a_premierincome.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2016
Date of reporting period: April 30, 2016



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/16 (Unaudited)
MORTGAGE-BACKED SECURITIES (48.9%)(a)
Principal amount Value
Agency collateralized mortgage obligations (15.3%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK, 24.052s, 2037 $125,858 $206,500
IFB Ser. 2979, Class AS, 22.687s, 2034 15,229 16,417
IFB Ser. 3072, Class SM, 22.21s, 2035 243,110 374,068
Ser. 4122, Class TI, IO, 4 1/2s, 2042 4,271,832 651,027
Ser. 4000, Class PI, IO, 4 1/2s, 2042 2,455,030 365,799
Ser. 4024, Class PI, IO, 4 1/2s, 2041 4,157,206 658,805
Ser. 4546, Class TI, 4s, 2045 8,515,050 1,128,244
Ser. 4462, IO, 4s, 2045 3,998,219 691,732
Ser. 4425, IO, 4s, 2045 11,168,278 1,408,208
Ser. 4452, Class QI, IO, 4s, 2044 8,502,497 1,298,624
Ser. 4193, Class PI, IO, 4s, 2043 6,298,563 940,747
Ser. 4062, Class DI, IO, 4s, 2039 10,121,208 1,024,168
Ser. 4501, Class BI, IO, 3 1/2s, 2043 9,012,458 945,858
Ser. 4122, Class AI, IO, 3 1/2s, 2042 7,327,208 917,337
Ser. 4122, Class CI, IO, 3 1/2s, 2042 6,639,255 831,208
Ser. 4105, Class HI, IO, 3 1/2s, 2041 3,413,877 451,331
Ser. 4166, Class PI, IO, 3 1/2s, 2041 5,226,890 687,190
Ser. 304, Class C37, IO, 3 1/2s, 2027 4,238,872 450,066
Ser. 4165, Class TI, IO, 3s, 2042 15,000,027 1,570,503
Ser. 4183, Class MI, IO, 3s, 2042 6,835,840 696,572
Ser. 4210, Class PI, IO, 3s, 2041 4,552,957 359,079
FRB Ser. 57, Class 1AX, IO, 0.38s, 2043 3,462,168 37,520
Ser. 3326, Class WF, zero %, 2035 2,391 1,968
Federal National Mortgage Association
IFB Ser. 06-62, Class PS, 37.267s, 2036 189,259 371,048
IFB Ser. 07-53, Class SP, 22.591s, 2037 210,230 325,524
IFB Ser. 08-24, Class SP, 21.674s, 2038 200,708 288,222
IFB Ser. 05-75, Class GS, 18.933s, 2035 169,790 236,598
IFB Ser. 05-83, Class QP, 16.253s, 2034 255,344 335,375
IFB Ser. 13-18, Class SB, IO, 5.711s, 2041 3,359,892 459,633
Ser. 374, Class 6, IO, 5 1/2s, 2036 377,144 76,817
Ser. 12-132, Class PI, IO, 5s, 2042 5,600,939 904,423
Ser. 378, Class 19, IO, 5s, 2035 1,198,937 203,819
Ser. 15-16, Class MI, IO, 4 1/2s, 2045 5,894,131 1,112,517
Ser. 12-127, Class BI, IO, 4 1/2s, 2042 1,699,226 350,587
Ser. 12-30, Class HI, IO, 4 1/2s, 2040 12,401,515 1,596,224
Ser. 409, Class 81, IO, 4 1/2s, 2040 5,693,344 896,628
Ser. 409, Class 82, IO, 4 1/2s, 2040 7,104,625 1,118,303
Ser. 366, Class 22, IO, 4 1/2s, 2035 325,662 16,557
Ser. 15-88, Class QI, IO, 4s, 2044 7,142,333 781,245
Ser. 13-41, Class IP, IO, 4s, 2043 4,604,011 740,601
Ser. 13-44, Class PI, IO, 4s, 2043 4,368,973 617,459
Ser. 13-60, Class IP, IO, 4s, 2042 3,357,495 510,145
Ser. 12-96, Class PI, IO, 4s, 2041 2,745,533 375,225
Ser. 409, Class C16, IO, 4s, 2040 4,420,236 665,820
Ser. 12-110, Class BI, IO, 3 1/2s, 2039 6,230,684 599,957
Ser. 12-145, Class TI, IO, 3s, 2042 6,634,757 536,752
Ser. 13-35, Class IP, IO, 3s, 2042 5,936,874 554,959
Ser. 13-53, Class JI, IO, 3s, 2041 5,127,284 517,856
Ser. 13-23, Class PI, IO, 3s, 2041 5,853,321 441,575
FRB Ser. 03-W10, Class 1, IO, 0.711s, 2043 526,349 8,245
Ser. 99-51, Class N, PO, zero %, 2029 24,944 22,450
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.723s, 2030 2,582,219 54,872
Government National Mortgage Association
IFB Ser. 13-129, Class SN, IO, 5.711s, 2043 2,402,224 390,361
IFB Ser. 14-41, Class SK, IO, 5.664s, 2044 5,778,634 1,069,047
Ser. 14-122, Class IC, IO, 5s, 2044 3,435,837 655,249
Ser. 14-76, IO, 5s, 2044 4,420,077 771,055
Ser. 14-25, Class MI, IO, 5s, 2043 2,858,341 477,886
Ser. 15-187, Class KI, IO, 5s, 2043 10,094,483 1,220,080
Ser. 13-22, Class IE, IO, 5s, 2043 6,862,463 1,221,566
Ser. 13-22, Class OI, IO, 5s, 2043 6,060,789 1,078,190
Ser. 13-3, Class IT, IO, 5s, 2043 3,383,212 595,584
Ser. 13-6, Class IC, IO, 5s, 2043 3,103,205 558,080
Ser. 12-146, IO, 5s, 2042 3,050,278 547,037
Ser. 13-6, Class CI, IO, 5s, 2042 2,290,296 380,670
Ser. 13-130, Class IB, IO, 5s, 2040 2,076,016 143,499
Ser. 13-16, Class IB, IO, 5s, 2040 2,008,488 78,879
Ser. 11-41, Class BI, IO, 5s, 2040 1,358,459 102,387
Ser. 10-35, Class UI, IO, 5s, 2040 1,062,996 192,695
Ser. 10-20, Class UI, IO, 5s, 2040 3,201,719 533,631
Ser. 10-9, Class UI, IO, 5s, 2040 14,477,523 2,608,068
Ser. 09-121, Class UI, IO, 5s, 2039 7,448,463 1,339,532
Ser. 15-79, Class GI, IO, 5s, 2039 2,853,710 500,609
Ser. 14-147, Class IJ, IO, 4 1/2s, 2044 5,556,068 752,236
Ser. 13-34, Class IH, IO, 4 1/2s, 2043 6,122,146 1,010,099
Ser. 14-108, Class IP, IO, 4 1/2s, 2042 1,378,324 221,386
Ser. 11-140, Class BI, IO, 4 1/2s, 2040 985,959 39,864
Ser. 11-18, Class PI, IO, 4 1/2s, 2040 399,285 45,870
Ser. 10-35, Class AI, IO, 4 1/2s, 2040 6,332,315 1,013,107
Ser. 10-35, Class QI, IO, 4 1/2s, 2040 5,737,569 980,109
Ser. 13-151, Class IB, IO, 4 1/2s, 2040 6,463,197 1,045,610
Ser. 10-9, Class QI, IO, 4 1/2s, 2040 3,836,538 642,271
Ser. 09-121, Class BI, IO, 4 1/2s, 2039 2,707,821 578,580
Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,392,833 132,152
Ser. 10-158, Class IP, IO, 4 1/2s, 2039 4,208,169 323,019
Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,162,400 39,092
Ser. 15-186, Class AI, IO, 4s, 2045 13,451,277 1,996,708
Ser. 15-53, Class MI, IO, 4s, 2045 6,390,801 1,407,382
Ser. 15-40, IO, 4s, 2045 7,379,359 1,540,714
Ser. 14-4, Class IC, IO, 4s, 2044 2,962,433 470,634
Ser. 13-165, Class IL, IO, 4s, 2043 2,688,211 416,915
Ser. 12-56, Class IB, IO, 4s, 2042 2,588,975 416,804
Ser. 12-38, Class MI, IO, 4s, 2042(F) 7,415,192 1,285,983
Ser. 12-47, Class CI, IO, 4s, 2042 6,642,260 1,027,080
Ser. 16-48, Class MI, IO, 3 1/2s, 2046 5,868,000 1,052,719
Ser. 15-64, Class PI, IO, 3 1/2s, 2045 8,837,215 849,168
Ser. 13-76, IO, 3 1/2s, 2043 11,574,543 1,214,401
Ser. 13-28, IO, 3 1/2s, 2043 3,662,922 422,238
Ser. 13-54, Class JI, IO, 3 1/2s, 2043 5,557,004 529,860
Ser. 13-37, Class JI, IO, 3 1/2s, 2043 7,968,514 761,073
Ser. 13-14, IO, 3 1/2s, 2042 15,629,756 1,658,786
Ser. 13-27, Class PI, IO, 3 1/2s, 2042 5,827,881 554,989
Ser. 12-136, Class BI, IO, 3 1/2s, 2042 5,723,228 1,021,024
Ser. 12-140, Class IC, IO, 3 1/2s, 2042 6,903,096 1,275,492
Ser. 12-113, Class ID, IO, 3 1/2s, 2042 3,262,383 653,168
Ser. 15-52, Class KI, IO, 3 1/2s, 2040 10,394,385 1,141,002
Ser. 15-96, Class NI, IO, 3 1/2s, 2039 7,343,536 771,071
Ser. 15-124, Class DI, IO, 3 1/2s, 2038 5,678,043 771,953
Ser. 13-H08, IO, 2.926s, 2063 12,779,073 1,006,991
Ser. 16-H03, Class AI, IO, 2.058s, 2066 10,401,203 1,183,439
Ser. 16-H03, Class DI, IO, 2.042s, 2065 11,242,990 1,219,493
Ser. 15-H20, Class CI, IO, 2.028s, 2065 11,823,414 1,467,368
Ser. 15-H15, Class BI, IO, 1.994s, 2065 7,071,569 871,691
Ser. 15-H24, Class AI, IO, 1.979s, 2065 10,998,343 1,317,601
Ser. 16-H02, Class HI, IO, 1.86s, 2066 13,506,944 1,437,139
Ser. 15-H25, Class EI, IO, 1.844s, 2065 10,797,062 1,184,438
Ser. 15-H20, Class AI, IO, 1.836s, 2065 11,109,651 1,239,837
FRB Ser. 15-H08, Class CI, IO, 1.792s, 2065 8,301,306 851,166
Ser. 16-H06, Class DI, IO, 1.728s, 2065 16,577,415 1,656,084
Ser. 15-H23, Class BI, IO, 1.722s, 2065 11,870,033 1,236,857
Ser. 13-H08, Class CI, IO, 1.667s, 2063 15,153,032 1,178,906
Ser. 15-H26, Class CI, IO, 0.575s, 2065 35,978,135 989,399
Ser. 06-36, Class OD, PO, zero %, 2036 7,616 6,624
89,806,104
Commercial mortgage-backed securities (22.2%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 1,812,000 1,798,625
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.494s, 2051 134,379,287 598,673
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.56s, 2045 1,276,994 1,277,214
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 34,573 34,687
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-PW17, Class AJ, 6.08s, 2050 607,000 597,819
FRB Ser. 07-T26, Class AJ, 5.566s, 2045 2,750,000 2,502,500
Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 882,750
Ser. 05-PWR7, Class B, 5.214s, 2041 1,564,964 1,549,314
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.557s, 2039 1,877,000 1,780,898
FRB Ser. 06-PW11, Class C, 5.557s, 2039 1,554,000 1,397,870
FRB Ser. 06-PW14, Class XW, IO, 0.838s, 2038 36,563,281 164,535
CD Mortgage Trust 144A
FRB Ser. 07-CD5, Class E, 6.326s, 2044 2,160,000 2,096,356
FRB Ser. 07-CD5, Class XS, IO, 0.282s, 2044 46,841,686 75,382
CFCRE Commercial Mortgage Trust 144A
FRB Ser. 11-C2, Class E, 5.76s, 2047 1,068,000 1,103,698
FRB Ser. 11-C2, Class F, 5 1/4s, 2047 2,275,000 2,027,480
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 1,022,000 913,157
Citigroup Commercial Mortgage Trust 144A
FRB Ser. 14-GC21, Class D, 4.996s, 2047 951,000 788,379
FRB Ser. 13-GC11, Class D, 4.603s, 2046 529,000 468,853
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.956s, 2046 7,172,000 7,042,255
COMM Mortgage Pass-Through Certificates 144A Ser. 12-CR3, Class F, 4 3/4s, 2045 1,755,510 1,390,113
COMM Mortgage Trust
FRB Ser. 07-C9, Class F, 6.006s, 2049 1,138,000 1,113,492
Ser. 06-C8, Class AJ, 5.377s, 2046 2,970,000 2,860,110
COMM Mortgage Trust 144A
FRB Ser. 13-CR11, Class D, 5.338s, 2046 284,000 264,148
