a_masterinterinctrust.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2012
Date of reporting period: June 30, 2012



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/12 (Unaudited)
MORTGAGE-BACKED SECURITIES (31.5%)(a)
Principal amount Value
American Home Mortgage Investment Trust Ser. 07-1, Class GIOP, IO, 2.078s, 2047 $1,334,842 $162,684
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 163,000 120,620
     Ser. 01-1, Class K, 6 1/8s, 2036 345,294 39,990
     Ser. 07-5, Class XW, IO, 0.58s, 2051 104,233,345 1,514,926
Barclays Capital, LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.799s, 2046 16,612,170 685,252
     Ser. 09-RR7, Class 2A7, IO, 1.564s, 2047 39,735,912 1,653,013
     Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047 48,649,447 1,240,560
     Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046 44,669,842 1,139,080
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 06-PW12, Class AJ, 5.94s, 2038 718,000 617,518
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 629,043
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 7,380,617 193,372
     Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047 4,490,120 95,640
     Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046 9,686,867 184,050
     FRB Ser. 07-AR5, Class 2A2, 0.475s, 2037 1,071,907 321,572
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 5,120,070 72,193
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.096s, 2044 31,378,998 123,788
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom) GBP 444,023 584,143
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 146,175 203,750
Countrywide Alternative Loan Trust
     Ser. 06-0A19, Class XP, IO, 2.588s, 2047 $13,330,547 933,138
     FRB Ser. 05-38, Class A1, 1.647s, 2035 1,047,676 660,036
     FRB Ser. 05-62, Class 2A1, 1.147s, 2035 1,084,936 634,687
     FRB Ser. 05-38, Class A3, 0.595s, 2035 1,496,503 886,678
     FRB Ser. 07-AL1, Class A1, 0.495s, 2037 2,367,224 982,398
     FRB Ser. 06-OA6, Class 1A1A, 0.455s, 2046 3,332,408 1,849,486
     FRB Ser. 06-OA16, Class A1C, 0.435s, 2046 1,472,472 1,148,527
     FRB Ser. 06-OA8, Class 1A1, 0.435s, 2046 2,221,905 1,266,485
     FRB Ser. 06-OA21, Class A1, 0.434s, 2047 1,814,391 934,411
     FRB Ser. 06-OA12, Class A1B, 0.434s, 2046 3,873,240 1,859,154
     FRB Ser. 07-OA4, Class A1, 0.415s, 2047 2,589,455 1,586,040
     FRB Ser. 06-OC8, Class 2A2B, 0.415s, 2036 3,713,497 1,986,720
     FRB Ser. 07-OA7, Class A1B, 0.385s, 2047 1,035,053 581,752
     FRB Ser. 07-OA3, Class 1A1, 0.385s, 2047 2,027,520 1,297,612
     FRB Ser. 06-OA18, Class A1, 0.365s, 2046 3,241,622 1,928,764
     FRB Ser. 06-OC8, Class 2A2A, 0.365s, 2036 2,214,566 1,138,618
     FRB Ser. 06-HY11, Class A1, 0.365s, 2036 1,630,372 888,553
Countrywide Home Loans
     FRB Ser. 07-HYB2, Class 3A1, 2.882s, 2047 1,526,621 797,660
     FRB Ser. 05-HY10, Class 3A1B, 2.718s, 2036 2,662,402 1,649,025
     FRB Ser. 06-OA4, Class A1, 1.107s, 2046 1,273,273 579,339
     FRB Ser. 05-3, Class 1A2, 0.535s, 2035 513,661 332,596
     FRB Ser. 06-OA4, Class A2, 0.515s, 2046 942,326 412,268
     FRB Ser. 06-OA5, Class 2A1, 0.445s, 2046 1,225,505 639,177
CS First Boston Mortgage Securities Corp. Ser. 05-C6, Class AJ, 5.23s, 2040(F) 613,000 601,828
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 350,614 17,531
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust FRB Ser. 06-OA1, Class A1, 0.445s, 2047 1,634,535 931,685
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 286,492 279,330
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.863s, 2014 (United Kingdom) GBP 22,811 35,368
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.633s, 2032 $286,014 456,457
     IFB Ser. 3408, Class EK, 24.82s, 2037 165,882 270,138
     IFB Ser. 2979, Class AS, 23.387s, 2034 85,005 115,874
     IFB Ser. 3072, Class SM, 22.91s, 2035 235,082 367,503
     IFB Ser. 3072, Class SB, 22.764s, 2035 210,594 327,883
     IFB Ser. 3249, Class PS, 21.477s, 2036 187,452 282,178
     IFB Ser. 3951, Class CS, IO, 6.508s, 2026 4,872,321 870,586
     IFB Ser. 3727, Class PS, IO, 6.458s, 2038 2,426,791 273,097
     IFB Ser. 3895, Class SM, IO, 6.408s, 2040 4,875,184 722,005
     IFB Ser. 4048, Class GS, IO, 6.408s, 2040 1,864,244 384,631
     IFB Ser. 3940, Class PS, IO, 6.408s, 2040 5,897,844 943,654
     IFB Ser. 3835, Class SC, IO, 6.408s, 2038 2,641,431 469,858
     IFB Ser. 4032, Class SA, IO, 6.258s, 2042 5,959,693 847,197
     IFB Ser. 3708, Class SA, IO, 6.208s, 2040 5,891,825 825,504
     IFB Ser. 3780, Class PS, IO, 6.208s, 2035 2,550,623 296,510
     IFB Ser. 3922, Class CS, IO, 5.858s, 2041 2,131,482 319,735
     IFB Ser. 3852, Class TB, 5.758s, 2041 1,235,060 1,326,614
     IFB Ser. 3768, Class PS, IO, 5.758s, 2036 7,513,742 788,712
     IFB Ser. 3753, Class S, IO, 5.708s, 2040 2,552,865 445,954
     Ser. 3632, Class CI, IO, 5s, 2038 1,027,433 73,359
     Ser. 3626, Class DI, IO, 5s, 2037 655,130 26,919
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 2,831,876 385,418
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 580,744 61,672
     Ser. 4010, Class NI, IO, 4s, 2041 3,931,507 592,164
     Ser. 3738, Class MI, IO, 4s, 2034 5,845,460 407,031
     Ser. 3748, Class NI, IO, 4s, 2034 2,742,669 206,358
     Ser. 3736, Class QI, IO, 4s, 2034 7,285,177 338,032
     Ser. 3751, Class MI, IO, 4s, 2034 7,740,447 291,196
     Ser. T-57, Class 1AX, IO, 0.423s, 2043 2,869,106 35,511
     Ser. 3124, Class DO, PO, zero %, 2036 9,266 8,576
     FRB Ser. 3326, Class YF, zero %, 2037 20,081 19,880
     FRB Ser. 3326, Class WF, zero %, 2035 10,389 9,558
     FRB Ser. 3030, Class EF, zero %, 2035 7,966 7,927
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.429s, 2036 358,992 645,690
     IFB Ser. 07-53, Class SP, 23.301s, 2037 202,613 321,944
     IFB Ser. 08-24, Class SP, 22.384s, 2038(F) 181,254 276,828
     IFB Ser. 05-75, Class GS, 19.514s, 2035 222,422 323,717
     IFB Ser. 05-83, Class QP, 16.756s, 2034 243,320 333,349
     IFB Ser. 12-2, Class PS, IO, 6.305s, 2041 1,932,577 407,049
     IFB Ser. 404, Class S13, IO, 6.155s, 2040 4,933,009 690,805
     IFB Ser. 10-35, Class SG, IO, 6.155s, 2040 3,592,649 563,256
     IFB Ser. 10-46, Class WS, IO, 5.505s, 2040 3,711,469 454,210
     Ser. 374, Class 6, IO, 5 1/2s, 2036 845,415 108,577
     Ser. 398, Class C5, IO, 5s, 2039 666,456 58,315
     Ser. 10-13, Class EI, IO, 5s, 2038 424,854 21,583
     Ser. 378, Class 19, IO, 5s, 2035 1,999,120 229,899
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 10,298,345 1,792,015
     Ser. 409, Class 82, IO, 4 1/2s, 2040(FWC) 7,971,000 2,182,249
     Ser. 366, Class 22, IO, 4 1/2s, 2035 774,558 61,492
     Ser. 406, Class 2, IO, 4s, 2041 3,517,514 473,809
     Ser. 406, Class 1, IO, 4s, 2041 2,288,113 326,056
     Ser. 409, Class C16, IO, 4s, 2040 5,145,000 692,403
     Ser. 03-W10, Class 1, IO, 1.426s, 2043 677,183 31,346
     Ser. 99-51, Class N, PO, zero %, 2029 29,461 28,269
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.081s, 2020(F) 2,729,861 58,974
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.949s, 2048 1,850,000 1,789,237
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 850 762
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.827s, 2041 2,947,149 3,286,246
     IFB Ser. 10-142, Class SA, IO, 6.456s, 2039 2,852,182 380,142
     IFB Ser. 10-151, Class SL, IO, 6.456s, 2039 2,396,433 395,507
     IFB Ser. 11-37, Class SB, IO, 6.456s, 2038 3,660,204 494,128
     IFB Ser. 10-85, Class SD, IO, 6.406s, 2038 475,231 76,436
     IFB Ser. 11-37, Class SD, IO, 6.406s, 2038 4,709,521 629,898
     IFB Ser. 10-163, Class SI, IO, 6.387s, 2037 3,957,272 638,110
     IFB Ser. 10-47, Class HS, IO, 6.356s, 2039 1,778,307 272,543
     IFB Ser. 10-120, Class SB, IO, 5.956s, 2035 918,957 91,188
     IFB Ser. 10-20, Class SC, IO, 5.906s, 2040 242,658 39,944
     IFB Ser. 11-79, Class AS, IO, 5.866s, 2037 2,945,379 289,887
     IFB Ser. 10-116, Class SL, IO, 5.806s, 2039 1,389,200 217,938
     IFB Ser. 11-70, Class SM, IO, 5.647s, 2041 2,415,000 689,072
     IFB Ser. 11-70, Class SH, IO, 5.647s, 2041 2,481,000 714,751
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 1,625,446 180,311
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 416,895 71,927
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,617,625 208,706
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 4,887,806 639,716
     Ser. 12-8, Class PI, IO, 4s, 2041 3,591,219 594,347
     Ser. 11-116, Class BI, IO, 4s, 2026 7,978,644 877,970
     Ser. 12-H02, Class AI, IO, 1.765s, 2062 6,101,187 451,854
     Ser. 12-H05, Class AI, IO, 1.222s, 2062 16,867,768 882,859
     Ser. 12-H04, Class FI, IO, 0.938s, 2062 16,981,829 785,410
     Ser. 11-70, PO, zero %, 2041 5,279,377 4,260,562
     Ser. 06-36, Class OD, PO, zero %, 2036 10,354 9,644
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 5,063,629 191,405
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 676,000 612,661
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.321s, 2039 60,986,075 1,103,847
GSR Mortgage Loan Trust FRB Ser. 06-OA1, Class 3A1, 2.64s, 2046 2,503,366 1,251,682
Harborview Mortgage Loan Trust
     FRB Ser. 05-8, Class 1A2B, 0.603s, 2035 753,571 173,792
     FRB Ser. 05-3, Class 2A1A, 0.483s, 2035 926,586 613,863
     FRB Ser. 06-7, Class 2A1A, 0.443s, 2046 4,197,539 2,445,066
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39, Class A1, 0.425s, 2037 3,340,137 1,786,972
IndyMac Indx Mortgage Loan Trust FRB Ser. 06-AR35, Class 2A1A, 0.415s, 2037 5,293,729 2,814,150
JPMorgan Alternative Loan Trust
     FRB Ser. 06-A7, Class 1A1, 0.405s, 2036 1,684,671 796,007
     FRB Ser. 06-A6, Class 1A1, 0.405s, 2036 4,154,380 2,254,028
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.212s, 2051 62,562,769 626,628
LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 857,101 852,816
Luminent Mortgage Trust FRB Ser. 06-1, Class A1, 0.485s, 2036 731,628 351,181
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, 0.8s, 2047 3,753,412 107,911
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.529s, 2028(F) 200,066 4,601
Merrill Lynch Mortgage Trust
     Ser. 05-LC1, Class AJ, 5.505s, 2044(F) 431,000 417,338
     Ser. 05-CKI1, Class AJ, 5.39s, 2037(F) 885,000 827,268
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.991s, 2037 621,987 46,649
     Ser. 07-C5, Class X, IO, 5.186s, 2049 2,112,436 158,433
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039(F) 1,730,000 1,500,028
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.853s, 2043 1,215,429 1,251,891
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.989s, 2012 493 —
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 193,000 193,000
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 0 1/2s, 2047 16,972,815 346,245
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 9,982,788 368,365
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 3,498,611 75,220
     FRB Ser. 06-AR1, Class 3A1, 0.475s, 2036 3,814,043 2,097,723
     FRB Ser. 06-AR3, Class 12A1, 0.465s, 2036 1,711,745 847,314
     FRB Ser. 06-AR8, Class A1A, 0.445s, 2036 2,371,072 1,237,402
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 15,194,143 203,602
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.005s, 2045 3,293,024 592,744
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 05-C20, Class B, 5.417s, 2042 1,679,000 1,616,793
     Ser. 07-C34, IO, 0.544s, 2046 17,558,009 270,393
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 05-AR17, Class A1C3, 0.725s, 2045 894,851 396,531
     FRB Ser. 05-AR15, Class A1C3, 0.725s, 2045 1,041,495 400,975
     FRB Ser. 05-AR11, Class A1C4, 0.685s, 2045 1,016,771 589,727
     FRB Ser. 05-AR13, Class A1B2, 0.675s, 2045 997,063 707,915
     FRB Ser. 05-AR2, Class 2A1B, 0.615s, 2045 783,828 589,830
Washington Mutual Mortgage Pass-Through Certificates
     FRB Ser. 06-AR11, Class 1A, 1.118s, 2046 557,660 359,691
     FRB Ser. 07-OA1, Class A1A, 0.847s, 2047 680,082 409,749
Total mortgage-backed securities (cost $107,675,841) $109,760,117

