a_premierincometrust.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:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2013
Date of reporting period: April 30, 2013



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/13 (Unaudited)
MORTGAGE-BACKED SECURITIES (42.7%)(a)
Principal amount Value
Agency collateralized mortgage obligations (12.9%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.805s, 2032 $684,532 $1,095,923
     IFB Ser. 3408, Class EK, 24.994s, 2037 248,165 387,158
     IFB Ser. 2979, Class AS, 23.545s, 2034 104,263 133,916
     IFB Ser. 3072, Class SM, 23.068s, 2035 441,388 683,517
     IFB Ser. 3072, Class SB, 22.921s, 2035 395,358 609,925
     IFB Ser. 4098, Class MS, IO, 6.501s, 2041 8,611,857 1,746,485
     IFB Ser. 3727, Class PS, IO, 6.501s, 2038 3,396,437 266,244
     IFB Ser. 3895, Class SM, IO, 6.451s, 2040 8,803,427 1,032,649
     IFB Ser. 4048, Class GS, IO, 6.451s, 2040 4,540,541 792,824
     IFB Ser. 3940, Class PS, IO, 6.451s, 2040 12,164,340 1,524,192
     IFB Ser. 3860, Class SP, IO, 6.401s, 2040 8,700,135 1,227,154
     IFB Ser. 4032, Class SA, IO, 6.301s, 2042 9,590,669 1,325,403
     IFB Ser. 4125, Class SH, IO, 5.951s, 2042 5,431,542 780,947
     IFB Ser. 4112, Class SC, IO, 5.951s, 2042 19,565,923 2,739,229
     IFB Ser. 4105, Class LS, IO, 5.951s, 2041 5,451,254 1,054,763
     IFB Ser. 3922, Class CS, IO, 5.901s, 2041 3,914,548 416,892
     Ser. 3632, Class CI, IO, 5s, 2038 1,427,662 64,702
     Ser. 3626, Class DI, IO, 5s, 2037 692,955 19,403
     Ser. 304, Class C27, IO, 4 1/2s, 2042 13,344,443 1,968,305
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 8,344,151 1,058,038
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 5,137,863 557,972
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 22,148,580 2,431,914
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 10,809,877 1,080,998
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 1,153,424 80,340
     Ser. 4090, Class BI, IO, 4s, 2042 1,577,247 131,842
     Ser. 3748, Class NI, IO, 4s, 2034 4,016,942 80,259
     Ser. 3751, Class MI, IO, 4s, 2034 6,718,955 77,066
     Ser. 3740, Class KI, IO, 4s, 2033 2,481,528 21,143
     Ser. 304, Class C53, IO, 4s, 2032 5,338,828 773,383
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 5,016,524 762,813
     Ser. 304, IO, 3 1/2s, 2027 11,257,141 1,201,362
     Ser. 304, Class C37, IO, 3 1/2s, 2027 8,220,420 945,924
     Ser. 4165, Class TI, IO, 3s, 2042 21,991,740 2,836,934
     Ser. T-57, Class 1AX, IO, 0.404s, 2043 4,950,033 58,267
     Ser. 4077, Class TO, PO, zero %, 2041 3,400,725 2,898,608
     FRB Ser. 3326, Class WF, zero %, 2035 8,853 8,676
     FRB Ser. 3007, Class LU, zero %, 2035 1,854 1,851
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.699s, 2036 503,746 979,262
     IFB Ser. 07-53, Class SP, 23.466s, 2037 383,785 593,127
     IFB Ser. 08-24, Class SP, 22.549s, 2038 371,655 594,648
     IFB Ser. 05-75, Class GS, 19.649s, 2035 393,937 561,865
     IFB Ser. 05-83, Class QP, 16.873s, 2034 470,603 652,045
     IFB Ser. 12-88, Class SB, IO, 6.47s, 2042 12,607,752 1,903,645
     IFB Ser. 10-99, Class NS, IO, 6.4s, 2039 6,886,909 650,882
     IFB Ser. 11-87, Class HS, IO, 6.3s, 2041 6,058,075 915,133
     IFB Ser. 404, Class S13, IO, 6.2s, 2040 8,639,040 1,223,622
     IFB Ser. 10-35, Class SG, IO, 6.2s, 2040 6,803,300 979,811
     IFB Ser. 12-132, Class SB, IO, 6s, 2042 17,662,922 2,684,234
     IFB Ser. 13-19, Class DS, IO, 6s, 2041(F) 10,431,900 2,299,153
     IFB Ser. 09-100, Class SA, IO, 6s, 2039 3,760,907 357,286
     IFB Ser. 13-18, Class SB, IO, 5.95s, 2041 4,646,993 894,546
     IFB Ser. 12-113, Class CS, IO, 5.95s, 2041 3,972,400 724,327
     IFB Ser. 12-113, Class SG, IO, 5.9s, 2042 4,024,275 704,047
     IFB Ser. 10-46, Class WS, IO, 5.55s, 2040 6,250,657 743,891
     Ser. 374, Class 6, IO, 5 1/2s, 2036 1,220,290 147,826
     Ser. 12-132, Class PI, IO, 5s, 2042 10,520,568 1,683,291
     Ser. 398, Class C5, IO, 5s, 2039 801,030 63,842
     Ser. 10-13, Class EI, IO, 5s, 2038 478,629 16,633
     Ser. 378, Class 19, IO, 5s, 2035 3,034,072 310,989
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 22,311,594 2,940,668
     Ser. 409, Class 81, IO, 4 1/2s, 2040 12,361,709 1,469,243
     Ser. 409, Class 82, IO, 4 1/2s, 2040 12,885,276 1,583,923
     Ser. 366, Class 22, IO, 4 1/2s, 2035 1,269,406 94,139
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 5,003,644 460,786
     Ser. 12-118, Class PI, IO, 4s, 2042 8,711,506 1,201,491
     Ser. 12-96, Class PI, IO, 4s, 2041 5,213,997 597,576
     Ser. 406, Class 2, IO, 4s, 2041 5,061,808 583,626
     Ser. 406, Class 1, IO, 4s, 2041 3,428,726 422,762
     Ser. 409, Class C16, IO, 4s, 2040 8,440,297 895,196
     Ser. 13-13, Class PI, IO, 3 1/2s, 2042 5,955,858 1,027,386
     Ser. 12-148, Class CI, IO, 3s, 2042 5,830,950 689,277
     Ser. 13-35, Class IP, IO, 3s, 2042(F) 8,689,028 1,087,054
     Ser. 13-23, Class PI, IO, 3s, 2041 9,250,400 1,047,145
     Ser. 03-W10, Class 1, IO, 1.3s, 2043 871,591 34,625
     Ser. 00-T6, IO, 0.752s, 2030 3,889,594 82,654
     Ser. 99-51, Class N, PO, zero %, 2029 47,836 46,229
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.876s, 2041 6,448,232 7,190,940
     IFB Ser. 10-151, Class SL, IO, 6.501s, 2039 2,811,576 436,919
     IFB Ser. 10-163, Class SI, IO, 6.43s, 2037 8,028,944 1,023,682
     IFB Ser. 10-35, Class CS, IO, 6.271s, 2040 7,574,511 1,287,659
     IFB Ser. 10-26, Class QS, IO, 6.051s, 2040 5,488,121 919,255
     IFB Ser. 10-120, Class SB, IO, 6.001s, 2035 1,429,187 115,736
     IFB Ser. 10-20, Class SC, IO, 5.951s, 2040 5,377,007 896,992
     IFB Ser. 10-158, Class SA, IO, 5.851s, 2040 2,914,837 503,713
     IFB Ser. 10-151, Class SA, 5.851s, 2040 2,896,849 506,746
     IFB Ser. 10-61, Class SJ, IO, 5.85s, 2040 7,741,055 1,198,006
     IFB Ser. 11-70, Class SM, IO, 5.69s, 2041 5,451,000 1,382,810
     IFB Ser. 11-70, Class SH, IO, 5.69s, 2041 5,599,000 1,437,711
     IFB Ser. 10-37, Class SG, IO, 5.501s, 2040 5,984,841 930,284
     IFB Ser. 10-115, Class BS, IO, 5.201s, 2040 9,616,934 1,398,110
     Ser. 13-22, Class OI, IO, 5s, 2043 8,089,808 1,272,233
     Ser. 13-3, Class IT, IO, 5s, 2043 7,216,181 1,134,843
     Ser. 13-6, Class IC, IO, 5s, 2043 7,011,081 1,103,895
     Ser. 12-146, Class IO, IO, 5s, 2042 6,761,535 990,632
     Ser. 13-6, Class CI, IO, 5s, 2042 4,697,112 798,744
     Ser. 10-35, Class UI, IO, 5s, 2040 3,928,791 625,372
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 2,543,966 414,285
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 3,384,482 283,315
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 875,430 131,927
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 29,754,918 4,617,161
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 3,281,519 355,159
     Ser. 11-73, Class IP, IO, 4 1/2s, 2039 8,782,657 886,491
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 10,087,328 1,105,369
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 4,147,085 404,507
     Ser. 11-70, PO, zero %, 2041 10,490,850 8,923,412
     Ser. 06-36, Class OD, PO, zero %, 2036 15,672 14,441
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 5.98s, 2045 6,209,719 1,187,609
110,302,864
Commercial mortgage-backed securities (12.5%)
Banc of America Commercial Mortgage, Inc.
     FRB Ser. 06-2, Class B, 5.954s, 2045 5,425,000 5,212,340
     FRB Ser. 05-5, Class D, 5.404s, 2045 1,456,000 1,437,218
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 33,243 29,254
     Ser. 01-1, Class K, 6 1/8s, 2036 672,088 291,573
     Ser. 07-5, Class XW, IO, 0.531s, 2051 185,899,535 2,157,178
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-PW17, Class AJ, 6.082s, 2050 2,724,000 2,696,760
     FRB Ser. 06-PW12, Class AJ, 5.949s, 2038 1,500,000 1,563,219
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 953,051
     FRB Ser. 05-T20, Class C, 5.298s, 2042 1,518,000 1,467,906
     Ser. 05-PWR7, Class B, 5.214s, 2041 1,641,000 1,713,494
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.934s, 2049 3,117,000 3,280,128
     Ser. 06-C5, Class AJ, 5.482s, 2049 2,069,000 2,084,768
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class D, 5.041s, 2045 917,000 987,242
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.059s, 2044(F) 57,980,594 254,087
Comm Mortgage Trust 144A FRB Ser. 13-LC6, Class D, 4.434s, 2046(F) 1,605,000 1,504,777
Commercial Mortgage Trust
     Ser. 07-C9, Class AJ, 5.65s, 2049 1,048,000 1,142,320
     Pass-Through Cerficiates, FRB Ser. 04-LB3A, Class E, 5.524s, 2037 1,522,000 1,555,332
Commercial Mortgage Trust 144A
     FRB Ser. 13-CR6, Class D, 4.316s, 2046(F) 1,187,000 1,061,588
     FRB Ser. 07-C9, Class AJFL, 0.89s, 2049 4,042,000 3,450,251
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (Ireland) GBP 271,323 375,098
     FRB Ser. 05-CT1A, Class D, 1.578s, 2014 (Ireland) GBP 868,987 1,133,866
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)(F) $1,041,948 42,720
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 654,391 32,720
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.626s, 2044 1,237,000 1,335,891
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 552,708 558,235
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.083s, 2020 4,795,878 105,509
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 529,198
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.471s, 2045(F) 709,000 652,233
     FRB Ser. 06-C1, Class AJ, 5.47s, 2044 597,000 604,110
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 1,054,000 897,218
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 02-C3, Class H, 5.944s, 2039 1,010,000 1,011,873
Greenwich Capital Commercial Funding Corp.
     FRB Ser. 05-GG3, Class E, 5.087s, 2042 1,127,000 1,022,414
     FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,062,000 1,026,576
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 1,414,000 1,466,272
GS Mortgage Securities Trust 144A Ser. 05-GG4, Class XC, IO, 0.924s, 2039 121,051,977 1,888,411
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.826s, 2045 2,168,000 2,346,426
     FRB Ser. GC10, Class D, 4.563s, 2046 923,000 895,218
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.2s, 2030 (Cayman Islands) 779,289 490,952
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.275s, 2051 3,915,000 4,122,495
     FRB Ser. 06-LDP7, Class AJ, 6.059s, 2045 2,798,000 2,897,379
     FRB Ser. 06-LDP7, Class B, 6.059s, 2045 1,088,000 898,637
     Ser. 06-CB16, Class AJ, 5.623s, 2045 747,000 750,033
     FRB Ser. 04-CBX, Class E, 5.126s, 2037 4,261,000 3,868,562
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 573,000 567,058
     FRB Ser. 13-C10, Class D, 4.3s, 2047 1,358,000 1,285,669
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 07-CB20, Class B, 6 3/8s, 2051 1,675,000 1,561,338
     FRB Ser. 07-CB20, Class C, 6 3/8s, 2051 974,000 913,933
     FRB Ser. 12-LC9, Class E, 4.576s, 2047 1,823,000 1,779,830
     Ser. 07-CB20, Class X1, IO, 0.197s, 2051 115,106,363 1,085,108
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 1,951,082 2,004,737
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,070,668
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C6, Class C, 5.482s, 2039 1,028,000 968,170
     Ser. 04-C8, Class E, 4.986s, 2039 1,467,000 1,474,335
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.393s, 2028 141,816 14
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.458s, 2051 917,000 964,042
     Ser. 04-KEY2, Class D, 5.046s, 2039 993,000 932,725
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 9.068s, 2037 470,780 21,797
     Ser. 07-C5, Class X, IO, 5.768s, 2049 3,525,478 246,078
Morgan Stanley Capital I
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,373,896
     FRB Ser. 06-HQ8, Class B, 5.677s, 2044 4,110,000 3,905,322
     Ser. 04-IQ8, Class C, 5.3s, 2040 3,200,000 3,323,840
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 2,759,415 2,645,590
Morgan Stanley Capital I Trust
     FRB Ser. 07-T27, Class AJ, 5.816s, 2042 1,908,000 2,019,046
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,119,000 1,040,670
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)(F) 376,000 282,000
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,048,166 157,225
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C3, Class D, 5.123s, 2049 1,619,000 1,590,884
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.2s, 2045 3,032,000 3,130,843
     FRB Ser. 06-C25, Class AJ, 5.919s, 2043 1,273,000 1,321,883
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,315,000 1,327,887
     FRB Ser. 05-C20, Class B, 5.418s, 2042 3,440,000 3,580,242
     Ser. 07-C34, IO, 0.502s, 2046 30,735,948 371,905
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 03-C8, Class H, 5.618s, 2035 1,304,000 1,257,708
     FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,428,060
106,427,035
Residential mortgage-backed securities (non-agency) (17.3%)
Adjustable Rate Mortgage Trust FRB Ser. 06-2, Class 1A1, 2.685s, 2036 2,379,267 2,153,236
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO, zero %, 2047(F) 23,801,602 3,022,803
Banc of America Funding Corp.
     Ser. 06-2, Class 2A13, 6s, 2036 2,460,034 2,583,035
     FRB Ser. 07-C, Class 07-C, 2.756s, 2036 4,576,979 4,165,051
     FRB Ser. 06-G, Class 2A5, 0.479s, 2036 1,162,741 1,023,212
Banc of America Funding Corp. 144A
     FRB Ser. 09-R12A, Class A2, 3.037s, 2036 1,072,743 740,193
     FRB Ser. 10-R4, Class 3A3, 1.269s, 2046 2,740,000 1,589,200
Banc of America Mortgage Securities Ser. 05-11, Class 1A10, 6s, 2035 850,000 845,750
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 4A3, 19.703s, 2037 533,694 477,656
     Ser. 13-RR1, Class 3A3, 16.187s, 2037 906,955 802,655
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 408,885 245,331
     Ser. 13-RR1, Class 2A4, 11.135s, 2036 2,160,000 2,116,800
     Ser. 13-RR1, Class 9A4, 10.562s, 2036 650,000 667,875
     Ser. 13-RR1, Class 3A2, 4s, 2037 963,062 984,731
     Ser. 13-RR1, Class 4A2, 4s, 2037 898,721 914,449
     Ser. 12-RR10, Class 8A2, 4s, 2036 859,875 874,923
     Ser. 13-RR1, Class 1A2, 2.871s, 2035 1,510,000 1,064,550
     FRB Ser. 12-RR10, Class 9A2, 2.671s, 2035 2,320,000 1,925,600
     Ser. 12-RR10, Class 4A2, 2.639s, 2036 1,800,000 1,566,000
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR12, Class 3A3, 19.4s, 2037 1,033,614 878,572
     FRB Ser. 12-RR12, Class 2A3, 14.053s, 2035 807,399 791,251
     Ser. 12-RR11, Class 4A3, 13.64s, 2037 982,687 687,881
     FRB Ser. 12-RR11, Class 5A3, 13.052s, 2037 447,928 286,674
     FRB Ser. 11-RR4, Class 6A4, 12.802s, 2037 2,797,559 2,321,974
     FRB Ser. 13-RR2, Class 4A2, 9.391s, 2036 1,520,000 1,216,000
     FRB Ser. 13-RR2, Class 3A2, 9.04s, 2036 800,000 786,000
     FRB Ser. 10-RR12, Class 6A1, 6s, 2037 2,341,075 2,493,244
     Ser. 12-RR11, Class 9A2, 4s, 2037 2,137,776 2,175,187
     Ser. 12-RR12, Class 3A2, 4s, 2037 1,862,034 1,894,620
     Ser. 12-RR11, Class 4A2, 4s, 2037 1,284,183 1,306,656
     Ser. 12-RR12, Class 1A2, 4s, 2037 519,641 528,735
     Ser. 12-RR11, Class 3A2, 4s, 2036 431,716 439,272
     Ser. 12-RR12, Class 2A2, 4s, 2035 742,671 757,524
     FRB Ser. 12-RR11, Class 5A2, 4s, 2037 852,816 867,740
     FRB Ser. 09-RR11, Class 2A2, 2.47s, 2035 1,970,000 1,488,591
     Ser. 09-RR7, Class 1A7, IO, 1.762s, 2046 79,565,418 3,580,444
     Ser. 09-RR7, Class 2A7, IO, 1.566s, 2047 74,317,556 3,388,881
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 06-1, Class A1, 2.37s, 2036 827,080 804,335
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.075s, 2034 79,080 6,613
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 12,356,989 389,245
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 9,293,080 167,275
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-2, Class 3A2, 9.823s, 2037 1,370,000 1,294,239
     FRB Ser. 11-12, Class 2A2, 0.57s, 2035 2,080,000 1,592,677
Countrywide Alternative Loan Trust Ser. 07-HY9, Class X, IO, 0.65s, 2047(F) 11,401,520 517,629
Credit Suisse Commercial Mortgage Trust 144A
     FRB Ser. 08-4R, Class 3A4, 2.814s, 2038 1,500,000 1,302,581
     FRB Ser. 09-13R, Class 5A2, 0.72s, 2035 1,350,000 1,244,970
     FRB Ser. 08-4R, Class 1A4, 0.598s, 2037 1,200,000 882,000
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.079s, 2043 (United Kingdom) GBP 746,898 1,002,987
     FRB Ser. 03-2, Class 2C1, 2.754s, 2043 (United Kingdom) EUR 2,002,000 2,279,284
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $9,001 8,846
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.763s, 2035 2,100,000 1,932,777
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.985s, 2035 1,194,381 970,346
Lavender Trust 144A Ser. 10-RR2A, Class A3, 6 1/4s, 2036 800,000 860,000
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, PO, 0.8s, 2047 7,358,558 248,719
MLCC Mortgage Investors, Inc. Ser. 04-A, Class XA2, IO, 1.241s, 2029 16,518,625 733,427
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.55s, 2035 1,210,146 1,040,725
Nomura Resecuritization Trust 144A FRB Ser. 11-2RA, Class 1A2, 5.253s, 2046 2,724,793 2,643,049
Residential Accredit Loans, Inc. Ser. 05-QR1, Class A, 6s, 2034 6,297,732 6,747,770
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 0 1/2s, 2047 43,231,221 972,702
Structured Asset Mortgage Investments, Inc. FRB Ser. 04-AR7, Class B1, 1.099s, 2035 1,291,668 760,735
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 07-HY6, Class 2A1, 4.687s, 2037 5,800,233 4,901,197
     FRB Ser. 04-AR14, Class B1, 2.437s, 2035 1,675,426 1,072,272
     Ser. 05-AR17, Class X, IO, PO, 1.683s, 2045 17,213,469 1,175,494
     Ser. 04-AR10, Class X, IO, PO, 1.569s, 2044 5,469,825 342,575
     Ser. 05-AR11, Class X, IO, PO, 1.511s, 2045 31,054,359 1,770,098
     FRB Ser. 06-AR1, Class 2A1B, 1.246s, 2046 5,477,356 4,688,781
     FRB Ser. 06-AR1, Class 2A1C, 1.246s, 2046 4,196,089 2,454,712
     FRB Ser. 06-AR17, Class 1A1, 0.986s, 2046 4,633,990 2,270,655
     Ser. 06-AR11, Class 2XPP, IO, PO, 0.929s, 2046 11,730,842 349,593
     FRB Ser. 05-AR8, Class B1, 0.87s, 2045 6,165,344 2,712,751
     FRB Ser. 05-AR19, Class A1C3, 0.7s, 2045 4,867,496 3,845,322
     FRB Ser. 05-AR13, Class A1C3, 0.69s, 2045 9,847,587 7,878,070
     FRB Ser. 05-AR17, Class A1C3, 0.68s, 2045 1,950,397 1,072,718
     FRB Ser. 05-AR8, Class 2AC2, 0.66s, 2045 2,924,183 2,573,281
     FRB Ser. 05-AR11, Class A1B2, 0.65s, 2045 1,767,209 1,546,308
     FRB Ser. 05-AR13, Class A1B2, 0.63s, 2045 2,094,376 1,874,467
     FRB Ser. 05-AR17, Class A1B2, 0.61s, 2045 1,854,218 1,548,272
     FRB Ser. 05-AR15, Class A1B2, 0.61s, 2045 1,928,053 1,585,824
     FRB Ser. 05-AR19, Class A1C4, 0.6s, 2045 1,813,254 1,395,498
     FRB Ser. 05-AR11, Class A1B3, 0.6s, 2045 4,060,744 3,553,151
     FRB Ser. 05-AR8, Class 2AC3, 0.59s, 2045 1,017,129 884,902
     FRB Ser. 05-AR1, Class A3, 0.56s, 2045 1,139,467 1,042,612
     FRB Ser. 05-AR19, Class A1B3, 0.55s, 2045 1,172,292 1,063,855
     FRB Ser. 05-AR6, Class 2AB3, 0.47s, 2045 982,883 864,937
Wells Fargo Mortgage Backed Securities Trust
     Ser. 05-16, Class A18, 6s, 2036 1,380,000 1,476,600
     Ser. 08-1, Class 4A1, 5 3/4s, 2038 2,396,381 2,540,244
     Ser. 07-12, Class A7, 5 1/2s, 2037 738,469 771,700
     Ser. 07-5, Class 1A1, 5 1/2s, 2037 3,930,603 4,166,439
     FRB Ser. 05-AR6, Class B1, 5.002s, 2035 1,205,289 1,099,489
     FRB Ser. 05-AR16, Class 4A2, 2.647s, 2035 2,623,282 2,577,374
147,154,418
Total mortgage-backed securities (cost $352,047,086) $363,884,317