FRB Ser. 13-CR9, Class D, 4.4s, 2045 1,196,000 1,140,013
Ser. 13-LC13, Class E, 3.719s, 2046 1,331,000 1,009,197
Ser. 14-CR18, Class E, 3.6s, 2047 1,371,000 848,800
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.911s, 2039 43,154,209 293,449
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 1,270,600 635,300
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, IO, 0.966s, 2020 3,549,185 53,167
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class E, 5.087s, 2042 843,703 844,631
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.552s, 2044 3,860,234 3,783,029
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 515,946 515,173
GS Mortgage Securities Corp. II 144A
FRB Ser. 13-GC10, Class D, 4.557s, 2046 1,084,000 969,313
FRB Ser. 05-GG4, Class XC, IO, 0.631s, 2039 11,201,173 31,363
GS Mortgage Securities Trust 144A
FRB Ser. 13-GC16, Class E, 5.493s, 2046 1,693,000 1,363,542
FRB Ser. 14-GC18, Class D, 5.112s, 2047 3,247,000 2,746,628
Ser. 11-GC3, Class E, 5s, 2044 1,347,000 1,280,571
FRB Ser. 14-GC26, Class D, 4.661s, 2047 2,204,000 1,681,916
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 13-C14, Class E, 4.715s, 2046 1,068,000 926,917
FRB Ser. 14-C18, Class E, 4.471s, 2047 914,000 652,139
FRB Ser. 14-C25, Class D, 4.097s, 2047 2,308,000 1,721,076
Ser. 14-C25, Class E, 3.332s, 2047 1,823,000 1,046,710
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 07-CB20, Class AJ, 6.284s, 2051 2,195,000 2,168,441
FRB Ser. 06-LDP7, Class B, 6.147s, 2045 1,231,000 609,468
FRB Ser. 06-LDP6, Class B, 5.846s, 2043 1,388,818 1,388,818
Ser. 06-LDP8, Class B, 5.52s, 2045 736,000 735,117
FRB Ser. 05-LDP2, Class E, 4.981s, 2042 1,965,000 1,955,175
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class B, 6.384s, 2051 1,087,000 1,091,239
FRB Ser. 07-CB20, Class C, 6.384s, 2051 1,904,000 1,741,989
FRB Ser. 11-C3, Class F, 5.788s, 2046 1,113,000 1,133,145
FRB Ser. 12-C8, Class E, 4.813s, 2045 536,000 471,519
Ser. 13-C13, Class E, 3.986s, 2046 1,537,000 1,205,930
Ser. 13-C10, Class E, 3 1/2s, 2047 1,865,000 1,380,846
FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 1,249,000 928,007
FRB Ser. 07-CB20, Class X1, IO, 0.454s, 2051 88,643,055 338,235
LB Commercial Mortgage Trust 144A
Ser. 99-C1, Class G, 6.41s, 2031 588,415 601,729
Ser. 98-C4, Class J, 5.6s, 2035 965,000 998,486
LB-UBS Commercial Mortgage Trust
Ser. 06-C3, Class AJ, 5.72s, 2039 366,380 365,977
Ser. 06-C6, Class E, 5.541s, 2039 1,750,000 1,224,265
Ser. 06-C6, Class D, 5.502s, 2039 3,168,000 2,691,311
FRB Ser. 06-C6, Class C, 5.482s, 2039 3,000,000 2,823,900
Ser. 06-C1, Class AJ, 5.276s, 2041 1,895,597 1,890,194
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.438s, 2048 977,000 843,356
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, zero %, 2028 8,703 2
Merrill Lynch Mortgage Trust
FRB Ser. 08-C1, Class AJ, 6.475s, 2051 428,000 448,030
Ser. 06-C2, Class AJ, 5.802s, 2043 1,818,000 1,808,910
FRB Ser. 05-CIP1, Class B, 5.676s, 2038 488,586 483,812
Ser. 04-KEY2, Class D, 5.046s, 2039 2,916,063 2,889,110
Mezz Cap Commercial Mortgage Trust 144A
FRB Ser. 04-C1, Class X, IO, 8.999s, 2037 69,541 4,138
FRB Ser. 07-C5, Class X, IO, 5.886s, 2049 1,985,700 137,212
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 2,425,000 2,363,405
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 893,000 871,657
Morgan Stanley Bank of America Merrill Lynch Trust 144A
Ser. 14-C17, Class D, 4.855s, 2047 1,073,000 890,352
FRB Ser. 12-C6, Class G, 4 1/2s, 2045 830,000 637,357
FRB Ser. 13-C10, Class E, 4.219s, 2046 1,634,000 1,280,566
Ser. 14-C17, Class E, 3 1/2s, 2047 1,673,000 978,640
Ser. 14-C19, Class D, 3 1/4s, 2047 1,200,000 874,581
Morgan Stanley Capital I Trust
Ser. 06-HQ9, Class C, 5.842s, 2044 3,417,000 3,401,052
FRB Ser. 06-HQ8, Class C, 5.59s, 2044 1,300,000 1,300,000
FRB Ser. 06-HQ8, Class D, 5.59s, 2044 2,090,000 1,756,185
Ser. 07-HQ11, Class C, 5.558s, 2044 2,693,000 2,558,350
Ser. 06-HQ10, Class B, 5.448s, 2041 1,600,000 1,556,617
Ser. 06-HQ10, Class AJ, 5.389s, 2041 1,064,000 1,060,914
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.462s, 2043 798,000 787,546
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,853,512 1,689,254
STRIPS CDO 144A FRB Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 376,000 75,200
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8s, 2038 1,168,758 292,190
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.493s, 2046 1,040,000 905,944
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 06-C26, Class AJ, 6.241s, 2045 3,695,000 3,669,135
FRB Ser. 06-C25, Class AJ, 6.044s, 2043 104,742 104,742
FRB Ser. 07-C34, IO, 0.456s, 2046 26,409,652 179,586
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,399,290
Wells Fargo Commercial Mortgage Trust 144A
Ser. 12-LC5, Class E, 4.777s, 2045 1,094,000 931,979
FRB Ser. 13-LC12, Class D, 4.433s, 2046 592,000 498,502
Ser. 14-LC18, Class D, 3.957s, 2047 1,734,000 1,249,418
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C5, Class E, 5.821s, 2044 122,000 123,147
FRB Ser. 13-C16, Class D, 5.147s, 2046 2,042,000 1,902,327
FRB Ser. 14-C19, Class E, 5.136s, 2047 2,746,000 1,912,985
Ser. 12-C6, Class E, 5s, 2045 1,243,000 1,008,446
Ser. 11-C4, Class F, 5s, 2044 1,993,000 1,771,378
FRB Ser. 12-C7, Class E, 4.992s, 2045 801,000 761,826
FRB Ser. 13-C18, Class D, 4.823s, 2046 924,000 804,889
FRB Ser. 13-C15, Class D, 4.629s, 2046 1,621,000 1,413,060
Ser. 14-C19, Class D, 4.234s, 2047 1,542,000 1,254,832
Ser. 13-C12, Class E, 3 1/2s, 2048 1,664,000 1,267,635
130,162,590
Residential mortgage-backed securities (non-agency) (11.4%)
BCAP, LLC Trust 144A
FRB Ser. 15-RR5, Class 2A3, 1.42s, 2046 1,380,000 880,721
FRB Ser. 15-RR3, Class 5A3, 0.633s, 2046 1,558,000 1,056,947
FRB Ser. 12-RR5, Class 4A8, 0.603s, 2035 862,361 787,677
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.364s, 2034 1,085,045 1,062,765
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, Class M6, 5.314s, 2034 76,336 42,342
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.739s, 2025 (Bermuda) 1,062,000 1,040,760
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A1, 2.076s, 2046 1,385,293 1,125,551
FRB Ser. 06-OA10, Class 1A1, 1.337s, 2046 942,245 678,741
FRB Ser. 06-OA7, Class 1A2, 1.317s, 2046 1,534,184 1,165,980
FRB Ser. 05-38, Class A3, 0.789s, 2035 2,460,111 1,996,329
FRB Ser. 05-59, Class 1A1, 0.769s, 2035 4,299,367 3,447,096
FRB Ser. 06-OC2, Class 2A3, 0.729s, 2036 720,890 648,801
FRB Ser. 06-OA10, Class 4A1, 0.629s, 2046 8,860,483 6,202,338
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt Notes FRB Ser. 16-HQA1, Class B, 13.189s, 2028 510,000 537,912
Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.939s, 2025 2,364,724 2,540,659
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA2, Class B, 10.939s, 2028 704,000 678,442
Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA1, Class B, 10.439s, 2028 2,036,000 1,950,895
Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA3, Class B, 9.789s, 2028 1,496,000 1,418,904
Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA2, Class B, 7.989s, 2027 1,396,000 1,339,355
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, 13.189s, 2028 680,000 723,554
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 12.689s, 2028 2,320,000 2,500,496
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.189s, 2028 1,300,000 1,386,749
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.189s, 2028 1,820,000 1,934,242
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 6.339s, 2028 5,035,000 5,234,890
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.139s, 2028 5,851,000 6,120,709
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 5.989s, 2028 640,000 665,798
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.439s, 2025 5,403,000 5,551,573
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 5.439s, 2025 1,920,000 1,973,165
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.989s, 2025 989,500 1,015,623
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.439s, 2025 204,000 204,179
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.439s, 2025 307,000 306,941
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 475 475
Morgan Stanley Resecuritization Trust 144A
Ser. 15-R4, Class CB2, 0.598s, 2047(F) 860,000 468,700
Ser. 15-R4, Class CB3, 0.598s, 2047(F) 160,000 66,400
MortgageIT Trust FRB Ser. 05-3, Class M2, 0.969s, 2035 662,157 580,057
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 501,696 501,595
Nomura Resecuritization Trust 144A FRB Ser. 15-4R, Class 1A14, 0.602s, 2047 1,200,000 576,000
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR19, Class A1C3, 0.939s, 2045 2,196,616 1,845,157
FRB Ser. 05-AR13, Class A1C3, 0.929s, 2045 5,070,858 4,190,389
FRB Ser. 05-AR8, Class 2AC2, 0.899s, 2045 2,020,644 1,729,617
FRB Ser. 05-AR19, Class A1C4, 0.839s, 2045 1,251,867 1,026,531
67,205,055
Total mortgage-backed securities (cost $305,738,119) $287,173,749

