveNet, Inc. 9/8/2010 $6,773
1,001 AboveNet, Inc. 9/8/2008 6,506
1,420 Dayton Superior Corp. 144A 6/15/2009 1
1,654 Huntsman Co., LLC 144A 5/15/2011 380,420
694 MDP Acquisitions PLC 144A 10/1/2013 27,760
550 Mikohn Gaming Corp. 144A 8/15/2008 660
560 ONO Finance PLC 144A (United Kingdom) 2/15/2011 6
570 Pliant Corp. 144A 6/1/2010 6
690 Travel Centers of America, Inc. 144A 5/1/2009 3,450
2,310 Ubiquitel, Inc. 144A 4/15/2010 1
3,937 Washington Group International, Inc.
Ser. A 1/25/2006 32,480
4,500 Washington Group International, Inc.
Ser. B 1/25/2006 28,125
2,432 Washington Group International, Inc.
Ser. C 1/25/2006 12,160
800 XM Satellite Radio Holdings, Inc. 144A 3/15/2010 53,600
-------------
Total Warrants (cost $986,701) $551,948
Units (--%) (a)
-----------------------------------------------------------------------------------------------------------
Number of units Value
-----------------------------------------------------------------------------------------------------------
1,250,000 Morrison Knudsen Corp., 2032 $76,563
951 XCL Equity Units 422,079
-------------
Total Units (cost $2,519,319) $498,642
Convertible bonds and notes (--%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$3,080,000 Cybernet Internet Services
International, Inc. 144A cv. sr. disc.
notes 13s, 2009 (Denmark) (In default)
(NON) $31
380,000 WCI Communities, Inc. cv. sr. sub. notes
4s, 2023 421,800
-------------
Total Convertible bonds and notes (cost $2,973,322) $421,831
U.S. Government and Agency Mortgage Obligations (15.8%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$19,026 Federal Home Loan Mortgage Corporation 7
1/2s, March 1, 2026 $20,530
Federal National Mortgage Association
Pass-Through Certificates
133,181 7 1/2s, with due dates from October 1,
2022 to January 1, 2030 143,054
3,631,166 6 1/2s, with due dates from April 1,
2024 to September 1, 2034 3,829,876
104,483 6 1/2s, April 1, 2016 110,417
97,200,000 6 1/2s, TBA, November 1, 2034 102,181,500
206,610 5s, June 1, 2019 211,186
49,000,000 5s, TBA, November 1, 2019 49,995,313
4,977,014 4 1/2s, with due dates from August 1,
2033 to June 1, 2034 4,842,478
-------------
Total U.S. Government and Agency Mortgage Obligations
(cost $160,396,924) $161,334,354
U.S. Treasury Obligations (13.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds
$21,600,000 7 1/2s, November 15, 2016 $27,972,000
33,514,000 6 1/4s, May 15, 2030 40,305,820
12,260,000 6 1/4s, August 15, 2023 14,484,040
U.S. Treasury Notes
22,594,000 4 1/4s, August 15, 2013 23,095,304
13,910,000 3 1/4s, August 15, 2008 14,023,019
6,273,000 1 1/8s, June 30, 2005 6,231,833
20,460,000 U.S. Treasury Strip zero %, November 15,
2024 7,436,496
-------------
Total U.S. Treasury Obligations (cost $127,560,819) $133,548,512
Short-term investments (18.3%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$168,323,341 Putnam Prime Money Market Fund (e) $168,323,341
10,000,000 Sheffield Receivables Corp., 1.83%,
November 15, 2004 9,992,883
5,000,000 Wells Fargo Bank N.A., 1.8%, November
15, 2004 5,000,000
1,900,000 U.S. Treasury Bill zero %, November 1,
2004 (SEG) 1,899,759
1,039,538 Short-term investments held as
collateral for loaned securities with
yields ranging from 1.75% to 2.03% and
due dates ranging from November 1, 2004
to December 6, 2004 (d) 1,039,191
-------------
Total Short-term investments (cost $186,255,174) $186,255,174
-----------------------------------------------------------------------------------------------------------
Total Investments (cost $1,144,194,172)(b) $1,162,123,520
-----------------------------------------------------------------------------------------------------------
Forward currency contracts to buy at October 31, 2004 (Unaudited)
(aggregate face value $94,301,161)
Aggregate Delivery Unrealized
Value face value date appreciation
----------------------------------------------------------------------------
Australian Dollar $13,392,249 $12,905,347 12/15/04 $486,902