CORPORATE BONDS AND NOTES (30.0%)(a)
Principal amount Value
Basic materials (1.8%)
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 $302,000 $292,940
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 270,000 293,625
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 198,413
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.468s, 2013 (Netherlands) 75,000 66,750
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 283,000 275,925
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 170,000 180,200
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 234,000 237,510
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 180,000 180,663
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 110,000 110,120
Grohe Holding GmbH 144A company guaranty sr. notes FRN 4.662s, 2017 (Germany) EUR 313,000 370,402
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 $45,000 38,813
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 160,000 163,200
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 287,000 323,593
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 100,000 105,500
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 70,350
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 238,000 257,233
LyondellBasell Industries NV 144A company guaranty sr. notes 6s, 2021 (Netherlands) $220,000 241,450
LyondellBasell Industries NV 144A sr. unsec. notes 5s, 2019 (Netherlands) 415,000 435,231
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 135,000 119,954
Momentive Performance Materials, Inc. notes 9s, 2021 $28,000 21,210
Momentive Performance Materials, Inc. 144A company guaranty sr. notes 10s, 2020 55,000 55,138
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 155,000 167,013
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 243,000 239,963
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 333,000 448,537
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 $45,000 47,025
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 1.94s, 2015 (Germany) EUR 152,000 184,769
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $115,000 116,150
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 143,000 160,696
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 321,000 373,965
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 269,000 277,743
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) 177,000 197,576
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 201,000 212,558
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 85,000 33,575
6,497,790
Capital goods (1.5%)
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 95,000 102,006
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 284,000 301,040
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 104,000 107,120
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 105,562 118,599
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 140,000 185,199
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 $36,000 37,440
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 298,000 329,290
BE Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 140,000 143,500
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 86,000 91,590
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 24,000 26,100
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 170,000 175,100
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 147,000 157,290
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec notes 10 1/8s, 2020 95,000 97,138
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 50,000 68,229
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $307,000 330,793
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 22,000 24,420
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 253,000 232,760
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 115,000 122,044
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 229,000 313,644
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 $130,000 136,175
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 100,000 99,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. notes 7 3/4s, 2016 377,000 494,645
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019 100,000 108,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019 100,000 103,500
Ryerson, Inc. company guaranty sr. notes 12s, 2015 334,000 335,670
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 150,000 162,750
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 140,000 151,200
Terex Corp. sr. unsec. sub. notes 8s, 2017 58,000 60,175
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 391,000 399,798
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 99,000 108,900
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 290,000 318,275
5,442,390
Communication services (3.7%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 68,000 70,720
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 200,000 223,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 162,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 71,000 77,213
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 131,000 139,843
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 101,000 109,585
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 146,000 157,315
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 212,000 204,580
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 78,000 81,120
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 355,000 323,050
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 233,000 222,515
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 354,000 364,620
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 480,000 509,400
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 70,000 75,075
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 326,000 331,705
Equinix, Inc. sr. unsec. notes 7s, 2021 130,000 143,650
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 65,000 69,875
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 753,000 798,180
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 214,000 227,375
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 260,000 282,750
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 365,000 389,638
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 148,050
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 871,812 900,146
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 253,000 260,590
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 135,000 139,388
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 105,000 141,673
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $124,000 133,920
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 143,000 150,150
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 40,000 41,050
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 59,000 64,753
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 407,000 423,788
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 57,000 57,071
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 360,000 375,300
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 14,000 12,688
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 51,000 43,733
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 261,000 281,228
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 156,000 174,330
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 180,000 253,716
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 $75,000 83,606
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 68,000 74,460
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 117,000 124,605
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 801,000 821,025
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 147,000 140,753
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 418,000 469,205
Sprint Nextel Corp. 144A sr. unsec. notes 9 1/8s, 2017 160,000 168,000
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) EUR 100,000 133,148
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 293,000 402,309
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 130,000 172,741
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 218,000 293,215
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) EUR 361,000 487,887
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 50,000 87,494
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 325,000 350,536
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $60,000 64,500
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 247,000 269,230
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 109,000 115,540
12,823,037
Consumer cyclicals (5.6%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 25,000 27,063
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 20,000 15,800
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 407,000 346,968
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 250,000 213,125
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 170,000 183,600
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 225,000 236,250
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec. notes 7s, 2022 145,000 148,625
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 74,000 75,758
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 55,000 55,000
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 255,000 277,631
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 55,000 56,100
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 75,000 72,000
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 71,000 61,948
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 285,000 240,825
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 106,500
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 75,000 79,688
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 180,000 192,600
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 140,000 148,400
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 339,000 231,791
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 154,000 168,053
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 70,000 77,700
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 110,000 98,450
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 75,000 78,563
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 305,000 313,387
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 40,000 43,400
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 302,511 333,518
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 135,000 117,450
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 453,000 493,770
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 155,000 161,006
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands) EUR 307,000 410,824
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 $235,000 221,488
DISH DBS Corp. company guaranty 6 5/8s, 2014 517,000 554,482
DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015 117,000 129,870
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 192,000 207,360
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 300,000 307,125
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 385,000 408,825
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 410,000 455,200
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 210,000 218,400
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) 226,000 261,801
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 175,000 184,188
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019 140,000 151,200
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 434,000 482,825
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 356,000 364,900
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 346,000 437,315
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 50,000 64,555
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 $100,000 112,000
Lamar Media Corp. 144A sr. sub. notes 5 7/8s, 2022 55,000 56,375
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 795,000 828,788
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 155,000 169,725
Limited Brands, Inc. sr. notes 5 5/8s, 2022 85,000 87,550
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 195,000 225,378
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 340,000 27,200
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 123,000 126,690
MGM Resorts International company guaranty sr. notes 9s, 2020 45,000 49,950
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 65,000 65,325
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 205,000 211,150
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 110,000 111,925
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 522,600 546,117
Navistar International Corp. sr. notes 8 1/4s, 2021 451,000 432,960
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 135,000 134,325
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 145,000 160,588
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 290,000 304,500
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 155,000 151,513
Owens Corning company guaranty sr. unsec. notes 9s, 2019 542,000 674,790
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 50,000 55,375
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 160,000 166,000
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 100,000 109,250
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 100,000 106,250
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 55,000 59,813
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 380,000 482,308
QVC Inc. 144A sr. notes 7 1/2s, 2019 $120,000 133,200
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 50,000 48,875
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 55,000 56,925
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 152,000 143,640
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 124,000 126,170
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Russia) 310,000 412,410
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 140,000 150,150
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 87,000 94,396
Sears Holdings Corp. company guaranty 6 5/8s, 2018 139,000 124,058
Spectrum Brands Holdings, Inc. Company guaranty sr. notes 9 1/2s, 2018 385,000 435,050
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 110,000 113,575
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 70,000 73,850
Toys “R” Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 30,000 30,600
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 45,000 44,213
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 293,000 320,103
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 127,000 48,578
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 26,000 19,013
Travelport, LLC 144A sr. notes 6.461s, 2016(PIK) 48,000 36,720
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 127,000 88,900
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 110,000 146,023
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $350,000 399,875
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 200,000 206,000
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 105,000 116,288
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 65,000 72,475
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 524,000 563,300
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 135,000 137,363
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 350,000 371,875
19,484,797
Consumer staples (1.9%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,400,000 766,435
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 $105,000 114,975
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 345,000 354,919
Avis Budget Car Rental, LLC 144A company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 50,000 53,625
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 184,000 209,530
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 106,018 116,752
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 124,000 106,020
Claire's Stores, Inc. 144A sr. notes 9s, 2019 165,000 166,856
Constellation Brands, Inc. company guaranty sr. unsec. notes 7 1/4s, 2017 23,000 26,306
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 111,000 125,708
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 96,750
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 257,000 278,203
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 118,000 125,375
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 115,000 125,925
Dole Food Co. 144A sr. notes 8s, 2016 87,000 90,806
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 294,000 358,000
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $165,000 181,088
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 100,000 120,595
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 $65,000 69,713
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 156,000 212,313
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 $67,000 65,158
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 350,000 325,500
Libbey Glass, Inc. 144A company guaranty sr. notes 6 7/8s, 2020 119,000 122,273
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 70,000 73,850
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 215,000 235,425
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 315,000 321,300
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 321,000 328,223
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 55,000 62,288
Rite Aid Corp. 144A sr. notes 9 1/4s, 2020 165,000 165,413
Service Corporation International sr. notes 7s, 2019 80,000 86,000
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 185,000 190,550
UR Merger Sub Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 565,000 627,150
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 6,000 6,360
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 191,000 199,595
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020 50,000 51,125
6,560,104
Energy (6.3%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 130,000 109,200
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 136,000 116,280
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 283,000 321,368
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 48,000 40,560
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019 200,000 169,000
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 65,000 30,225
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 50,000 52,250
Aurora USA Oil & Gas Inc.. 144A sr. notes 9 7/8s, 2017 110,000 112,475
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 347,000 362,615
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 155,575
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 50,000 60,537
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $495,000 533,363
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 41,000 39,873
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 135,000 130,950
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 65,000 63,700
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 233,438
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 87,120
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 225,000 186,164
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 $125,000 131,250
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 710,000 736,625
Continental Resources, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 185,000 187,775
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 365,000 385,531
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2022 65,000 64,025
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 118,000 129,210
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 95,000 98,563
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. notes 6 7/8s, 2019 75,000 78,375
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. unsec. notes 9 3/8s, 2020 260,000 269,425
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 405,000 352,350
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 98,000 89,425
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 150,000 141,750
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 180,000 181,350
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 2,055,000 2,541,316
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 176,000 207,889
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 230,000 256,758
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 195,000 185,738
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 15,000 14,550
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 155,000 155,000
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 98,000 157,920
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 $41,000 20,705
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 76,000 74,100
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 45,000 43,650
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019 55,000 56,650
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 188,000 209,620
Laredo Petroleum, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 65,000 67,600
Lone Pine Resources Canada, Ltd. 144A company guaranty sr. notes 10 3/8s, 2017 (Canada) 80,000 75,400
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 285,000 291,056
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 225,000 171,000
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 275,000 262,631
Northern Oil and Gas, Inc. 144A company guaranty sr. unsec notes 8s, 2020 160,000 159,200
Oasis Petroleum, Inc. company guaranty sr. unsec notes 6 7/8s, 2023 110,000 110,000
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 165,000 179,025
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 140,000 151,900
PDC Energy, Inc. company guaranty sr. unsec. notes 12s, 2018 240,000 256,800
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 494,000 543,400
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 19,000 19,238
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 317,000 315,415
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 440,000 534,741
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 673,607
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 95,000 105,254
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,500,000 1,038,930
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 620,000 524,712
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 920,000 702,319
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 1,135,000 922,188
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 225,000 222,750
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) 175,000 197,750
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,855,000 2,355,850
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 140,000 141,400
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) 425,000 533,375
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 150,000 162,750
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 75,000 74,063
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 124,000 135,160
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 415,000 412,925
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 5,000 4,938
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 578,000 585,225
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 85,000 87,125
SM Energy Co. 144A sr. notes 6 1/2s, 2023 35,000 35,569
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 60,000 60,525
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 480,000 486,000
22,174,064
Financials (3.9%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 119,000 104,869
Air Lease Corp. 144A sr. notes 5 5/8s, 2017 165,000 162,113
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 140,000 147,464
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 403,000 405,015
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 70,850
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 634,919
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.667s, 2014 39,000 37,414
Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil) 436,000 234,444
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) $200,000 203,500
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 790,000 809,393
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 56,000 59,360
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 137,700
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017 110,000 113,300
CIT Group, Inc. 144A bonds 7s, 2017 366,251 366,938
CIT Group, Inc. 144A bonds 7s, 2016 304,000 304,760
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 220,888
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 165,000 169,538
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 55,000 59,263
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 170,000 168,300
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 95,000 96,781
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 65,000 65,894
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 385,000 409,063
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 21,000 21,473
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 76,000 76,000
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 1,000,000 1,225,551
JPMorgan Chase & Co. 144A sr. unsec. unsub. notes 8s, 2012 19,000,000 339,676
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 75,000 78,188
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 110,000 110,825
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 75,000 82,688
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 146,000 148,190
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Luxembourg) 2,750,000 2,771,185
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg) 325,000 338,520
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg) 500,000 507,500
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 157,181
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) 200,000 180,016
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,385,000 1,452,518
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 130,000 134,377
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) 927,000 938,476
13,544,130
Health care (1.7%)
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 139,000 143,170
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 100,000 106,813
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 160,000 165,600
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 220,000 298,169
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 $220,000 234,300
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 130,530
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $428,000 430,140
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 203,000 220,509
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 220,000 229,625
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 130,000 141,375
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 165,000 172,013
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 226,000 242,385
HCA, Inc. sr. notes 6 1/2s, 2020 688,000 746,480
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 195,000 211,575
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 325,000 332,312
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 239,000 236,610
Kinetics Concept/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 195,000 176,475
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 150,000 164,250
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 85,000 90,738
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 310,000 310,775
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 120,841 122,352
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 160,000 170,000
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 119,000 136,255
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 200,000 211,000
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 198,000 222,255
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 30,000 30,300
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 75,000 77,531
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 30,000 31,275
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 7,000 4,655
5,789,467
Technology (1.4%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 261,000 287,100
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 6,000 4,980
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 107,000 88,543
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 241,000 223,528
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 129,000 125,130
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 283,000 271,680
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 80,000 81,600
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 111,000 124,875
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 76,000 83,790
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 346,000 346,432
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 314,401 321,475
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 97,000 91,423
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 231,000 231,000
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 75,000 81,188
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 105,000 107,100
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 43,000 46,225
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 368,000 400,200
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 470,000 498,200
Lawson Software, Inc. 144A sr. notes 9 3/8s, 2019 55,000 58,713
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 314,000 357,960
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 186,000 205,763
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 10 1/4s, 2015 351,000 360,653
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 149,000 158,685
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 188,000 203,980
4,760,223
Transportation (0.3%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 528,000 575,757
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 $198,000 204,930
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 240,000 260,400
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 125,000 75,625
1,116,712
Utilities and power (1.9%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 475,000 540,313
AES Corp. (The) 144A sr. notes 7 3/8s, 2021 135,000 150,188
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 165,000 180,263
Calpine Corp. 144A sr. notes 7 1/4s, 2017 425,000 456,874
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) 401,000 268,670
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 151,000 84,938
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 69,000 42,090
Edison Mission Energy sr. unsec. notes 7.2s, 2019 147,000 81,953
Edison Mission Energy sr. unsec. notes 7s, 2017 23,000 12,880
El Paso Natural Gas Co. debs. 8 5/8s, 2022 247,000 316,156
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 595,000 635,163
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 296,000 321,900
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 300,000 329,250
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 278,000 271,050
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 44,494
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 115,000 124,919
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) 400,000 480,000
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,085,000 1,286,690
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 75,000 79,500
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 600,950
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 110,000 122,796
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 90,000 61,425
6,492,462
Total corporate bonds and notes (cost $103,289,855) $104,685,176