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (45.4%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (4.3%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, May 1, 2046 $24,000,000 $25,353,749
25,353,749
U.S. Government Agency Mortgage Obligations (41.1%)
Federal National Mortgage Association Pass-Through Certificates
5 1/2s, TBA, May 1, 2046 5,000,000 5,598,828
4 1/2s, TBA, May 1, 2046 5,000,000 5,444,531
4s, TBA, May 1, 2046 2,000,000 2,136,875
3 1/2s, TBA, June 1, 2046 49,000,000 51,275,820
3 1/2s, TBA, May 1, 2046 98,000,000 102,723,904
3s, TBA, May 1, 2046 72,000,000 73,828,123
241,008,081
Total U.S. government and agency mortgage obligations (cost $265,916,916) $266,361,830

CORPORATE BONDS AND NOTES (32.2%)(a)
Principal amount Value
Basic materials (3.1%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $400,000 $401,000
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) 371,000 426,650
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 207,000 203,378
ArcelorMittal SA sr. unsec. unsub. notes 8s, 2039 (France) 70,000 65,100
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 457,000 485,563
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 209,000 238,521
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 471,000 470,411
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 753,000 794,415
Builders FirstSource, Inc. 144A sr. notes 7 5/8s, 2021 30,000 31,575
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany) 355,000 382,513
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 485,000 483,181
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 420,000 442,575
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.7s, 2025 (Mexico) 250,000 241,250
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 486,000 467,775
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 750,000 720,000
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021 189,000 178,605
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 463,000 363,455
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 55,000 49,649
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2023 625,000 684,375
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 681,000 722,711
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 548,000 464,430
Huntsman International, LLC company guaranty sr. unsec. notes 5 1/8s, 2022 100,000 100,500
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 546,000 550,095
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 395,000 379,200
Joseph T Ryerson & Son, Inc. company guaranty sr. sub. notes 9s, 2017 487,000 448,649
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020 526,000 547,040
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 367,000 370,670
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada) 187,000 172,040
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 320,000 323,600
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 755,000 779,538
Pactiv LLC sr. unsec. unsub. bonds 8 3/8s, 2027 45,000 43,650
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 245,000 237,650
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 653,000 651,368
PQ Corp. 144A company guaranty sr. notes 6 3/4s, 2022 105,000 108,413
PQ Corp. 144A company guaranty sub. notes 8 3/4s, 2018 183,000 191,052
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 502,000 530,865
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 247,000 280,036
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 320,000 338,400
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2024 140,000 146,650
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2022 129,000 134,321
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 105,000 111,431
Smurfit Kappa Acquisitions 144A company guaranty sr. unsec. notes 4 7/8s, 2018 (Ireland) 200,000 208,500
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland) 278,000 327,345
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 285,000 299,963
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 110,000 111,788
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 45,000 45,675
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 70,000 71,575
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021 251,000 173,190
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 310,000 308,450
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 285,000 299,250
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 266,000 281,628
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023 125,000 116,250
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 563,000 595,373
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 268,000 280,596
17,881,883
Capital goods (2.0%)
Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,115,000 1,160,994
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 503,000 560,845
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024 280,000 275,100
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022 367,000 366,083
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2024 (Ireland)(FWC) 630,000 630,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 355,000 365,206
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 524,000 510,900
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 240,000 247,650
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 154,000 155,540
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 155,000 161,975
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 553,000 601,388
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7 3/8s, 2026 145,000 159,500
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg) 237,000 234,038
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 818,000 711,660
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 537,000 540,356
Legrand France SA sr. unsec. unsub. notes 8 1/2s, 2025 (France) 158,000 212,718
Manitowoc Foodservice, Inc. 144A sr. unsec. notes 9 1/2s, 2024 535,000 591,175
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 419,000 385,480
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 514,000 519,140
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025 215,000 221,450
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 744,000 767,250
Rexam PLC unsec. sub. FRB 6 3/4s, 2067 (United Kingdom) EUR 135,000 155,832
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 $100,000 101,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 100,000 103,500
Terex Corp. company guaranty sr. unsec. notes 6s, 2021 437,000 432,630
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8 3/4s, 2023 365,000 357,700
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 105,000 109,778
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024 95,000 95,713
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 540,000 547,425
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 330,000 337,831
11,620,357
Communication services (4.3%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 400,000 398,000
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg) 1,000,000 1,000,500
Altice SA 144A company guaranty sr. unsec. notes 7 5/8s, 2025 (Luxembourg) 350,000 337,838
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 500,320
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 400,796
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 47,138
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. bonds 5 1/8s, 2023 820,000 842,550
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 618,000 638,085
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5 1/2s, 2026 237,000 241,740
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 563,000 591,150
CCOH Safari, LLC 144A sr. unsec. notes 5 3/4s, 2026 112,000 115,640
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 348,000 342,780
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 97,613
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 469,000 442,033
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 381,000 359,093
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 697,000 773,670
Crown Castle International Corp. sr. unsec. notes 4 7/8s, 2022(R) 205,000 223,450
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 250,000 227,500
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 124,000 127,720
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 480,000 438,000
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 610,000 555,100
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 305,000 286,243
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 160,000 148,800
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 102,063
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 348,000 351,480
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 465,000 478,425
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 142,000 150,343
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 270,000 192,375
Intelsat Jackson Holdings SA company guaranty sr. unsec. unsub. bonds 6 5/8s, 2022 (Bermuda) 190,000 123,025
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 49,000 16,170
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg) 90,000 29,475
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 140,000 143,921
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 150,000 157,125
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 475,000 485,688
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 170,000 172,550
Numericable-SFR SA 144A company guaranty sr. notes 6s, 2022 (France) 1,075,000 1,076,344
Numericable-SFR SA 144A sr. bonds 6 1/4s, 2024 (France) 450,000 437,625
Numericable-SFR SA 144A sr. bonds 5 5/8s, 2024 (France) EUR 110,000 131,151
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $88,000 91,190
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 413,826
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6 7/8s, 2028 745,000 553,163
Sprint Communications, Inc. sr. unsec. notes 7s, 2020 238,000 198,135
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 695,000 708,900
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 656,000 693,720
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023 929,000 724,620
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021 465,000 375,488
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023 658,000 704,060
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025 320,000 336,000
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 480,000 502,800
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023 291,000 305,550
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 175,000 178,500
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 455,000 477,750
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 680,000 868,862
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 115,200 141,979
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 209,790 258,673
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 433,350 528,332
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $662,000 688,480
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 481,500 731,264
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022 $609,000 552,668
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 811,000 813,028
Wind Acquisition Finance SA 144A company guaranty notes 7 3/8s, 2021 (Luxembourg) 225,000 200,250
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 290,000 323,906
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021 $254,000 215,265
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023 659,000 502,488
Ziggo Bond Finance BV 144A sr. unsec. bonds 4 5/8s, 2025 (Netherlands) EUR 115,000 129,545
25,401,961
Consumer cyclicals (5.4%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 $255,000 264,563
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025 240,000 246,000
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 377,000 393,965
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 561,000 503,498
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 512,000 558,327
Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc. company guaranty sr. unsec. notes 5 3/4s, 2023 374,000 390,830
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 430,000 348,300
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 222,000 101,565
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 344,000 356,900
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 535,000 524,300
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 225,000 210,375
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 562,000 602,745
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024 195,000 206,213
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 244,992
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 165,000 170,775
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023 140,000 138,965
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020 298,000 276,395
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 865,000 869,325
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 155,000 165,509
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020 105,000 109,069
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7s, 2023 440,000 458,700
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5 1/4s, 2023 (Italy) 430,000 434,855
General Motors Co. sr. unsec. unsub. notes 6 3/4s, 2046 80,000 96,542
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 313,000 174,498
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020 400,000 422,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2026 165,000 172,013
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 616,000 645,260
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 488,364
Grupo Televisa SAB sr. unsec. unsub. bonds 6 5/8s, 2040 (Mexico) $195,000 217,612
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 6,600,000 316,901
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $842,000 852,525
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 674,000 522,350
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 355,000 370,088
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 168,000 173,040
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 71,000 67,095
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 280,000 236,600
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 535,000 500,225
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 457,000 518,695
L Brands, Inc. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 190,000 209,475
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 130,000 136,175
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 187,000 197,285
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025 56,000 59,500
Lear Corp. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 125,000 132,813
Lennar Corp. company guaranty sr. unsec. notes 4 1/2s, 2019 200,000 206,875
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 580,000 588,700
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2021 240,000 249,960
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 59,000 60,180
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 175,000 182,875
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 640,000 620,000
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 410,000 437,675
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 67,000 68,675
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 337,000 358,905
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 188,000 136,300
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 260,000 241,800
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK) 721,000 598,430
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021 220,000 191,400
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg) 598,000 623,415
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021 607,000 631,280
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025 315,000 329,175
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024 209,000 218,405
Owens Corning company guaranty sr. unsec. notes 4.2s, 2024 296,000 302,214
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021 513,000 524,543
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 439,000 453,268
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 330,000 332,475
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 265,000 296,800
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2026 540,000 557,550
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 145,000 151,525
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2025 390,000 394,875
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023 312,000 319,410
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022 18,000 18,743
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 80,000 82,000
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 555,000 583,444
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 365,000 371,388
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 122,000 117,425
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 680,000 562,020
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 115,000 73,888
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 345,000 351,684
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 227,000 240,053
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 44,000 45,650
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 366,000 376,065
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 263,000 278,123
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2020 20,000 20,800
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 676,000 699,660
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5 3/4s, 2025 240,000 254,556
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2022 25,000 27,000
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020 30,000 31,658
Standard Industries, Inc. 144A sr. unsec. notes 6s, 2025 100,000 107,750
Standard Industries, Inc. 144A sr. unsec. notes 5 3/8s, 2024 501,000 522,293
Standard Industries, Inc./NJ 144A sr. unsec. notes 5 1/8s, 2021 50,000 52,000
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 417,000 408,660
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 747,000 745,133
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 165,000 160,875
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 359,000 374,258
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021 493,000 502,860
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 713,000 835,991
Tribune Media Co. company guaranty sr. unsec. notes 5 7/8s, 2022 $420,000 417,900
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 100,000 104,375
31,528,184
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada) 795,000 820,838
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 170,000 174,250
Ashtead Capital, Inc. 144A company guaranty notes 6 1/2s, 2022 828,000 873,540
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 310,000 320,075
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 400,000 382,320
BlueLine Rental Finance Corp. 144A notes 7s, 2019 469,000 411,548
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022 241,000 216,900
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 926,000 926,000
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 120,175
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 585,000 606,938
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 227,500
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 461,000 469,644
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R) 285,000 293,194
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 330,000 345,675
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 800,000 552,000
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 310,000 285,200
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 830,250
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 150,000 156,375
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 85,000 85,638
Landry's, Inc. 144A company guaranty sr. unsec. sub. notes 9 3/8s, 2020 225,000 236,531
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 202,000 205,535
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 320,000 327,600
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021 540,000 548,775
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 560,000 596,753
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 112,000 67,200
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022 454,000 485,517
10,565,971
Energy (5.1%)
Antero Resources Corp. company guaranty sr. unsec. notes 5 5/8s, 2023 178,000 172,660
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 208,000 199,680
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 324,000 313,470
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 355,000 278,675
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021 146,000 114,610
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada) 295,000 224,200
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada) 41,000 32,390
California Resources Corp. 144A company guaranty notes 8s, 2022 726,000 499,125
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 (In default)(NON) 325,000 97,500
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) (In default)(NON) 634,500 282,353
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 411,000 279,480
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023 448,000 451,360
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 205,785
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 202,000 129,785
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 180,000 103,500
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020 781,000 509,603
Gazprom OAO Via Gaz Capital SA sr. unsec. unsub. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 780,000 865,004
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 394,000 452,871
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 7.288s, 2037 (Russia) 575,000 637,664
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020 390,000 85,800
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 765,000 164,475
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031 210,000 230,185
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2020 340,000 355,725
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 100,000 98,375
Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 275,000 57,750
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 428,000 419,440
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 340,000 14,450
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 (In default)(NON) 77,000 6,738
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 (In default)(NON) 993,000 188,670
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada)(F) 184,000 10
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,166,400
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 145,600
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022 180,000 182,700
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 240,000 237,600
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 196,000 175,910
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 324,000 289,170
Pertamina Persero PT 144A sr. unsec. unsub. notes 4 7/8s, 2022 (Indonesia) 270,000 278,298
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 400,000 397,137
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 (Brazil) 960,000 957,600
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 7/8s, 2040 (Brazil) 40,000 31,350
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 1/4s, 2024 (Brazil) 347,000 302,758
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5 3/8s, 2021 (Brazil) 960,000 853,200
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 3 1/4s, 2017 (Brazil) 1,378,000 1,364,220
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 2,067,000 726,551
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/4s, 2017 (Venezuela) 4,035,000 2,209,163
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 3,438,000 3,034,035
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8 1/2s, 2017 (Venezuela) 5,469,995 3,186,272
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 2,345,000 801,756
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 345,100
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 5 5/8s, 2046 (Mexico) 525,000 467,413
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,603,152
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4 1/2s, 2026 (Mexico) 95,000 90,383
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2023 192,000 151,680
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 107,000 87,740
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 220,000 219,450
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 210,000 203,175
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023 210,000 205,800
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020 175,000 182,438
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON) 950,000 4,750
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 (In default)(NON) 470,000 136,300
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada) 365,000 376,406
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 (In default)(NON) 45,000 1,800
SM Energy Co. sr. unsec. sub. notes 5s, 2024 208,000 173,160
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 267,000 241,635
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 103,000 68,136
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $125,000 107,813
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 105,000 20,081
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022 70,000 15,400
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021 205,000 138,888
Williams Cos., Inc. (The) sr. unsec. unsub. notes 3.7s, 2023 277,000 232,622
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 338,201
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023 469,000 429,135
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 532,000 478,800
30,130,511
Financials (5.2%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 778,000 748,825
Ally Financial, Inc. company guaranty sr. unsec. notes 8s, 2031 618,000 740,055
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,481,700
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 220,000 222,750
American International Group, Inc. jr. unsec. sub. FRB 8.175s, 2058 163,000 204,973
Banco Nacional de Costa Rica 144A sr. unsec. unsub. notes 4 7/8s, 2018 (Costa Rica) 250,000 251,082
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 148,000 148,000
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 185,000 194,713
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 175,000 182,092
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 197,046
CIT Group, Inc. sr. unsec. notes 3 7/8s, 2019 155,000 155,775
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023 255,000 264,563
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 325,113
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022 315,000 329,963
CIT Group, Inc. 144A sr. unsec. notes 6 5/8s, 2018 470,000 495,263
CIT Group, Inc. 144A sr. unsec. notes 5 1/2s, 2019 380,000 398,050
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 215,000 221,317
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 230,000 236,900
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021 372,000 354,330
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 373,000 234,524
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 579,690
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151s, 2031 379,000 439,405
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 277,000 294,038
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 371,000 374,710
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2025(R) 335,000 330,394
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15s, 2066 172,000 48,160
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK) 161,000 149,730
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 475,000 465,500
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 440,000 419,650
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 20,000 21,850
iStar, Inc. sr. unsec. notes 5s, 2019(R) 25,000 24,250
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697s, 2097 670,000 843,775
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) 320,000 347,200
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R) 505,000 528,988
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2021(R) 177,000 183,416
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020 185,000 177,600
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 437,873
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019 195,000 149,175
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019 228,000 233,130
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 275,000 286,000
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 305,000 298,138
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 120,000 104,100
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 560,000 529,200
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8s, perpetual maturity (United Kingdom) 230,000 220,513
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 410,000 382,325
Royal Bank of Scotland Group PLC jr. unsec. sub. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 100,000 94,045
Royal Bank of Scotland Group PLC unsec. sub. bonds 5 1/8s, 2024 (United Kingdom) 235,000 230,022
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7 3/4s, 2018 (Russia) 550,000 590,715
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 5.298s, 2017 (Russia) 600,000 614,250
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6 1/8s, 2022 (Russia) 500,000 534,375
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6s, 2020 1,385,000 1,326,138
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019 238,000 225,803
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018 158,000 123,240
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 480,000 482,400
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 496,022
Ukreximbank Via Biz Finance PLC 144A sr. unsec. bonds 9 5/8s, 2022 (Ukraine) $250,000 230,170
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 456,000 456,000
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.902s, 2020 (Russia) 600,000 628,500
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 468,000 489,713
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 5.942s, 2023 (Russia) 200,000 199,262
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 2,486,000 2,644,980
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 5,600,000 5,544,000
VTB Bank PJSC via VTB Eurasia, Ltd. 144A unsec. sub. FRN 9 1/2s, perpetual maturity (Russia) 450,000 448,875
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021 315,000 208,688
30,823,042
Health care (2.4%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021 455,000 473,200
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 195,000 197,681
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 442,000 396,695
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 305,000 312,244
Centene Escrow Corp. 144A sr. unsec. notes 6 1/8s, 2024 395,000 416,725
Centene Escrow Corp. 144A sr. unsec. notes 5 5/8s, 2021 125,000 131,563
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 410,000 371,050
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 298,000 277,140
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 563,000 471,513
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands) 489,000 495,113
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 138,000 135,240
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 295,000 283,200
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland) 200,000 191,000
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland) 320,000 314,000
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 323,000 327,845
HCA, Inc. company guaranty sr. bonds 5 1/4s, 2026 340,000 353,175
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 1,744,000 1,929,300
HCA, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2022 128,000 144,640
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025 120,000 122,700
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 370,000 384,430
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018 12,000 12,090
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 329,000 299,390
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 160,000 165,600
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 270,000 278,775
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R) 310,000 316,885
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022 644,000 674,590
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024 1,075,000 1,144,875
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 220,000 223,300
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 80,000 81,000
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 228,000 228,570
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 833,000 891,310
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 80,000 82,400
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020 393,000 416,580
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.134s, 2020 390,000 390,488
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 7s, 2020 70,000 64,400
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 53,000 48,031
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025 370,000 309,091
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023 413,000 345,888
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 90,000 76,275
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 195,000 165,750
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020 282,000 249,746
14,193,488
Technology (1.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 180,000 185,850
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 126,000 27,090
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 1,085,000 691,688
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 273,000 279,825
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023 450,000 462,375
First Data Corp. 144A notes 5 3/4s, 2024 435,000 441,525
First Data Corp. 144A sr. notes 5 3/8s, 2023 375,000 387,656
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 6s, 2022 250,000 265,000
Infor US, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 1,023,000 944,239
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 132,000 139,095
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R) 430,000 456,875
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 165,000 174,488
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 433,000 382,123
Micron Technology, Inc. 144A sr. notes 7 1/2s, 2023 88,000 91,080
SoftBank Corp. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (Japan) 345,000 350,175
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 286,000 141,570
Techem Energy Metering Service GmbH & Co. KG 144A company guaranty sr. unsec. sub. notes 7 7/8s, 2020 (Germany) EUR 380,000 462,915
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 515,000 620,660
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 $532,000 575,943
7,080,172
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 475,000 456,000
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 864,000 859,680
1,315,680
Utilities and power (1.5%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 965,000 969,825
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023 160,000 157,600
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 354,175
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025 790,000 797,900
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 110,000 116,188
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024 85,000 89,994
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85s, 2037 615,000 578,853
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 40,000 39,511
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 783,000 789,656
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 30,000 29,325
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8 5/8s, 2022 577,000 668,017
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 321,338 343,831
Energy Transfer Equity LP company guaranty sr. notes 7 1/2s, 2020 346,000 348,595
Energy Transfer Equity LP sr. sub. notes 5 7/8s, 2024 190,000 177,650
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 81,375
GenOn Energy, Inc. sr. unsec. sub. notes 9 7/8s, 2020 441,000 308,700
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021 1,375,000 1,429,450
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022 195,000 191,284
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 396,000 404,674
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 264,684
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 132,000 123,098
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 457,000 435,293
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 205,000 68,675
8,768,353
Total corporate bonds and notes (cost $201,794,717) $189,309,602