British Pound 35,329,922 34,515,100 12/15/04 814,822
Danish Krone 1,720,070 1,633,839 12/15/04 86,231
Japanese Yen 40,927,359 39,774,947 12/15/04 1,152,412
Norwegian Krone 555,189 511,753 12/15/04 43,436
Polish Zloty 679,455 625,543 12/15/04 53,912
Swiss Franc 1,939,795 1,822,591 12/15/04 117,204
Taiwan Dollar 2,550,028 2,512,041 12/15/04 37,987
----------------------------------------------------------------------------
$2,792,906
----------------------------------------------------------------------------
Forward currency contracts to sell at October 31, 2004 (Unaudited)
(aggregate face value $83,714,324)
Aggregate Delivery Unrealized
Value face value date depreciation
----------------------------------------------------------------------------
Australian Dollar $2,767,585 $2,729,572 12/15/04 $(38,013)
British Pound 3,895,909 3,807,392 12/15/04 (88,517)
Canadian Dollar 1,437,738 1,325,166 12/15/04 (112,572)
Euro 56,799,958 54,253,886 12/15/04 (2,546,072)
Japanese Yen 27,182 26,169 12/15/04 (1,013)
New Zealand Dollar 10,766,316 10,204,876 12/15/04 (561,440)
Swedish Krona 10,793,123 10,116,445 12/15/04 (676,678)
Swiss Franc 1,307,876 1,250,818 12/15/04 (57,058)
----------------------------------------------------------------------------
$(4,081,363)
----------------------------------------------------------------------------
Futures contracts outstanding at October 31, 2004 (Unaudited)
Unrealized
Aggregate Expiration appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------------
CBT Interest Rate
Swap 10yr (Long) $2,575,281 $2,501,665 Dec-04 $73,616
Euro-Bobl 5 yr
(Long) 19,430,672 19,131,843 Dec-04 298,829
Euro-Bund 10 yr
(Long) 21,566,727 21,045,255 Dec-04 521,472
Japanese Government
Bond 10 yr (Long) 48,144,956 47,745,094 Dec-04 399,862
Japanese Government
Bond 10 yr (Long) 9,372,139 9,248,307 Dec-04 123,832
U.S. Treasury Bond
(Short) 26,867,125 26,540,625 Dec-04 (326,500)
U.S. Treasury Note
10 yr (Long) 9,312,125 9,209,577 Dec-04 102,548
U.S. Treasury Note
5 yr (Short) 62,370,000 61,763,078 Dec-04 (606,922)
----------------------------------------------------------------------------
$586,737
----------------------------------------------------------------------------
TBA sale commitments outstanding at October 31, 2004 (Unaudited)
(proceeds receivable $522,969)
Principal Settlement
Agency amount date Value
----------------------------------------------------------------------------
FNMA, 6 1/2s, November 1, 2034 $500,000 11/15/04 $525,625
----------------------------------------------------------------------------
Credit default contracts outstanding at October 31, 2004 (Unaudited)
Unrealized
Notional appreciation/
amount (depreciation)
----------------------------------------------------------------------------
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.35% and the fund pays in the
event of a credit default in one of
the underlying securities in the
basket of BB CMBS securities. $1,604,741 $24,176
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.55625% and the fund pays in the
event of a credit default in one of
the underlying securities in the
basket of BB CMBS securities. 1,604,741 8,365
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.4625% and the fund pays in the
event of a credit default in one of
the underlying securities in the
basket of BB CMBS securities. 802,370 14,313
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.433% and the fund pays in the
event of a credit default in one of
the underlying securities in the
basket of BB CMBS securities. 601,778 11,438
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.475% and the fund pays in the
event of a credit default in one of
the underlying securities in the
basket of BB CMBS securities. 401,185 4,290
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.5% and the fund pays in the event
of a credit default in one of the
underlying securities in the basket
of BB CMBS securities. 200,593 8,233