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (19.2%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.6%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $769,436 $872,469
     3 1/2s, TBA, July 1, 2042 1,000,000 1,068,750
1,941,219
U.S. Government Agency Mortgage Obligations (18.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, TBA, July 1, 2042 11,000,000 11,537,109
Federal National Mortgage Association Pass-Through Certificates
     3 1/2s, TBA, July 1, 2042 42,000,000 44,139,375
     3s, TBA, July 1, 2042 9,000,000 9,228,515
64,904,999
Total U.S. government and agency mortgage obligations (cost $66,462,720) $66,846,218

U.S. TREASURY OBLIGATIONS (1.0%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 1.125%, January 15, 2021(i) $58,883 $68,151
U.S. Treasury Inflation Protected Securities 1.875%, July 15, 2013(i) 194,117 200,548
U.S. Treasury Inflation Protected Securities 1.875%, July 15, 2019(i) 127,118 153,257
U.S. Treasury Notes 0.500%, November 15, 2013(i) 2,355,000 2,363,101
U.S. Treasury Notes 1.250%, October 31, 2015(i) 684,000 702,461
U.S. Treasury Notes 1.375%, November 15, 2012(i) 8,000 8,049
Total U.S. treasury Obligations (cost $3,495,567) $3,495,567

PURCHASED OPTIONS OUTSTANDING (12.8%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. Aug-16/4.28 $24,236,000 $3,690,900
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. Aug-16/4.28 $24,236,000 $642,739
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 $5,316,000 $488,540
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 $5,316,000 $484,819
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 $5,316,000 $70,809
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021. Aug-16/4.17 $5,316,000 $66,025
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.67 $19,702,000 $3,553,847
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.67 $19,702,000 $420,047
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.74 $12,253,944 $2,287,235
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. Jul-16/4.74 $12,253,944 $250,507
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/5.11 $10,549,000 $79,539
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.72% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.72 $15,808,000 $1,839,735
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.72% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.72 $15,808,000 $150,650
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 $14,853,000 $1,723,097
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 $14,853,000 $1,715,670
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 $14,853,000 $141,401
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.705 $14,853,000 $130,409
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. Sep-15/4.04 $14,963,000 $2,187,740
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. Sep-15/4.04 $14,963,000 $330,682
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.375 $5,571,800 $2,033,707
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.375 $5,571,800 $195,013
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.46 $5,571,800 $2,122,856
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. Aug-15/4.46 $5,571,800 $183,869
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023. Jan-13/1.8625 $2,578,000 $48,570
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.855 $2,578,000 $46,894
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 $800,000 $37,688
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.325 $800,000 $6,784
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.3675 $4,714,000 $236,690
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.27 $4,714,000 $202,796
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/2.13375 $2,633,000 $88,679
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 $2,260,000 $212,779
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. Dec-12/2.8825 $2,260,000 $56,839
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845% versus the three month USD-LIBOR-BBA maturing December 2022. Dec-12/1.845 $2,578,000 $44,316
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.835 $2,578,000 $41,635
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 $800,000 $36,400
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.305 $800,000 $5,328
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.34375 $4,714,000 $228,912
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.2475 $4,714,000 $194,594
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/2.1125 $2,633,000 $83,413
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022. Nov-12/1.82 $2,578,000 $38,876
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.3175 $4,714,000 $219,484
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.225 $4,714,000 $185,543
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 $800,000 $34,880
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.28 $800,000 $3,792
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.193 $6,702,000 $247,304
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022. Oct-12/2.085 $2,633,000 $76,726
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 $800,000 $33,704
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.26 $800,000 $2,536
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.064 $2,633,000 $71,091
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 $2,260,000 $180,484
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. Sep-12/2.855 $2,260,000 $24,566
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. Sep-12/2.169 $6,702,000 $232,895
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/1.9475 $18,875,000 $340,694
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 $800,000 $32,280
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.235 $800,000 $1,144
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.855 $26,365,900 $2,554,592
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.855 $26,365,900 $791
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 $5,475,900 $467,259
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.73 $5,475,900 $274
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.042 $2,633,000 $64,140
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/2.144 $6,702,000 $218,150
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 $14,787,763 $2,155,760
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. Aug-12/3.37 $14,787,763 $15
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 $12,323,136 $1,970,716
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 $12,323,136 $1,786,731
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.36 $12,323,136 $12
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.52 $12,323,136 $12
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 $4,929,254 $784,146
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.51 $4,929,254 $5
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 $12,323,136 $1,995,855
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1825 $2,531,000 $91,065
Option on an interest rate swap with Barclay's Bank, PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.5375 $12,323,136 $12
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 $6,931,154 $1,125,204
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.54 $6,931,154 $7
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 $12,356,514 $1,949,240
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/3.49 $12,356,514 $12
Option on an interest rate swap with JPMorgan Chase Bank NA for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 $2,578,000 $5,491
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 $2,578,000 $5,491
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 $2,578,000 $5,491
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 $2,578,000 $5,491
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/1.6714 $2,578,000 $5,491
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 $800,000 $31,352
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.215 $800,000 $48
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 $12,272,000 $359,815
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.1075 $12,272,000 $359,815
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.11875 $12,272,000 $372,210
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.055 $2,770,000 $68,474
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. Jul-12/2.122 $6,702,000 $207,494
Total purchased options outstanding (cost $35,320,514) $44,678,813

FOREIGN GOVERNMENT AND AGENCY BONDS (6.8%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $1,520,000 $1,033,600
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 197,000 173,763
Argentina (Republic of) sr. unsec. bonds FRB 0.739s, 2013 1,431,000 157,410
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 5,501,000 4,244,021
Brazil (Federal Republic of) unsec. notes 10s, 2017 BRL 1,500 802,411
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 990 529,903
Chile (Republic of) notes 5 1/2s, 2020 CLP 170,000,000 360,855
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 $265,000 259,358
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 300,000 298,472
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 INR 22,600,000 391,965
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $690,000 765,376
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 4,000 3,890
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 1,590,000 1,701,156
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 9,750,000 288,434
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 $2,600,000 2,598,595
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030 1,964,200 2,334,942
Sri Lanka (Republic of) 144A notes 7.4s, 2015 200,000 213,594
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 1,205,000 1,402,801
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 175,000 146,125
Ukraine (Government of) 144A bonds 7 3/4s, 2020 530,000 480,180
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 560,000 504,672
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 1,715,000 1,684,987
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 1,985,000 2,027,499
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 1,285,000 1,289,343
Total foreign government and agency bonds (cost $23,900,490) $23,693,352

ASSET-BACKED SECURITIES (2.9%)(a)
Principal amount Value
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9, Class 1A2, 0.395s, 2036 $3,781,000 $1,777,070
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.12s, 2034 44,609 13,185
Citigroup Mortgage Loan Trust, Inc. Ser. 2005-WF2, Class AF4, 4.964s, 2035 449,813 413,828
Countrywide Asset Backed Certificates FRB Ser. 07-1, Class 2A2, 0.345s, 2037 1,875,000 1,729,687
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 495,084 20,298
Granite Mortgages PLC
     FRB Ser. 03-2, Class 2C1, 4.13s, 2043 EUR 1,028,000 1,001,719
     FRB Ser. 03-2, Class 3C, 3.52s, 2043 GBP 384,009 463,090
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.245s, 2030 (Cayman Islands) $405,145 198,521
Merrill Lynch First Franklin Mortgage Loan Trust FRB Ser. 07-3, Class A2B, 0 3/8s, 2037 2,608,292 1,531,068
Merrill Lynch Mortgage Investors Trust
     FRB Ser. 07-HE1, Class A2D, 0.575s, 2037 1,240,096 372,029
     FRB Ser. 07-HE2, Class A2B, 0.455s, 2037 2,731,764 874,165
     FRB Ser. 07-HE1, Class A2A, 0 3/8s, 2037 3,495,698 1,048,709
     FRB Ser. 06-HE5, Class A2B, 0.355s, 2037 1,354,362 744,899
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.445s, 2034 44,320 12,971
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 519,979 51,998
Total asset-backed securities (cost $10,540,187) $10,253,237

SENIOR LOANS (2.1%)(a)(c)
Principal amount Value
Basic materials (—%)
Momentive Performance Materials, Inc. bank term loan FRN Ser. B1, 3 3/4s, 2015 $69,764 $66,581
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 88,875 86,579
153,160
Capital goods (—%)
SRAM Corp. bank term loan FRN 8 1/2s, 2018 60,000 59,850
59,850
Communication services (0.3%)
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.72s, 2016 622,687 616,374
Intelsat SA bank term loan FRN 3.24s, 2014 (Luxembourg) 460,000 447,810
Level 3 Financing, Inc. bank term loan FRN 2.652s, 2014 15,000 14,681
1,078,865
Consumer cyclicals (1.0%)
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 6 1/4s, 2017 47,025 46,731
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.489s, 2018 722,663 638,654
CCM Merger, Inc. bank term loan FRN Ser. B, 6s, 2017 232,325 229,711
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.49s, 2014 210,657 194,682
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.889s, 2016 429,181 340,596
Compucom Systems, Inc. bank term loan FRN 3.74s, 2014 79,332 76,952
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.49s, 2014 216,620 67,287
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.24s, 2014 184,446 57,294
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.24s, 2014 68,823 21,378
Golden Nugget, Inc. bank term loan FRN Ser. B, 3 1/4s, 2014(PIK) 101,422 96,013
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3 1/4s, 2014(PIK) 57,732 54,653
Goodman Global, Inc. bank term loan FRN 9s, 2017 114,545 115,834
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 177,585 177,141
National Bedding Company, LLC bank term loan FRN Ser. B, 4 3/8s, 2013 71,584 71,584
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 160,000 157,866
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 468,197 204,134
Realogy Corp. bank term loan FRN Ser. B, 4.77s, 2016 422,232 396,898
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.795s, 2014 122,635 120,949
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.74s, 2014 12,564 12,392
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 289,000 192,185
Univision Communications, Inc. bank term loan FRN 4.489s, 2017 171,147 161,092
3,434,026
Consumer staples (0.3%)
Claire's Stores, Inc. bank term loan FRN 3.056s, 2014 137,072 129,783
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 110,257 108,362
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017 224,438 224,718
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 243,163 241,382
Rite Aid Corp. bank term loan FRN Ser. B, 1.994s, 2014 94,519 92,245
West Corp. bank term loan FRN Ser. B2, 2.653s, 2013 23,026 22,939
West Corp. bank term loan FRN Ser. B5, 4.489s, 2016 55,707 55,248
874,677
Energy (0.1%)
Chesapeake Energy Corp. bank term loan FRN 8 1/2s, 2017 160,000 158,475
EP Energy, LLC bank term loan FRN 6 1/2s, 2018 60,000 60,435
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 141,526 128,985
347,895
Financials (0.1%)
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 170,000 159,770
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2017 70,997 71,041
230,811
Health care (0.2%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 219,956 218,306
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 163,465 161,473
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 266,625 261,626
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 127,238 125,223
Quintiles Transnational Corp. bank term loan FRN 7 1/2s, 2017(PIK) 60,000 60,150
826,778
Utilities and power (0.1%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.741s, 2017 640,516 381,969
381,969
Total senior loans (cost $8,380,046) $7,388,031