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.3%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) $5,889,962 $6,405,333
Argentina (Republic of) 144A sr. unsec. notes 7 5/8s, 2046 (Argentina) 992,000 973,813
Argentina (Republic of) 144A sr. unsec. notes 7 1/2s, 2026 (Argentina) 2,373,000 2,405,391
Brazil (Federal Republic of) sr. unsec. unsub. notes 10s, 2017 (Brazil) (units) BRL 6,400 1,879,323
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $100,000 111,250
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 908,655 990,434
Costa Rica (Republic of) 144A sr. unsec. unsub. notes 7s, 2044 (Costa Rica) 250,000 230,625
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 620,000 678,609
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 1/4s, 2017 (Croatia) 65,000 67,438
Croatia (Republic of) 144A sr. unsec. unsub. notes 6s, 2024 (Croatia) 375,000 411,094
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5 1/2s, 2025 (Dominican Republic) 1,650,000 1,643,813
Gabon (Republic of) 144A sr. unsec. bonds 6.95s, 2025 (Gabon) 1,900,000 1,662,564
Ghana (Republic of) 144A sr. unsec. unsub. notes 8 1/2s, 2017 (Ghana) 317,000 315,050
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 2,873,000 3,052,211
Hellenic (Republic of) sr. unsec. unsub. bonds 4 3/4s, 2019 (Greece) EUR 3,680,000 3,736,785
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2038 (Greece)(STP) EUR 1,146,472 728,101
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2037 (Greece)(STP) EUR 134,941 85,884
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2036 (Greece)(STP) EUR 1,176,344 754,345
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2035 (Greece)(STP) EUR 866,021 560,216
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2034 (Greece)(STP) EUR 584,559 381,563
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2033 (Greece)(STP) EUR 542,459 359,076
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2032 (Greece)(STP) EUR 591,295 407,253
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2031 (Greece)(STP) EUR 400,059 273,295
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2030 (Greece)(STP) EUR 2,313,586 1,601,239
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2029 (Greece)(STP) EUR 461,295 326,088
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2028 (Greece)(STP) EUR 2,546,624 1,843,212
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2027 (Greece)(STP) EUR 1,271,042 929,016
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2026 (Greece)(STP) EUR 2,705,993 2,030,043
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2025 (Greece)(STP) EUR 5,744,811 4,457,846
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 1,315,156 1,043,286
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 2,857,365 2,317,926
Indonesia (Republic of) 144A sr. unsec. notes 4 3/4s, 2026 (Indonesia) $300,000 318,750
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 1,842,675
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95s, 2046 (Indonesia) 200,000 222,500
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3 3/8s, 2023 (Indonesia) 1,355,000 1,346,599
Mexico (Republic of) sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,030,000 1,060,900
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 465,000 484,763
Russia (Federation of) 144A sr. unsec. unsub. bonds 5 5/8s, 2042 (Russia) 1,800,000 1,883,250
Ukraine (Government of) 144A unsec. FRN Ser. GDP, zero %, 2040 (Ukraine) 648,000 202,364
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2027 (Ukraine) 316,000 293,548
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2026 (Ukraine) 316,000 293,943
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2025 (Ukraine) 316,000 296,822
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2024 (Ukraine) 316,000 299,473
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2023 (Ukraine) 316,000 300,121
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2022 (Ukraine) 316,000 301,669
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2021 (Ukraine) 316,000 302,238
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2020 (Ukraine) 403,000 386,513
Ukraine (Government of) 144A unsec. notes 7 3/4s, 2019 (Ukraine) 7,802 7,530
Venezuela (Bolivarian Republic of) sr. unsec. bonds 9 1/4s, 2028 (Venezuela) 100,000 38,375
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 234,000
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9 1/4s, 2027 (Venezuela) 605,000 256,369
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 1,536,656
Total foreign government and agency bonds and notes (cost $58,803,360) $54,571,180