Agreement with Goldman Sachs
effective September 2, 2004,
terminating on the date on which
the notional amount is reduced to
zero or the date on which the
assets securing the reference
obligation are liquidated, the fund
receives a payment of the
outstanding notional amount times
2.6% and the fund pays in the event
of a credit default in one of the
underlying securities in the basket
of BB CMBS securities. 200,593 (5,327)
----------------------------------------------------------------------------
$65,488
----------------------------------------------------------------------------
Interest rate swap contracts outstanding at October 31, 2004 (Unaudited)
Unrealized
Notional Termination appreciation/
amount date (depreciation)
----------------------------------------------------------------------------
Agreement with Bank of America,
N.A. dated March 25, 2004 to pay
semi-annually the notional amount
multiplied by 3.075% and receive
quarterly the notional amount
multiplied by the three month
USD-LIBOR. 23,700,000 3/30/09 $466,712
Agreement with Bank of America,
N.A. dated January 22, 2004 to pay
semi-annually the notional amount
multiplied by 1.97375% and receive
quarterly the notional amount
multiplied by the three month
USD-LIBOR. 17,400,000 1/26/06 54,517
Agreement with Bank of America,
N.A. dated December 2, 2003 to pay
semi-annually the notional amount
multiplied by 2.444% and receive
quarterly the notional amount
multiplied by the three month
USD-LIBOR. 8,912,000 12/5/05 (52,752)
Agreement with Bank of America,
N.A. dated January 22, 2004 to pay
semi-annually the notional amount
multiplied by 4.35% and receive
quarterly the notional amount
multiplied by the three month
USD-LIBOR. 5,500,000 1/27/14 (49,101)
Agreement with Credit Suisse First
Boston International dated July 7,
2004 to pay semi-annually the
notional amount multiptied by
4.945% and receive quarterly the
notional amount multiplied by the
three month USD-LIBOR. 8,099,800 7/9/14 (457,226)
Agreement with Credit Suisse First
Boston International dated July 7,
2004 to receive semi-annually the
notional amount multiptied by
2.931% and pay quarterly the
notional amount multiplied by the
three month USD-LIBOR. 7,174,500 7/9/06 73,437
Agreement with Lehman Brothers
Special Financing, Inc. dated
January 22, 2004 to pay
semi-annually the notional amount
multiplied by 1.955% and receive
quarterly the notional amount
multiplied by the three month
USD-LIBOR-BBA. 17,400,000 1/26/06 57,292
Agreement with Lehman Brothers
Special Financing, Inc. dated
December 9, 2003 to receive
semi-annually the notional amount
multiptied by 4.641% and pay
quarterly the notional amount
multiplied by the three month
USD-LIBOR-BBA. 12,964,000 12/15/13 475,819
Agreement with Lehman Brothers
Special Financing, Inc. dated
January 22, 2004 to pay
semi-annually the notional amount
multiplied by 4.3375% and receive
quarterly the notional amount
multiplied by the three month
USD-LIBOR-BBA. 5,500,000 1/26/14 (45,620)
Agreement with Merrill Lynch
Capital Services, Inc. dated
September 27, 2002 to receive
semi-annually the notional amount
multiplied by the six month
JPY-LIBOR-BBA and pay semi-annually
the notional amount multiplied by
0.399%. JPY 3,417,000,000 10/1/07 1,805,526
Agreement with Merrill Lynch
Capital Services, Inc. dated
November 17, 2000 to pay
semi-annually the notional amount
multiplied by the three month
USD-LIBOR-BBA and receive the
notional amount multiplied by
6.68%. $9,000,000 11/21/05 618,823
Agreement with UBS, AG dated April
23, 2004 to receive annually the
notional amount multiplied by 3.49%
and pay quarterly the notional
amount multiplied by the three
month SEK-STIBOR-SIDE. SEK 555,000,000 4/27/06 $7,635,196
----------------------------------------------------------------------------
$10,582,623
----------------------------------------------------------------------------
NOTES
(a) Percentages indicated are based on net assets of $1,018,725,945.
