a_premierincome.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2012
Date of reporting period: April 30, 2012



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/12 (Unaudited)
MORTGAGE-BACKED SECURITIES (32.9%)(a)
Principal amount Value
American Home Mortgage Investment Trust
     Ser. 07-1, Class GIOP, IO, 2.078s, 2047 $3,157,749 $384,807
     FRB Ser. 07-1, Class GA1A, 0.399s, 2047 14,815,121 8,000,165
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 318,946 240,804
     Ser. 01-1, Class K, 6 1/8s, 2036 718,000 86,809
     Ser. 07-5, Class XW, IO, 0.58s, 2051 202,470,881 3,067,434
Barclays Capital LLC Trust 144A
     Ser. 09-RR7, Class 1A7, IO, 1.823s, 2046 39,770,785 1,640,545
     Ser. 09-RR7, Class 2A7, IO, 1.566s, 2047 95,028,134 4,076,707
     Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047 104,963,204 2,697,554
     Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046 109,853,486 2,812,249
Bear Stearns Alt-A Trust FRB Ser. 06-3, Class 31A1, 3.157s, 2036 3,799,594 1,633,825
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-IM1, Class A1, 0.469s, 2036 2,595,442 1,297,721
Bear Stearns Commercial Mortgage Securities, Inc. Ser. 05-PWR7, Class B, 5.214s, 2041(F) 1,641,000 1,477,252
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 17,382,194 451,937
     Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047 10,668,628 224,041
     Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046 23,845,957 441,150
     FRB Ser. 06-AR3, Class 1A1, 0.419s, 2036 2,064,562 1,042,604
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 12,459,799 174,437
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR1, Class A3, 0.459s, 2037 5,105,750 2,731,576
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.089s, 2044 63,723,520 235,674
Commercial Mortgage Pass-Through Certificates FRB Ser. 04-LB3A, Class E, 5.526s, 2037(F) 1,522,000 1,492,695
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom) GBP 868,987 987,195
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 286,401 348,601
Countrywide Alternative Loan Trust
     Ser. 06-0A19, Class XP, IO, 2.588s, 2047 $36,466,998 2,620,012
     FRB Ser. 05-38, Class A1, 1.658s, 2035 2,279,045 1,458,589
     FRB Ser. 05-62, Class 2A1, 1.158s, 2035 2,587,321 1,526,519
     FRB Ser. 05-38, Class A3, 0.589s, 2035 3,255,021 1,953,012
     FRB Ser. 07-AL1, Class A1, 0.489s, 2037 5,133,609 2,258,788
     FRB Ser. 06-OA6, Class 1A1A, 0.449s, 2046 6,718,844 3,896,930
     FRB Ser. 06-OA17, Class 1A1A, 0.435s, 2046 5,727,581 2,935,385
     FRB Ser. 06-OA21, Class A1, 0.43s, 2047 4,565,589 2,288,730
     FRB Ser. 06-OA12, Class A1B, 0.43s, 2046 9,867,150 4,958,243
     FRB Ser. 06-OA8, Class 1A1, 0.429s, 2046 4,819,324 2,795,208
     FRB Ser. 07-OA4, Class A1, 0.409s, 2047 6,052,110 3,752,308
     FRB Ser. 06-OC8, Class 2A2B, 0.409s, 2036 11,092,991 5,851,553
     FRB Ser. 07-OA7, Class A1B, 0.379s, 2047 2,552,315 1,449,077
     FRB Ser. 07-OA3, Class 1A1, 0.379s, 2047 3,425,289 2,200,749
     FRB Ser. 06-OA18, Class A1, 0.359s, 2046 9,778,186 6,160,257
     FRB Ser. 06-OC8, Class 2A2A, 0.359s, 2036 3,529,305 1,694,066
     FRB Ser. 06-HY11, Class A1, 0.359s, 2036 3,719,195 2,064,153
Countrywide Home Loans
     FRB Ser. 07-HYB2, Class 3A1, 2.85s, 2047 3,933,927 2,061,378
     FRB Ser. 06-OA4, Class A1, 1.118s, 2046 3,242,997 1,475,564
     FRB Ser. 05-3, Class 1A2, 0.529s, 2035 1,257,122 813,986
     FRB Ser. 06-OA4, Class A2, 0.509s, 2046 2,564,390 1,141,153
CS First Boston Mortgage Securities Corp. Ser. 05-C6, Class AJ, 5.23s, 2040(F)(FWC) 2,073,000 2,047,396
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 691,000 192,563
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
     FRB Ser. 06-AR1, Class 1A3, 0.569s, 2036 11,591,106 4,926,220
     FRB Ser. 06-OA1, Class A1, 0.439s, 2047 2,475,936 1,491,751
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031(F) 552,708 532,013
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.863s, 2014 (United Kingdom)(F) GBP 45,682 48,094
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.639s, 2032 $531,936 841,522
     IFB Ser. 3408, Class EK, 24.826s, 2037 340,703 545,832
     IFB Ser. 2979, Class AS, 23.392s, 2034 175,928 241,966
     IFB Ser. 3072, Class SM, 22.916s, 2035 566,123 874,452
     IFB Ser. 3072, Class SB, 22.769s, 2035 507,085 779,902
     IFB Ser. 3031, Class BS, 16.124s, 2035 787,667 1,061,070
     IFB Ser. 3951, Class CS, IO, 6.51s, 2026 13,059,973 2,354,191
     IFB Ser. 3727, Class PS, IO, 6.46s, 2038 5,966,493 771,797
     IFB Ser. 3895, Class SM, IO, 6.41s, 2040 11,610,702 1,921,200
     IFB Ser. 3940, Class PS, IO, 6.41s, 2040 14,227,656 2,445,734
     IFB Ser. 3994, Class AS, IO, 6.26s, 2042 11,507,647 2,266,431
     IFB Ser. 4032, Class SA, IO, 6.258s, 2042 15,104,000 2,275,040
     IFB Ser. 3922, Class CS, IO, 5.86s, 2041 5,077,491 779,547
     IFB Ser. 3852, Class TB, 5.76s, 2041 3,683,389 3,856,324
     IFB Ser. 3768, Class PS, IO, 5.76s, 2036 13,886,833 1,794,362
     IFB Ser. 3753, Class S, IO, 5.71s, 2040 6,017,697 985,398
     Ser. 3632, Class CI, IO, 5s, 2038 2,485,111 201,890
     Ser. 3626, Class DI, IO, 5s, 2037 1,629,571 76,508
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 5,234,455 755,855
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 1,371,185 161,527
     Ser. 4010, Class NI, IO, 4s, 2041 9,587,445 1,505,900
     Ser. 3738, Class MI, IO, 4s, 2034 14,363,939 1,270,671
     Ser. 3748, Class NI, IO, 4s, 2034 7,069,850 638,690
     Ser. 3736, Class QI, IO, 4s, 2034 17,428,073 827,833
     Ser. 3751, Class MI, IO, 4s, 2034 19,005,856 958,275
     Ser. 3740, Class KI, IO, 4s, 2033 8,897,613 366,226
     Ser. T-57, Class 1AX, IO, 0.426s, 2043 5,501,370 68,767
     Ser. 3124, Class DO, PO, zero %, 2036 29,927 25,823
     FRB Ser. 3326, Class WF, zero %, 2035 21,197 18,674
     FRB Ser. 3030, Class EF, zero %, 2035 22,914 22,828
     FRB Ser. 3007, Class LU, zero %, 2035 14,657 12,459
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.468s, 2036 713,253 1,281,148
     IFB Ser. 07-53, Class SP, 23.325s, 2037 492,953 766,614
     IFB Ser. 08-24, Class SP, 22.408s, 2038 437,136 651,875
     IFB Ser. 05-75, Class GS, 19.534s, 2035 545,824 781,243
     IFB Ser. 05-83, Class QP, 16.773s, 2034 560,158 761,815
     IFB Ser. 10-129, Class PS, IO, 6.461s, 2038 15,630,001 2,696,175
     IFB Ser. 12-2, Class PS, IO, 6.311s, 2041 4,679,447 1,017,780
     IFB Ser. 11-51, Class SJ, IO, 6.311s, 2041 7,836,017 1,372,400
     IFB Ser. 404, Class S13, IO, 6.161s, 2040 12,256,332 1,703,789