CORPORATE BONDS AND NOTES (32.4%)(a)
Principal amount Value
Basic materials (2.7%)
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) $150,000 $190,588
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 165,000 173,592
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 260,000 271,700
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 472,000 493,240
Ashland, Inc. 144A sr. unsec. unsub. notes 3s, 2016 955,000 976,488
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 765,000 842,456
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 40,000 41,800
Boise Cascade LLC / Boise Cascade Finance Corp. 144A sr. unsec. notes 6 3/8s, 2020 (United Kingdom) 70,000 75,075
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 250,000 257,500
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 481,600
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 (Mexico) 880,000 946,000
CEMEX SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico) 210,000 239,400
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 460,000 483,000
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 235,000 249,981
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 650,000 684,125
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 290,000 319,000
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 478,000 499,510
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 420,000 446,250
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 255,000 272,213
Grohe Holding GmbH 144A company company guaranty sr. FRN notes 4.203s, 2017 (Germany) EUR 721,000 949,996
HD Supply, Inc. company guaranty sr. unsec. sub. notes 10 1/2s, 2021 $208,000 218,140
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 754,000 897,260
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 355,000 384,288
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 500,000 521,250
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 310,000 328,600
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A company guaranty sr. notes 8 7/8s, 2018 190,000 201,400
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 661,000 760,150
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 250,000 261,875
Huntsman International, LLC 144A sr. unsec. notes 4 7/8s, 2020 165,000 172,838
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 145,000 137,025
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 130,000 136,175
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 100,000 111,000
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 413,000 550,737
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $615,000 708,019
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 401,000 455,135
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 500,000 606,653
LyondellBasell Industries NV sr. unsec. unsub. notes 5 3/4s, 2024 525,000 632,546
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 750,000 854,691
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 310,000 298,026
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 $81,000 85,658
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 185,000 201,650
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 200,000 205,500
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 360,000 408,600
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 136,000 140,760
Orion Engineered Carbons Bondco GmbH 144A company guaranty sr. notes 9 5/8s, 2018 (Germany) 130,000 146,900
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 390,000 419,738
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 330,000 348,150
PQ Corp. 144A sr. notes 8 3/4s, 2018 315,000 339,413
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 298,000 344,935
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 320,000 348,800
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 223,000 248,645
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 265,000 272,950
SGL Carbon SE company guaranty sr. sub. FRN notes Ser. EMTN, 1.476s, 2015 (Germany) EUR 339,000 439,808
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) $200,000 204,846
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 75,000 82,125
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 95,000 104,025
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 45,000 46,350
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 335,000 353,425
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 528,000 526,680
US Coatings Acquisition, Inc. / Flash Dutch 2 BV 144A company guaranty sr. notes 5 3/4s, 2021 (Netherlands) 100,000 139,926
USG Corp. sr. unsec. notes 9 3/4s, 2018 333,000 395,438
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 125,000 129,688
23,063,332
Capital goods (2.0%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 630,000 688,275
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 799,000 906,865
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 167,150 241,751
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) EUR 118,080 170,781
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 190,000 270,949
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 130,000 185,386
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. notes 4 7/8s, 2022 (Ireland) $200,000 204,000
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland) 365,000 383,250
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 689,000 769,958
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 325,000 345,313
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 199,000 221,388
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 56,000 66,360
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 160,000 172,800
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 115,000 124,200
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 275,000 287,375
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 713,000 809,255
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 61,000 67,558
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 140,000 142,450
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 100,000 143,631
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 $345,000 372,600
Dematic SA/DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 465,000 508,013
Exide Technologies sr. notes 8 5/8s, 2018 138,000 92,288
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 443,000 465,150
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) 145,000 207,554
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 709,000 781,673
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 860,000 1,155,331
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 457,000 483,278
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 165,000 165,206
Milacron LLC/Mcron Finance Corp. 144A sr. unsec. notes 7 3/4s, 2021 70,000 72,800
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 45,000 51,413
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 735,000 757,050
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 265,000 286,200
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 135,000 189,787
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) $565,000 603,138
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 330,000 369,600
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 235,000 246,163
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 350,000 391,563
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 185,000 199,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 120,000 127,350
Silver II Borrower/Silver II US Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 (Luxembourg) 150,000 160,875
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 345,000 379,069
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 330,000 364,238
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 100,000 109,000
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 495,000 529,650
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 759,000 831,105
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 232,000 262,972
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 519,000 574,793
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021 345,000 357,075
17,296,279
Communication services (4.5%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 153,000 166,770
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 560,500
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 460,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 51,244
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 296,000 320,420
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 425,000 431,375
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 160,000 161,200
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 317,000 344,341
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 101,426
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 131,000 140,498
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 73,000 74,643
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 174,000 186,180
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 811,000 867,770
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 460,000 468,050
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 1,110,000 1,154,400
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 160,000 175,600
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 310,000 324,725
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 170,000 193,800
CyrusOne LP / CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 100,000 106,500
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 717,000 754,643
DISH DBS Corp. company guaranty notes 7 1/8s, 2016 234,000 258,570
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 251,000 271,080
DISH DBS Corp. 144A sr. unsec. notes 4 1/4s, 2018 635,000 623,888
Equinix, Inc. sr. unsec. notes 7s, 2021 305,000 346,175
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 145,000 169,288
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 1,656,000 1,920,960
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 118,450
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 488,000 542,900
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 594,000 681,615
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 979,000 1,038,964
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 364,183
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 190,000 205,675
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 428,000 455,820
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 431,000 459,015
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 742,000 782,810
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg) 605,000 636,763
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 245,000 346,213
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $285,000 321,338
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 332,000 375,160
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 85,000 93,713
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 44,000 46,530
Lynx I Corp. 144A sr. notes 6s, 2021 535,000 876,749
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 131,000 146,393
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 709,000 781,673
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 624,000 670,800
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 356,000 382,255
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 839,000 864,170
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 36,000 33,840
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 144,000 128,880
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 130,000 150,150
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 371,000 426,650
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 410,000 667,125
Quebecor Media, Inc. 144A sr. unsec. notes 5 3/4s, 2023 (Canada) $413,000 430,553
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 145,000 156,650
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 444,182
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 153,000 169,448
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 125,000 133,125
Sprint Capital Corp. company guaranty 6 7/8s, 2028 350,000 357,875
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 1,764,000 2,055,060
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 330,000 358,050
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 370,000 435,675
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 238,000 260,908
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 959,000 1,179,570
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 183,570
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 141,193
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 680,000 940,168
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) $200,000 271,942
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 999,772
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 305,000 439,588
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 188,811 265,725
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) $825,000 1,080,106
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) 677,000 990,050
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 375,000 386,250
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 79,000 136,126
Virgin Media Finance PLC company guaranty sr. unsec. unsub. notes 5 1/4s, 2022 (United Kingdom) $200,000 203,715
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 37,000 40,978
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 447,000 487,230
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. 144A company guaranty sr. unsec. notes 10 1/4s, 2019 759,000 853,875
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 760,000 1,053,849
Wind Acquisition Holdings Finance SA company guaranty sr. notes 12 1/4s, 2017 (Luxembourg)(PIK) $265,341 368,660
Windstream Corp. company guaranty sr. unsec. notes 6 3/8s, 2023 205,000 212,175
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 140,000 154,000
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 584,000 681,820
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 280,670
38,384,438
Consumer cyclicals (5.0%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 60,000 68,325
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 37,000 21,830
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 955,000 749,675
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 301,000 260,365
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 361,000 419,663
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 522,000 525,915
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 185,000 203,963
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 600,000 693,750
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 130,000 142,350
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 135,000 149,513
Beazer Homes USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2023 526,000 549,670
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 605,000 608,781
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 505,000 543,506
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 235,000 259,675
Building Materials Corp. 144A sr. notes 7s, 2020 140,000 153,300
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 360,000 398,700
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 320,000 358,000
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 145,000 150,438
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 596,000 366,540
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 394,000 416,655
Caesars Entertainment Operating Co., Inc. 144A company guaranty sr. notes 9s, 2020 1,160,000 1,142,600
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 170,000 190,506
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 240,288
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 250,000 253,125
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 175,000 195,563
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 505,000 579,488
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 100,000 113,000
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty notes 10 3/4s, 2017 740,150 818,791
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 313,000 305,958
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 603,000 603,000
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 461,000 497,880
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 315,000 337,838
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 237,000 243,221
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 407,000 415,140
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 695,000 759,288
FelCor Lodging LP 144A sr. notes 5 5/8s, 2023(R) 115,000 119,169
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 890,000 992,470
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 250,000 291,321
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 290,000 314,650
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 627,009
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico) $195,000 251,674
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) 128,000 150,467
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 407,000 450,244
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 225,000 234,000
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 481,000 547,138
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 295,000 324,500
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 821,000 903,100
Isle of Capri Casinos, Inc. 144A sr. unsec. notes 5 7/8s, 2021 245,000 249,288
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 621,000 834,183
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 75,000 105,713
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 $718,000 840,060
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 175,000 188,781
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 120,000 136,500
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 260,000 291,850
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 695,000 801,856
L Brands, Inc. sr. notes 5 5/8s, 2022 190,000 205,675
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 142,188
Lear Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2023 460,000 461,150
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 460,000 491,050
Lennar Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2022 160,000 161,200
Lottomatica Group SpA sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 730,000 1,040,572
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 $196,000 227,428
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 760,000 53,200
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 274,000 306,880
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 335,000 330,813
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 770,000 873,950
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 145,000 159,500
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 255,000 290,063
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 90,000 97,650
MGM Resorts International 144A company guaranty sr. unsec. notes 6 3/4s, 2020 285,000 312,788
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 1,206,979 1,273,363
Navistar International Corp. sr. notes 8 1/4s, 2021 651,000 680,295
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 665,000 709,888
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 90,000 94,050
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 200,000 213,000
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 65,000 72,394
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 219,000 223,654
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 666,000 748,418
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 258,000 288,315
Owens Corning company guaranty sr. unsec. notes 9s, 2019 211,000 269,553
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 115,000 129,950
Penske Automotive Group, Inc. 144A company guaranty sr. sub. notes 5 3/4s, 2022 365,000 386,444
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 235,000 260,263
Petco Holdings, Inc. 144A sr. notes 8 1/2s, 2017(PIK) 165,000 172,425
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 120,000 126,900
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 120,000 133,950
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 60,000 60,750
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 125,000 137,656
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 315,000 330,750
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 354,000 392,498
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 741,000 824,363
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands) EUR 595,000 902,103
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Netherlands) $200,000 228,500
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) 255,000 258,188
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 165,000 167,063
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 165,000 174,900
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 51,375
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 300,000 310,500
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 25,000 27,563
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 30,000 32,700
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 255,000 277,950
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 165,000 169,538
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 275,000 300,094
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 135,000 144,956
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 50,000 53,438
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 299,000 261,625
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016 354,700 356,474
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 800,000 925,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 115,000 118,450
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 50,000 69,885
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 $229,000 255,335
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 455,000 497,088
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 821,000 911,310
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 305,000 314,916
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 801,000 859,073
42,741,283
Consumer staples (1.8%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,500,000 811,256
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 $115,000 127,794
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A 5 1/2s, 2023 175,000 180,469
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 432,000 491,940
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 464,000 497,640
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 115,000 120,606
Claire's Stores, Inc. 144A sr. notes 9s, 2019 530,000 607,513
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 115,000
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 45,000 45,000
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 142,000 163,300
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 230,750
Corrections Corp. of America 144A sr. unsec. notes 4 5/8s, 2023(R) 115,000 119,888
Corrections Corp. of America 144A sr. unsec. notes 4 1/8s, 2020(R) 95,000 98,088
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 279,000 316,665
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 265,000 302,100
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 380,000 425,600
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 454,000 703,987
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Austria) $310,000 308,107
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 525,000 531,563
HDTFS, Inc. company guaranty sr. unsec. notes 6 1/4s, 2022 70,000 78,313
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 155,000 171,469
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 170,000 185,725
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 360,000 501,771
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) $150,000 165,750
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 858,600
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 245,000 261,231
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 415,000 455,463
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 210,000 233,100
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 500,000 544,375
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 460,000 473,800
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 620,000 638,600
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 643,000 668,720
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 535,000 619,263
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 142,813
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 340,000 377,400
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 879,000 987,776
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 356,000 407,620
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 1,044,000 1,190,160
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 164,000 177,940
15,337,155
Energy (6.6%)
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 309,000 333,720
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 638,000 658,735
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 374,000
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 300,000 274,500
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 316,000 294,670
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 666,000 767,477
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 389,000 410,395
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 140,000 147,350
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 115,000 125,350
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 360,000 396,900
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 694,000 768,605
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 378,625
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 5,650
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 145,000 204,508
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $1,022,000 1,154,860
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 115,000 124,775
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 570,363
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 126,900
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 217,770
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 515,000 322,051
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $197,000 125,588
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 293,000 328,160
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 1,667,000 1,804,528
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 795,000 864,563
Continental Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 175,000 186,594
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 850,000 928,625
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 7 1/8s, 2022 150,000 162,375
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 7 1/8s, 2021 235,000 238,525
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 302,000 342,015
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 82,695
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 882,000 864,360
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 234,000 246,285
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 340,000 335,750
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 305,000 326,350
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 780,000 963,253
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 713,000
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,412,001
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 316,000 386,417
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 485,000 525,580
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 451,000 473,550
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 719,000 774,723
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021 924,000 990,990
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 40,000 43,400
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 235,000 261,438
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 275,000 287,375
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 125,000 142,188
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 150,000 165,000
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 433,000 493,620
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2019 605,000 632,225
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 184,000 161,000
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,283,850
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 528,000 566,280
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 242,000 255,310
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 405,600
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 620,000 641,545
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 197,550
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 375,000 391,875
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 250,000 272,813
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 460,000 495,650
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 345,000 358,800
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 543,000 621,735
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 44,000 47,960
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 427,645
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 287,226
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 728,000 749,840
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,189,478
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 140,000 166,634
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 1,060,096
Petroleos de Venezuela SA company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 1,650,000 1,659,900
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 4,530,000 3,863,682
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 650,000 443,391
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 910,000 867,185
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 2,205,000 2,007,079
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 5,710,000 5,524,425
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 760,000 847,400
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 315,000 316,890
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,872,000
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 325,000 362,375
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 350,000 388,500
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 175,000 186,375
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 290,000 321,175
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 140,000 145,950
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 175,000 187,688
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 950,000 1,009,375
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 284,000 294,650
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 385,000 411,950
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 190,000 204,488
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 245,000 270,113
Suburban Propane Partners LP/Suburban Energy Finance Corp. sr. unsec. notes 7 3/8s, 2021 304,000 338,200
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 385,000 413,875
Williams Cos., Inc. (The) notes 7 3/4s, 2031 158,000 201,587
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 750,000 802,500
56,280,017
Financials (4.2%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 276,000 277,380
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 210,000 217,350
Air Lease Corp. sr. unsec. notes 6 1/8s, 2017 380,000 416,100
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 335,000 380,195
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 240,000 266,700
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,630,200
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 315,000 426,038
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 375,000 409,688
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,080,000 1,181,194
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 135,000 199,139
Boparan Holdings, Ltd. 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) $345,000 602,787
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 135,000 147,825
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 195,536
CIT Group, Inc. sr. unsec. notes 5s, 2022 920,000 1,028,863
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 349,525
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 548,725
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 428,450
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 395,000 384,138
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 525,000
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 607,950
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 791,000 850,325
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Perpetual maturity) (Jersey) EUR 486,000 651,315
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 $155,000 166,625
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 895,000 962,125
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 126,000 141,120
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 455,000 503,913
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 175,000 183,750
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 165,000 167,888
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 415,000 421,225
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 265,000 282,225
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, perpetual maturity (United Kingdom) 299,000 318,085
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 763,390
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 192,930
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 255,000 276,675
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 174,000 187,268
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2020 185,000 207,200
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 9 5/8s, 2019 205,000 236,263
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 523,326
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 488,000 525,820
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 438,000 467,565
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 487,000 500,393
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 230,000 269,675
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 300,000 343,500
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, perpetual maturity (United Kingdom) 525,000 435,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, 2049 (United Kingdom) 700,000 852,725
Royal Bank of Scotland PLC (The) jr. sub. FRN notes Ser. MTN, 7.64s, perpetual maturity (United Kingdom) 600,000 567,000
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 775,000 804,915
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia) 550,000 588,026
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 500,000 564,161
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 1,160,000 1,247,580
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 378,677
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 182,000 241,682
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 584,726
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 424,669
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 468,000 562,770
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, 2049 (Russia) 1,650,000 1,810,580
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 1,065,000 1,158,188
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 3,196,000 3,584,314
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,406,000 2,616,525
35,787,672
Health care (2.2%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 235,000 245,575
AmSurg Corp. 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 308,000 324,940
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 325,000 355,875
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 507,298
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 $510,000 555,900
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 380,000 410,875
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 455,000 681,227
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $470,000 489,975
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 360,000 385,200
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 182,000 206,343
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 227,510
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $1,070,000 1,203,750
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 504,000 558,180
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 290,000 317,550
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 370,000 413,475
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 144,063
HCA, Inc. sr. notes 6 1/2s, 2020 1,553,000 1,787,891
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 153,280
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 740,000 800,125
Hologic, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2020 110,000 118,800
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 386,000 408,195
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 202,000 216,140
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 190,000 204,250
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 335,000 387,763
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 451,000 505,120
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 291,000 312,098
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 475,000 534,969
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 308,163
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) 754,000 1,243,490
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) 275,000 372,023
Service Corporation International sr. notes 7s, 2019 180,000 196,875
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 476,000 508,130
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 430,000 461,175
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 640,000 667,200
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 329,569 333,689
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 402,375
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 455,000 512,444
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 471,000 532,230
Tenet Healthcare Corp. 144A companty guaranty sr. notes 4 1/2s, 2021 115,000 117,300
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 70,000 77,350
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 185,088
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 70,000 75,950
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 70,000 77,525
18,527,374
Technology (1.1%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 252,000 232,470
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 552,000 531,300
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 52,000 53,950
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 643,000 666,309
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 92,000 108,215
Ceridian Corp. 144A sr. unsec. notes 11s, 2021 38,000 42,608
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 183,000 199,470
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 956,000 1,037,260
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 537,000 570,563
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 175,000 199,500
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 235,000 255,563
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 315,000 329,175
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 85,000 96,900
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 855,000 949,050
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 125,000 142,500
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 1,035,000 1,081,575
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 290,000 324,075
NXP BV/NXP Funding, LLC 144A sr. unsec. notes 5 3/4s, 2023 (Netherlands) 255,000 267,750
Softbank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 445,000 459,725
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 265,000 281,894
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 344,000 380,120
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 431,000 477,333
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) 380,000 543,114
9,230,419
Transportation (0.4%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 1,111,000 1,281,509
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $170,000 183,175
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 419,000 464,043
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 895,000 1,024,775
Watco Cos LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 165,000 172,013
3,125,515
Utilities and power (1.9%)
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,365,150
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 368,900
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 160,000 163,200
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 342,000 388,170
Calpine Corp. 144A sr. notes 7 1/4s, 2017 896,000 948,640
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 615,000 768,119
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 940,000 1,175
El Paso Corp. sr. unsec. notes 7s, 2017 160,000 184,082
El Paso Natural Gas Co. debs. 8 5/8s, 2022 577,000 806,341
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 784,000 897,680
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 220,000 251,900
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 1,390,000 1,575,913
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 692,000 809,640
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 170,000 186,150
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 120,000 137,700
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 680,000 792,200
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 240,000 255,000
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 150,000 154,941
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 644,000 743,820
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 124,688
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,525,000 1,895,270
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 180,000 198,000
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,557,188
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 255,000 314,863
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 306,600
Regency Energy Partners LP/Regency Energy Finance Corp. 144A company guaranty sr. unsec. notes 4 1/2s, 2023 230,000 238,050
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 145,000 200,400
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 205,000 161,438
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 364,000 508,693
16,303,911
Total corporate bonds and notes (cost $258,356,816) $276,077,395