(b) The aggregate identified cost on a tax basis is $1,145,892,416,
resulting in gross unrealized appreciation and depreciation of
$1,159,386,210 and $1,143,155,106, respectively, or net unrealized
appreciation of $16,231,104.
(c) Senior loans are exempt from registration under the Security Act
of 1933, as amended, but contain certain restrictions on resale
and cannot be sold publicly. Theses loans pay interest at rates
which adjust periodically. The interest rate shown for senior
loans are the current interest rates at October 31, 2004. Senior
loans are also subject to mandatory and/or optional prepayment
which cannot be predicted. As a result, the remaining maturity
may be substantially less than the stated maturity shown.
(NON) Non-income-producing security.
(STP) The interest 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.
(RES) Restricted, excluding 144A securities, as to public resale. The
total market value of restricted securities held at October 31, 2004
was $428,671 or 0.04% of net assets.
(PIK) Income may be received in cash or additional securities at the
discretion of the issuer.
(SEG) This security was pledged and segregated with the custodian to
cover margin requirements for futures contracts at October 31, 2004.
(R) Real Estate Investment Trust.
(S) Securities on loan, in part or in entirety, at October 31, 2004.
(d) The fund may lend securities, through its agents, to qualified
borrowers in order to earn additional income. The loans are
collateralized by cash and/or securities in an amount at least
equal to the market value of the securities loaned. The market
value of securities loaned is determined daily and any
additional required collateral is allocated to the fund on the
next business day. The risk of borrower default will be borne
by the fund's agents; the fund will bear the risk of loss with
respect to the investment of the cash collateral. Income from
securities lending is included in investment income on the
statement of operations. At October 31, 2004, the value of
securities loaned amounted to $999,306. The fund received cash
collateral of $1,039,191 which is pooled with collateral of
other Putnam funds into 23 issuers of high grade short-term
investments.
(e) The fund invests in the Putnam Prime Money Market Fund, an
open-end management investment company managed by Putnam
Investment Management, LLC ("Putnam Management"), the fund's
manager, an indirect wholly-owned subsidiary of Putnam, LLC.
Management fees paid by the fund are reduced by an amount equal
to the management fees paid by Putnam Prime Money Market Fund
with respect to assets invested by the fund in Putnam Prime
Money Market Fund. Income distributions earned by the fund
totaled $514,110 for the period ended October 31, 2004.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
TBA after the name of a security represents to be announced
securities.
FLIRB represents Front Loaded Interest Reduction Bond.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate
Notes (FRN) are the current interest rates at October 31, 2004.
Security valuation Investments for which market quotations are
readily available are valued at the last reported sales price on
their principal exchange, or official closing price for certain
markets. If no sales are reported-- as in the case of some
securities traded over-the-counter-- a security is valued at its
last reported bid price. Market quotations are not considered to
be readily available for certain debt obligations; such
investments are valued at fair value on the basis of valuations
furnished by an independent pricing service or dealers, approved
by the Trustees. Such services or dealers determine valuations
for normal institutional-size trading units of such securities
using methods based on market transactions for comparable
securities and various relationships, generally recognized by
institutional traders, between securities. Many securities
markets and exchanges outside the U.S. close prior to the close of
the New York Stock Exchange and therefore the closing prices for
securities in such markets or on such exchanges may not fully
reflect events that occur after such close but before the close of
the New York Stock Exchange. Accordingly, on certain days, the
fund will fair value foreign securities taking into account
multiple factors, including movements in the U.S. securities
markets. The number of days on which fair value prices will be
used will depend on market activity and it is possible that fair
value prices will be used by the fund to a significant extent.