     IFB Ser. 10-35, Class SG, IO, 6.161s, 2040 10,015,008 1,618,626
     IFB Ser. 10-140, Class GS, IO, 5.761s, 2039 20,570,393 3,188,411
     IFB Ser. 11-51, Class SM, IO, 5.611s, 2041 13,137,059 1,925,630
     IFB Ser. 10-46, Class WS, IO, 5.511s, 2040 9,522,683 1,181,098
     Ser. 374, Class 6, IO, 5 1/2s, 2036 2,088,010 282,215
     Ser. 398, Class C5, IO, 5s, 2039 1,690,851 162,153
     Ser. 10-13, Class EI, IO, 5s, 2038 1,080,815 68,528
     Ser. 378, Class 19, IO, 5s, 2035 5,199,282 640,208
     Ser. 12-30, Class TI, IO, 4 1/2s, 2041 4,144,242 801,248
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 23,938,823 4,551,728
     Ser. 366, Class 22, IO, 4 1/2s, 2035 1,861,952 147,858
     Ser. 406, Class 2, IO, 4s, 2041 7,667,209 1,164,649
     Ser. 406, Class 1, IO, 4s, 2041 4,943,687 797,417
     Ser. 03-W10, Class 1, IO, 1.431s, 2043 1,051,432 49,614
     Ser. 00-T6, IO, 0.771s, 2030 4,210,466 74,999
     Ser. 99-51, Class N, PO, zero %, 2029 60,383 57,580
     IFB Ser. 06-48, Class FG, zero %, 2036 9,720 9,712
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.085s, 2020(F) 5,336,867 135,188
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 473,497
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 5,460 4,943
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.831s, 2041 7,489,346 8,177,393
     IFB Ser. 11-56, Class SG, 6.831s, 2041 4,279,094 4,698,017
     IFB Ser. 10-142, Class SA, IO, 6.46s, 2039 6,611,067 926,582
     IFB Ser. 10-151, Class SL, IO, 6.46s, 2039 3,481,856 593,169
     IFB Ser. 11-37, Class SB, IO, 6.46s, 2038 8,424,952 1,161,784
     IFB Ser. 10-85, Class SD, IO, 6.41s, 2038 1,141,122 192,005
     IFB Ser. 11-37, Class SD, IO, 6.41s, 2038 10,839,359 1,481,567
     IFB Ser. 10-163, Class SI, IO, 6.389s, 2037 9,255,221 1,606,771
     IFB Ser. 10-47, Class HS, IO, 6.36s, 2039 3,811,089 615,834
     IFB Ser. 10-120, Class SB, IO, 5.96s, 2035 2,265,392 241,015
     IFB Ser. 10-20, Class SC, IO, 5.91s, 2040 590,008 99,599
     IFB Ser. 11-79, Class AS, IO, 5.87s, 2037 7,005,170 763,002
     IFB Ser. 10-115, Class SN, IO, 5.86s, 2038 3,354,998 520,427
     IFB Ser. 10-116, Class SL, IO, 5.81s, 2039 3,405,922 542,393
     IFB Ser. 11-70, Class SM, IO, 5.65s, 2041 5,451,000 1,601,177
     IFB Ser. 11-70, Class SH, IO, 5.65s, 2041 5,599,000 1,656,520
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 3,999,483 486,817
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 996,777 170,542
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 3,976,207 557,464
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 11,406,916 1,633,470
     Ser. 12-8, Class PI, IO, 4s, 2041 7,458,082 1,314,860
     Ser. 11-116, Class BI, IO, 4s, 2026 19,506,638 2,202,494
     Ser. 12-H02, Class AI, IO, 1.761s, 2062 14,014,016 1,037,878
     Ser. 12-H05, Class AI, IO, 1.222s, 2062 40,848,870 2,138,030
     Ser. 12-H04, Class FI, IO, 0.942s, 2062 40,568,013 1,876,271
     Ser. 11-70, PO, zero %, 2041 12,374,311 9,711,236
     Ser. 06-36, Class OD, PO, zero %, 2036 23,849 22,005
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 12,018,496 424,253
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042(F) 1,583,000 1,456,693
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.37s, 2039(F) 133,971,056 2,398,268
GSC Capital Corp. Mortgage Trust
     FRB Ser. 06-1, Class A1, 0.439s, 2036 1,471,355 779,818
     FRB Ser. 06-2, Class A1, 0.419s, 2036 2,123,789 924,124
GSR Mortgage Loan Trust FRB Ser. 06-OA1, Class 3A1, 2.706s, 2046 6,115,216 3,195,200
Harborview Mortgage Loan Trust
     FRB Ser. 05-7, Class 1A1, 3.074s, 2045 13,442,621 6,788,524
     FRB Ser. 05-3, Class 2A1A, 0.48s, 2035 2,305,295 1,551,830
     FRB Ser. 06-7, Class 2A1A, 0.44s, 2046 2,908,326 1,759,537
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39, Class A1, 0.419s, 2037 7,931,118 4,203,493
IndyMac Indx Mortgage Loan Trust FRB Ser. 06-AR35, Class 2A1A, 0.409s, 2037 10,772,319 5,782,172
JPMorgan Alternative Loan Trust
     FRB Ser. 07-A2, Class 12A1, 0.439s, 2037 4,103,232 1,754,132
     FRB Ser. 06-A7, Class 1A1, 0.399s, 2036 2,266,436 1,082,400
     FRB Ser. 06-A6, Class 1A1, 0.399s, 2036 3,994,331 2,177,130
     FRB Ser. 07-A1, Class 1A1A, 0.379s, 2037 1,613,327 693,731
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.215s, 2051 123,191,701 1,251,258
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031(F) 492,082 497,049
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,018,751
LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class K, 6.529s, 2035(F) 1,440,000 1,446,343
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, zero %, 2047 9,342,682 297,798
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.518s, 2028(F) 648,487 15,564
Merrill Lynch Mortgage Trust
     Ser. 2005-LC1, Class AJ, 5.505s, 2044(F)(FWC) 1,223,000 1,203,995
     Ser. 05-CKI1, Class AJ, 5.391s, 2037(F)(FWC) 2,509,000 2,439,836
     Ser. 04-KEY2, Class D, 5.046s, 2039 993,000 866,393
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.751s, 2037 949,645 71,223
     Ser. 07-C5, Class X, IO, 5.164s, 2049 4,198,123 314,859
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039(F) 3,360,000 2,924,501
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.987s, 2012 1,459 —
Residential Accredit Loans, Inc.
     Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046 14,841,265 771,746
     Ser. 06-Q07, Class X1, IO, 0.9s, 2046 10,081,920 322,621
     FRB Ser. 06-QO3, Class A2, 0.499s, 2046 8,963,755 3,612,393
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 376,000 376,000
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 0 1/2s, 2047 57,503,419 1,178,820
Structured Asset Mortgage Investments, Inc.
     Ser. 06-AR6, Class 2X, IO, 1s, 2046 23,935,192 907,144
     Ser. 07-AR1, Class 1X, IO, 0.6s, 2037 8,302,266 178,499
     FRB Ser. 06-AR1, Class 3A1, 0.469s, 2036 1,380,050 789,665
     Ser. 06-AR8, Class X, IO, 0.4s, 2036 36,545,358 493,362
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.009s, 2045 7,245,199 1,159,232
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 05-C20, Class B, 5.409s, 2042 2,591,000 2,413,936
     Ser. 07-C34, IO, 0.543s, 2046 34,031,262 496,856
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.389s, 2036 1,489,908 655,560
WAMU Mortgage Pass-Through Certificates FRB Ser. 05-AR17, Class A1C3, 0.719s, 2045 2,196,012 973,108
Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 06-AR9, Class 2A, 1.009s, 2046 7,126,561 2,886,257
Total mortgage-backed securities (cost $260,143,263) $269,776,710