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 $157,000 $218,230
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 155,000 161,975
Total convertible bonds and notes (cost $312,000) $380,205

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 3,856 $127,981
Lehman Brothers Holdings, Inc. 7.25% cv. pfd. (Escrow)(F) 667 7
Lucent Technologies Capital Trust I 7.75% cv. pfd. 176 117,040
United Technologies Corp. 7.50% cv. pfd. 2,100 110,649
Total convertible preferred stocks (cost $470,767) $355,677

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 198 $176,399
Total preferred stocks (cost $66,176) $176,399

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 20 $530
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 0.001 $508 17,669
Total warrants (cost $19,277) $18,199

COMMON STOCKS (0.0%)(a)
Shares Value
HealthSouth Corp.(NON) 224 $5,210
Magellan Health Services, Inc.(NON) 158 7,162
Trump Entertainment Resorts, Inc.(NON) 94 282
Vertis Holdings, Inc.(F)(NON) 734 7
Total common stocks (cost $17,619) $12,661

SHORT-TERM INVESTMENTS (23.8%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.12%(e) 2,514,619 $2,514,619
SSgA Prime Money Market Fund 0.09%(P) 3,650,000 3,650,000
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, September 10, 2012 5,000,000 $4,998,077
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, September 10, 2012 5,000,000 4,998,077
U.S. Treasury Bills with an effective yield of 0.104%, December 13, 2012(SEG)(SEGSF) $5,000,000 4,996,755
U.S. Treasury Bills with effective yields ranging from 0.084% to 0.102%, November 15, 2012(SEG)(SEGSF) 5,534,000 5,531,648
U.S. Treasury Bills with an effective yield of 0.087%, October 18, 2012(SEG)(SEGSF) 26,095,000 26,086,780
U.S. Treasury Bills with effective yields ranging from 0.058% to 0.096%, August 23, 2012(SEGSF) 27,424,000 27,420,302
U.S. Treasury Bills with effective yields ranging from 0.059% to 0.082%, July 26, 2012(SEG)(SEGSF) 2,463,000 2,462,888
U.S Treasury Bills with an effective yield of zero % September 20, 2012(i) 151,000.00 150,970.00
Total short-term investments (cost $82,812,408) $82,810,116