Securities quoted in foreign currencies are translated into U.S.
dollars at the current exchange rate.
Short-term investments having remaining maturities of 60 days or
less are valued at amortized cost, which approximates fair
value.
Other investments, including restricted securities, are valued
at fair value following procedures approved by the Trustees.
Such valuations and procedures are reviewed periodically by the
Trustees.
Forward currency contracts The fund may buy and sell forward
currency contracts, which are agreements between two parties to
buy and sell currencies at a set price on a future date. These
contracts are used to protect against a decline in value
relative to the U.S. dollar of the currencies in which its
portfolio securities are denominated or quoted (or an increase
in the value of a currency in which securities a fund intends to
buy are denominated, when a fund holds cash reserves and short
term investments). The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange
rates supplied by a quotation service. The market value of the
contract will fluctuate with changes in currency exchange rates.
The contract is marked to market daily and the change in market
value is recorded as an unrealized gain or loss. When the
contract is closed, the fund records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The fund could be exposed to risk if the value of the currency
changes unfavorably, if the counterparties to the contracts are
unable to meet the terms of their contracts or if the fund is
unable to enter into a closing position. Risks may exceed
amounts recognized on the statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any,
are listed after the fund's portfolio.
Futures and options contracts The fund may use futures and
options contracts to hedge against changes in the values of
securities the fund owns or expects to purchase. The fund may
also write options on securities it owns or in which it may
invest to increase its current returns.
The potential risk to the fund is that the change in value of
futures and options contracts may not correspond to the change
in value of the hedged instruments. In addition, losses may
arise from changes in the value of the underlying instruments,
if there is an illiquid secondary market for the contracts, or
if the counterparty to the contract is unable to perform. Risks
may exceed amounts recognized on the statement of assets and
liabilities. When the contract is closed, the fund records a
realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the
time it was closed. Realized gains and losses on purchased
options are included in realized gains and losses on investment
securities. If a written call option is exercised, the premium
originally received is recorded as an addition to sales
proceeds. If a written put option is exercised, the premium
originally received is recorded as an addition to cost of
investments.
Futures contracts are valued at the quoted daily settlement
prices established by the exchange on which they trade. The
fund and the broker agree to exchange an amount of cash equal to
the daily fluctuation in the value of the futures contract.
Such receipts or payments are known as "variation margin."
Exchange traded options are valued at the last sale price, or if
no sales are reported, the last bid price for purchased options
and the last ask price for written options. Options traded
over-the-counter are valued using prices supplied by dealers.
Futures and written option contracts outstanding at period end,
if any, are listed after the fund's portfolio.
Interest rate swap contracts The fund may enter into interest
rate swap contracts, which are arrangements between two parties
to exchange cash flows based on a notional principal amount, to
manage the fund's exposure to interest rates. Interest rate
swap contracts are marked to market daily based upon quotations
from market makers and the change, if any, is recorded as
unrealized gain or loss. Payments received or made are recorded
as realized gains or loss. The fund could be exposed to credit
or market risk due to unfavorable changes in the fluctuation of
interest rates or if the counterparty defaults on its obligation
to perform. Risks may exceed amounts recognized on the
statement of assets and liabilities. Interest rate swap
contracts outstanding at period end, if any, are listed after
the fund's portfolio.