CORPORATE BONDS AND NOTES (31.3%)(a)
Principal amount Value
Basic materials (1.9%)
Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017 $139,000 $125,100
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 695,000 708,900
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 620,000 666,500
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 461,175
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.474s, 2013 (Netherlands) 165,000 156,750
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 650,000 666,250
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 370,000 400,525
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 542,000 560,970
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 420,000 425,324
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 255,000 258,139
Grohe Holding GmbH 144A company guaranty sr. notes FRN 4.876s, 2017 (Germany) EUR 721,000 913,368
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 $97,000 92,393
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 375,000 392,813
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 661,000 754,366
INEOS Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom) EUR 270,000 380,798
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) $130,000 139,100
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (Britain) 100,000 102,750
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 553,000 673,197
LyondellBasell Industries NV 144A company guaranty sr. notes 6s, 2021 (Netherlands) $500,000 540,000
LyondellBasell Industries NV 144A sr. unsec. notes 5 3/4s, 2024 (Netherlands) 525,000 542,063
LyondellBasell Industries NV 144A sr. unsec. notes 5s, 2019 (Netherlands) 950,000 980,875
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 310,000 321,573
Momentive Performance Materials, Inc. notes 9s, 2021 $96,000 83,040
Monaco SpinCo, Inc. 144A company guaranty sr. unsec notes 6 3/4s, 2020 90,000 93,150
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 360,000 396,900
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 546,000 546,000
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 686,000 977,716
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.307s, 2015 (Germany) EUR 339,000 440,891
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $259,000 260,295
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 341,000 385,330
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 732,000 849,120
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 550,000 570,625
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) 291,000 333,595
Thompson Creek Metals Co., Inc. company guaranty sr. unsec. notes 7 3/8s, 2018 37,000 31,635
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 456,000 478,800
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 200,000 98,000
15,808,026
Capital goods (1.8%)
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 466,000 477,068
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 225,000 242,438
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 574,000 612,745
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 244,000 252,540
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 83,000 92,338
ARD Finance SA sr. sec. Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 150,000 179,978
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) EUR 105,964 127,141
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 190,000 264,601
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 130,000 181,043
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 $82,000 83,435
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 689,000 761,345
BE Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 325,000 329,875
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 199,000 210,940
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 56,000 61,180
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 425,000 439,875
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 345,000 364,838
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 100,000 142,447
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $909,000 977,175
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 860,000 1,116,321
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 57,000 63,983
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 587,000 578,195
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 265,000 278,250
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom) EUR 350,000 438,972
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 593,000 847,633
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 $160,000 167,200
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 185,000 185,925
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/2s, 2021 (New Zealand) 120,000 115,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. notes 7 3/4s, 2016 843,000 1,163,739
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019 150,000 162,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019 150,000 156,000
Ryerson, Inc. company guaranty sr. notes 12s, 2015 777,000 810,023
Silgan Holdings, Inc. 144A sr. notes 5s, 2020 127,000 128,270
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 345,000 374,325
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 330,000 354,750
Terex Corp. sr. unsec. sub. notes 8s, 2017 137,000 143,508
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 742,000 758,695
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 275,000 281,188
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 232,000 255,200
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 665,000 724,850
14,905,829
Communication services (3.8%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 170,000 176,800
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 200,000 219,500
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 432,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 311,000 336,658
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 296,000 309,320
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 237,000 253,590
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 347,000 374,760
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015 195,000 196,950
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 620,000 579,700
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 811,000 748,148
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 550,000 515,625
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 870,000 906,975
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 1,110,000 1,168,275
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 160,000 175,200
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 717,000 747,473
Equinix, Inc. sr. unsec. notes 7s, 2021 305,000 333,213
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 140,000 150,850
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 1,586,000 1,661,335
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 488,000 522,160
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 594,000 643,748
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 979,000 1,052,425
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 339,150
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 2,168,562 2,260,726
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 586,000 607,975
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 310,000 320,075
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) EUR 305,000 419,353
Kabel Deutschland GmbH 144A sr. sec. bonds 6 1/2s, 2018 (Germany) EUR 245,000 340,188
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $285,000 310,650
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 85,000 87,338
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes FRN 8 5/8s, 2020 332,000 347,770
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 131,000 142,790
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 945,000 970,988
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 131,000 127,070
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 839,000 939,680
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 195,000 181,838
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 616,000 672,980
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 371,000 420,158
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 410,000 602,177
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 $359,000 359,898
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 145,000 163,125
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 422,110
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 153,000 168,683
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 263,000 281,739
Sprint Capital Corp. company guaranty 8 3/4s, 2032 79,000 66,953
Sprint Capital Corp. company guaranty 6 7/8s, 2028 110,000 82,225
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 2,049,000 1,972,163
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 330,000 299,475
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 539,000 594,248
Sprint Nextel Corp. 144A sr. unsec. notes 9 1/8s, 2017 370,000 367,225
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) EUR 145,000 201,355
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 185,957
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 139,644
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 964,429
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 489,000 676,922
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) EUR 677,000 937,287
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 79,000 143,248
Virgin Media Finance PLC company guaranty sr. unsec. unsub. notes 5 1/4s, 2022 (United Kingdom) $200,000 199,761
Wind Acquisition Finance SA 144A company guaranty sr. sec. bonds 7 3/8s, 2018 (Luxembourg) EUR 760,000 904,828
Wind Acquisition Holding company guaranty sr. notes Ser. REGS, 12 1/4s, 2017 (Luxembourg)(PIK) EUR 235,597 267,039
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $140,000 150,500
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 584,000 645,320
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 272,415
31,062,160
Consumer cyclicals (5.7%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 60,000 63,900
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 50,000 42,250
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 955,000 833,238
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 560,000 495,600
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 410,000 399,750
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 522,000 551,363
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec notes 7s, 2022 335,000 342,538
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 167,000 170,968
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 600,000 651,000
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 130,000 132,600
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 172,000 157,380
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 164,000 137,350
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 675,000 555,188
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 235,000 252,038
Building Materials Corp. 144A sr. notes 7s, 2020 140,000 149,450
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 180,000 189,000
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 360,000 374,850
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec notes 10s, 2019 320,000 342,400
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 954,000 719,078
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 898,000 992,290
Caesars Operating Escrow LLC/Caesars Escrow Corp. 144A sr. sub. notes 8 1/2s, 2020 355,000 365,650
Carlson Wagonlit BV company guaranty sr. sec. notes FRN Ser. REGS, 6.881s, 2015 (Netherlands) EUR 186,000 234,870
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 $170,000 190,400
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 265,000 243,800
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 705,000 729,675
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 100,000 108,000
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 699,906 776,896
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 313,000 283,265
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 214,000 157,825