SENIOR LOANS (1.7%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $539,181 $529,520
Asurion, LLC bank term loan FRN 8 1/2s, 2021 329,000 315,840
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 319,198 211,469
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 511,063 321,118
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 1,955,958 1,838,600
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 3/4s, 2017 164,175 152,375
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 589,500 523,181
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 82,983 82,464
Dell International, LLC bank term loan FRN Ser. B2, 4s, 2020 409,045 408,636
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 202,049 193,209
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 488,519 366,390
iHeartCommunications, Inc. bank term loan FRN Ser. D, 7.189s, 2019 743,000 553,303
Jeld-Wen, Inc. bank term loan FRN 5 1/4s, 2021 363,161 362,821
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 238,800 238,576
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term loan FRN Ser. B , 6s, 2022 180,000 173,100
MEG Energy Corp. bank term loan FRN Ser. B, 3 3/4s, 2020 (Canada) 200,000 176,667
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 374,063 352,866
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 663,481 631,017
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 181,763 172,258
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 280,013 276,862
PET Acquisition Merger Sub, LLC bank term loan FRN Ser. B1, 5 3/4s, 2023 339,150 340,906
ROC Finance, LLC bank term loan FRN 5s, 2019 590,187 560,678
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 134,913 125,132
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 265,501 256,872
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.918s, 2017 1,053,286 359,434
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.918s, 2017 10,810 3,689
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 236,196 229,504
Total senior loans (cost $11,308,346) $9,756,487

PURCHASED SWAP OPTIONS OUTSTANDING (0.5%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
(1.88)/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.88 $91,386,200 $396,616
1.55/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.55 91,386,200 367,373
Barclays Bank PLC
(1.809)/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.809 91,386,200 594,924
1.481/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.481 91,386,200 244,915
Citibank, N.A.
(2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 87,981,400 88
Credit Suisse International
(2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 9,241,300 181,943
(3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 9,241,300 71,093
Goldman Sachs International
(1.835)/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.835 91,386,200 594,010
1.4825/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.4825 91,386,200 293,350
(1.82)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.82 46,677,200 31,741
(1.306)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.306 46,677,200 29,873
(2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 87,981,400 88
JPMorgan Chase Bank N.A.
(1.15)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.15 46,677,200 55,079
0.8725/3 month USD-LIBOR-BBA/Jul-17 Jul-16/0.8725 46,677,200 48,078
Total purchased swap options outstanding (cost $4,701,572) $2,909,171

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/$101.52 $23,000,000 $132,710
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/101.39 23,000,000 122,360
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/101.98 23,000,000 132,710
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/102.03 21,000,000 125,580
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/101.16 32,000,000 39,360
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/101.30 21,000,000 30,870
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.91 32,000,000 28,480
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/101.22 21,000,000 27,930
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/101.11 21,000,000 24,360
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.84 21,000,000 17,220
Total purchased options outstanding (cost $2,022,191) $681,580

PREFERRED STOCKS (0.1%)(a)
Shares Value
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP 16,265 $407,764
M/I Homes, Inc. Ser. A, $2.438 pfd. 7,770 194,328
Total preferred stocks (cost $571,359) $602,092

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $230,000 $236,613
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 156,000 106,080
Total convertible bonds and notes (cost $355,523) $342,693

COMMON STOCKS (—%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 22,950 $230
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 22,950 230
Tribune Media Co. Class 1C(F) 92,963 23,241
Total common stocks (cost $149,872) $23,701

SHORT-TERM INVESTMENTS (9.7%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.44%(AFF) Shares 34,089,948 $34,089,948
U.S. Treasury Bills 0.17%, July 7, 2016 501,000 500,848
U.S. Treasury Bills 0.25%, May 19, 2016(SEG)(SEGSF)(SEGCCS) 8,398,000 8,397,387
U.S. Treasury Bills 0.25%, May 12, 2016(SEG)(SEGSF)(SEGCCS) 5,976,000 5,975,761
U.S. Treasury Bills 0.19%, May 5, 2016(SEG)(SEGSF)(SEGCCS) 8,067,000 8,066,919
Total short-term investments (cost $57,030,158) $57,030,863

TOTAL INVESTMENTS
Total investments (cost $908,392,133)(b) $868,762,948













FORWARD CURRENCY CONTRACTS at 4/30/16 (aggregate face value $330,267,054) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/21/16 $4,213,709 $4,199,851 $13,858
British Pound Sell 6/15/16 47,347 69,876 22,529
Canadian Dollar Sell 7/21/16 3,619,380 3,519,130 (100,250)
Chilean Peso Sell 7/21/16 533,908 522,613 (11,295)
Czech Koruna Sell 6/15/16 308,707 190,628 (118,079)
Euro Buy 6/15/16 5,967,427 5,921,010 46,417
Euro Sell 6/15/16 5,986,804 5,809,454 (177,350)
Hong Kong Dollar Sell 5/18/16 2,960,255 2,941,978 (18,277)
Japanese Yen Sell 5/18/16 3,147,668 2,944,149 (203,519)
New Zealand Dollar Buy 7/21/16 8,049,479 7,912,874 136,605
Norwegian Krone Buy 6/15/16 2,954,352 2,931,581 22,771
South Korean Won Buy 5/18/16 3,078,859 2,906,379 172,480
South Korean Won Sell 5/18/16 3,078,859 2,839,293 (239,566)
Swedish Krona Buy 6/15/16 1,385,409 1,332,596 52,813
Barclays Bank PLC
Australian Dollar Sell 7/21/16 77,077 12,489 (64,588)
Canadian Dollar Sell 7/21/16 3,542,230 3,437,374 (104,856)
Euro Buy 6/15/16 2,918,821 2,923,276 (4,455)
Japanese Yen Sell 5/18/16 6,126,774 5,863,487 (263,287)
New Zealand Dollar Sell 7/21/16 1,484,151 1,458,491 (25,660)
Norwegian Krone Sell 6/15/16 7,738,934 7,287,926 (451,008)
Swedish Krona Buy 6/15/16 6,095,290 5,797,806 297,484
Swiss Franc Buy 6/15/16 265,785 254,993 10,792
Citibank, N.A.
Brazilian Real Sell 7/1/16 116,786 110,187 (6,599)
British Pound Buy 6/15/16 5,017,859 4,885,449 132,410
Canadian Dollar Sell 7/21/16 1,025,034 905,906 (119,128)
Euro Sell 6/15/16 92,295 24,140 (68,155)
Mexican Peso Sell 7/21/16 804,604 791,098 (13,506)
New Zealand Dollar Buy 7/21/16 8,062,622 7,912,534 150,088
Singapore Dollar Buy 5/18/16 6,413,780 6,195,616 218,164
Singapore Dollar Sell 5/18/16 6,413,780 6,143,478 (270,302)
South Korean Won Buy 5/18/16 3,118,111 2,946,616 171,495
South Korean Won Sell 5/18/16 3,118,111 2,972,063 (146,048)
Credit Suisse International
Australian Dollar Buy 7/21/16 3,008,591 3,053,472 (44,881)
British Pound Sell 6/15/16 2,989,117 2,920,360 (68,757)
Canadian Dollar Sell 7/21/16 3,383,624 3,243,042 (140,582)
Euro Sell 6/15/16 2,949,777 2,800,750 (149,027)
Hong Kong Dollar Sell 5/18/16 2,236,295 2,210,479 (25,816)
Japanese Yen Buy 5/18/16 3,061,074 2,873,275 187,799
Japanese Yen Sell 5/18/16 3,061,074 2,999,954 (61,120)
New Taiwan Dollar Buy 5/18/16 2,910,559 2,869,782 40,777
New Taiwan Dollar Sell 5/18/16 2,910,559 2,814,749 (95,810)
New Zealand Dollar Buy 7/21/16 3,119,207 3,063,057 56,150
Norwegian Krone Sell 6/15/16 9,829,962 9,427,307 (402,655)
Deutsche Bank AG
Japanese Yen Buy 5/18/16 3,064,174 2,916,287 147,887
Japanese Yen Sell 5/18/16 3,064,174 2,701,029 (363,145)
Goldman Sachs International
Australian Dollar Buy 7/21/16 7,758,657 7,772,194 (13,537)
British Pound Sell 6/15/16 2,535,964 2,527,493 (8,471)
Canadian Dollar Buy 7/21/16 3,005,842 2,763,180 242,662
Euro Sell 6/15/16 2,995,867 2,888,253 (107,614)
Japanese Yen Sell 5/18/16 252,204 26,437 (225,767)
New Zealand Dollar Sell 7/21/16 1,085,540 1,140,849 55,309
Norwegian Krone Buy 6/15/16 2,857,051 2,809,177 47,874
Singapore Dollar Buy 5/18/16 22,745 22,644 101
Singapore Dollar Sell 5/18/16 22,745 21,432 (1,313)
South Korean Won Buy 5/18/16 3,065,604 2,923,155 142,449
South Korean Won Sell 5/18/16 3,065,604 2,890,586 (175,018)
Swedish Krona Buy 6/15/16 29,595 183,895 (154,300)
HSBC Bank USA, National Association
Canadian Dollar Sell 7/21/16 2,671,895 2,558,078 (113,817)
Euro Sell 6/15/16 5,874,215 5,554,326 (319,889)
Hong Kong Dollar Sell 5/18/16 2,956,439 2,938,487 (17,952)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/21/16 3,073,466 3,112,018 (38,552)
British Pound Sell 6/15/16 2,575,565 2,512,212 (63,353)
Canadian Dollar Buy 7/21/16 1,336,744 1,317,127 19,617
Euro Sell 6/15/16 4,446,334 4,232,100 (214,234)
Hong Kong Dollar Sell 5/18/16 3,024,388 3,015,685 (8,703)
Japanese Yen Sell 5/18/16 2,926,799 2,683,046 (243,753)
New Zealand Dollar Buy 7/21/16 4,629,297 4,592,914 36,383
Norwegian Krone Sell 6/15/16 3,342,175 2,889,028 (453,147)
Singapore Dollar Buy 5/18/16 3,265,574 3,121,422 144,152
Singapore Dollar Sell 5/18/16 3,265,574 3,076,972 (188,602)
South Korean Won Buy 5/18/16 3,217,376 3,041,114 176,262
South Korean Won Sell 5/18/16 3,217,376 3,041,180 (176,196)
Swedish Krona Sell 6/15/16 10,688,261 10,628,111 (60,150)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 7/21/16 5,575,559 5,609,434 (33,875)
British Pound Buy 6/15/16 147,446 117,096 30,350
Canadian Dollar Sell 7/21/16 5,088,030 4,967,036 (120,994)
Euro Sell 6/15/16 2,994,720 2,620,885 (373,835)
Japanese Yen Buy 5/18/16 3,274,568 2,886,806 387,762
Japanese Yen Sell 5/18/16 3,274,568 3,110,309 (164,259)
New Zealand Dollar Sell 7/21/16 8,008,797 7,882,366 (126,431)
Norwegian Krone Sell 6/15/16 6,259,225 5,764,187 (495,038)
Swedish Krona Buy 6/15/16 6,228,586 6,146,729 81,857
State Street Bank and Trust Co.
Australian Dollar Buy 7/21/16 2,831,396 2,905,645 (74,249)
Brazilian Real Sell 7/1/16 1,744,170 1,664,545 (79,625)
Canadian Dollar Buy 7/21/16 4,435,757 4,369,679 66,078
Euro Sell 6/15/16 3,084,035 2,907,004 (177,031)
New Taiwan Dollar Buy 5/18/16 2,956,668 2,917,477 39,191
New Taiwan Dollar Sell 5/18/16 2,956,668 2,858,473 (98,195)
South Korean Won Buy 5/18/16 6,355,087 5,996,585 358,502
South Korean Won Sell 5/18/16 6,355,087 5,959,087 (396,000)
UBS AG
Australian Dollar Sell 7/21/16 386,599 387,309 710
British Pound Buy 6/15/16 1,598,531 1,591,397 7,134
Canadian Dollar Sell 7/21/16 3,463,565 3,350,772 (112,793)
Euro Buy 6/15/16 5,721,842 5,668,757 53,085
Japanese Yen Buy 5/18/16 3,038,144 2,977,904 60,240
Japanese Yen Sell 5/18/16 3,038,144 2,906,046 (132,098)
New Taiwan Dollar Buy 5/18/16 2,910,559 2,871,793 38,766
New Taiwan Dollar Sell 5/18/16 2,910,559 2,827,766 (82,793)
New Zealand Dollar Buy 7/21/16 2,942,920 2,889,245 53,675
WestPac Banking Corp.
Canadian Dollar Buy 7/21/16 2,680,981 2,567,329 113,652
New Zealand Dollar Buy 7/21/16 1,431,439 1,404,394 27,045
Total $(4,745,930)