Credit default contracts The fund may enter into credit default
contracts where one party, the protection buyer, makes an
upfront or periodic payment to a counter party, the protection
seller, in exchange for the right to receive a contingent
payment. The maximum amount of the payment may equal the
notional amount, at par, of the underlying index or security as
a result of a related credit event. An upfront payment received
by the fund, as the protection seller, is recorded as a
liability on the fund's books. An upfront payment made by the
fund, as the protection buyer, is recorded as an asset on the
fund's books. Periodic payments received or paid by the fund
are recorded as realized gains or losses. The credit default
contracts are marked to market daily based upon quotations from
market makers and the change, if any, is recorded as unrealized
gain or loss. Payments received or made as a result of a credit
event or termination of the contract are recognized, net of a
proportional amount of the upfront payment, as realized gains or
losses. In addition to bearing the risk that the credit event will
occur, the fund could be exposed to market risk due to
unfavorable changes in interest rates or in the price of the
underlying security or index, the possibility that the fund may
be unable to close out its position at the same time or at the
same price as if it had purchased comparable publicly traded
securities or that the counterparty may default on its
obligation to perform. Risks of loss may exceed amounts
recognized on the statement of asses and liabilities. Credit
default contracts outstanding at period end, if any, are listed
after the fund's portfolio.
TBA purchase commitments The fund may enter into "TBA" (to be
announced) commitments to purchase securities for a fixed unit
price at a future date beyond customary settlement time.
Although the unit price has been established, the principal
value has not been finalized. However, the amount of the
commitments will not significantly differ from the principal
amount. The fund holds, and maintains until settlement date,
cash or high-grade debt obligations in an amount sufficient to
meet the purchase price, or the fund may enter into offsetting
contracts for the forward sale of other securities it owns.
Income on the securities will not be earned until settlement
date. TBA purchase commitments may be considered securities
themselves, and involve a risk of loss if the value of the
security to be purchased declines prior to the settlement date,
which risk is in addition to the risk of decline in the value of
the fund's other assets. Unsettled TBA purchase commitments are
valued at fair value of the underlying securities, according to
the procedures described under "Security valuation" above.
The contract is "marked-to-market" daily and the change in market
value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase
commitments with the intention of acquiring securities for its
portfolio or for delivery pursuant to options contracts it has
entered into, the fund may dispose of a commitment prior to
settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments The fund may enter into TBA sale
commitments to hedge its portfolio positions or to sell
mortgage-backed securities it owns under delayed delivery
arrangements. Proceeds of TBA sale commitments are not received
until the contractual settlement date. During the time a TBA
sale commitment is outstanding, equivalent deliverable
securities or an offsetting TBA purchase commitment deliverable
on or before the sale commitment date, are held as "cover" for
the transaction.
Unsettled TBA sale commitments are valued at fair value of the
underlying securities, generally according to the procedures
described under "Security valuation" above. The contract is
"marked-to-market" daily and the change in market value is
recorded by the fund as an unrealized gain or loss. If the TBA
sale commitment is closed through the acquisition of an
offsetting purchase commitment, the fund realizes a gain or
loss. If the fund delivers securities under the commitment, the
fund realizes a gain or a loss from the sale of the securities
based upon the unit price established at the date the commitment
was entered into. TBA sale commitments outstanding at period
end, if any, are listed after the fund's portfolio.
For additional information regarding the fund please see the
fund's most recent annual or semiannual shareholder report filed
on the Securities and Exchange Commission's Web site,
www.sec.gov, or visit Putnam's Individual Investor Web site at
www.putnaminvestments.com
Item 2. Controls and Procedures:
--------------------------------
(a) The registrant's principal executive officer and principal
financial officer have concluded, based on their evaluation of the
effectiveness of the design and operation of the registrant's
disclosure controls and procedures as of a date within 90 days of
the filing date of this report, that the design and operation of
such procedures are generally effective to provide reasonable
assurance that information required to be disclosed by the registrant
in this report is recorded, processed, summarized and reported within
the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting:
Not applicable
Item 3. Exhibits:
------------------
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly
caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
NAME OF REGISTRANT
By (Signature and Title): /s/ Michael T. Healy
--------------------------
Michael T. Healy
Principal Accounting Officer
Date: December 28, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By (Signature and Title): /s/ Charles E. Porter
---------------------------
Charles E. Porter
Principal Executive Officer
Date: December 28, 2004
By (Signature and Title): /s/ Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: December 28, 2004