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 1,083,000 1,187,239
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 305,000 321,013
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands) EUR 708,000 987,919
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 $540,000 510,975
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016 262,000 271,990
DISH DBS Corp. company guaranty 7 1/8s, 2016 28,000 31,010
DISH DBS Corp. company guaranty 6 5/8s, 2014 1,214,000 1,317,190
DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015 274,000 308,250
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 443,000 485,085
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 695,000 701,950
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 890,000 961,760
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 250,000 281,875
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 480,000 504,000
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico) 195,000 233,605
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) 128,000 149,347
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 407,000 420,228
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019 315,000 338,625
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016(R) 140,000 143,850
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 1,007,000 1,137,910
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 350,000 349,125
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 821,000 845,630
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 698,000 931,510
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 75,000 102,167
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 $225,000 254,531
Lamar Media Corp. 144A sr. sub. notes 5 7/8s, 2022 130,000 133,575
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 1,760,000 1,837,000
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 360,000 389,700
Limited Brands, Inc. sr. notes 5 5/8s, 2022 190,000 191,188
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy) EUR 730,000 862,694
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 $460,000 529,202
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 760,000 69,350
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 290,000 301,600
MGM Resorts International company guaranty sr. notes 9s, 2020 103,000 114,845
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 145,000 147,900
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 471,000 489,840
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 255,000 261,375
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 1,200,975 1,200,975
Navistar International Corp. sr. notes 8 1/4s, 2021 899,000 961,930
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 315,000 315,000
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 345,000 381,225
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 266,000 280,630
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 355,000 350,563
Owens Corning company guaranty sr. unsec. notes 9s, 2019 1,248,000 1,544,400
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 115,000 128,225
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 380,000 395,679
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 235,000 257,913
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 230,000 234,600
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 120,000 131,400
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 790,000 1,042,732
QVC Inc. 144A sr. notes 7 1/2s, 2019 $275,000 302,500
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 120,000 117,600
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 293,000 334,020
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 354,000 327,450
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Russia) 595,000 828,951
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 330,000 349,800
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 218,000 236,532
Sears Holdings Corp. company guaranty 6 5/8s, 2018 323,000 286,663
Spectrum Brands Holdings, Inc. Company guaranty sr. notes 9 1/2s, 2018 879,000 995,468
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 255,000 260,738
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 165,000 175,313
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 105,000 106,838
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 135,000 140,400
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 607,000 667,700
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 45,000 46,125
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 299,000 100,165
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 96,000 64,080
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 581,000 367,483
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 235,000 317,975
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $800,000 912,000
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 50,000 64,093
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 $455,000 460,119
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 250,000 276,250
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 145,000 164,031
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 1,206,000 1,314,540
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 305,000 311,863
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 801,000 862,076
46,363,710
Consumer staples (1.8%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,500,000 821,032
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 $275,000 299,750
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 730,000 749,163
Avis Budget Car Rental, LLC 144A company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 115,000 120,463
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 135,000 186,468
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 $432,000 490,860
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 245,517 263,317
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 284,000 250,630
Claire's Stores, Inc. 144A sr. notes 9s, 2019 385,000 396,550
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 142,000 160,460
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 210,500
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 599,000 650,664
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 279,000 290,160
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 265,000 292,825
Dole Food Co. 144A sr. notes 8s, 2016 207,000 218,385
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 806,000 1,078,980
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $380,000 417,050
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 300,000 396,049
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 $155,000 166,238
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 360,000 512,196
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 $150,000 151,875
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 1,007,000 961,685
Libbey Glass, Inc. sr. notes 10s, 2015 114,000 121,553
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 165,000 171,600
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 500,000 547,500
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 620,000 633,950
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 643,000 644,608
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 144,688
Rite Aid Corp. 144A sr. notes 9 1/4s, 2020 385,000 390,775
Service Corporation International sr. notes 7s, 2019 180,000 192,375
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 130,000 152,100
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 430,000 449,350
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 120,000 138,300
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 1,400,000 1,561,000
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 51,000 55,973
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 447,000 476,614
14,765,686
Energy (6.4%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 300,000 279,750
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 369,000 344,093
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 147,000 185,037
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 666,000 771,259
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 112,000 100,240
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 465,000 416,175
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 582,000 582,000
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 150,000 115,500
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 115,000 121,038
Aurora USA Oil & Gas Inc.. 144A sr. notes 9 7/8s, 2017 260,000 272,350
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 814,000 862,840
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 364,813
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 5,325
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 1,150,000 1,253,500
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 510,000 495,975
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec notes 5 7/8s, 2021 309,000 293,550
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 139,563
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 542,038
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 204,000
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 515,000 514,964
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 $293,000 307,650
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 1,667,000 1,758,685
CONSOL Energy, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 65,000 61,100
Continental Resources, Inc. 144A company guaranty sr. unsec notes 5s, 2022 430,000 436,450
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 850,000 911,625
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 302,000 335,220
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 225,000 237,094
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 144A sr. notes 6 7/8s, 2019 170,000 178,500
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 144A sr. unsec. notes 9 3/8s, 2020 600,000 639,000
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 945,000 807,975
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 234,000 213,525
Forbes Energy Services Ltd. company guaranty sr. unsec notes 9s, 2019 340,000 329,800
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 420,000 433,650
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 780,000 898,622
Gazprom OAO Via Gaz Capital SA 144A sr. sec. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,311,961
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 663,406
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 6.51s, 2022 (Russia) 485,000 532,385
Gazprom Via Gaz Capital SA 144A sr. unsec. unsub notes 8.146s, 2018 (Russia) 316,000 372,621
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 485,000 554,020
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 451,000 436,343
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 604,000 634,200
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017(R) 40,000 40,000
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 361,000 364,610
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 222,000 373,009
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 $94,000 61,100
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 175,000 180,250
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 100,000 102,500
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 433,000 483,878
Laredo Petroleum, Inc. 144A company guaranty sr. unsec notes 7 3/8s, 2022 150,000 155,250
Lone Pine Resources Canada, Ltd. 144A company guaranty sr. notes 10 3/8s, 2017 (Canada) 206,000 211,150
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,196,467
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 320,000 336,800
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 520,000 403,000
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 620,000 607,501
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 375,000 410,156
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 325,000 355,469
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 1,146,000 1,269,195
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 44,000 45,210
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 398,650