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (20.7%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.5%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $1,148,878 $1,299,533
     3s, TBA, June 1, 2043 1,000,000 1,059,375
     3s, TBA, May 1, 2043 18,000,000 19,120,781
21,479,689
U.S. Government Agency Mortgage Obligations (18.2%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3s, TBA, May 1, 2043 15,000,000 15,626,954
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, April 1, 2016 3,844 4,272
     3s, TBA, June 1, 2043 56,000,000 58,421,563
     3s, TBA, May 1, 2043 77,000,000 80,543,201
154,595,990
Total U.S. government and agency mortgage obligations (cost $173,657,729) $176,075,679

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (12.8%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) $642,724 $371,173
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 1,665,000 1,356,975
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 (Argentina) 1,136,000 1,147,360
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 8,973,000 7,819,970
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) 7,917,816 4,572,539
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) BRL 3,500 1,863,581
Brazil (Federal Republic of) unsub. notes 10s, 2014 (Brazil) BRL 2,365 1,233,371
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 347,500,000 776,889
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) $620,000 700,600
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 565,000 621,726
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 53,200,000 974,861
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) $1,590,000 1,824,875
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2042 (Greece)(STP) EUR 414,000 231,859
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2041 (Greece)(STP) EUR 294,000 163,573
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2040 (Greece)(STP) EUR 414,000 230,234
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2039 (Greece)(STP) EUR 644,000 360,950
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 2,254,000 1,250,293
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 524,000 290,725
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 1,044,000 578,708
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 1,444,000 805,094
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 874,000 494,798
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 414,000 231,249
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 934,000 522,050
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 174,000 97,347
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 2,574,000 1,470,034
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 294,000 171,755
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 1,444,000 850,829
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 294,000 178,608
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 1,214,000 738,252
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 4,054,000 2,544,368
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 374,000 245,403
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 1,724,000 1,187,386
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) $ 900,000 891,933
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 2,024,501
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 22,650,000 722,489
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $1,275,000 1,164,075
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) EUR 3,519,000 5,243,395
United Mexican States unsec. bonds Ser. M20, 10s, 2024 (Mexico) $62,070,000 7,588,333
United Mexican States unsec. bonds Ser. M, 8s, 2023 (Mexico) 66,204,000 7,025,346
United Mexican States unsec. bonds Ser. M, 6 1/2s, 2022 (Mexico) 134,485,000 12,732,896
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal) EUR 1,019,000 1,335,196
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) $49,915 62,712
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 4,000,000 4,744,760
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 4,181,462 5,251,916
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 400,000 423,124
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 500,000 514,978
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) EUR 1,019,000 1,487,416
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) $440,000 470,571
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 3,785,000 4,628,033
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 (Ukraine) 425,000 427,125
Ukraine (Government of) 144A bonds 7 3/4s, 2020 (Ukraine) 230,000 233,450
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 3,240,000 3,458,410
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 700,000 713,998
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 (Ukraine) 725,000 722,245
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 (Ukraine) 4,165,000 4,177,079
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,120,000 1,319,360
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 507,397
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 (Venezuela) 2,510,000 2,548,328
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 2,518,078
Total foreign government and agency bonds and notes (cost $107,103,860) $108,844,579