TOTAL INVESTMENTS
Total investments (cost $442,763,467)(b) $454,553,768













FORWARD CURRENCY CONTRACTS at 6/30/12 (aggregate face value $1,146,786,805) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/18/12 $1,809,634 $1,720,314 $89,320
Euro Buy 7/18/12 1,120,226 1,105,357 14,869
Japanese Yen Sell 7/18/12 1,294,873 1,320,970 26,097
Swedish Krona Buy 7/18/12 925 888 37
Swiss Franc Buy 7/18/12 1,364,950 1,346,090 18,860
Barclay's Bank PLC
Australian Dollar Buy 7/18/12 7,259,080 7,146,412 112,668
Australian Dollar Sell 7/18/12 7,259,080 6,896,529 (362,551)
Australian Dollar Sell 8/16/12 504,543 495,757 (8,786)
Brazilian Real Buy 7/18/12 895,739 871,002 24,737
Brazilian Real Sell 7/18/12 895,739 868,386 (27,353)
Brazilian Real Buy 8/16/12 109,860 109,628 232
British Pound Buy 7/18/12 2,830,087 2,806,370 23,717
British Pound Sell 7/18/12 2,830,087 2,810,044 (20,043)
British Pound Buy 8/16/12 186,351 184,649 1,702
Canadian Dollar Buy 7/18/12 5,315,122 5,260,087 55,035
Canadian Dollar Sell 7/18/12 5,315,122 5,234,415 (80,707)
Canadian Dollar Sell 8/16/12 2,993,073 2,956,652 (36,421)
Chilean Peso Buy 7/18/12 2,352,662 2,324,270 28,392
Chilean Peso Sell 7/18/12 2,352,662 2,307,481 (45,181)
Chilean Peso Buy 8/16/12 606,067 606,047 20
Czech Koruna Buy 7/18/12 3,952,528 3,892,202 60,326
Czech Koruna Sell 7/18/12 3,952,528 3,858,853 (93,675)
Czech Koruna Sell 8/16/12 1,457,496 1,461,153 3,657
Euro Buy 7/18/12 12,367,291 12,176,834 190,457
Euro Sell 7/18/12 12,367,291 12,261,724 (105,567)
Euro Sell 8/16/12 7,066,469 6,943,424 (123,045)
Hungarian Forint Buy 7/18/12 853,698 814,665 39,033
Hungarian Forint Sell 7/18/12 853,698 774,201 (79,497)
Japanese Yen Buy 7/18/12 4,227,740 4,300,947 (73,207)
Japanese Yen Sell 7/18/12 4,227,740 4,315,593 87,853
Japanese Yen Sell 8/16/12 1,645,718 1,657,211 11,493
Malaysian Ringgit Sell 7/18/12 3,618 3,591 (27)
Mexican Peso Buy 7/18/12 996,430 972,028 24,402
Mexican Peso Sell 7/18/12 996,430 959,025 (37,405)
Mexican Peso Buy 8/16/12 168,535 168,895 (360)
New Zealand Dollar Sell 7/18/12 548,487 523,630 (24,857)
Norwegian Krone Buy 7/18/12 3,778,409 3,714,881 63,528
Norwegian Krone Sell 7/18/12 3,778,409 3,682,442 (95,967)
Norwegian Krone Sell 8/16/12 662,969 684,460 21,491
Singapore Dollar Sell 7/18/12 977,459 964,790 (12,669)
South African Rand Buy 7/18/12 1,650,231 1,619,583 30,648
South African Rand Sell 7/18/12 1,650,231 1,556,419 (93,812)
South Korean Won Buy 7/18/12 717,752 711,667 6,085
Swedish Krona Buy 7/18/12 2,617,476 2,587,773 29,703
Swedish Krona Sell 7/18/12 2,617,476 2,539,923 (77,553)
Swedish Krona Buy 8/16/12 1,338,325 1,311,715 26,610
Swiss Franc Buy 7/18/12 1,193,581 1,171,536 22,045
Swiss Franc Sell 7/18/12 1,193,581 1,178,019 (15,562)
Swiss Franc Sell 8/16/12 1,194,430 1,172,627 (21,803)
Taiwan Dollar Buy 7/18/12 211,327 219,514 (8,187)
Turkish Lira Buy 7/18/12 2,459,189 2,447,343 11,846
Turkish Lira Sell 7/18/12 2,459,189 2,448,504 (10,685)
Turkish Lira Sell 8/16/12 595,334 597,757 2,423
Citibank, N.A.
Australian Dollar Buy 7/18/12 2,924,584 2,876,162 48,422
Australian Dollar Sell 7/18/12 2,924,584 2,776,742 (147,842)
Australian Dollar Sell 8/16/12 241,059 236,687 (4,372)
Brazilian Real Buy 7/18/12 795,987 782,829 13,158
Brazilian Real Sell 7/18/12 795,987 781,301 (14,686)
Brazilian Real Buy 8/16/12 2,912 2,913 (1)
British Pound Buy 7/18/12 1,620,123 1,604,923 15,200
British Pound Sell 7/18/12 1,620,123 1,589,421 (30,702)
British Pound Sell 8/16/12 1,620,000 1,604,830 (15,170)
Canadian Dollar Buy 7/18/12 2,707,785 2,652,476 55,309
Canadian Dollar Sell 7/18/12 2,707,785 2,678,049 (29,736)
Canadian Dollar Buy 8/16/12 51,909 51,255 654
Czech Koruna Buy 7/18/12 1,915,118 1,895,189 19,929
Czech Koruna Sell 7/18/12 1,915,118 1,886,488 (28,630)
Czech Koruna Sell 8/16/12 1,097,596 1,101,680 4,084
Euro Buy 7/18/12 5,291,046 5,205,752 85,294
Euro Sell 7/18/12 5,291,046 5,274,469 (16,577)
Euro Sell 8/16/12 3,090,267 3,035,188 (55,079)
Japanese Yen Buy 7/18/12 2,283,907 2,299,962 (16,055)
Japanese Yen Sell 7/18/12 2,283,907 2,331,247 47,340
Japanese Yen Sell 8/16/12 2,284,817 2,301,064 16,247
Mexican Peso Buy 7/18/12 835,036 781,346 53,690
Mexican Peso Sell 7/18/12 835,036 796,764 (38,272)
Mexican Peso Sell 8/16/12 120 136 16
Norwegian Krone Buy 7/18/12 354,663 345,856 8,807
Norwegian Krone Sell 7/18/12 354,663 347,908 (6,755)
Norwegian Krone Buy 8/16/12 354,294 347,565 6,729
Singapore Dollar Sell 7/18/12 976,432 969,009 (7,423)
South African Rand Buy 7/18/12 1,650,206 1,631,553 18,653
South African Rand Sell 7/18/12 1,650,206 1,556,718 (93,488)
South Korean Won Buy 7/18/12 636,783 629,608 7,175
Swedish Krona Buy 7/18/12 298,817 292,859 5,958
Swedish Krona Sell 7/18/12 298,817 287,055 (11,762)
Swedish Krona Sell 8/16/12 298,499 292,548 (5,951)
Swiss Franc Buy 7/18/12 1,217,399 1,201,977 15,422
Swiss Franc Sell 7/18/12 1,217,399 1,195,137 (22,262)
Swiss Franc Buy 8/16/12 1,218,266 1,196,177 22,089
Taiwan Dollar Sell 7/18/12 741,183 739,995 (1,188)
Turkish Lira Buy 7/18/12 1,491,491 1,450,129 41,362
Turkish Lira Sell 7/18/12 1,491,491 1,465,671 (25,820)
Turkish Lira Buy 8/16/12 676,431 680,306 (3,875)
Credit Suisse AG
Australian Dollar Buy 7/18/12 7,132,346 6,963,138 169,208
Australian Dollar Sell 7/18/12 7,132,346 6,874,117 (258,229)
Australian Dollar Buy 8/16/12 2,984,040 2,929,386 54,654
Brazilian Real Buy 7/18/12 1,285,717 1,252,728 32,989
Brazilian Real Sell 7/18/12 1,285,717 1,269,892 (15,825)
Brazilian Real Buy 8/16/12 489,930 488,437 1,493
British Pound Buy 7/18/12 3,000,008 2,975,172 24,836
British Pound Sell 7/18/12 3,000,008 3,008,910 8,902
British Pound Buy 8/16/12 392,903 389,196 3,707
Canadian Dollar Buy 7/18/12 3,568,666 3,523,461 45,205
Canadian Dollar Sell 7/18/12 3,568,666 3,526,454 (42,212)
Canadian Dollar Sell 8/16/12 5,308,725 5,261,515 (47,210)
Chilean Peso Buy 7/18/12 3,901,436 3,856,472 44,964
Chilean Peso Sell 7/18/12 3,901,436 3,834,385 (67,051)
Chilean Peso Buy 8/16/12 436,322 439,469 (3,147)
Czech Koruna Buy 7/18/12 2,297,165 2,276,451 20,714
Czech Koruna Sell 7/18/12 2,297,165 2,258,455 (38,710)
Czech Koruna Sell 8/16/12 1,479,619 1,482,867 3,248
Euro Buy 7/18/12 11,142,016 10,965,429 176,587
Euro Sell 7/18/12 11,142,016 11,087,521 (54,495)
Euro Sell 8/16/12 3,655,908 3,593,318 (62,590)
Hungarian Forint Buy 7/18/12 1,644,480 1,587,151 57,329
Hungarian Forint Sell 7/18/12 1,644,480 1,560,615 (83,865)
Hungarian Forint Buy 8/16/12 487,997 489,765 (1,768)
Japanese Yen Buy 7/18/12 1,733,998 1,769,929 (35,931)
Japanese Yen Sell 7/18/12 1,733,998 1,744,917 10,919
Japanese Yen Buy 8/16/12 1,693,323 1,704,462 (11,139)
Mexican Peso Buy 7/18/12 1,648,253 1,557,526 90,727
Mexican Peso Sell 7/18/12 1,648,253 1,579,038 (69,215)
New Zealand Dollar Sell 7/18/12 1,565,736 1,511,758 (53,978)
Norwegian Krone Buy 7/18/12 5,358,508 5,264,292 94,216
Norwegian Krone Sell 7/18/12 5,358,508 5,235,076 (123,432)
Norwegian Krone Sell 8/16/12 1,526,052 1,497,488 (28,564)
Philippines Peso Buy 7/18/12 809,343 788,303 21,040
Polish Zloty Buy 7/18/12 1,290,549 1,287,889 2,660
Polish Zloty Sell 7/18/12 1,290,549 1,258,248 (32,301)
Polish Zloty Sell 8/16/12 534,459 531,550 (2,909)
Singapore Dollar Buy 7/18/12 204,854 205,955 (1,101)
South African Rand Buy 7/18/12 568,860 605,880 (37,020)
South Korean Won Buy 7/18/12 1,169,261 1,149,325 19,936
Swedish Krona Buy 7/18/12 5,383,811 5,271,648 112,163
Swedish Krona Sell 7/18/12 5,383,811 5,221,475 (162,336)
Swedish Krona Buy 8/16/12 2,596,448 2,544,310 52,138
Swiss Franc Buy 7/18/12 1,897 1,870 27
Swiss Franc Sell 7/18/12 1,897 1,861 (36)
Swiss Franc Buy 8/16/12 1,898 1,863 35
Taiwan Dollar Sell 7/18/12 786,156 785,160 (996)
Turkish Lira Buy 7/18/12 5,074,630 4,989,059 85,571
Turkish Lira Sell 7/18/12 5,074,630 4,990,649 (83,981)
Turkish Lira Buy 8/16/12 187,493 188,235 (742)
Deutsche Bank AG
Australian Dollar Buy 7/18/12 2,762,794 2,730,526 32,268
Australian Dollar Sell 7/18/12 2,762,794 2,621,644 (141,150)
Australian Dollar Sell 8/16/12 146,063 143,144 (2,919)
Brazilian Real Buy 7/18/12 793,009 782,970 10,039
Brazilian Real Sell 7/18/12 793,009 778,609 (14,400)
British Pound Buy 7/18/12 2,643,722 2,603,386 40,336
British Pound Sell 7/18/12 2,643,722 2,625,401 (18,321)
British Pound Sell 8/16/12 927,840 919,390 (8,450)
Canadian Dollar Buy 7/18/12 6,864,560 6,751,769 112,791
Canadian Dollar Sell 7/18/12 6,864,560 6,763,996 (100,564)
Canadian Dollar Sell 8/16/12 206,459 200,681 (5,778)
Czech Koruna Buy 7/18/12 2,290,209 2,270,384 19,825
Czech Koruna Sell 7/18/12 2,290,209 2,246,922 (43,287)
Czech Koruna Sell 8/16/12 1,472,653 1,476,913 4,260
Euro Buy 7/18/12 5,231,687 5,141,186 90,501
Euro Sell 7/18/12 5,231,687 5,226,111 (5,576)
Euro Sell 8/16/12 5,233,071 5,142,521 (90,550)
Mexican Peso Buy 7/18/12 826,488 802,791 23,697
Mexican Peso Sell 7/18/12 826,488 788,676 (37,812)
Mexican Peso Sell 8/16/12 454,688 455,067 379
Polish Zloty Buy 7/18/12 842,680 839,745 2,935
Polish Zloty Sell 7/18/12 842,680 781,544 (61,136)
Polish Zloty Sell 8/16/12 521,413 520,535 (878)
Singapore Dollar Sell 7/18/12 184,409 184,095 (314)
South Korean Won Buy 7/18/12 812,874 790,037 22,837
South Korean Won Sell 7/18/12 812,874 785,097 (27,777)
South Korean Won Buy 8/16/12 519,914 522,326 (2,412)
Swedish Krona Buy 7/18/12 2,644,075 2,601,244 42,831
Swedish Krona Sell 7/18/12 2,644,075 2,567,448 (76,627)
Swedish Krona Buy 8/16/12 1,540,269 1,507,771 32,498
Swiss Franc Buy 7/18/12 14,860 14,590 270
Swiss Franc Sell 7/18/12 14,860 14,642 (218)
Swiss Franc Sell 8/16/12 14,871 14,602 (269)
Turkish Lira Buy 7/18/12 1,744,270 1,718,692 25,578
Turkish Lira Sell 7/18/12 1,744,270 1,715,365 (28,905)
Turkish Lira Buy 8/16/12 927,772 928,613 (841)
Goldman Sachs International
Australian Dollar Buy 7/18/12 5,355,315 5,239,464 115,851
Australian Dollar Sell 7/18/12 5,355,315 5,133,097 (222,218)
Australian Dollar Buy 8/16/12 1,497,932 1,470,261 27,671
British Pound Buy 7/18/12 1,135,731 1,114,553 21,178
British Pound Sell 7/18/12 1,135,731 1,125,438 (10,293)
British Pound Buy 8/16/12 1,135,645 1,125,358 10,287
Canadian Dollar Buy 7/18/12 2,630,019 2,607,783 22,236
Canadian Dollar Sell 7/18/12 2,630,019 2,610,598 (19,421)
Canadian Dollar Sell 8/16/12 339,912 335,607 (4,305)
Chilean Peso Buy 7/18/12 1,154,304 1,142,603 11,701
Chilean Peso Sell 7/18/12 1,154,304 1,154,497 193
Chilean Peso Buy 8/16/12 378,716 378,967 (251)
Czech Koruna Buy 7/18/12 1,484,647 1,491,111 (6,464)
Czech Koruna Sell 7/18/12 1,484,647 1,461,261 (23,386)
Czech Koruna Sell 8/16/12 1,484,518 1,490,888 6,370
Euro Buy 7/18/12 5,872,233 5,775,030 97,203
Euro Sell 7/18/12 5,872,233 5,843,947 (28,286)
Euro Sell 8/16/12 5,364,607 5,270,730 (93,877)
Japanese Yen Buy 7/18/12 2,600,963 2,618,918 (17,955)
Japanese Yen Sell 7/18/12 2,600,963 2,622,801 21,838
Japanese Yen Sell 8/16/12 2,601,999 2,620,172 18,173
Norwegian Krone Buy 7/18/12 1,054,682 1,028,012 26,670
Norwegian Krone Sell 7/18/12 1,054,682 1,034,152 (20,530)
Norwegian Krone Buy 8/16/12 1,053,582 1,033,147 20,435
Singapore Dollar Sell 7/18/12 756,579 750,825 (5,754)
South Korean Won Buy 7/18/12 764,303 758,806 5,497
Swedish Krona Buy 7/18/12 2,714,495 2,643,845 70,650
Swedish Krona Sell 7/18/12 2,714,495 2,634,657 (79,838)
Swedish Krona Buy 8/16/12 1,409,421 1,381,010 28,411
Taiwan Dollar Buy 7/18/12 686 687 (1)
Taiwan Dollar Sell 7/18/12 686 684 (2)
Turkish Lira Buy 7/18/12 2,056,882 2,017,817 39,065
Turkish Lira Sell 7/18/12 2,056,882 2,033,187 (23,695)
Turkish Lira Buy 8/16/12 1,238,471 1,244,744 (6,273)
HSBC Bank USA, National Association
Australian Dollar Buy 7/18/12 4,080,913 3,986,939 93,974
Australian Dollar Sell 7/18/12 4,080,913 3,879,569 (201,344)
Australian Dollar Buy 8/16/12 313,543 344,031 (30,488)
British Pound Buy 7/18/12 2,720,546 2,719,898 648
British Pound Sell 7/18/12 2,720,546 2,676,551 (43,995)
British Pound Buy 8/16/12 42,211 41,833 378
Canadian Dollar Buy 7/18/12 1,811,016 1,788,249 22,767
Canadian Dollar Sell 7/18/12 1,811,016 1,796,049 (14,967)
Canadian Dollar Sell 8/16/12 1,809,856 1,787,279 (22,577)
Czech Koruna Buy 7/18/12 3,358,129 3,288,090 70,039
Czech Koruna Sell 7/18/12 3,358,129 3,269,421 (88,708)
Czech Koruna Sell 8/16/12 856,783 859,154 2,371
Euro Buy 7/18/12 16,395,852 16,132,432 263,420
Euro Sell 7/18/12 16,395,852 16,258,101 (137,751)
Euro Sell 8/16/12 5,487,027 5,393,045 (93,982)
Indian Rupee Sell 7/18/12 777,221 774,822 (2,399)
Japanese Yen Buy 7/18/12 2,410,302 2,415,937 (5,635)