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 325,000 381,875
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 728,000 758,940
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,186,272
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 140,000 168,582
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 1,051,613
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 225,000 249,750
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 4,530,000 3,470,750
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela) 650,000 385,158
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 650,000 393,101
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 600,000 543,312
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,705,000 1,427,920
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 4,455,000 3,976,088
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 315,000 316,197
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) 800,000 890,400
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,828,800
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 539,000 582,120
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines) 690,000 872,850
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) 950,000 1,168,500
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 350,000 379,750
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 175,000 174,563
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 290,000 317,913
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 950,000 991,563
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 95,000 95,950
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 1,344,000 1,394,400
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 190,000 200,450
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 135,000 137,025
Williams Cos., Inc. (The) notes 7 3/4s, 2031 158,000 193,110
WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 750,000 742,500
52,191,489
Financials (5.0%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 300,000 274,500
Air Lease Corp. 144A sr. notes 5 5/8s, 2017 380,000 374,300
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 335,000 352,405
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 818,000 828,225
Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012 851,000 851,000
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 240,000 263,400
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,471,800
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.688s, 2014 85,000 80,634
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068 440,000 470,250
Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil) BRL 855,000 482,189
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $1,350,000 1,396,613
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 374,000 374,000
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 135,000 144,450
CIT Group, Inc. 144A bonds 7s, 2017 2,438,000 2,444,095
CIT Group, Inc. 144A bonds 7s, 2016 697,000 698,743
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 511,125
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 390,450
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 130,000 141,050
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 395,000 401,913
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 402,500
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 466,095
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, (Perpetual maturity) (Jersey) 399,000 265,335
HSBC Capital Funding LP bank guaranty jr. unsec. sub. bonds FRB 5.13s, 2016 (Perpetual maturity) (Jersey) EUR 486,000 571,151
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 $185,000 189,163
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 135,000 137,363
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 895,000 956,531
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 51,000 51,510
International Lease Finance Corp. sr. unsec. unsub notes 4 7/8s, 2015 175,000 175,000
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 600,000 734,521
JPMorgan Chase & Co. 144A sr. unsec. unsub notes 8s, 2012 37,500,000 707,661
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 1,330,000 1,272,311
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) 525,000 627,375
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 2,425,000 2,889,024
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec notes 6 7/8s, 2021(R) 177,000 184,965
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 255,000 256,275
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 206,000 231,235
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 444,000 458,430
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 290,850
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, (Perpetual maturity) (United Kingdom) 525,000 330,750
Royal Bank of Scotland Group PLC jr. sub. notes FRN Ser. MTN, 7.64s, 2049 (United Kingdom) 600,000 406,212
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 775,000 827,313
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg) 500,000 512,846
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg) 1,160,000 1,183,200
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea) 257,000 258,593
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 371,610
UBS AG/ Jersey Branch jr. unsec. sub. notes FRN Ser. EMTN, 7.152s, (Perpetual maturity) (Jersey) EUR 400,000 497,044
UBS AG/Jersey Branch jr. unsec. sub. FRB 4.28s, (Perpetual maturity) (Jersey) EUR 182,000 194,754
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 394,222
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.378s, 2014 120,000 112,350
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) 590,000 590,000
Vnesheconombank Via VEB Finance PLC 144A bank guaranty sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 1,100,000 1,166,000
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 1,065,000 1,102,275
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 4,520,000 4,769,549
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,934,000 3,064,944
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) 2,612,000 2,667,296
41,267,395
Health care (1.7%)
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 325,000 338,000
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 478,175
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 $236,000 254,585
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 380,000 384,750
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 455,000 656,031
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 8s, 2019 $507,000 538,054
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 217,155
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $1,070,000 1,094,075
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 110,000 115,088
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 340,000 357,000
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 383,000 422,258
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 504,000 516,600
Endo Pharmaceutical Holdings, Inc. company guaranty sr. unsec notes 7s, 2019 290,000 309,575
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 370,000 376,475
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 143,281
Grifols, Inc. company guaranty sr. unsec notes 8 1/4s, 2018 511,000 547,409
HCA, Inc. sr. notes 6 1/2s, 2020 1,580,000 1,686,650
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 450,000 483,750
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 740,000 780,700
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec notes 8 3/8s, 2019 548,000 539,095
Kinetics Concept/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 445,000 409,400
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 345,000 374,325
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 640,000 646,400
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 329,569 334,513
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 395,900
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 276,000 318,780
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 471,000 528,109
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 455,000 473,200
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 70,000 70,963
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 175,100
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 70,000 72,013
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 16,000 10,600
14,048,009
Technology (1.4%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 599,000 660,398
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 14,000 13,878
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 377,000 373,701
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 166,000 166,000
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 288,000 276,480
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 643,000 612,458
Epicor Software Corp. company guaranty sr. unsec notes 8 5/8s, 2019 183,000 189,405
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 258,000 288,960
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 172,000 188,770
First Data Corp. company guaranty sr. unsec notes 12 5/8s, 2021 790,000 791,975
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 1,208,603 1,229,754
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 242,000 222,640
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 277,000 272,845
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 175,000 190,313
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 235,000 240,288
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 85,000 94,350
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 855,000 953,325
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 1,035,000 1,095,806
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 290,000 316,100
Lawson Software, Inc. 144A sr. notes 9 3/8s, 2019 125,000 130,625
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 716,000 818,030
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 433,000 477,383
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 10 1/4s, 2015 817,000 846,616
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 344,000 366,790
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 431,000 477,871
11,294,761
Transportation (0.3%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 1,111,000 1,279,122
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 $466,000 481,728
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 555,000 606,338
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 294,000 161,700
2,528,888
Utilities and power (1.5%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,299,600
AES Corp. (The) 144A sr. notes 7 3/8s, 2021 310,000 344,875
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 380,000 414,200
Calpine Corp. 144A sr. notes 7 1/4s, 2017 995,000 1,062,163
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 615,000 694,578
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) 940,000 634,500
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 289,000 189,295
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 135,000 101,250
Edison Mission Energy sr. unsec. notes 7.2s, 2019 292,000 178,850
Edison Mission Energy sr. unsec. notes 7s, 2017 44,000 27,500
El Paso Corp. sr. unsec. notes 7s, 2017 160,000 179,947
El Paso Natural Gas Co. debs. 8 5/8s, 2022 577,000 730,284
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 1,390,000 1,513,363
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 784,000 865,340
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 692,000 766,390
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 685,000 643,900
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 99,750
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 220,000 239,800
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,344,063
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 255,000 279,420
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028 145,000 177,088
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 310,000 192,200
Vattenfall AB jr. unsec. sub. bonds FRB 5 1/4s, perpetual maturity (Sweden) EUR 364,000 490,770
12,469,126
Total corporate bonds and notes (cost $250,404,949) $256,705,079