SENIOR LOANS (1.2%)(a)(c)
Principal amount Value
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 $319,200 $323,988
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 5 1/2s, 2017 55,683 56,350
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.454s, 2018 1,894,191 1,717,004
Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017 529,000 547,019
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.854s, 2016 987,831 905,100
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 339,312 343,412
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 444,077 436,749
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.21s, 2014(PIK) 199,122 192,650
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.21s, 2014(PIK) 113,341 109,658
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 345,000 348,067
Intelsat Investments SA bank term loan FRN 3.2s, 2014 (Luxembourg) 734,147 733,459
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R) 272,671 274,716
Motor City Casino bank term loan FRN 6s, 2017 513,441 517,292
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 116,972 119,166
Neiman Marcus Group, Inc. (The) bank term loan FRN 4s, 2018 370,000 372,717
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 200,900 201,904
Plains Exploration & Production Co. bank term loan FRN Class B, 4s, 2019 380,000 380,380
Quintiles Transnational Holdings, Inc. bank term loan FRN 7 1/2s, 2017 135,000 138,038
Springleaf Financial Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 234,712 235,445
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.731s, 2017 1,360,286 1,000,150
Thomson Learning bank term loan FRN Ser. B, 2.71s, 2014 287,000 223,142
Travelport, LLC bank term loan FRN 9 1/2s, 2016 590,000 605,734
Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK) 117,784 113,514
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 310,000 314,408
Univision Communications, Inc. bank term loan FRN Ser. C1, 4 3/4s, 2020 197,993 199,901
West Corp. bank term loan FRN Ser. B8, 4 1/4s, 2018 106,688 108,314
Total senior loans (cost $10,653,403) $10,518,277

CONVERTIBLE PREFERRED STOCKS (0.2%)(a)
Shares Value
ArcelorMittal Ser. MTUS, $1.50 cv. pfd. (France) 16,217 $333,584
General Motors Co. Ser. B, $2.375 cv. pfd. 18,917 879,641
United Technologies Corp. $3.75 cv. pfd. 4,800 283,872
Total convertible preferred stocks (cost $1,533,261) $1,497,097

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 815 $804,278
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 16,450 450,566
M/I Homes, Inc. $2.438 pfd.(NON) 8,790 221,069
Total preferred stocks (cost $1,108,497) $1,475,913

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
Altra Holdings, Inc. cv. company guaranty sr. unsec. notes 2 3/4s, 2031 $285,000 $338,081
Exide Technologies cv. sr. sub. notes FRN zero %, 2013 335,000 110,550
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 230,000 282,038
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 350,000 386,969
Total convertible bonds and notes (cost $1,204,347) $1,117,638

COMMON STOCKS (0.1%)(a)
Shares Value
Tribune Co.(NON) 7,741 $439,302
Tribune Co. Class 1C(F) 675,896 168,974
Trump Entertainment Resorts, Inc.(NON) 224 560
Total common stocks (cost $378,207) $608,836

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 117 $6,494
Total warrants (cost $351) $6,494

PURCHASED OPTIONS OUTSTANDING (—%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr TBA 3s (Put) May-13/$103.72 $3,000,000 $408
Total purchased options outstanding (cost $8,965) $408

SHORT-TERM INVESTMENTS (8.7%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.04%(AFF) 44,725,683 $44,725,683
SSgA Prime Money Market Fund 0.04%(P) 3,540,000 3,540,000
Straight-A Funding, LLC commercial paper with an effective yield of 0.16%, June 12, 2013 $5,000,000 4,999,067
Straight-A Funding, LLC commercial paper with an effective yield of 0.12%, June 11, 2013 4,000,000 3,999,408
U.S. Treasury Bills with an effective yield of 0.13%, March 6, 2014(SEG)(SEGSF) 699,000 698,400
U.S. Treasury Bills with effective yields ranging from 0.15% to 0.17%, July 25, 2013(SEG)(SEGSF) 16,482,000 16,480,055
Total short-term investments (cost $74,437,992) $74,442,613

TOTAL INVESTMENTS
Total investments (cost $980,490,514)(b) $1,014,549,246













FORWARD CURRENCY CONTRACTS at 4/30/13 (aggregate face value $415,894,054) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Sell 6/19/13 $2,187,537 $2,159,643 $(27,894)
Canadian Dollar Sell 7/17/13 3,536,161 3,484,987 (51,174)
Chilean Peso Buy 7/17/13 2,468,759 2,452,956 15,803
Euro Sell 6/19/13 5,068,653 4,930,393 (138,260)
Japanese Yen Sell 5/15/13 2,986,132 3,118,239 132,107
Peruvian New Sol Buy 7/17/13 3,036,436 3,112,895 (76,459)
Swiss Franc Sell 6/19/13 2,059,567 2,037,487 (22,080)
Barclays Bank PLC
Australian Dollar Buy 7/17/13 423,498 420,290 3,208
Brazilian Real Buy 7/17/13 3,470,134 3,441,625 28,509
British Pound Sell 6/19/13 6,260,421 6,028,293 (232,128)
Canadian Dollar Buy 7/17/13 4,288,913 4,271,460 17,453
Canadian Dollar Sell 7/17/13 4,328,448 4,268,718 (59,730)
Chilean Peso Buy 7/17/13 2,810,558 2,792,859 17,699
Euro Sell 6/19/13 16,065,533 15,919,282 (146,251)
Indonesian Rupiah Buy 5/15/13 1,907,403 1,900,974 6,429
Japanese Yen Sell 5/15/13 4,432,120 4,758,757 326,637
Malaysian Ringgit Buy 5/15/13 2,858,753 2,815,828 42,925
Mexican Peso Sell 7/17/13 1,717,315 1,701,669 (15,646)
New Taiwan Dollar Buy 5/15/13 203,134 201,628 1,506
Norwegian Krone Buy 6/19/13 2,124,446 2,140,312 (15,866)
Norwegian Krone Sell 6/19/13 2,124,446 2,117,958 (6,488)
Polish Zloty Buy 6/19/13 635,263 639,700 (4,437)
Russian Ruble Buy 6/19/13 990,233 990,312 (79)
South Korean Won Buy 5/15/13 2,915,876 2,907,828 8,048
South Korean Won Sell 5/15/13 2,915,876 2,864,457 (51,419)
Swedish Krona Buy 6/19/13 2,977,903 2,953,067 24,836
Swiss Franc Sell 6/19/13 1,004,121 974,178 (29,943)
Turkish Lira Buy 6/19/13 2,080,515 2,048,294 32,221
Turkish Lira Sell 6/19/13 2,080,515 2,041,502 (39,013)
Citibank, N.A.
Australian Dollar Buy 7/17/13 10,269,934 10,278,567 (8,633)
Brazilian Real Buy 7/17/13 2,301,151 2,306,985 (5,834)
British Pound Sell 6/19/13 2,539,108 2,463,193 (75,915)
Canadian Dollar Sell 7/17/13 2,023,325 1,977,235 (46,090)
Euro Sell 6/19/13 4,939,815 4,893,600 (46,215)
Japanese Yen Sell 5/15/13 5,170,269 5,510,031 339,762
New Taiwan Dollar Buy 5/15/13 203,134 203,739 (605)
New Taiwan Dollar Sell 5/15/13 203,134 201,276 (1,858)
Singapore Dollar Buy 5/15/13 338,233 333,501 4,732
Singapore Dollar Sell 5/15/13 338,233 333,776 (4,457)
South African Rand Buy 7/17/13 638,171 637,789 382
South Korean Won Buy 5/15/13 2,600,525 2,604,552 (4,027)
South Korean Won Sell 5/15/13 2,600,525 2,548,433 (52,092)
Swedish Krona Buy 6/19/13 2,222,595 2,193,401 29,194
Swiss Franc Sell 6/19/13 4,256,755 4,193,316 (63,439)
Thai Baht Buy 5/15/13 1,954,688 1,914,716 39,972
Turkish Lira Buy 6/19/13 1,115,384 1,114,756 628
Credit Suisse International
Australian Dollar Buy 7/17/13 8,518,314 8,534,088 (15,774)
Brazilian Real Buy 7/17/13 1,589,291 1,574,643 14,648
British Pound Buy 6/19/13 231,689 290,200 (58,511)
Canadian Dollar Buy 7/17/13 338,971 338,680 291
Chilean Peso Buy 7/17/13 2,858,125 2,841,611 16,514
Chinese Yuan Buy 5/15/13 2,214,092 2,187,520 26,572
Czech Koruna Sell 6/19/13 49,622 33,731 (15,891)
Euro Sell 6/19/13 13,423,052 13,288,137 (134,915)
Indonesian Rupiah Buy 5/15/13 638,461 639,824 (1,363)
Japanese Yen Sell 5/15/13 1,965,722 1,993,594 27,872
Mexican Peso Sell 7/17/13 2,389,878 2,387,443 (2,435)
New Taiwan Dollar Buy 5/15/13 386,860 387,880 (1,020)
Norwegian Krone Sell 6/19/13 31,558 15,267 (16,291)
Philippine Peso Buy 5/15/13 1,289,070 1,310,547 (21,477)
Polish Zloty Buy 6/19/13 546,300 534,012 12,288
Russian Ruble Buy 6/19/13 2,075,559 2,121,813 (46,254)
South African Rand Sell 7/17/13 657,898 610,680 (47,218)
South Korean Won Buy 5/15/13 3,368,208 3,393,413 (25,205)
South Korean Won Sell 5/15/13 3,368,208 3,308,740 (59,468)
Swedish Krona Buy 6/19/13 1,700,356 1,801,120 (100,764)
Swiss Franc Sell 6/19/13 4,332,935 4,275,237 (57,698)
Turkish Lira Buy 6/19/13 713,635 717,048 (3,413)
Deutsche Bank AG
Australian Dollar Buy 7/17/13 97,730 97,153 577
Brazilian Real Buy 7/17/13 628,086 635,603 (7,517)
British Pound Buy 6/19/13 2,684,613 2,623,748 60,865
British Pound Sell 6/19/13 2,684,613 2,594,410 (90,203)
Canadian Dollar Sell 7/17/13 1,269,285 1,260,414 (8,871)
Euro Sell 6/19/13 1,738,513 1,728,909 (9,604)
Japanese Yen Sell 5/15/13 3,555,819 3,749,730 193,911
Mexican Peso Sell 7/17/13 2,087,049 2,053,179 (33,870)
Norwegian Krone Sell 6/19/13 3,530,390 3,472,583 (57,807)
Polish Zloty Buy 6/19/13 1,076,732 1,065,446 11,286
Singapore Dollar Buy 5/15/13 2,294,641 2,281,190 13,451
Singapore Dollar Sell 5/15/13 2,294,641 2,262,253 (32,388)
South Korean Won Buy 5/15/13 2,038,478 2,049,475 (10,997)
South Korean Won Sell 5/15/13 2,038,478 2,008,140 (30,338)
Swedish Krona Buy 6/19/13 2,323,693 2,363,444 (39,751)
Swiss Franc Sell 6/19/13 3,451,586 3,389,758 (61,828)
Turkish Lira Buy 6/19/13 340,471 338,164 2,307
Goldman Sachs International
British Pound Sell 6/19/13 1,512,968 1,492,435 (20,533)
Canadian Dollar Sell 7/17/13 1,723,691 1,679,749 (43,942)
Euro Sell 6/19/13 8,606,145 8,531,801 (74,344)
Japanese Yen Sell 5/15/13 532,738 580,553 47,815
Norwegian Krone Sell 6/19/13 2,039,415 2,055,319 15,904
HSBC Bank USA, National Association
Australian Dollar Buy 7/17/13 7,527,196 7,535,878 (8,682)
British Pound Sell 6/19/13 651,276 627,176 (24,100)
Canadian Dollar Sell 7/17/13 1,491,038 1,448,540 (42,498)
Euro Sell 6/19/13 4,837,062 4,806,317 (30,745)
Indian Rupee Buy 5/15/13 413,801 410,109 3,692
Japanese Yen Buy 5/15/13 2,046,167 2,114,991 (68,824)
Japanese Yen Sell 5/15/13 2,046,167 2,133,931 87,764
Norwegian Krone Buy 6/19/13 10,767 10,618 149
Norwegian Krone Sell 6/19/13 10,767 10,731 (36)
Philippine Peso Buy 5/15/13 624,787 637,496 (12,709)
Russian Ruble Buy 6/19/13 1,300,466 1,350,706 (50,240)
South African Rand Buy 7/17/13 638,182 637,772 410
South Korean Won Buy 5/15/13 2,600,525 2,624,012 (23,487)
South Korean Won Sell 5/15/13 2,600,525 2,548,261 (52,264)
Swiss Franc Sell 6/19/13 319,249 322,984 3,735
Thai Baht Buy 5/15/13 634,299 641,342 (7,043)
Turkish Lira Buy 6/19/13 1,051,053 1,051,334 (281)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/17/13 144,431 144,667 (236)
Brazilian Real Buy 7/17/13 3,488,938 3,463,649 25,289
British Pound Buy 6/19/13 4,268,857 4,277,100 (8,243)
Canadian Dollar Sell 7/17/13 1,079,338 1,044,404 (34,934)
Chilean Peso Buy 7/17/13 1,861,031 1,849,311 11,720
Chinese Yuan Buy 5/15/13 1,574,646 1,552,319 22,327
Euro Sell 6/19/13 8,027,431 7,936,657 (90,774)
Hungarian Forint Buy 6/19/13 638,744 640,542 (1,798)
Japanese Yen Sell 5/15/13 4,327,607 4,536,258 208,651
Malaysian Ringgit Buy 5/15/13 2,214,494 2,175,365 39,129
Mexican Peso Sell 7/17/13 1,581,501 1,565,912 (15,589)
New Taiwan Dollar Buy 5/15/13 77,790 84,947 (7,157)
Norwegian Krone Buy 6/19/13 1,425,662 1,403,229 22,433
Polish Zloty Buy 6/19/13 259,001 255,891 3,110
Russian Ruble Buy 6/19/13 618,394 610,007 8,387
South Korean Won Buy 5/15/13 1,773,883 1,787,321 (13,438)
South Korean Won Sell 5/15/13 1,773,883 1,750,083 (23,800)
Swedish Krona Buy 6/19/13 3,330,163 3,379,789 (49,626)
Swiss Franc Sell 6/19/13 1,607,863 1,635,663 27,800
Turkish Lira Buy 6/19/13 72,657 84,103 (11,446)
State Street Bank and Trust Co.
Australian Dollar Buy 7/17/13 1,294,515 1,296,636 (2,121)
Brazilian Real Buy 7/17/13 328,863 325,370 3,493
British Pound Sell 6/19/13 32,765 3,628 (29,137)
Canadian Dollar Sell 7/17/13 3,560,041 3,521,351 (38,690)
Chilean Peso Buy 7/17/13 2,807,865 2,791,349 16,516
Colombian Peso Buy 7/17/13 2,443,896 2,444,102 (206)
Czech Koruna Buy 6/19/13 682,743 673,335 9,408
Czech Koruna Sell 6/19/13 682,743 678,080 (4,663)
Euro Sell 6/19/13 10,168,659 9,992,981 (175,678)
Japanese Yen Sell 5/15/13 7,223,708 7,714,894 491,186
Mexican Peso Sell 7/17/13 2,254,310 2,215,710 (38,600)
Polish Zloty Buy 6/19/13 898,586 886,637 11,949
South Korean Won Buy 5/15/13 2,573,115 2,595,899 (22,784)
South Korean Won Sell 5/15/13 2,573,115 2,533,980 (39,135)
Swedish Krona Buy 6/19/13 4,259,428 4,161,287 98,141
Swiss Franc Buy 6/19/13 6,210,121 6,127,418 82,703
Swiss Franc Sell 6/19/13 6,210,121 6,126,668 (83,453)
Turkish Lira Buy 6/19/13 1,168,614 1,166,230 2,384
UBS AG
Australian Dollar Buy 7/17/13 6,355,669 6,367,617 (11,948)
British Pound Sell 6/19/13 907,035 856,343 (50,692)
Canadian Dollar Sell 7/17/13 2,819,972 2,790,845 (29,127)
Chilean Peso Buy 7/17/13 1,263,556 1,268,984 (5,428)
Czech Koruna Buy 6/19/13 642,717 633,896 8,821
Czech Koruna Sell 6/19/13 642,717 638,112 (4,605)
Euro Sell 6/19/13 8,118,065 8,034,517 (83,548)
Hungarian Forint Buy 6/19/13 638,745 640,579 (1,834)
Japanese Yen Sell 5/15/13 3,480,379 3,595,053 114,674
Mexican Peso Sell 7/17/13 1,588,049 1,550,406 (37,643)
New Taiwan Dollar Buy 5/15/13 1,226,496 1,229,310 (2,814)
Norwegian Krone Sell 6/19/13 142,381 150,433 8,052
Philippine Peso Buy 5/15/13 1,294,354 1,306,763 (12,409)
Russian Ruble Buy 6/19/13 82,431 83,883 (1,452)
Singapore Dollar Buy 5/15/13 2,294,641 2,280,527 14,114
Singapore Dollar Sell 5/15/13 2,294,641 2,262,271 (32,370)
Swedish Krona Buy 6/19/13 2,065,270 2,044,776 20,494
Swiss Franc Sell 6/19/13 3,343,125 3,256,820 (86,305)
Turkish Lira Buy 6/19/13 629,488 621,982 7,506
WestPac Banking Corp.
Australian Dollar Buy 7/17/13 5,800,523 5,811,012 (10,489)
British Pound Sell 6/19/13 2,173,561 2,145,068 (28,493)
Canadian Dollar Sell 7/17/13 1,456,160 1,446,021 (10,139)
Euro Sell 6/19/13 4,397,593 4,357,263 (40,330)
Japanese Yen Sell 5/15/13 1,965,722 2,020,303 54,581
Mexican Peso Sell 7/17/13 2,092,877 2,053,159 (39,718)
Total $(932,513)