Japanese Yen Sell 7/18/12 2,410,302 2,426,024 15,722
Japanese Yen Buy 8/16/12 2,411,263 2,427,277 (16,014)
Norwegian Krone Buy 7/18/12 2,703,028 2,647,551 55,477
Norwegian Krone Sell 7/18/12 2,703,028 2,618,335 (84,693)
Norwegian Krone Sell 8/16/12 2,219,903 2,176,309 (43,594)
Singapore Dollar Sell 7/18/12 174,856 171,648 (3,208)
South Korean Won Buy 7/18/12 844,895 826,514 18,381
South Korean Won Sell 7/18/12 844,895 815,663 (29,232)
Turkish Lira Buy 7/18/12 1,929,170 1,901,332 27,838
Turkish Lira Sell 7/18/12 1,929,170 1,926,018 (3,152)
Turkish Lira Buy 8/16/12 1,917,367 1,915,901 1,466
JPMorgan Chase Bank NA
Australian Dollar Buy 7/18/12 3,242,645 3,190,934 51,711
Australian Dollar Sell 7/18/12 3,242,645 3,080,370 (162,275)
Australian Dollar Buy 8/16/12 1,153,926 1,167,103 (13,177)
Brazilian Real Buy 7/18/12 19,057 18,792 265
Brazilian Real Sell 7/18/12 19,057 18,486 (571)
Brazilian Real Buy 8/16/12 1,184 1,181 3
British Pound Buy 7/18/12 2,833,689 2,831,175 2,514
British Pound Sell 7/18/12 2,833,689 2,784,310 (49,379)
British Pound Buy 8/16/12 401,829 398,192 3,637
Canadian Dollar Buy 7/18/12 4,412,854 4,336,986 75,868
Canadian Dollar Sell 7/18/12 4,412,854 4,369,993 (42,861)
Canadian Dollar Sell 8/16/12 1,815,057 1,792,588 (22,469)
Chilean Peso Buy 7/18/12 2,342,273 2,296,708 45,565
Chilean Peso Sell 7/18/12 2,342,273 2,297,279 (44,994)
Chilean Peso Buy 8/16/12 595,720 595,759 (39)
Czech Koruna Buy 7/18/12 2,358,001 2,364,734 (6,733)
Czech Koruna Sell 7/18/12 2,358,001 2,324,653 (33,348)
Czech Koruna Sell 8/16/12 2,357,796 2,364,381 6,585
Euro Buy 7/18/12 18,768,565 18,451,924 316,641
Euro Sell 7/18/12 18,768,565 18,554,483 (214,082)
Euro Sell 8/16/12 11,057,736 10,862,399 (195,337)
Hungarian Forint Buy 7/18/12 853,698 814,596 39,102
Hungarian Forint Sell 7/18/12 853,698 774,294 (79,404)
Japanese Yen Buy 7/18/12 2,914,350 2,972,012 (57,662)
Japanese Yen Sell 7/18/12 2,914,350 2,975,861 61,511
Japanese Yen Sell 8/16/12 349,643 352,125 2,482
Mexican Peso Buy 7/18/12 1,875,960 1,854,406 21,554
Mexican Peso Sell 7/18/12 1,875,960 1,776,558 (99,402)
Mexican Peso Sell 8/16/12 881,123 883,369 2,246
New Zealand Dollar Sell 7/18/12 637,170 575,652 (61,518)
Norwegian Krone Buy 7/18/12 5,630,642 5,519,899 110,743
Norwegian Krone Sell 7/18/12 5,630,642 5,497,373 (133,269)
Norwegian Krone Buy 8/16/12 1,156,318 1,135,448 20,870
Polish Zloty Buy 7/18/12 842,680 814,564 28,116
Polish Zloty Sell 7/18/12 842,680 781,588 (61,092)
Russian Ruble Buy 7/18/12 307,377 308,071 (694)
Russian Ruble Sell 7/18/12 307,377 300,548 (6,829)
Russian Ruble Sell 8/16/12 305,781 306,510 729
Singapore Dollar Buy 7/18/12 218,275 208,832 9,443
South African Rand Buy 7/18/12 1,608,087 1,587,779 20,308
South African Rand Sell 7/18/12 1,608,087 1,557,325 (50,762)
South African Rand Buy 8/16/12 582,720 580,558 2,162
South Korean Won Buy 7/18/12 758,725 751,440 7,285
Swedish Krona Buy 7/18/12 5,767,814 5,664,752 103,062
Swedish Krona Sell 7/18/12 5,767,814 5,604,377 (163,437)
Swedish Krona Buy 8/16/12 1,267,461 1,281,182 (13,721)
Taiwan Dollar Sell 7/18/12 776,281 776,330 49
Turkish Lira Buy 7/18/12 2,335,830 2,309,229 26,601
Turkish Lira Sell 7/18/12 2,335,830 2,310,489 (25,341)
Turkish Lira Buy 8/16/12 1,515,713 1,520,545 (4,832)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 7/18/12 3,436,731 3,329,342 107,389
Australian Dollar Sell 7/18/12 3,436,731 3,274,702 (162,029)
Australian Dollar Sell 8/16/12 735,613 721,411 (14,202)
Brazilian Real Buy 7/18/12 26,204 25,846 358
Brazilian Real Sell 7/18/12 26,204 26,126 (78)
Brazilian Real Buy 8/16/12 26,059 25,988 71
British Pound Buy 7/18/12 2,650,769 2,636,004 14,765
British Pound Sell 7/18/12 2,650,769 2,610,767 (40,002)
British Pound Buy 8/16/12 1,021,328 1,011,647 9,681
Canadian Dollar Buy 7/18/12 1,446,338 1,429,681 16,657
Canadian Dollar Sell 7/18/12 1,446,338 1,417,709 (28,629)
Canadian Dollar Sell 8/16/12 1,445,412 1,428,696 (16,716)
Chilean Peso Buy 7/18/12 784,904 765,428 19,476
Chilean Peso Sell 7/18/12 784,904 784,882 (22)
Chilean Peso Buy 8/16/12 10,819 10,824 (5)
Czech Koruna Buy 7/18/12 1,912,094 1,891,017 21,077
Czech Koruna Sell 7/18/12 1,912,094 1,878,218 (33,876)
Czech Koruna Sell 8/16/12 1,094,571 1,097,328 2,757
Euro Buy 7/18/12 15,534,958 15,457,232 77,726
Euro Sell 7/18/12 15,534,958 15,349,237 (185,721)
Euro Sell 8/16/12 7,522,349 7,523,990 1,641
Japanese Yen Buy 7/18/12 5,235,618 5,310,717 (75,099)
Japanese Yen Sell 7/18/12 5,235,618 5,329,293 93,675
Japanese Yen Sell 8/16/12 931,495 937,213 5,718
Mexican Peso Buy 7/18/12 1,634,465 1,613,189 21,276
Mexican Peso Sell 7/18/12 1,634,465 1,542,194 (92,271)
Mexican Peso Sell 8/16/12 827,244 829,048 1,804
New Zealand Dollar Sell 7/18/12 783,108 748,577 (34,531)
Norwegian Krone Buy 7/18/12 5,119,036 5,019,972 99,064
Norwegian Krone Sell 7/18/12 5,119,036 5,011,234 (107,802)
Norwegian Krone Buy 8/16/12 631,028 618,301 12,727
Polish Zloty Buy 7/18/12 842,680 814,604 28,076
Polish Zloty Sell 7/18/12 842,680 781,631 (61,049)
Singapore Dollar Sell 7/18/12 782,156 771,023 (11,133)
South African Rand Buy 7/18/12 802,695 799,779 2,916
South African Rand Sell 7/18/12 802,695 754,246 (48,449)
South Korean Won Buy 7/18/12 653,197 651,202 1,995
Swedish Krona Buy 7/18/12 3,552,475 3,449,280 103,195
Swedish Krona Sell 7/18/12 3,552,475 3,411,619 (140,856)
Swedish Krona Buy 8/16/12 786,530 770,000 16,530
Swiss Franc Buy 7/18/12 774,958 764,997 9,961
Swiss Franc Sell 7/18/12 774,958 760,393 (14,565)
Swiss Franc Buy 8/16/12 775,509 761,046 14,463
Taiwan Dollar Sell 7/18/12 724,882 723,768 (1,114)
Turkish Lira Buy 7/18/12 1,811,872 1,779,423 32,449
Turkish Lira Sell 7/18/12 1,811,872 1,813,300 1,428
Turkish Lira Buy 8/16/12 1,800,786 1,803,257 (2,471)
State Street Bank and Trust Co.
Australian Dollar Buy 7/18/12 7,169,753 7,011,584 158,169
Australian Dollar Sell 7/18/12 7,169,753 6,841,413 (328,340)
Australian Dollar Buy 8/16/12 986,560 968,578 17,982
Brazilian Real Buy 7/18/12 1,081,497 1,067,948 13,549
Brazilian Real Sell 7/18/12 1,081,497 1,050,873 (30,624)
Brazilian Real Sell 8/16/12 283,930 283,818 (112)
British Pound Buy 7/18/12 3,243,379 3,221,048 22,331
British Pound Sell 7/18/12 3,243,379 3,214,192 (29,187)
British Pound Buy 8/16/12 1,503,022 1,471,408 31,614
Canadian Dollar Buy 7/18/12 5,285,076 5,234,596 50,480
Canadian Dollar Sell 7/18/12 5,285,076 5,202,756 (82,320)
Canadian Dollar Sell 8/16/12 2,628,629 2,595,736 (32,893)
Chilean Peso Buy 7/18/12 1,567,984 1,559,650 8,334
Chilean Peso Sell 7/18/12 1,567,984 1,567,010 (974)
Chilean Peso Buy 8/16/12 790,713 791,708 (995)
Czech Koruna Buy 7/18/12 3,059,444 3,041,621 17,823
Czech Koruna Sell 7/18/12 3,059,444 3,001,711 (57,733)
Czech Koruna Sell 8/16/12 2,241,822 2,247,860 6,038
Euro Buy 7/18/12 18,253,699 17,999,952 253,747
Euro Sell 7/18/12 18,253,699 18,113,748 (139,951)
Euro Sell 8/16/12 7,894,802 7,752,438 (142,364)
Hungarian Forint Buy 7/18/12 1,433,317 1,328,950 104,367
Hungarian Forint Sell 7/18/12 1,433,317 1,356,411 (76,906)
Hungarian Forint Buy 8/16/12 577,321 579,976 (2,655)
Japanese Yen Buy 7/18/12 7,964,796 8,022,492 (57,696)
Japanese Yen Sell 7/18/12 7,964,796 8,087,247 122,451
Japanese Yen Sell 8/16/12 234,761 236,376 1,615
Mexican Peso Buy 7/18/12 1,202,309 1,205,403 (3,094)
Mexican Peso Sell 7/18/12 1,202,309 1,140,386 (61,923)
Mexican Peso Sell 8/16/12 1,198,956 1,201,742 2,786
New Zealand Dollar Sell 7/18/12 1,589,485 1,543,008 (46,477)
Norwegian Krone Buy 7/18/12 5,996,445 5,868,038 128,407
Norwegian Krone Sell 7/18/12 5,996,445 5,830,852 (165,593)
Norwegian Krone Buy 8/16/12 581,314 570,077 11,237
Polish Zloty Buy 7/18/12 244,712 238,579 6,133
Polish Zloty Sell 7/18/12 244,712 230,748 (13,964)
Singapore Dollar Buy 7/18/12 193,487 197,365 (3,878)
South African Rand Buy 7/18/12 66,810 102,036 (35,226)
South Korean Won Buy 7/18/12 642,280 644,200 (1,920)
Swedish Krona Buy 7/18/12 5,293,033 5,241,625 51,408
Swedish Krona Sell 7/18/12 5,293,033 5,143,225 (149,808)
Swedish Krona Buy 8/16/12 5,729,435 5,617,463 111,972
Swiss Franc Buy 7/18/12 1,426,395 1,408,618 17,777
Swiss Franc Sell 7/18/12 1,426,395 1,400,021 (26,374)
Swiss Franc Buy 8/16/12 1,427,410 1,401,195 26,215
Taiwan Dollar Sell 7/18/12 325,008 319,334 (5,674)
Thai Baht Buy 7/18/12 787,056 794,274 (7,218)
Turkish Lira Buy 7/18/12 1,053,041 1,048,905 4,136
Turkish Lira Sell 7/18/12 1,053,041 1,058,306 5,265
Turkish Lira Buy 8/16/12 1,046,598 1,052,478 (5,880)
UBS AG
Australian Dollar Buy 7/18/12 8,081,009 7,901,629 179,380
Australian Dollar Sell 7/18/12 8,081,009 7,799,739 (281,270)
Australian Dollar Buy 8/16/12 1,841,429 1,807,756 33,673
British Pound Buy 7/18/12 2,679,585 2,631,429 48,156
British Pound Sell 7/18/12 2,679,585 2,628,893 (50,692)
British Pound Buy 8/16/12 18,322 18,156 166
Canadian Dollar Buy 7/18/12 5,321,308 5,270,566 50,742
Canadian Dollar Sell 7/18/12 5,321,308 5,250,586 (70,722)
Canadian Dollar Sell 8/16/12 3,889,071 3,859,407 (29,664)
Czech Koruna Buy 7/18/12 1,810,747 1,789,492 21,255
Czech Koruna Sell 7/18/12 1,810,747 1,782,104 (28,643)
Czech Koruna Sell 8/16/12 993,233 996,067 2,834
Euro Buy 7/18/12 8,022,824 7,915,947 106,877
Euro Sell 7/18/12 8,022,824 7,979,124 (43,700)
Euro Buy 8/16/12 64,185 63,061 1,124
Hungarian Forint Buy 7/18/12 1,625,744 1,555,974 69,770
Hungarian Forint Sell 7/18/12 1,625,744 1,543,598 (82,146)
Hungarian Forint Buy 8/16/12 524,019 526,597 (2,578)
Indian Rupee Sell 7/18/12 1,191,437 1,192,749 1,312
Japanese Yen Buy 7/18/12 5,189,381 5,270,113 (80,732)
Japanese Yen Sell 7/18/12 5,189,381 5,288,243 98,862
Japanese Yen Buy 8/16/12 593,945 598,144 (4,199)
Mexican Peso Buy 7/18/12 1,667,236 1,589,736 77,500
Mexican Peso Sell 7/18/12 1,667,236 1,575,615 (91,621)
Mexican Peso Sell 8/16/12 30,627 30,670 43
New Zealand Dollar Sell 7/18/12 1,233,716 1,178,437 (55,279)
Norwegian Krone Buy 7/18/12 5,903,062 5,775,614 127,448
Norwegian Krone Sell 7/18/12 5,903,062 5,772,469 (130,593)
Norwegian Krone Buy 8/16/12 3,216,823 3,154,637 62,186
Philippines Peso Buy 7/18/12 809,343 789,305 20,038
Polish Zloty Buy 7/18/12 1,248,096 1,219,153 28,943
Polish Zloty Sell 7/18/12 1,248,096 1,190,505 (57,591)
Polish Zloty Buy 8/16/12 38,572 38,576 (4)
Singapore Dollar Sell 7/18/12 986,063 979,264 (6,799)
South African Rand Buy 7/18/12 829,180 795,480 33,700
South African Rand Sell 7/18/12 829,180 809,304 (19,876)
South Korean Won Buy 7/18/12 809,391 786,580 22,811
South Korean Won Sell 7/18/12 809,391 786,710 (22,681)
Swedish Krona Buy 7/18/12 2,757,189 2,652,898 104,291
Swedish Krona Sell 7/18/12 2,757,189 2,654,845 (102,344)
Swedish Krona Buy 8/16/12 373,824 366,292 7,532
Swiss Franc Buy 7/18/12 4,223,641 4,145,332 78,309
Swiss Franc Sell 7/18/12 4,223,641 4,168,314 (55,327)
Swiss Franc Sell 8/16/12 4,226,648 4,148,207 (78,441)
Taiwan Dollar Buy 7/18/12 804,783 805,986 (1,203)
Taiwan Dollar Sell 7/18/12 804,783 801,437 (3,346)
Thai Baht Buy 7/18/12 787,053 794,800 (7,747)
Turkish Lira Buy 7/18/12 1,216,014 1,195,095 20,919
Turkish Lira Sell 7/18/12 1,216,014 1,219,864 3,850
Turkish Lira Buy 8/16/12 1,208,573 1,213,019 (4,446)
Westpac Banking Corp.
Australian Dollar Buy 7/18/12 4,556,689 4,480,180 76,509
Australian Dollar Sell 7/18/12 4,556,689 4,329,173 (227,516)
Australian Dollar Buy 8/16/12 1,607,912 1,609,340 (1,428)
British Pound Buy 7/18/12 3,194,830 3,169,656 25,174
British Pound Sell 7/18/12 3,194,830 3,165,876 (28,954)
British Pound Buy 8/16/12 3,194,587 3,165,590 28,997
Canadian Dollar Buy 7/18/12 2,636,106 2,603,219 32,887
Canadian Dollar Sell 7/18/12 2,636,106 2,635,728 (378)
Canadian Dollar Sell 8/16/12 2,634,418 2,601,706 (32,712)
Euro Buy 7/18/12 9,668,800 9,495,688 173,112
Euro Sell 7/18/12 9,668,800 9,596,355 (72,445)
Euro Sell 8/16/12 5,815,677 5,713,952 (101,725)
Japanese Yen Buy 7/18/12 2,410,302 2,415,771 (5,469)
Japanese Yen Sell 7/18/12 2,410,302 2,443,055 32,753
Japanese Yen Buy 8/16/12 1,268,724 1,277,666 (8,942)
Mexican Peso Buy 7/18/12 1,644,241 1,619,037 25,204
Mexican Peso Sell 7/18/12 1,644,241 1,571,986 (72,255)
Mexican Peso Sell 8/16/12 773,454 775,571 2,117
Norwegian Krone Buy 7/18/12 3,307,412 3,223,763 83,649
Norwegian Krone Sell 7/18/12 3,307,412 3,212,655 (94,757)
Norwegian Krone Buy 8/16/12 603,737 592,505 11,232
Swedish Krona Buy 7/18/12 1,781,851 1,743,470 38,381
Swedish Krona Sell 7/18/12 1,781,851 1,726,860 (54,991)
Swedish Krona Buy 8/16/12 793,299 777,631 15,668
Total $(2,718,450)