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (21.4%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.2%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $1,621,061 $1,840,411
1,840,411
U.S. Government Agency Mortgage Obligations (21.2%)
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, April 1, 2016 8,251 8,813
     4 1/2s, TBA, May 1, 2042 5,000,000 5,353,516
     3 1/2s, TBA, June 1, 2042 54,000,000 55,923,750
     3 1/2s, TBA, May 1, 2042 108,000,000 112,151,250
173,437,329
Total U.S. government and agency mortgage obligations (cost $173,407,580) $175,277,740

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 2.750%, November 30, 2016(i) $277,000 $305,332
Total U.S. treasury obligations (cost $305,332) $305,332

PURCHASED OPTIONS OUTSTANDING (10.4%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. Sep-16/3.49 $1,774,702 $137,433
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. Sep-16/3.49 1,774,702 102,471
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 59,347,000 7,293,746
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 59,347,000 2,106,819
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 14,131,000 1,088,172
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 14,131,000 1,059,684
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 14,131,000 251,108
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 14,131,000 246,713
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 43,271,000 6,412,762
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 43,271,000 1,228,896
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 July 2026. Jul-16/4.74 43,271,000 6,597,270
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 July 2026. Jul-16/4.74 43,271,000 1,184,630
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 28,044,000 284,759
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 41,000,000 3,996,680
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 41,000,000 504,710
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.765 41,000,000 4,035,220
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. May-16/4.765 41,000,000 464,530
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 38,578,000 3,855,100
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 38,578,000 3,747,467
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 38,578,000 474,509
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 38,578,000 469,417
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 22,922,000 2,663,536
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 22,922,000 701,413
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 7,284,400 1,967,007
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 7,284,400 338,579
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 7,284,400 2,061,558
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 7,284,400 314,686
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 5,860,000 59,479
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 5,860,000 56,901
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 2,266,000 67,368
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 2,266,000 48,085
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 8,182,000 262,233
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 8,182,000 217,805
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 893,000 17,726
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 4,711,000 265,088
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 4,711,000 257,833
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 5,860,000 53,092
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 5,860,000 49,165
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 2,266,000 63,856
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 2,266,000 43,575
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 8,182,000 249,306
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 8,182,000 204,877
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 893,000 16,288
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 5,860,000 45,356
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 8,182,000 232,614
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 8,182,000 189,659
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 2,266,000 59,460
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 2,266,000 38,477
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 15,237,000 325,005
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-12/2.085 893,000 14,359
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 2,266,000 55,381
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 2,266,000 33,627
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-12/2.064 893,000 12,573
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 4,711,000 202,479
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 4,711,000 197,344
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 15,237,000 289,503
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 42,961,000 363,020
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 2,266,000 50,056
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 2,266,000 27,781
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 21,595,000 1,262,660
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 21,595,000 62,194
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-12/2.042 893,000 10,511
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 15,237,000 251,868
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 33,939,791 3,925,816
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 33,939,791 8,485
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 28,283,159 3,662,669
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 28,283,159 3,248,886
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 28,283,159 6,505
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 28,283,159 3,111
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 11,313,264 1,455,678
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 11,313,264 1,131
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 28,283,159 3,720,367
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 5,814,000 105,582
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 28,283,159 2,263
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 15,899,614 2,097,477
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 15,899,614 1,113
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 28,466,127 3,626,869
Option on an interest rate swap with JPMorgan Chase Bank N.A. 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 28,466,127 2,277
Option on an interest rate swap with JPMorgan Chase Bank 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 5,860,000 7,618
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 5,860,000 7,618
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 5,860,000 7,618
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 5,860,000 7,618
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 5,860,000 7,618
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 2,266,000 44,255
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 2,266,000 20,961
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 28,188,000 376,310
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 28,188,000 376,310
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 28,188,000 389,276
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 3,183,000 33,294
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 15,237,000 207,985
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.105% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.105 17,352,000 205,448
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.105% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.105 17,352,000 168,141
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 5,860,000 3,340
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 5,860,000 3,340
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 5,860,000 3,340
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/1.683 5,860,000 3,340
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022. Jun-12/1.683 5,860,000 3,340
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 2,266,000 38,023
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.195 2,266,000 13,891
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.10% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.10 17,352,000 191,393
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.10% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.10 17,352,000 152,871
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.03 3,183,000 22,981
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 4,711,000 106,327
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. Jun-12/2.83 4,711,000 105,762
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.095 17,352,000 176,643
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.096 15,237,000 155,875
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing June 2022. Jun-12/2.095 17,352,000 136,907
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.09 17,352,000 160,506
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.09 17,352,000 119,555
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.095 17,352,000 156,689
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.095 17,352,000 99,080
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.09 17,352,000 138,122
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.09 17,352,000 78,778
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 2,266,000 29,458
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.17 2,266,000 4,759
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022. May-12/2.005 3,183,000 8,053
Total purchased options outstanding (cost $84,170,450) $84,886,151