FUTURES CONTRACTS OUTSTANDING at 4/30/16 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
U.S. Treasury Bond 30 yr (Short) 22 $3,592,875             Jun-16 $(11,888)
U.S. Treasury Bond Ultra 30 yr (Long) 45 7,710,469             Jun-16 (190,668)
U.S. Treasury Note 10 yr (Short) 209 27,183,063             Jun-16 255,600
U.S. Treasury Note Ultra 10 yr (Short) 24 3,373,500             Jun-16 (26,641)
Total $26,403












WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/16 (premiums $9,341,919) (Unaudited)


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

Bank of America N.A.
   (1.715)/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.715 $45,693,100 $435,455
   1.715/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.715 45,693,100 479,321

Barclays Bank PLC
   (1.645)/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.645 45,693,100 307,971
   1.645/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.645 45,693,100 653,868

Citibank, N.A.
   2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587 87,981,400 88
   2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387 87,981,400 88

Credit Suisse International
   2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 9,241,300 407,264

Goldman Sachs International
   2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625 175,962,800 176
   (1.215)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.215 46,677,200 27,540
   (0.901)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/0.901 46,677,200 28,940
   (1.65875)/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.65875 45,693,100 360,519
   1.65875/3 month USD-LIBOR-BBA/Jun-26 Jun-16/1.65875 45,693,100 662,093

JPMorgan Chase Bank N.A.
   1.41/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.41 46,677,200 19,138
   1.28/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.28 46,677,200 33,608
   (1.0025)/3 month USD-LIBOR-BBA/Jul-17 Jul-16/1.0025 46,677,200 45,277
   (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 26,070,000 2,701,190
Total $6,162,536












WRITTEN OPTIONS OUTSTANDING at 4/30/16 (premiums $2,022,188) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/$100.80 $23,000,000 $81,650
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/100.68 23,000,000 74,520
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/100.09 23,000,000 48,530
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Aug-16/99.97 23,000,000 44,160
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/101.36 23,000,000 80,500
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/101.39 21,000,000 75,390
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/100.73 23,000,000 46,920
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-16/100.73 21,000,000 42,840
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.45 32,000,000 15,360
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.63 21,000,000 12,810
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.56 21,000,000 11,760
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.20 32,000,000 10,880
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.44 21,000,000 9,870
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/100.19 21,000,000 6,930
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/99.75 32,000,000 5,760
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/99.95 21,000,000 5,040
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/99.91 21,000,000 4,830
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/99.50 32,000,000 4,160
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/99.77 21,000,000 3,780
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jun-16/99.53 21,000,000 2,730
Total $588,420













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/16 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

JPMorgan Chase Bank N.A.
2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 $11,591,775 $(284,033) $202,276
2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 11,591,775 (294,535) 137,131
1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 21,148,700 (139,835) (11,632)
1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 42,297,400 (297,139) (39,337)
(3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 11,591,775 (308,434) (283,883)
(3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 11,591,775 (324,570) (304,864)
2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 50,772,000 336,365 332,558
2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 50,772,000 324,570 319,356
(1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 42,297,400 129,515 (36,376)
(1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 84,594,800 270,703 (62,600)
(1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 50,772,000 292,310 (237,105)
(1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 50,772,000 289,400 (315,802)
Total $(5,683) $(300,278)












TBA SALE COMMITMENTS OUTSTANDING at 4/30/16 (proceeds receivable $51,148,672) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3 1/2s, May 1, 2046 $49,000,000       5/12/16 $51,361,952
Total $51,361,952















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/16 (Unaudited)
Upfront     Payments Payments
Swap counterparty/ premium     Termination made by received by Unrealized
Notional amount received (paid)     date fund per annum fund per annum appreciation
JPMorgan Chase Bank N.A.
MXN 84,723,000 $—      1/1/26 1 month MXN-TIIE-BANXICO 6.16% $44,524
MXN 51,234,000 —      1/2/26 1 month MXN-TIIE-BANXICO 6.14% 21,985
Total$—     $66,509