FUTURES CONTRACTS OUTSTANDING at 6/30/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 3 yr (Short) 46 $5,216,367             Sep-12 $19,046
Australian Government Treasury Bond 10 yr (Long) 3 385,218             Sep-12 $(2,435)
Canadian Government Bond 10 yr (Long) 26 3,535,704             Sep-12 $31,758
Euro-Swiss Franc 3 Month (Short) 38 10,010,957             Dec-12 $(147,025)
Japanese Government Bond 10 yr (Short) 15 27,682,867             Sep-12 $(45,460)
Japanese Government Bond 10 yr Mini (Short) 4 719,084             Sep-12 $(1,183)
U.K. Gilt 10 yr (Short) 15 2,798,164             Sep-12 $14,840
U.S. Treasury Note 10 yr (Long) 20 2,667,500             Sep-12 $(2,226)
Total $(132,685)












WRITTEN OPTIONS OUTSTANDING at 6/30/12 (premiums received $19,557,368) (Unaudited)


Contract       Expiration date/
amount       strike price Value
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. $5,571,800       Aug-15/4.375 $193,620
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. $5,571,800       Aug-15/4.375 $1,921,435
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. $5,571,800       Aug-15/4.46 $180,303
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. $5,571,800       Aug-15/4.46 $2,003,731
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. $526,562       Sep-16/3.49 $22,626
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. $526,562       Sep-16/3.49 $52,672
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. $26,715,351       Aug-16/4.35 $4,470,280
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. $11,059,894       Aug-16/4.28 $282,901
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. $11,059,894       Aug-16/4.28 $1,795,076
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. $7,865,832       Aug-16/4.68 $158,025
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. $7,865,832       Aug-16/4.68 $1,501,540
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. $6,554,860       Jul-16/4.67 $132,277
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. $6,554,860       Jul-16/4.67 $1,246,721
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. $2,621,944       Jul-16/4.80 $49,135
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. $2,621,944       Jul-16/4.80 $524,709
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. $3,686,784       Jul-16/4.79 $69,238
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. $3,686,784       Jul-16/4.79 $694,295
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. $6,572,614       Jul-16/4.74 $126,523
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. $6,572,614       Jul-16/4.74 $1,213,962
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.86% versus the three month USD-LIBOR-BBA maturing June 2026. $3,945,779       Jun-16/5.86 $45,088
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing June 2026. $3,945,779       Jun-16/4.86 $774,990
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.61% versus the three month USD-LIBOR-BBA maturing June 2021. $1,659,222       Jun-16/4.61 $16,891
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.61% versus the three month USD-LIBOR-BBA maturing June 2021. $1,659,222       Jun-16/4.61 $184,421
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 2021. $556,661       Jun-16/5.12 $4,394
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 2021. $547,769       Jun-16/4.89 $4,635
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. $544,291       Jun-16/4.575 $5,198
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 2021. $556,661       Jun-16/4.12 $51,200
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 2021. $547,769       Jun-16/4.39 $55,812
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. $544,291       Jun-16/4.575 $59,589
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. $24,507,428       May-16/4.705 $226,890
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. $24,507,428       May-16/4.705 $2,850,508
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. $14,963,000       Sep-15/4.04 $309,584
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. $14,963,000       Sep-15/4.04 $2,162,303
Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. $26,365,900       Aug-12/2.855 $791
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. $26,365,900       Aug-12/2.855 $2,554,592
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. $5,475,900       Aug-12/2.73 $274
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. $5,475,900       Aug-12/2.73 $467,259
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. $1,237,000       Jul-12/2.1714 $43,221
Option on an interest rate swap with JPMorgan Chase Bank NA for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. $1,237,000       Jul-12/2.1714 $43,221
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. $1,237,000       Jul-12/2.1714 $43,221
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. $1,237,000       Jul-12/2.1714 $43,221
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. $1,237,000       Jul-12/2.1714 $43,221
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. $10,072,118       May-16/5.11 $79,187
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing May 2021. $10,238,704       May-16/4.86 $92,456
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. $10,187,746       May-16/4.60 $95,561
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing May 2021. $10,072,118       May-16/4.11 $923,392
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing May 2021. $10,238,704       May-16/4.36 $1,038,205
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. $10,187,746       May-16/4.60 $1,161,403
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. $3,106,561       May-16/4.765 $27,959
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. $3,106,561       May-16/4.765 $375,894
Total $30,423,650












TBA SALE COMMITMENTS OUTSTANDING at 6/30/12 (proceeds receivable $12,601,875) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association 3 1/2s, July 1, 2042 $12,000,000       7/12/2012 $12,611,250
Total $12,611,250