FUTURES CONTRACTS OUTSTANDING at 4/30/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 3 yr (Short) 106 $12,077,308             Jun-13 $(146,391)
Australian Government Treasury Bond 10 yr (Long) 5 647,517             Jun-13 25,443
Canadian Government Bond 10 yr (Long) 60 8,143,729             Jun-13 282,654
Euro-Bobl 5 yr (Short) 38 6,342,091             Jun-13 (45,165)
Euro-Dollar 90 day (Long) 2,624 654,196,000             Jun-13 159,096
Japanese Government Bond 10 yr (Short) 2 2,965,174             Jun-13 5,222
Japanese Government Bond 10 yr Mini (Long) 16 2,373,452             Jun-13 (2,528)
U.K. Gilt 10 yr (Short) 12 2,237,010             Jun-13 (112,057)
U.S. Treasury Note 10 yr (Short) 602 80,282,344             Jun-13 (390,706)
Total $(224,432)












WRITTEN OPTIONS OUTSTANDING at 4/30/13 (premiums $33,819) (Unaudited)


Expiration       Number of
date/strike price       contracts Value
U.S. Treasury Notes 10 yr futures 6s (Call) May-13/$134.00        87 $20,391
Total $20,391













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/13 (Unaudited)
Counterparty        Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract appreciation/
Floating rate index/Maturity date date/strike       amount (depreciation)

Barclays Bank PLC
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 $41,374,000 $165,496
     (1.1875)/3 month USD-LIBOR-BBA/Jul-18 (Purchased) Jul-13/1.1875 87,802,000 (7,551)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 41,374,000 (433,188)
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 41,875,000 322,017
     1.961/3 month USD-LIBOR-BBA/May-23 (Written) May-13/1.961 2,310,000 7,508
     2.1875/3 month USD-LIBOR-BBA/Jul-23 (Written) Jul-13/2.1875 22,609,000 5,878
     0.7675/3 month USD-LIBOR-BBA/Jul-16 (Written) Jul-13/0.7675 72,436,000 (72)

Citibank, N.A.
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 41,875,000 320,344
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 11,849,598 86,858

Credit Suisse International
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 48,825,000 179,676
     (1.2125)/3 month USD-LIBOR-BBA/Jul-18 (Purchased) Jul-13/1.2125 263,404,000 (103,254)
     (1.39)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.39 171,262,000 (356,225)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 48,825,000 (484,832)
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 41,875,000 318,669
     2.386/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.386 44,100,000 282,240
     0.876/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.876 141,291,000 73,471
     2.22/3 month USD-LIBOR-BBA/Jul-23 (Written) Jul-13/2.22 67,827,000 69,184
     0.785/3 month USD-LIBOR-BBA/Jul-16 (Written) Jul-13/0.785 217,308,000 18,037

Deutsche Bank AG
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 48,825,000 183,582
     (1.2075)/3 month USD-LIBOR-BBA/Jul-18 (Purchased) Jul-13/1.2075 87,801,000 (26,340)
     (1.4075)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.4075 85,631,000 (185,819)
     (1.37)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.37 171,262,000 (342,524)
     (1.38)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.38 171,262,000 (351,087)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 48,825,000 (476,532)
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 41,875,000 326,625
     2.395/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.395 44,100,000 276,948
     2.38/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.38 44,100,000 272,097
     2.425/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.425 22,050,000 145,530
     0.87/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.87 141,291,000 73,471
     0.865/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.865 141,291,000 70,646
     0.8975/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.8975 70,646,000 40,268
     2.225/3 month USD-LIBOR-BBA/Jul-23 (Written) Jul-13/2.225 22,609,000 25,774
     0.785/3 month USD-LIBOR-BBA/Jul-16 (Written) Jul-13/0.785 72,436,000 (3,622)

Goldman Sachs International
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 23,730,725 65,022
     (1.195)/3 month USD-LIBOR-BBA/Jul-18 (Purchased) Jul-13/1.195 87,801,000 (20,194)
     (1.37625)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.37625 85,631,000 (169,549)
     (1.42125)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.42125 85,631,000 (173,831)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 23,730,725 (207,881)
     2.44/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.44 22,050,000 138,915
     2.386/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.386 22,050,000 134,505
     0.90/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.90 70,646,000 35,323
     0.876/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.876 70,646,000 35,323
     2.215/3 month USD-LIBOR-BBA/Jul-23 (Written) Jul-13/2.215 22,609,000 15,374
     0.7775/3 month USD-LIBOR-BBA/Jul-16 (Written) Jul-13/0.7775 72,436,000 1,449
     (1.90)/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/1.90 47,351,077 (247,646)

JPMorgan Chase Bank N.A.
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 16,594,873 51,444
     (1.1875)/3 month USD-LIBOR-BBA/Jul-18 (Purchased) Jul-13/1.1875 87,802,000 40
     (1.1875)/3 month USD-LIBOR-BBA/Jul-18 (Purchased) Jul-13/1.1875 87,802,000 (13,170)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 16,594,873 (163,294)
     0.7675/3 month USD-LIBOR-BBA/Jul-16 (Written) Jul-13/0.7675 72,436,000 8,049
     2.1875/3 month USD-LIBOR-BBA/Jul-23 (Written) Jul-13/2.1875 22,609,000 5,878
     0.7675/3 month USD-LIBOR-BBA/Jul-16 (Written) Jul-13/0.7675 72,436,000 1,449
     2.1875/3 month USD-LIBOR-BBA/Jul-23 (Written) Jul-13/2.1875 22,609,000 (2,606)
Total $(12,127)