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/16 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$103,178,300 $(130,392)     4/7/18 3 month USD-LIBOR-BBA 1.149% $390,686
48,366,900 628,132      3/30/26 1.91% 3 month USD-LIBOR-BBA (408,660)
15,768,000 (E) (117,799)     6/15/26 1.60% 3 month USD-LIBOR-BBA 64,353
246,538,082 (E) 519,706      6/15/18 3 month USD-LIBOR-BBA 0.85% 48,079
13,888,000 (E) (12,806)     6/15/21 3 month USD-LIBOR-BBA 1.15% (100,939)
18,222,400 (241)     3/16/26 3 month USD-LIBOR-BBA 1.79701% 206,986
299,744,600 (E) 673,794      6/15/18 1.20% 3 month USD-LIBOR-BBA (834,522)
62,264,956 (E) 436,787      6/15/26 1.85% 3 month USD-LIBOR-BBA (311,887)
49,090,300 (E) 345,780      6/15/26 1.90% 3 month USD-LIBOR-BBA (475,944)
14,253,000 (E) 10,901      6/15/21 3 month USD-LIBOR-BBA 1.45% 129,457
25,025,900 (E) 6,839      6/15/21 1.45% 3 month USD-LIBOR-BBA (201,327)
13,300,900 (176)     3/17/26 1.787% 3 month USD-LIBOR-BBA (138,102)
18,222,400 (241)     3/16/26 3 month USD-LIBOR-BBA 1.79882% 210,107
18,222,400 (241)     3/16/26 3 month USD-LIBOR-BBA 1.8005% 213,006
18,222,400 (241)     3/16/26 3 month USD-LIBOR-BBA 1.80312% 217,530
18,222,400 (241)     3/16/26 3 month USD-LIBOR-BBA 1.80242% 216,311
69,808,126 (E) (97,817)     6/15/21 3 month USD-LIBOR-BBA 1.40% 312,236
8,886,400 (E) 42,818      6/15/46 3 month USD-LIBOR-BBA 2.20% 26,831
502,400 (E) (3,425)     6/15/46 3 month USD-LIBOR-BBA 2.25% 1,559
870,600 (30)     4/5/46 2.2375% 3 month USD-LIBOR-BBA (9,042)
7,255,000 162,120      4/5/46 2.27% 3 month USD-LIBOR-BBA 31,551
7,255,000 (95,094)     4/5/46 3 month USD-LIBOR-BBA 2.19% (101,055)
23,700,000 (313)     3/18/26 1.78722% 3 month USD-LIBOR-BBA (245,625)
23,700,000 (313)     3/18/26 1.79757% 3 month USD-LIBOR-BBA (268,860)
12,518,200 (165)     3/21/26 1.7325% 3 month USD-LIBOR-BBA (63,257)
12,518,200 (165)     3/21/26 1.73% 3 month USD-LIBOR-BBA (60,293)
8,259,000 (E) (121,267)     6/15/26 1.605% 3 month USD-LIBOR-BBA (29,757)
29,796,000 (E) 185,739      6/15/21 1.4003% 3 month USD-LIBOR-BBA 10,271
2,902,000 (38)     3/30/26 1.73% 3 month USD-LIBOR-BBA (12,827)
8,945,300 (84)     4/14/21 1.152% 3 month USD-LIBOR-BBA 38,249
3,410,000 (E) 59,274      6/15/26 3 month USD-LIBOR-BBA 1.6005% 20,046
48,125,100 (347)     4/21/26 3 month USD-LIBOR-BBA 1.595% (453,458)
AUD 127,329,000 (E) (101,619)     6/15/18 3 month AUD-BBR-BBSW 1.93% (220,507)
AUD 66,000 (E) (252)     6/15/26 3 month AUD-BBR-BBSW 2.55% (689)
AUD 44,514,000 (E) 107,177      6/15/21 2.25% 3 month AUD-BBR-BBSW 258,165
AUD 23,226,000 (E) (49,468)     6/15/21 3 month AUD-BBR-BBSW 2.50% 81,446
AUD 12,296,000 (E) (1,396)     6/15/18 2.20% 3 month AUD-BBR-BBSW (39,345)
AUD 5,292,000 (E) 7,017      6/15/26 2.80% 3 month AUD-BBR-BBSW (48,157)
AUD 55,529,000 (E) 43,856      6/15/18 2.2001% 3 month AUD-BBR-BBSW (127,563)
AUD 10,123,000 (E) 100,833      6/15/26 2.8005% 3 month AUD-BBR-BBSW (5,055)
CAD 86,200,000 (129,301)     6/17/17 3 month CAD-BA-CDOR 0.92% (184,389)
CAD 43,100,000 (122)     8/27/17 3 month CAD-BA-CDOR 0.6825% (160,101)
CAD 35,385,000 (101)     10/23/17 3 month CAD-BA-CDOR 0.81% (88,973)
CAD 36,635,000 (104)     10/23/17 3 month CAD-BA-CDOR 0.805% (94,272)
CAD 36,480,000 300,857      11/2/25 1.965% 3 month CAD-BA-CDOR (692,524)
CAD 38,516,000 (103)     2/2/18 0.68% 3 month CAD-BA-CDOR 198,251
CAD 10,144,000 (95)     2/2/26 3 month CAD-BA-CDOR 1.5125% (100,672)
CAD 8,117,000 (76)     2/2/26 3 month CAD-BA-CDOR 1.505% (85,183)
CAD 48,126,000 (128)     2/2/18 0.675% 3 month CAD-BA-CDOR 251,534
CAD 208,258,000 (E) 34,155      6/15/18 3 month CAD-BA-CDOR 0.75% (944,808)
CAD 36,239,000 (E) 17,099      6/15/21 0.90% 3 month CAD-BA-CDOR 438,641
CAD 17,190,000 (E) (139,648)     6/15/26 1.40% 3 month CAD-BA-CDOR 262,708
CAD 27,433,900 (E) (3,311)     6/15/18 0.90% 3 month CAD-BA-CDOR 60,556
CAD 30,112,000 (85)     3/11/18 0.89% 3 month CAD-BA-CDOR 60,988
CAD 24,845,000 (E) 124,255      6/15/21 3 month CAD-BA-CDOR 0.9003% (164,472)
CAD 11,388,000 (E) (1,734)     6/15/18 0.8501% 3 month CAD-BA-CDOR 33,773
CHF 11,584,000 (E) (35,185)     6/15/26 6 month CHF-LIBOR-BBA 0.15% 65,441
CHF 36,760,000 (E) (31,385)     6/15/18 0.90% 6 month CHF-LIBOR-BBA (193,937)
CHF 38,790,000 (E) (123,153)     6/15/21 6 month CHF-LIBOR-BBA 0.65% 137,697
CHF 7,387,000 (E) (29)     6/15/18 6 month CHF-LIBOR-BBA 0.7425% 8,095
CHF 38,690,000 (E) 63,542      6/15/18 6 month CHF-LIBOR-BBA 0.6503% 30,873
CHF 7,338,000 (E) (17)     6/15/18 6 month CHF-LIBOR-BBA 0.748% 8,910
CHF 2,785,000 (E) (6,800)     6/15/26 6 month CHF-LIBOR-BBA 0.1505% 17,543
EUR 57,530,000 (E) (173,757)     6/15/21 0.00% 6 month EUR-EURIBOR-REUTERS 138,423
EUR 26,817,000 (E) 391,943      6/15/26 6 month EUR-EURIBOR-REUTERS 0.50% (170,820)
EUR 23,514,000 (E) (59,965)     6/15/21 6 month EUR-EURIBOR-REUTERS 0.10% (51,699)
EUR 12,477,000 (E) (44,222)     6/15/26 0.60% 6 month EUR-EURIBOR-REUTERS 75,359
EUR 18,331,000 (E) (245,918)     6/15/26 0.5005% 6 month EUR-EURIBOR-REUTERS 137,713
GBP 70,667,000 (E) (140,427)     6/15/18 0.75% 6 month GBP-LIBOR-BBA 150,441
GBP 23,248,000 (E) (108,206)     6/15/21 0.975% 6 month GBP-LIBOR-BBA 194,386
GBP 2,832,000 (E) 80,924      6/15/26 6 month GBP-LIBOR-BBA 1.40% 11,497
GBP 38,000 (E) (129)     6/15/18 0.70% 6 month GBP-LIBOR-BBA 82
GBP 29,966,000 (E) (14,883)     6/15/18 6 month GBP-LIBOR-BBA 0.90% (7,746)
GBP 18,466,000 (E) 31,541      6/15/18 6 month GBP-LIBOR-BBA 0.7501% (44,412)
GBP 68,000 (E) 559      6/15/26 6 month GBP-LIBOR-BBA 1.4005% (1,103)
JPY 293,484,000 (43)     11/13/45 6 month JPY-LIBOR-BBA 1.32125% 577,765
JPY 375,884,000 (90)     11/26/35 6 month JPY-LIBOR-BBA 1.09% 437,265
JPY 293,484,000 (44)     1/5/46 1.22015% 6 month JPY-LIBOR-BBA (494,725)
JPY 375,884,000 (100)     1/5/36 1.00875% 6 month JPY-LIBOR-BBA (377,608)
JPY 1,898,052,000 (E) (159)     6/15/21 0.065% 6 month JPY-LIBOR-BBA (9,381)
JPY 336,295,000 (E) (102)     6/15/46 0.6725% 6 month JPY-LIBOR-BBA (60,167)
NOK 475,772,000 (E) (20,448)     6/15/18 6 month NOK-NIBOR-NIBR 0.80% (227,376)
NOK 95,309,000 (E) 70,447      6/15/26 6 month NOK-NIBOR-NIBR 1.55% (111,486)
NOK 46,993,000 (E) (12,925)     6/15/21 1.05% 6 month NOK-NIBOR-NIBR 38,826
NOK 21,054,000 (33)     3/10/26 1.56% 6 month NOK-NIBOR-NIBR 29,627
NOK 28,683,000 (45)     3/17/26 1.60% 6 month NOK-NIBOR-NIBR 27,341
NOK 122,344,000 (E) (87,054)     6/15/18 0.70% 6 month NOK-NIBOR-NIBR (3,925)
NOK 22,786,000 (E) 27,435      6/15/26 1.5505% 6 month NOK-NIBOR-NIBR 70,800
NZD 15,535,000 (E) 20,828      6/15/26 3.10% 3 month NZD-BBR-FRA (64,378)
NZD 21,614,000 (E) 4,837      6/15/18 3 month NZD-BBR-FRA 2.40% 42,204
NZD 66,931,000 (E) (53,993)     6/15/21 2.70% 3 month NZD-BBR-FRA (389,313)
NZD 2,495,000 (E) (10,718)     6/15/21 3 month NZD-BBR-FRA 2.7003% 1,807
NZD 21,427,000 (E) 33,035      6/15/18 2.4001% 3 month NZD-BBR-FRA (4,039)
SEK 137,862,000 (E) 9,767      6/15/21 0.35% 3 month SEK-STIBOR-SIDE 74,265
SEK 84,545,000 (E) 18,407      6/15/26 3 month SEK-STIBOR-SIDE 1.20% (62,174)
SEK 52,469,000 (E) (3,428)     6/15/21 3 month SEK-STIBOR-SIDE 0.3503% (27,877)
SEK 25,597,000 (E) (3,176)     6/15/26 1.2005% 3 month SEK-STIBOR-SIDE 21,068
Total$2,374,991    $(2,893,683)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/16 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$904,576 $—      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $5,828
328,602 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 305
777,384 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 3,999
795,234 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 737
98,042 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 453
422,408 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,337
1,938,018 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,796
2,736,268 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 6,234
921,390 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (1,810)
1,272,479 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 5,885
766,009 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,543
971,434 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 4,493
1,451,334 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,702
208,262 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 962
3,489,710 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (17,772)
1,329,565 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 7,178
4,811,914 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (32,510)
6,537,848 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,965)
4,310,770 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,597
26,014,596 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,126
14,985,583 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (47,364)
EUR 6,626,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco (48,664)
EUR 3,313,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco (21,456)
EUR 4,713,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco (27,798)
Citibank, N.A.
$1,531,175 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 537
3,483,903 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,222
532,166 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 187
Credit Suisse International
1,161,301 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 407
1,102,209 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,484)
2,030,869 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 9,392
2,136,504 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (10,881)
2,344,957 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (11,942)
2,168,783 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 10,030
1,236,605 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,355
99,109 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 670
93,144 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 547
817,267 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 4,795
1,564,970 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 8,449
431,261 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,328
246,704 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,332
7,256,750 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 49,045
2,602,217 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 17,587
2,566,591 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 15,874
4,307,361 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (29,101)
Deutsche Bank AG
1,102,209 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,484)
Goldman Sachs International
1,134,513 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 5,837
456,590 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2,108
2,244,404 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,460
2,244,404 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,460
698,139 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,207)
262,271 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (829)
544,653 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,802
81,916 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 421
1,458,036 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,714
547,976 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,819
1,095,897 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 5,638
32,846 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 152
492,136 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,555)
956,442 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,023)
590,509 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,866)
45,246 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (143)
120,692 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (381)
5,108,625 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 32,913
4,421,066 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 28,483
3,583,032 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 24,207
3,344,837 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (17,035)
3,949,625 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 23,173
3,128,601 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 18,356
1,651,060 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 9,687
2,582,234 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 17,452
2,679,218 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (14,464)
EUR 23,854,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (254,239)
EUR 7,876,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (83,943)
EUR 6,626,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco (15,478)
EUR 6,626,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco (30,781)
EUR 6,626,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco (80,249)
EUR 3,884,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco (16,099)
JPMorgan Chase Bank N.A.
$6,653,466 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 44,951
3,860,407 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 26,081
1,283,263 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,670
3,583,354 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 24,209
3,344,837 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (17,035)
EUR 3,313,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco (54,009)
EUR 3,313,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco (50,534)
EUR 4,155,000 —      1/27/21 (0.755%) Eurostat Eurozone HICP excluding tobacco (18,465)
EUR 3,418,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco (14,168)
Total$—     $(420,209)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/16 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
     CMBX NA BBB- Index BBB-/P $9,980 $146,000 5/11/63 300 bp $1,585
     CMBX NA BBB- Index BBB-/P 19,586 325,000 5/11/63 300 bp 898
     CMBX NA BBB- Index BBB-/P 40,127 650,000 5/11/63 300 bp 2,752
     CMBX NA BBB- Index BBB-/P 38,247 671,000 5/11/63 300 bp (336)
Credit Suisse International
     CMBX NA BB Index — (104,332) 5,911,000 5/11/63 (500 bp) 433,488
     CMBX NA BB Index — (3,146) 324,000 1/17/47 (500 bp) 42,981
     CMBX NA BBB- Index BBB-/P 29,907 2,066,000 5/11/63 300 bp (88,888)
     CMBX NA BBB- Index BBB-/P 43,853 3,339,000 5/11/63 300 bp (147,665)
     CMBX NA BBB- Index BBB-/P 307,478 8,639,000 1/17/47 300 bp (399,193)
     CMBX NA BBB- Index BBB-/P 901,616 12,069,000 1/17/47 300 bp (85,628)
     CMBX NA BBB- Index BBB-/P 861,633 25,120,000 1/17/47 300 bp (1,193,183)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P (2,269) 328,000 5/11/63 300 bp (21,129)
     CMBX NA BBB- Index BBB-/P 1,834 68,000 1/17/47 300 bp (3,729)
     CMBX NA BBB- Index BBB-/P 1,683 169,000 1/17/47 300 bp (12,141)
     CMBX NA BBB- Index BBB-/P 678 190,000 1/17/47 300 bp (14,864)
     CMBX NA BBB- Index BBB-/P 681 191,000 1/17/47 300 bp (14,942)
     CMBX NA BBB- Index BBB-/P 1,714 401,000 1/17/47 300 bp (31,088)
     CMBX NA BBB- Index BBB-/P 1,430 401,000 1/17/47 300 bp (31,372)
     CMBX NA BBB- Index BBB-/P 1,430 401,000 1/17/47 300 bp (31,372)
     CMBX NA BBB- Index BBB-/P 2,668 680,000 1/17/47 300 bp (52,956)
     CMBX NA BB Index — (7,082) 828,000 5/11/63 (500 bp) 68,321
     CMBX NA BB Index — (5,185) 489,000 5/11/63 (500 bp) 39,346
     CMBX NA BB Index — (2,651) 276,000 5/11/63 (500 bp) 22,484
     CMBX NA BB Index — 5,834 258,000 5/11/63 (500 bp) 29,329
     CMBX NA BB Index — 1,936 115,000 5/11/63 (500 bp) 12,408
     CMBX NA BB Index — 861 84,000 5/11/63 (500 bp) 8,511
     CMBX NA BB Index — 100 82,000 5/11/63 (500 bp) 7,567
     CMBX NA BB Index — (3,352) 324,000 1/17/47 (500 bp) 42,775
     CMBX NA BB Index — (299) 150,000 1/17/47 (500 bp) 21,056
     CMBX NA BBB- Index BBB-/P 583 51,000 5/11/63 300 bp (2,350)
     CMBX NA BBB- Index BBB-/P (206) 77,000 5/11/63 300 bp (4,633)
     CMBX NA BBB- Index BBB-/P (514) 128,000 5/11/63 300 bp (7,874)
     CMBX NA BBB- Index BBB-/P (1,365) 170,000 5/11/63 300 bp (11,140)
     CMBX NA BBB- Index BBB-/P (1,815) 181,000 5/11/63 300 bp (12,223)
     CMBX NA BBB- Index BBB-/P (3,299) 198,000 5/11/63 300 bp (14,684)
     CMBX NA BBB- Index BBB-/P (2,967) 272,000 5/11/63 300 bp (18,607)
     CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp (35,790)
     CMBX NA BBB- Index BBB-/P 14,507 349,000 1/17/47 300 bp (14,041)
     CMBX NA BBB- Index BBB-/P 17,607 408,000 1/17/47 300 bp (15,767)
     CMBX NA BBB- Index BBB-/P 16,424 408,000 1/17/47 300 bp (16,950)
     CMBX NA BBB- Index BBB-/P 16,424 408,000 1/17/47 300 bp (16,950)
     CMBX NA BBB- Index BBB-/P 9,570 454,000 1/17/47 300 bp (27,567)
     CMBX NA BBB- Index BBB-/P 13,682 457,000 1/17/47 300 bp (23,700)
     CMBX NA BBB- Index BBB-/P 23,756 575,000 1/17/47 300 bp (23,279)
     CMBX NA BBB- Index BBB-/P 89,605 646,000 1/17/47 300 bp 36,763
     CMBX NA BBB- Index BBB-/P 21,210 700,000 1/17/47 300 bp (36,050)
     CMBX NA BBB- Index BBB-/P 25,565 863,000 1/17/47 300 bp (45,028)
     CMBX NA BBB- Index BBB-/P 243,349 1,223,000 1/17/47 300 bp 143,307
     CMBX NA BBB- Index BBB-/P 45,151 1,417,000 1/17/47 300 bp (70,760)
     CMBX NA BBB- Index BBB-/P 66,630 2,152,000 1/17/47 300 bp (109,403)
JPMorgan Securities LLC
     CMBX NA BBB- Index — (20,586) 323,000 5/11/63 (300 bp) (2,013)
     CMBX NA BBB- Index BBB-/P 25,838 467,000 1/17/47 300 bp (12,362)
     CMBX NA BBB- Index BBB-/P 21,709 856,000 1/17/47 300 bp (48,312)
     CMBX NA BBB- Index BBB-/P 49,261 934,000 1/17/47 300 bp (27,140)
     CMBX NA BBB- Index BBB-/P 24,809 949,000 1/17/47 300 bp (52,819)
Total$2,834,573$(1,864,357)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at April 30, 2016. Securities rated by Putnam are indicated by "/P."   