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/12 (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.
$14,758,000 $—      5/14/17 3 month USD-LIBOR-BBA 1.0925% $117,678
2,105,000 —      5/14/42 3 month USD-LIBOR-BBA 2.795% 134,334
1,212,000 32,170      6/20/22 2.183% 3 month USD-LIBOR-BBA (14,037)
CAD 2,928,000 —      6/13/14 1.285% 3 month CAD-BA-CDOR (1,637)
CAD 4,995,000 —      6/13/17 1.5875% 3 month CAD-BA-CDOR (8,474)
CAD 1,253,000 —      6/13/22 2.2% 3 month CAD-BA-CDOR (3,861)
Barclay's Bank PLC
$29,091,000 (E) 487,074      9/19/22 2.00% 3 month USD-LIBOR-BBA 57,982
5,844,000 (E) (9,350)     9/19/14 0.60% 3 month USD-LIBOR-BBA (12,448)
1,144,000 (E) (1,065)     9/19/14 3 month USD-LIBOR-BBA 0.60% (459)
17,994,000 (E) (248,275)     9/19/22 3 month USD-LIBOR-BBA 2.00% 17,137
1,959,000 (E) (133,931)     9/19/42 3 month USD-LIBOR-BBA 2.75% (44,150)
2,867,000 —      6/15/22 1.807% 3 month USD-LIBOR-BBA (9,390)
1,212,000 31,936      6/20/22 2.183% 3 month USD-LIBOR-BBA (14,270)
AUD 799,000 —      6/22/22 6 month AUD-BBR-BBSW 4.035% 2,901
AUD 3,570,000 —      6/22/22 4.06% 6 month AUD-BBR-BBSW (20,509)
AUD 3,833,000 —      6/29/22 3.9275% 6 month AUD-BBR-BBSW 20,630
EUR 16,956,000 —      6/18/14 0.935% 6 month EUR-EURIBOR-REUTERS (32,248)
EUR 8,680,000 —      6/18/17 1.365% 6 month EUR-EURIBOR-REUTERS (32,096)
EUR 5,314,000 —      6/18/22 1.945% 6 month EUR-EURIBOR-REUTERS 25,153
EUR 518,000 —      6/18/42 6 month EUR-EURIBOR-REUTERS 2.24% (8,289)
EUR 6,105,000 —      6/19/22 6 month EUR-EURIBOR-REUTERS 1.934% (36,939)
EUR 2,008,000 —      6/19/22 1.885% 6 month EUR-EURIBOR-REUTERS 23,702
EUR 3,349,000 —      6/25/22 6 month EUR-EURIBOR-REUTERS 1.97682% (4,906)
GBP 4,306,000 —      6/14/17 6 month GBP-LIBOR-BBA 1.3775% 36,707
GBP 867,000 —      6/14/22 6 month GBP-LIBOR-BBA 2.13% 3,765
GBP 6,110,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (878,405)
GBP 2,735,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (595,783)
GBP 9,240,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 1,200,678
Citibank, N.A.
$893,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 23,182
13,711,000 (E) 18,298      9/19/17 1.10% 3 month USD-LIBOR-BBA (24,343)
2,128,000 (E) 12,555      9/19/17 3 month USD-LIBOR-BBA 1.10% 19,173
19,130,000 (E) 206,580      9/19/22 2.00% 3 month USD-LIBOR-BBA (75,588)
6,422,000 (E) (170)     9/19/14 0.60% 3 month USD-LIBOR-BBA (3,574)
11,912,000 (E) (5,295)     9/19/14 3 month USD-LIBOR-BBA 0.6% 1,019
8,205,000 (E) (110,600)     9/19/22 3 month USD-LIBOR-BBA 2.00% 10,424
610,000 (E) (36,630)     9/19/42 3 month USD-LIBOR-BBA 2.75% (8,674)
Credit Suisse International
44,178,000 (E) (252,616)     9/19/22 3 month USD-LIBOR-BBA 2.00% 399,010
203,376,000 (E) 64,014      9/19/14 3 month USD-LIBOR-BBA 0.60% 171,803
27,145,000 (E) 45,644      9/19/17 3 month USD-LIBOR-BBA 1.10% 130,065
1,609,000 (E) (96,735)     9/19/42 3 month USD-LIBOR-BBA 2.75% (22,995)
104,417,000 (E) 643,389      9/19/22 2.00% 3 month USD-LIBOR-BBA (896,763)
10,100,000 (E) 452,739      9/19/42 2.75% 3 month USD-LIBOR-BBA (10,145)
30,909,000 (E) (6,364)     9/19/14 0.60% 3 month USD-LIBOR-BBA (22,746)
43,862,000 (E) (76,583)     9/19/17 1.10% 3 month USD-LIBOR-BBA (212,993)
3,923,000 —      6/25/22 3 month USD-LIBOR-BBA 1.7975% 6,323
2,111,000 —      7/2/22 1.7175% 3 month USD-LIBOR-BBA 13,489
1,119,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 65,719
CAD 22,006,000 —      6/13/14 1.28797% 3 month CAD-BA-CDOR (13,631)
CAD 792,000 —      6/13/17 3 month CAD-BA-CDOR 1.57927% 1,037
CAD 9,377,000 —      6/13/22 3 month CAD-BA-CDOR 2.19177% 21,950
CAD 2,940,000 —      6/15/22 2.135% 3 month CAD-BA-CDOR 8,339
CAD 2,504,000 —      6/29/22 2.1725% 3 month CAD-BA-CDOR 695
CHF 626,000 —      5/11/22 6 month CHF-LIBOR-BBA 0.975% (578)
CHF 5,256,000 —      5/14/22 1.0125% 6 month CHF-LIBOR-BBA (15,091)
CHF 5,502,000 —      6/19/22 0.94% 6 month CHF-LIBOR-BBA 41,376
EUR 11,949,000 —      6/15/14 6 month EUR-EURIBOR-REUTERS 0.943% 25,219
EUR 4,826,000 —      6/15/17 6 month EUR-EURIBOR-REUTERS 1.377% 22,312
EUR 4,560,000 —      6/15/22 6 month EUR-EURIBOR-REUTERS 1.947% (19,245)
EUR 13,940,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS 1,683
EUR 2,098,000 —      7/2/22 6 month EUR-EURIBOR-REUTERS 1.937% (13,912)
EUR 1,747,000 —      7/3/22 6 month EUR-EURIBOR-REUTERS 1.985% (1,843)
EUR 1,630,000 —      7/3/22 6 month EUR-EURIBOR-REUTERS 1.976% (3,440)
GBP 3,704,000 —      6/13/17 1.44% 6 month GBP-LIBOR-BBA (49,398)
GBP 3,811,000 —      6/13/22 6 month GBP-LIBOR-BBA 2.1675% 37,680
GBP 3,995,000 —      6/15/22 6 month GBP-LIBOR-BBA 2.0125% (49,321)
GBP 1,451,000 —      6/15/22 1.96% 6 month GBP-LIBOR-BBA 28,988
GBP 6,112,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 816,280
MXN 33,670,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% 207,826
SEK 91,740,000 —      5/16/22 2.205% 3 month SEK-STIBOR-SIDE 218,693
SEK 10,173,000 —      6/19/22 3 month SEK-STIBOR-SIDE 2.38% (1,987)
SEK 9,997,000 —      7/2/22 3 month SEK-STIBOR-SIDE 2.325% (9,379)
Deutsche Bank AG
$452,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 11,427
22,982,000 (E) 207,549      9/19/22 2.00% 3 month USD-LIBOR-BBA (131,436)
436,491,000 (E) 478,587      9/19/14 0.60% 3 month USD-LIBOR-BBA 247,247
2,522,000 (E) (38,612)     9/19/22 3 month USD-LIBOR-BBA 2.00% (1,412)
4,244,000 (E) (3,735)     9/19/17 3 month USD-LIBOR-BBA 1.10% 9,464
49,543,000 (E) 133,655      9/19/17 1.10% 3 month USD-LIBOR-BBA (20,423)
KRW 4,220,000,000 —      4/24/17 3.54% 3 month KRW-CD-KSDA-BLOOMBERG (39,402)
MXN 33,670,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% 213,556
PLN 7,241,000 —      4/16/17 5.01% 6 month PLN-WIBOR-WIBO (39,365)
ZAR 15,639,000 —      4/17/17 3 month ZAR-JIBAR-SAFEX 6.76% 48,423
Goldman Sachs International
$56,471,000 (E) (16,922)     9/19/14 3 month USD-LIBOR-BBA 0.60% 13,008
37,678,000 (E) 403,860      9/19/22 2.00% 3 month USD-LIBOR-BBA (151,891)
11,847,500 (E) (147,808)     9/19/22 3 month USD-LIBOR-BBA 2.00% 26,942
2,764,000 (E) (1,216)     9/19/17 1.10% 3 month USD-LIBOR-BBA (9,812)
10,486,000 (E) (614,750)     9/19/42 3 month USD-LIBOR-BBA 2.75% (134,176)
16,594,900 —      2/22/14 1 month USD-FEDERAL FUNDS-H.15 0.1925% 878
4,472,000 —      2/23/14 0.19625% 1 month USD-FEDERAL FUNDS-H.15 (559)
AUD 1,865,000 —      6/21/22 4.005% 6 month AUD-BBR-BBSW (1,523)
AUD 665,000 —      6/22/22 4.035% 6 month AUD-BBR-BBSW (2,414)
CHF 8,477,000 —      6/29/22 0.985% 6 month CHF-LIBOR-BBA 29,079
EUR 1,472,000 —      6/15/17 1.381% 6 month EUR-EURIBOR-REUTERS (7,163)
EUR 3,017,000 —      6/15/22 6 month EUR-EURIBOR-REUTERS 1.952% (10,968)
EUR 412,000 —      6/15/42 2.262% 6 month EUR-EURIBOR-REUTERS 3,997
EUR 6,067,000 —      6/19/22 6 month EUR-EURIBOR-REUTERS 1.919% (47,419)
GBP 5,247,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 197,140
GBP 2,735,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 257,762
GBP 4,961,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (148,478)
GBP 7,172,000 —      6/13/22 6 month GBP-LIBOR-BBA 2.1725% 76,104
GBP 2,319,000 —      6/13/17 1.4425% 6 month GBP-LIBOR-BBA (31,404)
GBP 1,439,000 —      6/20/22 6 month GBP-LIBOR-BBA 2.085% (2,781)
GBP 4,763,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (465,850)
GBP 4,763,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (420,049)
GBP 803,000 —      6/28/22 2.02375% 6 month GBP-LIBOR-BBA 9,220
SEK 9,775,000 —      5/16/22 3 month SEK-STIBOR-SIDE 2.205% (23,302)
SEK 25,550,000 —      5/29/22 3 month SEK-STIBOR-SIDE 2.215% (57,868)
SEK 21,805,000 —      6/11/22 2.28% 3 month SEK-STIBOR-SIDE 32,044
JPMorgan Chase Bank NA
$64,249,200 (E) 600,304      9/19/22 2.00% 3 month USD-LIBOR-BBA (347,371)
835,000 (E) 718      9/19/17 1.10% 3 month USD-LIBOR-BBA (1,879)
5,408,000 (E) (93,288)     9/19/22 3 month USD-LIBOR-BBA 2.00% (13,520)
2,919,000 (E) (208,579)     9/19/42 3 month USD-LIBOR-BBA 2.75% (74,801)
CAD 3,470,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (97,278)
CAD 7,265,000 —      5/2/15 3 month CAD-BA-CDOR 1.6575% 66,956
CAD 25,317,000 —      6/13/14 3 month CAD-BA-CDOR 1.2825% 12,879
CAD 4,193,000 —      6/13/17 3 month CAD-BA-CDOR 1.56% 1,663
CAD 2,397,000 —      6/13/22 2.175% 3 month CAD-BA-CDOR (2,013)
CAD 2,250,000 —      6/25/22 2.1725% 3 month CAD-BA-CDOR 153
EUR 124,000 —      6/15/42 2.245% 6 month EUR-EURIBOR-REUTERS 1,793
EUR 2,987,000 —      3/23/14 1 month EUR-EONIA-OIS-COMPOUND 0.506% 17,683
EUR 4,900,000 —      3/23/17 1 month EUR-EONIA-OIS-COMPOUND 1.147% 134,743
GBP 1,645,000 —      6/13/17 6 month GBP-LIBOR-BBA 1.446% 22,693
GBP 719,000 —      6/13/22 6 month GBP-LIBOR-BBA 2.175% 7,890
JPY 2,402,400,000 —      2/19/15 6 month JPY-LIBOR-BBA 0.705% 330,494
JPY 511,900,000 —      2/19/20 6 month JPY-LIBOR-BBA 1.3975% 407,149
JPY 448,800,000 —      6/25/22 0.85% 6 month JPY-LIBOR-BBA (7,267)
JPY 812,000,000 —      7/2/22 6 month JPY-LIBOR-BBA 0.8225% (17,167)
JPY 853,120,000 —      2/20/22 6 month JPY-LIBOR-BBA 0.965% 187,285
JPY 358,600,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 217,533
JPY 482,100,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (45,234)
JPY 723,200,000 —      3/6/22 1.0175% 6 month JPY-LIBOR-BBA (199,948)
MXN 19,054,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (108,644)
MXN 24,639,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (143,016)
MXN 4,810,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% 31,483
MXN 24,320,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (86,868)
MXN 66,197,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (236,446)
MXN 24,320,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 115,739
MXN 37,740,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 202,072
Royal Bank of Scotland PLC (The)
$2,236,000 2,236      9/19/22 2.00% 3 month USD-LIBOR-BBA (30,745)
UBS AG
CHF 28,420,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (183,757)
Total $330,255
(E)   See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.











TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/12 (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)
Barclay’s Bank, PLC
$590,311 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $1,937
1,070,332 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,513
855,117 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,206
4,228,702 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (21,827)
448,320 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,446
1,381,501 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 83
627,596 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 38
737,806 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,766
3,693,127 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,062)
2,813,992 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,550
1,066,258 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,440
124,386 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 86
170,729 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 262
936,203 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,832)
5,320,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (155,520)
2,015,118 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 1,563
935,098 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 726
3,789,261 13,618      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,423
497,098 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,320
2,213,418 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,298
3,081,777 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (15,907)
2,660,655 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 8,583
1,558,780 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,046)
4,021,278 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 14,028
12,128,794 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 45,472
862,636 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 669
2,647,986 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,928
517,165 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,697
1,676,644 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,503
1,215,481 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,989
Citibank, N.A.
1,721,302 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,453
3,689,030 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,830
3,220,524 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,074
Credit Suisse International
1,475,612 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,532
1,008,891 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 61
1,683,853 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 102
1,871,004 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,657)
Deutsche Bank AG
1,871,004 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,657)
Goldman Sachs International
686,804 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 41
3,040,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 55,358
2,280,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 39,262
844,057 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,294
1,285,613 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,636)
482,953 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,493)
2,034,359 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 123
64,082 140      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 123
11,474,355 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 706
4,272,392 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 258
1,801,478 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 109
3,995,302 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 241
1,761,082 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,090)
83,727 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (432)
223,117 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,152)
3,431,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) 49,616
3,431,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) 54,611
3,431,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) 55,555
3,431,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) 80,923
GBP 2,141,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (81,313)
GBP 2,141,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (90,635)
GBP 2,141,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (91,540)
GBP 2,141,000 —      4/3/22 (3.21%) GBP Non-revised UK Retail Price Index (133,220)
JPMorgan Chase Bank NA
$4,060,035 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 245
Total $(146,976)











CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/12 (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)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(18,605) $2,090,000 12/20/19 (100 bp) $436,729
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 82,442 705,000 3/20/17 500 bp (89,591)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B1 — EUR 425,000 9/20/13 715 bp 42,577
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 477 bp 24,432
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 535 bp 28,125
JPMorgan Chase Bank NA
  DJ CDX NA HY Series 18 Index B+/P 67,777 $2,556,180 6/20/17 500 bp (18,903)
Morgan Stanley Capital Services LLC
  Republic of Venezuela, 9 1/4%, 9/15/27 B2 — 510,000 10/20/12 339 bp 2,846
Total $426,215
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2012. 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
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
PLN Polish Zloty
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
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
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2011 through June 30, 2012 (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 and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.
(a) Percentages indicated are based on net assets of $348,445,908.
(b) The aggregate identified cost on a tax basis is $449,494,829, resulting in gross unrealized appreciation and depreciation of $21,512,609 and $16,453,670, respectively, or net unrealized appreciation of $5,058,939.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $19,223 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $152,274,146 and $216,750,559, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) Security purchased with cash or security received, that was pledged to the fund for collateral on certain derivative contracts.
(P) Security purchased with cash or security received, 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 $116,770,623 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 86.7%
Russia 2.4
Luxembourg 1.6
Venezuela 1.5
Argentina 1.3
Brazil 0.8
Indonesia 0.8
Ukraine 0.7
Mexico 0.6
United Kingdom 0.6
Netherlands 0.6
Germany 0.5
Other 1.9
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. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
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 considers 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 value 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.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to gain exposure to interest rates.
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. Options traded over-the-counter are valued using prices supplied by dealers.
The fund had an average contract amount of approximately 896,800,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately 635,400,000 on written options contracts for the reporting period.
Futures contracts: The fund used futures contracts 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”.
The fund had an average number of contracts of approximately 360 on futures contracts for the reporting period.
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.
The fund had an average contract amount of approximately $522,800,000 on forward currency contracts for the reporting period.
Total return swap contracts: The fund entered into 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/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. 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 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.
The fund had an average notional amount of approximately $141,800,000 on total return swap contracts for the reporting period.
Interest rate swap contracts: The fund entered into 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, to gain exposure on interest rates.
An 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. Interest rate 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 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 by having a master netting arrangement between the fund and the counterparty.
The fund had an average notional amount of approximately $3,309,500,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund entered into credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In a 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 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 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 credit default contract.
The fund had an average notional amount of approximately $11,900,000 on credit default swap contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter 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 $16,878,261 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 $11,564,512 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $10,921,214.
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 $— $282 $7
    Health care 12,372 — —
Total common stocks 12,372 282 7
Asset-backed securities $— $10,253,237 $—
Convertible bonds and notes — 380,205 —
Convertible preferred stocks 110,649 245,021 7
Corporate bonds and notes — 104,685,176 —
Foreign government and agency bonds — 23,693,352 —
Mortgage-backed securities — 109,760,117 —
Preferred stocks — 176,399 —
Purchased options outstanding — 44,678,813 —
Senior loans — 7,388,031 —
U.S. Government and Agency Mortgage Obligations — 66,846,218 —
U.S. Treasury Obligations — 3,495,567 —
Warrants — 530 17,669
Short-term investments 6,164,619 76,645,497 —
Totals by level $6,287,640 $448,248,445 $17,683



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts — (2,718,450) —
Futures contracts (132,685) — —
Written options — (30,423,650) —
TBA sale commitments — (12,611,250) —
Interest rate swap contracts — (1,388,529) —
Total return swap contracts — (160,734) —
Credit default contracts — 294,601 —
Totals by level $(132,685) $(47,008,012) $—


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 $553,314 $258,713
Foreign exchange contracts 8,820,214 11,538,664
Equity contracts 18,199 —
Interest rate contracts 53,378,617 40,805,402
Total $62,770,344 $52,602,779


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



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

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

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

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 28, 2012

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 28, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 28, 2012