FOREIGN GOVERNMENT BONDS AND NOTES (8.2%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $1,665,000 $1,351,980
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 1,136,000 1,130,892
Argentina (Republic of) sr. unsec. bonds FRB 0.629s, 2013 3,113,000 373,560
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 13,260,000 11,967,150
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012 ARS 4,110,000 963,719
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 $2,827,677 2,000,581
Brazil (Federal Republic of) unsec. notes 10s, 2017 BRL 3,500 1,892,622
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 2,365 1,302,181
Chile (Republic of) notes 5 1/2s, 2020 CLP 397,500,000 853,220
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 $620,000 605,244
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 715,000 724,391
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 INR 53,200,000 975,165
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $1,590,000 1,811,423
Hungary (Republic of) sr. unsec. unsub. notes 7 5/8s, 2041 340,000 317,761
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 22,000 21,117
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019 1,305,000 1,927,785
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038 920,000 1,246,600
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 460,000 495,576
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 1,555,000 1,879,420
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 22,650,000 759,318
Iraq (Republic of) 144A bonds 5.8s, 2028 $1,275,000 1,063,350
Peru (Republic of) bonds 6.95s, 2031 PEN 5,885,000 2,487,011
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 $53,935 64,723
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 4,000,000 4,219,280
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 400,000 405,648
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030 4,518,224 5,416,220
Sri Lanka (Republic of) 144A notes 7.4s, 2015 440,000 468,851
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 3,785,000 4,424,476
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 425,000 364,438
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 1,900,000 1,904,313
Ukraine (Government of) 144A bonds 7 3/4s, 2020 1,140,000 1,031,700
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 1,580,000 1,432,238
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 4,165,000 4,123,350
United Mexican States sr. unsec. notes 5 3/4s, 2110 1,120,000 1,220,800
Venezuela (Republic of) bonds 8 1/2s, 2014 310,000 312,331
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027 300,000 259,722
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 2,510,000 2,623,979
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 2,215,000 2,408,392
Total foreign government bonds and notes (cost $64,487,420) $66,830,527

ASSET-BACKED SECURITIES (3.6%)(a)
Principal amount Value
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9, Class 1A2, 0.389s, 2036 $7,000,000 $3,115,000
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.114s, 2034 79,080 21,305
Countrywide Asset Backed Certificates
     FRB Ser. 06-25, Class 2A2, 0.359s, 2047 1,368,344 1,258,877
     FRB Ser. 07-1, Class 2A2, 0.339s, 2037 4,195,000 3,744,038
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038(F) 962,599 38,504
Granite Mortgages PLC
     FRB Ser. 03-2, Class 2C1, 4.13s, 2043 EUR 2,002,000 1,923,802
     FRB Ser. 03-2, Class 3C, 3.52s, 2043 GBP 746,898 880,317
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $13,441 13,091
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.239s, 2030 776,342 372,644
Merrill Lynch First Franklin Mortgage Loan Trust FRB Ser. 07-3, Class A2B, 0.369s, 2037 5,170,409 3,035,030
Merrill Lynch Mortgage Investors Trust
     FRB Ser. 07-HE1, Class A2D, 0.569s, 2037 2,948,449 962,079
     FRB Ser. 07-HE2, Class A2B, 0.449s, 2037 6,000,000 1,857,188
     FRB Ser. 06-HE3, Class A3, 0.389s, 2037 7,678,446 2,499,334
     FRB Ser. 07-HE1, Class A2A, 0.369s, 2037 9,102,731 2,970,221
     FRB Ser. 06-HE5, Class A2B, 0.349s, 2037 3,373,829 1,855,606
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.439s, 2034 96,716 28,015
Structured Asset Securities Corp. FRB Ser. 06-BC2, Class A3, 0.389s, 2036 8,399,708 4,787,833
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,006,554 120,786
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 756,000 378,000
Total asset-backed securities (cost $30,076,306) $29,861,670

SENIOR LOANS (1.9%)(a)(c)
Principal amount Value
Basic materials (0.1%)
INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 $14,179 $14,693
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013 368,200 363,751
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 202,950 198,384
576,828
Capital goods (—%)
SRAM Corp. bank term loan FRN 8 1/2s, 2018 135,000 135,759
135,759
Communication services (0.2%)
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.83s, 2016 1,125,761 1,119,529
Intelsat SA bank term loan FRN 3.242s, 2014 (Luxembourg) 885,000 872,831
Level 3 Financing, Inc. bank term loan FRN 2.729s, 2014 35,000 34,738
2,027,098
Consumer cyclicals (0.9%)
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 170,964 172,460
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 109,313 109,707
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.494s, 2018 809,518 739,986
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 562,928 561,052
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.49s, 2014 486,580 444,005
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.894s, 2016 987,831 793,694
Compucom Systems, Inc. bank term loan FRN 3 3/4s, 2014 151,195 147,227
GateHouse Media, Inc. bank term loan FRN Ser. B, 2 1/2s, 2014 423,393 126,356
GateHouse Media, Inc. bank term loan FRN Ser. B, 2 1/4s, 2014 453,227 135,260
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2 1/4s, 2014 169,115 50,470
Golden Nugget, Inc. bank term loan FRN Ser. B, 3 1/4s, 2014(PIK) 199,170 189,959
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3 1/4s, 2014(PIK) 113,373 108,130
Goodman Global, Inc. bank term loan FRN 9s, 2017 271,091 275,496
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 416,710 418,793
National Bedding Company, LLC bank term loan FRN Ser. B, 4 1/8s, 2013 148,638 148,638
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 370,000 370,051
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 1,235,458 574,488
Realogy Corp. bank term loan FRN Ser. B, 4.77s, 2016 800,784 743,968
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.803s, 2014 285,419 282,208
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2 3/4s, 2014 28,443 28,123
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 670,438 461,112
Univision Communications, Inc. bank term loan FRN 4.494s, 2017 345,227 322,140
7,203,323
Consumer staples (0.2%)
Claire's Stores, Inc. bank term loan FRN 3.086s, 2014 309,389 294,130
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 258,050 255,994
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017 520,000 519,675
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 560,763 559,974
Rite Aid Corp. bank term loan FRN Ser. B, 2s, 2014 179,586 176,712
West Corp. bank term loan FRN Ser. B2, 2.658s, 2013 44,736 44,702
West Corp. bank term loan FRN Ser. B5, 4.494s, 2016 108,517 108,789
1,959,976
Energy (0.1%)
EP Energy, LLC bank term loan FRN 6 1/2s, 2018 135,000 136,283
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 323,488 311,088
447,371
Financials (0.1%)
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 395,000 373,176
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014 162,825 163,571
536,747
Health care (0.2%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 515,897 515,252
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 386,633 387,600
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 618,750 619,910
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 308,003 306,617
Quintiles Transnational Corp. bank term loan FRN 7 1/2s, 2017(PIK) 135,000 135,563
1,964,942
Utilities and power (0.1%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.743s, 2017 1,360,286 751,898
751,898
Total senior loans (cost $17,701,877) $15,603,942