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PJSC Public Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2015 through April 30, 2016 (the reporting period). Within the following notes to the portfolio, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $587,258,419.
(b) The aggregate identified cost on a tax basis is $920,243,374, resulting in gross unrealized appreciation and depreciation of $5,485,095 and $56,965,521, respectively, or net unrealized depreciation of $51,480,426.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $28,926,448 $169,830,704 $164,667,204 $46,251 $34,089,948
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $328,270,193 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 86.4%
Greece 2.9
Russia 2.0
Venezuela 1.4
Argentina 1.3
Canada 0.8
Brazil 0.8
Mexico 0.6
Luxembourg 0.6
Indonesia 0.5
Other 2.7
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $13,450,017 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $11,580,333 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $23,241
    Energy — — 460
Total common stocks — — 23,701
Convertible bonds and notes — 342,693 —
Corporate bonds and notes — 189,309,592 10
Foreign government and agency bonds and notes — 54,571,180 —
Mortgage-backed securities — 269,788,698 17,385,051
Preferred stocks 407,764 194,328 —
Purchased options outstanding — 681,580 —
Purchased swap options outstanding — 2,909,171 —
Senior loans — 9,756,487 —
U.S. government and agency mortgage obligations — 266,361,830 —
Short-term investments 34,089,948 22,940,915 —
Totals by level $34,497,712 $816,856,474 $17,408,762



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(4,745,930) $—
Futures contracts 26,403 — —
Written options outstanding — (588,420) —
Written swap options outstanding — (6,162,536) —
Forward premium swap option contracts — (300,278) —
TBA sale commitments — (51,361,952) —
Interest rate swap contracts — (5,202,165) —
Total return swap contracts — (420,209) —
Credit default contracts — (4,698,930) —
Totals by level $26,403 $(73,480,420) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers between Level 1 and Level 2 within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.

The following is a reconciliation of Level 3 assets as of the close of the reporting period:
Investments in securities: Balance as of July 31, 2015 Accrued discounts/premiums Realized gain/(loss) Change in net unrealized appreciation/(depreciation) #   Cost of purchases Proceeds from sales Total transfers into Level 3 † Total transfers out of Level 3 † Balance as of April 30, 2016
Common stocks*:                  
Consumer cyclicals  $23,241  $—  $—  $—  $—  $—  $—  $—  $23,241
Energy  1,836  —  —  (1,376)  —  —  —  —  460
Total common stocks  $25,077  $—  $—  $(1,376)  $—  $—  $—  $—  $23,701
Corporate bonds and notes  $13  —  —  (3)  —  —  —  —  $10
Mortgage-backed securities  $7,399,831  (1,101,211)  (66,553)  (142,961)  13,232,226  (1,690,860)  635,300  (880,721)  $17,385,051
 
Totals  $7,424,921  $(1,101,211)  $(66,553)  $(144,340)  $13,232,226  $(1,690,860)  $635,300  $(880,721)  $17,408,762


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
† Transfers during the reporting period are accounted for using the end of period market value and did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
# Includes $44,351 related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.

Level 3 securities which are fair valued by Putnam Management, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $864,155 $5,563,085
Foreign exchange contracts 4,063,375 8,809,305
Interest rate contracts 12,783,204 21,839,658
Total $17,710,734 $36,212,048


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $171,300,000
Purchased swap option contracts (contract amount)$1,458,000,000
Written TBA commitment option contracts (contract amount) $335,100,000
Written swap option contracts (contract amount) $1,592,600,000
Futures contracts (number of contracts) 400
Forward currency contracts (contract amount)$525,300,000
OTC interest rate swap contracts (notional) $76,700,000
Centrally cleared interest rate swap contracts (notional) $3,405,700,000
OTC total return swap contracts (notional) $282,400,000
OTC credit default contracts (notional) $84,000,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  OTC Interest rate swap contracts*#   $—  $—  $—  $—  $—  $—  $—  $—  $66,509  $—  $—  $—  $—  $—  $—    $66,509 
  Centrally cleared interest rate swap contracts§   —  —  1,408,025  —  —  —  —  —  —  —  —  —  —  —  —    1,408,025 
  OTC Total return swap contracts*#   —  68,175  —  1,946  128,811  —  211,682  —  103,911  —  —  —  —  —  —    514,525 
  OTC Credit default contracts*#   —  —  —  —  583,947  —  261,635  —  —  18,573  —  —  —  —  —    864,155 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Forward currency contracts#   467,473  308,276  —  672,157  284,726  147,887  488,395  —  376,414  —  —  499,969  463,771  213,610  140,697    4,063,375 
  Forward premium swap option contracts#   —  —  —  —  —  —  —  —  991,321  —  —  —  —  —  —    991,321 
  Purchased swap options#   763,989  839,839  —  88  253,036  —  949,062  —  103,157  —  —  —  —  —  —    2,909,171 
  Purchased options#   —  —  —  —  —  —  —  —  681,580  —  —  —  —  —  —    681,580 
                                       
  Total Assets   $1,231,462  $1,216,290  $1,408,025  $674,191  $1,250,520  $147,887  $1,910,774  $—  $2,322,892  $18,573  $—  $499,969  $463,771  $213,610  $140,697    $11,498,661 
                                       
  Liabilities:                                    
  OTC Interest rate swap contracts*#   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Centrally cleared interest rate swap contracts§   —  —  1,139,563  —  —  —    —  —  —  —  —  —  —  —    1,139,563 
  OTC Total return swap contracts*#   —  199,339  —  —  55,408  3,484  522,292  —  154,211  —  —  —  —  —  —    934,734 
  OTC Credit default contracts*#   103,041  —  —  —  4,059,044  —  1,138,750  —  —  262,250  —  —  —  —  —    5,563,085 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  12,792  —  —  —  —    12,792 
  Forward currency contracts#   868,336  913,854  —  623,738  988,648  363,145  686,020  451,658  1,446,690  —  —  1,314,432  825,100  327,684  —    8,809,305 
  Forward premium swap option contracts#   —  —  —  —  —  —  —  —  1,291,599  —  —  —  —  —  —    1,291,599 
  Written swap options#   914,776  961,839  —  176  407,264  —  1,079,268  —  2,799,213  —  —  —  —  —  —    6,162,536 
  Written options#   —  —  —  —  —  —  —  —  588,420  —  —  —  —  —  —    588,420 
                                       
  Total Liabilities   $1,886,153  $2,075,032  $1,139,563  $623,914  $5,510,364  $366,629  $3,426,330  $451,658  $6,280,133  $262,250  $12,792  $1,314,432  $825,100  $327,684  $—    $24,502,034 
                                       
  Total Financial and Derivative Net Assets   $(654,691) $(858,742) $268,462  $50,277  $(4,259,844) $(218,742) $(1,515,556) $(451,658) $(3,957,241) $(243,677) $(12,792) $(814,463) $(361,329) $(114,074) $140,697    $(13,003,373)
  Total collateral received (pledged)##†   $(634,949) $(511,965) $—  $—  $(3,960,839) $(186,981) $(1,273,000) $(397,960) $(3,503,750) $(109,989) $—  $(579,942) $(278,972) $(114,074) $—     
  Net amount   $(19,742) $(346,777) $268,462  $50,277  $(299,005) $(31,761) $(242,556) $(53,698) $(453,491) $(133,688) $(12,792) $(234,521) $(82,357) $—  $140,697     
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

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

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

Putnam Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: June 28, 2016

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: June 28, 2016

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 28, 2016