TBA SALE COMMITMENTS OUTSTANDING at 4/30/13 (proceeds receivable $77,167,735) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3s, May 1, 2043 $56,000,000       5/13/13 $58,576,874
Government National Mortgage Association, 3s, May 1, 2043 18,000,000       5/21/13 19,120,781
Total $77,697,655















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
$25,941,000 (E) $296,765      6/19/23 3 month USD-LIBOR-BBA 2.00% $566,292
63,385,000 (E) (428,845)     6/19/23 2.00% 3 month USD-LIBOR-BBA (1,087,415)
CAD 25,409,000 —      4/26/23 2.17% 3 month CAD-BA-CDOR (30,541)
Barclays Bank PLC
$8,897,000 (E) 7,751      6/19/15 3 month USD-LIBOR-BBA 0.40% 14,424
33,466,000 (E) (125,262)     6/19/18 1.00% 3 month USD-LIBOR-BBA (318,026)
29,283,000 (E) (104,820)     6/19/23 3 month USD-LIBOR-BBA 2.00% 199,431
4,729,000 (E) (66,863)     6/19/43 3.00% 3 month USD-LIBOR-BBA (240,465)
302,232,000 (E) (293,549)     6/19/15 0.40% 3 month USD-LIBOR-BBA (520,222)
120,067,000 (E) (1,571,249)     6/19/23 2.00% 3 month USD-LIBOR-BBA (2,818,744)
EUR 49,147,000 —      10/16/22 1.747% 6 month EUR-EURIBOR-REUTERS (2,623,280)
EUR 95,799,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 830,149
EUR 5,725,000 —      4/26/23 6 month EUR-EURIBOR-REUTERS 1.519% 38,188
GBP 6,323,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (1,574,014)
GBP 4,143,000 —      7/25/42 6 month GBP-LIBOR-BBA 2.8425% (64,321)
GBP 7,350,000 —      7/25/22 1.885% 6 month GBP-LIBOR-BBA (214,980)
GBP 11,634,000 —      4/24/23 1.8363% 6 month GBP-LIBOR-BBA (18,742)
JPY 1,004,266,000 —      5/2/43 1.7625% 6 month JPY-LIBOR-BBA (42,237)
SEK 22,106,000 —      5/2/23 2.065% 3 month SEK-STIBOR-SIDE (512)
Citibank, N.A.
$85,982,000 (E) (83,138)     6/19/15 0.40% 3 month USD-LIBOR-BBA (147,625)
15,735,000 —      4/11/23 3 month USD-LIBOR-BBA 1.9225% 138,681
25,374,000 (E) (461,381)     6/19/23 2.00% 3 month USD-LIBOR-BBA (725,017)
1,234,000 (E) (9,626)     6/19/43 3.00% 3 month USD-LIBOR-BBA (54,926)
23,434,000 (E) (62,425)     6/19/18 1.00% 3 month USD-LIBOR-BBA (197,405)
7,198,000 —      4/4/23 2.0212% 3 month USD-LIBOR-BBA (134,922)
CZK 60,019,000 —      1/17/23 6 month CZK-PRIBOR-PRBO 1.41% 75,344
GBP 8,857,000 —      4/26/23 6 month GBP-LIBOR-BBA 1.815% (15,585)
PLN 9,716,000 —      1/17/23 3.84% 6 month PLN-WIBOR-WIBO (196,520)
Credit Suisse International
$29,010,000 —      1/9/16 3 month USD-LIBOR-BBA 0.515% 120,724
14,593,000 —      1/11/16 3 month USD-LIBOR-BBA 0.50% 53,896
17,635,000 —      1/11/18 0.88% 3 month USD-LIBOR-BBA (135,691)
4,612,000 —      1/11/23 3 month USD-LIBOR-BBA 1.88% 59,402
24,040,000 —      1/7/16 3 month USD-LIBOR-BBA 0.54% 119,019
9,170,000 —      1/9/23 3 month USD-LIBOR-BBA 1.93% 163,352
35,271,000 —      1/9/18 0.9125% 3 month USD-LIBOR-BBA (331,129)
7,535,000 —      1/7/23 3 month USD-LIBOR-BBA 1.94% 142,066
28,992,000 —      1/7/18 0.93% 3 month USD-LIBOR-BBA (299,077)
17,565,000 —      3/4/18 0.9275% 3 month USD-LIBOR-BBA (124,465)
5,429,000 (E) (3,975)     6/19/43 3.00% 3 month USD-LIBOR-BBA (203,274)
68,538,000 (E) (723,578)     6/19/23 2.00% 3 month USD-LIBOR-BBA (1,435,688)
4,567,000 —      3/8/23 3 month USD-LIBOR-BBA 2.01875% 94,914
4,567,000 —      3/11/23 3 month USD-LIBOR-BBA 2.065% 113,492
17,565,000 —      3/11/18 0.9875% 3 month USD-LIBOR-BBA (171,505)
51,067,000 —      3/20/18 0.968125% 3 month USD-LIBOR-BBA (430,281)
14,544,000 —      3/4/16 3 month USD-LIBOR-BBA 0.5025% 34,514
4,602,000 —      3/4/23 3 month USD-LIBOR-BBA 1.975% 77,565
120,086,000 (E) (100,281)     6/19/15 0.40% 3 month USD-LIBOR-BBA (190,346)
123,901,000 (E) (397,605)     6/19/18 1.00% 3 month USD-LIBOR-BBA (1,111,275)
21,781,000 —      3/6/16 3 month USD-LIBOR-BBA 0.495% 46,086
6,850,000 —      3/6/23 3 month USD-LIBOR-BBA 1.9575% 103,505
26,347,000 —      3/6/18 0.915% 3 month USD-LIBOR-BBA (168,819)
153,449,000 (E) 1,425,696      6/19/23 3 month USD-LIBOR-BBA 2.00% 3,020,032
29,773,000 (E) (200)     6/19/15 3 month USD-LIBOR-BBA 0.40% 22,131
14,403,000 —      3/8/16 3 month USD-LIBOR-BBA 0.5175% 40,076
17,565,000 —      3/8/18 0.955% 3 month USD-LIBOR-BBA (146,081)
14,403,000 —      3/11/16 3 month USD-LIBOR-BBA 0.535% 47,034
13,437,000 —      3/20/23 3 month USD-LIBOR-BBA 2.045% 299,272
42,288,000 —      3/20/16 3 month USD-LIBOR-BBA 0.521465% 114,901
10,324,000 —      4/9/23 3 month USD-LIBOR-BBA 1.865% 35,504
15,772,000 —      4/12/23 3 month USD-LIBOR-BBA 1.948% 168,474
8,402,000 —      5/2/23 1.824% 3 month USD-LIBOR-BBA 19,442
AUD 14,134,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8725% 107,676
CAD 6,840,000 —      4/25/23 3 month CAD-BA-CDOR 2.208% 32,461
CAD 15,718,000 —      4/29/23 3 month CAD-BA-CDOR 2.15% (6,514)
CHF 10,035,000 —      5/3/23 1.0075% 6 month CHF-LIBOR-BBA 7,522
CHF 10,035,000 —      5/3/23 1.01875% 6 month CHF-LIBOR-BBA (4,209)
EUR 32,040,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (511,752)
EUR 11,923,000 —      4/26/23 6 month EUR-EURIBOR-REUTERS 1.5165% 75,757
EUR 7,818,000 —      5/2/23 6 month EUR-EURIBOR-REUTERS 1.47% (412)
EUR 9,108,000 —      5/3/23 6 month EUR-EURIBOR-REUTERS 1.457% (16,073)
GBP 9,024,000 —      4/24/23 6 month GBP-LIBOR-BBA 1.8325% 9,481
SEK 50,651,000 —      5/2/23 2.07% 3 month SEK-STIBOR-SIDE (4,767)
Deutsche Bank AG
$67,942,000 (E) 173,866      6/19/18 3 month USD-LIBOR-BBA 1.00% 565,212
79,717,000 (E) 643,227      6/19/23 3 month USD-LIBOR-BBA 2.00% 1,471,487
1,239,000 (E) (2,810)     6/19/43 3.00% 3 month USD-LIBOR-BBA (48,294)
80,352,000 (E) (92,155)     6/19/15 0.40% 3 month USD-LIBOR-BBA (152,419)
40,393,000 (E) (109,532)     6/19/23 2.00% 3 month USD-LIBOR-BBA (529,216)
PLN 38,716,000 —      4/17/15 6 month PLN-WIBOR-WIBO 3.025% 60,798
Goldman Sachs International
$39,913,000 (E) 783,324      6/19/23 3 month USD-LIBOR-BBA 2.00% 1,198,019
10,310,000 (E) 3,015      6/19/15 3 month USD-LIBOR-BBA 0.40% 10,748
4,809,000 (E) (20,102)     6/19/18 3 month USD-LIBOR-BBA 1.00% 7,598
40,231,600 (E) (790,959)     6/19/23 2.00% 3 month USD-LIBOR-BBA (1,208,965)
43,223,000 (E) 278,412      6/19/43 3 month USD-LIBOR-BBA 3.00% 1,865,129
2,976,000 (E) 91,214      6/19/43 3.00% 3 month USD-LIBOR-BBA (18,035)
10,328,000 —      4/8/23 3 month USD-LIBOR-BBA 1.94% 109,583
AUD 7,759,000 —      5/1/23 3.775% 6 month AUD-BBR-BBSW 6,853
AUD 29,873,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8825% 253,946
CAD 8,374,000 —      4/25/23 3 month CAD-BA-CDOR 2.2069% 38,908
CHF 27,397,000 —      5/2/23 6 month CHF-LIBOR-BBA 1.008% (17,385)
EUR 14,510,000 —      10/18/22 1.818% 6 month EUR-EURIBOR-REUTERS (902,303)
EUR 414,324,000 (E) —      8/6/17 1 year EUR-EONIA-OIS-COMPOUND 1.102% 1,833,364
EUR 100,389,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% 74,530
EUR 100,389,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (391,047)
EUR 100,389,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% 74,516
EUR 100,389,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (403,643)
EUR 100,389,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% 9,923
EUR 100,389,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (321,003)
EUR 12,664,000 —      2/22/23 6 month EUR-EURIBOR-Telerate 1.9135% 779,527
EUR 59,864,000 —      2/22/15 0.59% 6 month EUR-EURIBOR-Telerate (331,385)
EUR 29,758,000 —      4/22/23 1.5445% 6 month EUR-EURIBOR-REUTERS (301,078)
GBP 6,323,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 796,725
GBP 8,728,000 —      4/25/23 6 month GBP-LIBOR-BBA 1.8463% 25,970
GBP 5,808,000 —      4/29/23 6 month GBP-LIBOR-BBA 1.79375% (30,081)
JPY 969,150,000 —      4/30/23 0.73625% 6 month JPY-LIBOR-BBA 13,091
PLN 38,716,000 —      4/17/15 6 month PLN-WIBOR-WIBO 3.02% 59,550
JPMorgan Chase Bank N.A.
$22,584,000 —      2/28/18 0.92% 3 month USD-LIBOR-BBA (155,974)
30,172,000 (E) (33,466)     6/19/15 0.40% 3 month USD-LIBOR-BBA (56,095)
62,788,000 (E) (162,960)     6/19/18 1.00% 3 month USD-LIBOR-BBA (524,618)
1,880,000 (E) 15,838      6/19/23 3 month USD-LIBOR-BBA 2.00% 35,371
32,055,200 (E) (447,170)     6/19/23 2.00% 3 month USD-LIBOR-BBA (780,224)
8,908,000 —      4/15/23 3 month USD-LIBOR-BBA 1.9475% 96,050
AUD 8,637,000 —      4/30/23 3.805% 6 month AUD-BBR-BBSW (16,959)
AUD 11,393,000 —      4/26/23 6 month AUD-BBR-BBSW 3.8875% 101,937
CAD 8,100,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (271,676)
CAD 16,713,000 —      5/2/15 3 month CAD-BA-CDOR 1.6575% 156,765
CAD 23,610,000 —      2/26/18 3 month CAD-BA-CDOR 1.65% 107,595
CAD 10,727,000 —      4/26/23 2.1706% 3 month CAD-BA-CDOR (13,533)
CZK 60,019,000 —      1/16/23 6 month CZK-PRIBOR-PRBO 1.44% 84,460
CZK 60,019,000 —      1/21/23 6 month CZK-PRIBOR-PRBO 1.44% 83,667
GBP 10,623,000 —      2/20/23 2.226% 6 month GBP-LIBOR-BBA (702,420)
GBP 52,434,000 —      2/20/15 6 month GBP-LIBOR-BBA 0.668% 136,410
PLN 9,716,000 —      1/16/23 3.855% 6 month PLN-WIBOR-WIBO (204,559)
PLN 9,716,000 —      1/21/23 3.81% 6 month PLN-WIBOR-WIBO (188,410)
PLN 38,715,000 —      4/17/15 6 month PLN-WIBOR-WIBO 3.01% 57,173
Royal Bank of Scotland PLC (The)
$4,479,000 (E) (59,343)     6/19/23 2.00% 3 month USD-LIBOR-BBA (105,879)
Total $(6,886,346)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/13 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$995,704 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $(11,605)
17,309,471 (94,661)     1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 217,151
4,704,738 74,982      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (16,193)
Barclays Bank PLC
1,017,393 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,726
1,531,240 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (14,977)
1,840,002 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,930
1,576,231 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (459)
5,414,886 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (63,109)
22,153,711 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (258,194)
1,398,066 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (16,294)
6,639,440 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 52,704
653,559 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,655
2,492,378 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (29,048)
173,412 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,021)
1,771,046 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (515)
8,264,882 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,404)
5,654,036 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (65,896)
2,487,549 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (19,365)
5,796,807 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 46,015
5,188,575 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,509)
1,581,646 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 8,846
283,373 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,663)
1,554,013 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 12,336
12,280,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (315,473)
723,177 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (210)
4,747,070 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (83,746)
3,422,397 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 23,056
745,020 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 5,019
6,271,180 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (73,088)
910,345 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 2,581
5,313,139 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,546)
4,213,644 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 33,448
3,854,539 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 21,558
2,446,663 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 19,422
4,491,720 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (52,349)
1,326,390 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,040
787,659 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,110
2,932,142 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (34,173)
6,112,629 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 10,957
22,308,098 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (6,489)
1,903,800 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 12,825
4,896,943 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,424)
891,657 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,389
2,891,493 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,747
2,096,162 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,616
9,539,151 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 168,285
269,965 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 526
271,427 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 2,155
15,150,992 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 120,269
9,374,188 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 18,268
10,822,183 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools (85,907)
6,695,799 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic MBX Index 6.00% 30 year Fannie Mae pools (13,048)
10,693,902 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 188,657
1,645,051 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 29,021
4,002,085 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 46,643
2,447,013 (10,515)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,405)
1,223,506 (2,963)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (408)
1,223,506 (5,257)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,702)
4,704,738 76,452      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (14,723)
2,455,384 (9,016)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,528)
6,377,369 (23,417)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (9,164)
2,455,384 (9,016)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,528)
7,758,219 (96,978)     1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 7,987
74,865 (772)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 44
Citibank, N.A.
3,113,499 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (906)
7,084,185 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,061)
6,559,365 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,908)
3,243,264 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (37,799)
5,135,559 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 90,599
3,309,438 —      1/12/41 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 51,855
8,047,240 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 93,788
Credit Suisse International
2,361,395 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (687)
16,036,973 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 108,037
4,008,767 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 27,006
1,769,259 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (20,620)
3,158,825 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (36,815)
3,185,759 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 25,289
995,138 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,598)
6,099,139 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 41,088
5,814,414 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 67,765
3,633,580 64,723      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (5,693)
4,704,738 80,863      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (10,312)
Deutsche Bank AG
3,185,759 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 25,289
Goldman Sachs International
3,044,350 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (35,481)
915,511 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (7,127)
3,630,326 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (28,262)
7,020,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 96,455
5,265,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 67,023
1,319,701 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (12,403)
1,871,833 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,816)
1,880,288 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (33,171)
3,799,260 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (37,160)
3,799,260 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (37,160)
2,998,601 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (52,900)
908,261 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (16,023)
6,434,958 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (74,997)
3,234,197 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (37,693)
11,621,989 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (205,030)
10,786,068 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (190,283)
2,017,860 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 16,018
758,051 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 6,017
20,081,409 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (354,267)
5,035,892 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (88,841)
1,681,986 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (19,603)
4,869,147 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (56,748)
1,742,835 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (13,568)
1,668,068 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (12,986)
3,670,561 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (42,779)
99,555 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (936)
2,154,641 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (38,011)
16,254,164 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (184,312)
1,753,467 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (13,651)
1,047,444 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (8,154)
3,506,759 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (27,300)
3,643,225 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (64,272)
723,327 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (6,798)
19,092,927 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (222,521)
6,810,118 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (79,370)
1,422,441 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 11,291
7,111,040 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (82,877)
704,417 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (8,210)
7,061,170 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (82,295)
2,764,442 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 21,944
1,706,770 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 13,548
50,972 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (479)
130,775 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 1,038
348,841 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 2,769
7,884,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) 80,574
7,884,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) 92,400
4,572,192 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (53,287)
3,062,485 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (35,692)
5,869,951 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (68,412)
4,188,532 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (48,816)
8,725,021 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (101,687)
7,884,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) 94,766
7,884,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) 135,289
8,647,729 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (84,581)
8,521,574 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 99,316
8,490,405 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 98,953
1,262,623 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,715
1,262,623 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 14,715
3,491,044 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 61,587
3,309,438 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (51,855)
778,918 (8,641)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 219
779,396 8,525      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,035
4,163,030 24,718      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (29,769)
4,159,782 55,897      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (24,201)
7,221,548 (42,878)     1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 51,640
7,216,254 94,713      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (44,237)
7,483,849 72,500      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,247)
4,704,738 80,127      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (11,047)
GBP 4,920,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index 58,465
GBP 4,920,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index 35,614
GBP 9,840,000 —      9/20/17 2.6625% GBP Non-revised UK Retail Price Index (536,946)
GBP 4,920,000 —      9/21/17 2.66% GBP Non-revised UK Retail Price Index (269,504)
GBP 4,920,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index 33,551
JPMorgan Chase Bank N.A.
$11,717,801 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (136,563)
7,819,082 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (137,941)
6,798,784 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (79,237)
GBP 4,459,000 —      9/12/14 2.825% GBP Non-revised UK Retail Price Index (102,130)
Total $(2,633,554)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/13 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  DJ CDX NA CMBX BBB Index BBB-/P $19,586 $325,000 5/11/63 300 bp $14,938
  DJ CDX NA CMBX BBB Index BBB-/P 31,648 463,000 5/11/63 300 bp 25,027
  DJ CDX NA CMBX BBB Index BBB-/P 40,127 650,000 5/11/63 300 bp 30,832
  DJ CDX NA CMBX BBB Index BBB-/P 38,247 671,000 5/11/63 300 bp 28,652
Barclays Bank PLC
  Irish Gov't, 4.50%, 4/18/2020 — (81,643) 1,019,000 9/20/17 (100 bp) (64,711)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (166,263) 1,019,000 9/20/17 (100 bp) (74,274)
Credit Suisse International
  DJ CDX NA CMBX BBB Index BBB-/P 48,442 665,000 5/11/63 300 bp 38,933
  DJ CDX NA CMBX BBB Index BBB-/P 73,649 961,000 5/11/63 300 bp 59,907
  Spain Gov't, 5.50%, 7/30/2017 — (120,132) 1,019,000 9/20/17 (100 bp) (70,439)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 161,961 1,385,000 3/20/17 500 bp (449,928)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 BB-/F — EUR 935,000 9/20/13 715 bp 44,120
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 535 bp 29,345
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 477 bp 25,909
JPMorgan Chase Bank N.A.
  DJ CDX NA HY Series 20 Index B+/P (200,141) $6,042,000 6/20/18 500 bp 191,750
  Russian Federation, 7 1/2%, 3/31/30 Baa1 — 225,000 9/20/13 276 bp 2,870
Total $(167,069)
*   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, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CZK Czech Koruna
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
Key to holding's abbreviations
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
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 at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2012 through April 30, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 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 $851,590,864.
(b) The aggregate identified cost on a tax basis is $996,616,962, resulting in gross unrealized appreciation and depreciation of $38,703,440 and $20,771,156, respectively, or net unrealized appreciation of $17,932,284.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership or control, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $51,748,870 $379,467,735 $431,216,605 $54,374 $—
Putnam Short Term Investment Fund * — 135,241,212 90,515,529 8,089 44,725,683
Totals $51,748,870 $514,708,947 $521,732,134 $62,463 $44,725,683
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $247,544,004 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 79.3%
Mexico 3.2
Russia 2.9
Venezuela 2.1
Argentina 1.5
Greece 1.3
United Kingdom 1.1
Luxembourg 1.1
Ukraine 1.0
Ireland 0.8
Brazil 0.8
Germany 0.6
Canada 0.6
Turkey 0.5
Other 3.2
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
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 market value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity and to isolate prepayment risk.
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. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge interest rate risk, and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, and to gain exposure on interest rates.
An OTC interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Upfront premiums are recorded as realizes gains and losses at the closing of the contract. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin. Payments received or made are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty. There is minimal counterparty risk with respect to centrally cleared interest rate contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In an OTC credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant OTC credit default contract.
For the fund's average notional amount on OTC credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $2,480,429 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $8,916,051 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $8,895,771.
TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Consumer cyclicals $439,302 $560 $168,974
Total common stocks 439,302 560 168,974
Convertible bonds and notes — 1,117,638 —
Convertible preferred stocks 283,872 1,213,225 —
Corporate bonds and notes — 276,077,395 —
Foreign government and agency bonds and notes — 108,844,579 —
Mortgage-backed securities — 363,884,317 —
Preferred stocks — 1,475,913 —
Purchased options outstanding — 408 —
Senior loans — 10,518,277 —
U.S. government and agency mortgage obligations — 176,075,679 —
Warrants — 6,494 —
Short-term investments 48,265,683 26,176,930 —
Totals by level $48,988,857 $965,391,415 $168,974



 Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(932,513) $—
Futures contracts (224,432) — —
Written options outstanding (20,391) — —
Forward premium swap option contracts — (12,127) —
TBA sale commitments — (77,697,655) —
Interest rate swap contracts — (4,454,160) —
Total return swap contracts — (2,962,940) —
Credit default contracts — (12,550) —
Totals by level $(244,823) $(86,071,945) $—


At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $652,749 $665,299
Foreign exchange contracts 2,924,970 3,857,483
Equity contracts 6,494 —
Interest rate contracts 20,842,841 28,516,483
Total $24,427,054 $33,039,265


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Purchased option contracts (number of contracts) 900,000
Purchased swap option contracts (contract amount) $1,220,800,000
Written option contracts (number of contracts) 30
Written swap option contracts (contract amount) $997,700,000
Futures contracts (number of contracts) 1,000
Forward currency contracts (contract amount) $800,700,000
OTC interest rate swap contracts (notional) $4,559,800,000
Centrally cleared interest rate swap contracts (notional) $3,800,000
OTC total return swap contracts (notional) $634,800,000
OTC credit default swap contracts (notional) $16,000,000
Warrants (number of warrants) 800

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 27, 2013

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: June 27, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 27, 2013