CONVERTIBLE BONDS AND NOTES (0.2%)(a)
Principal amount Value
Altra Holdings, Inc. 144A cv. company guaranty sr. unsec. notes 2 3/4s, 2031 $330,000 $322,163
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 345,000 512,325
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) 330,000 295,763
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 350,000 378,000
Total convertible bonds and notes (cost $1,316,591) $1,508,251

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 440 $373,450
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 28,680 686,886
Total preferred stocks (cost $881,238) $1,060,336

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 9,017 $352,227
Lehman Brothers Holdings, Inc. 7.25% cv. pfd. (Escrow)(F) 1,477 15
Lucent Technologies Capital Trust I 7.75% cv. pfd. 407 315,425
Total convertible preferred stocks (cost $850,810) $667,667

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $0.01 117 $2,112
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 1.00 960 41,939
Total warrants (cost $35,777) $44,051

COMMON STOCKS (—%)(a)
Shares Value
Bohai Bay Litigation, LLC (Escrow)(F) 1,327 $4,141
Magellan Health Services, Inc.(NON) 304 13,461
Trump Entertainment Resorts, Inc. 224 672
Vertis Holdings, Inc.(F) 1,450 15
Total common stocks (cost $27,390) $18,289

SHORT-TERM INVESTMENTS (22.6%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.10%(e) 26,544,987 $26,544,987
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, May 14, 2012 $9,500,000 9,499,383
Straight-A Funding, LLC 144A Ser. 1 commercial paper with an effective yield of 0.178%, July 13, 2012 15,250,000 15,245,350
U.S. Treasury Bills with an effective yield of 0.090%, November 15, 2012(SEG)(SEGSF) 1,690,000 1,688,629
U.S. Treasury Bills with an effective yield of 0.087%, October 18, 2012(SEG)(SEGSF) 35,685,000 35,661,020
U.S. Treasury Bills with an effective yield of zero %, July 26, 2012(i) 4,404,000 4,403,119
U.S. Treasury Bills with effective yields ranging from 0.088% to 0.131%, May 3, 2012(SEGSF) 15,308,000 15,307,914
U.S. Treasury Bills with effective yields ranging from 0.077% to 0.094%, August 23, 2012(SEG)(SEGSF) 30,707,000 30,696,560
U.S. Treasury Bills with effective yields ranging from 0.070% to 0.085%, June 28, 2012(SEGSF) 11,658,000 11,656,516
U.S. Treasury Bills with effective yields ranging from 0.072% to 0.111%, July 26, 2012(SEG)(SEGSF) 34,612,000 34,604,350
Total short-term investments (cost $185,317,956) $185,307,828

TOTAL INVESTMENTS
Total investments (cost $1,069,126,939)(b) $1,087,853,573













FORWARD CURRENCY CONTRACTS at 4/30/12 (aggregate face value $620,565,826) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Sell 5/16/12 $734,001 $732,231 $(1,770)
British Pound Sell 5/16/12 671,985 663,032 (8,953)
Euro Buy 5/16/12 6,690,707 6,723,483 (32,776)
Japanese Yen Sell 5/16/12 3,108,757 3,019,594 (89,163)
Mexican Peso Buy 5/16/12 106,661 105,033 1,628
Mexican Peso Sell 5/16/12 106,661 108,894 2,233
South African Rand Buy 5/16/12 37,891 37,769 122
South African Rand Sell 5/16/12 37,891 37,725 (166)
Swedish Krona Sell 5/16/12 1,243,263 1,265,249 21,986
Swiss Franc Buy 5/16/12 818,821 822,377 (3,556)
Barclay's Bank, PLC
Australian Dollar Buy 5/16/12 2,881,071 2,939,816 (58,745)
Brazilian Real Buy 5/16/12 2,165,194 2,284,211 (119,017)
British Pound Sell 5/16/12 4,274,674 4,321,632 46,958
Canadian Dollar Buy 5/16/12 5,859,804 5,817,268 42,536
Chilean Peso Buy 5/16/12 1,857,887 1,863,926 (6,039)
Czech Koruna Sell 5/16/12 2,729,517 2,840,797 111,280
Euro Sell 5/16/12 10,978,251 11,077,180 98,929
Indonesian Rupiah Buy 5/16/12 1,799,995 1,813,658 (13,663)
Japanese Yen Buy 5/16/12 2,487,394 2,458,657 28,737
Malaysian Ringgit Sell 5/16/12 10,235 (255) (10,490)
Mexican Peso Buy 5/16/12 28,316 27,879 437
Mexican Peso Sell 5/16/12 28,316 28,925 609
New Zealand Dollar Sell 5/16/12 1,292,575 1,286,765 (5,810)
Norwegian Krone Buy 5/16/12 2,609,699 2,628,657 (18,958)
Polish Zloty Buy 5/16/12 1,808,665 1,834,115 (25,450)
Singapore Dollar Sell 5/16/12 4,182,600 4,135,261 (47,339)
South African Rand Buy 5/16/12 1,713,050 1,745,756 (32,706)
South Korean Won Sell 5/16/12 75,919 43,208 (32,711)
Swedish Krona Buy 5/16/12 3,795,262 4,001,848 (206,586)
Swiss Franc Sell 5/16/12 2,924,220 2,935,165 10,945
Taiwan Dollar Sell 5/16/12 1,824,242 1,809,489 (14,753)
Turkish Lira Buy 5/16/12 2,604,628 2,562,008 42,620
Citibank, N.A.
Australian Dollar Buy 5/16/12 6,967,444 7,102,268 (134,824)
British Pound Sell 5/16/12 1,260,398 1,303,334 42,936
Canadian Dollar Buy 5/16/12 2,767,454 2,763,860 3,594
Czech Koruna Sell 5/16/12 2,776,055 2,841,010 64,955
Euro Sell 5/16/12 6,774,766 6,778,851 4,085
Japanese Yen Sell 5/16/12 6,453,147 6,167,144 (286,003)
Mexican Peso Sell 5/16/12 351,367 373,158 21,791
Norwegian Krone Buy 5/16/12 921,060 928,535 (7,475)
Polish Zloty Buy 5/16/12 981,184 982,179 (995)
Singapore Dollar Sell 5/16/12 2,308,394 2,282,723 (25,671)
South African Rand Buy 5/16/12 1,073,142 1,069,319 3,823
South Korean Won Buy 5/16/12 1,816,479 1,826,150 (9,671)
Swedish Krona Buy 5/16/12 5,742,946 5,848,150 (105,204)
Swiss Franc Buy 5/16/12 1,585,413 1,591,892 (6,479)
Taiwan Dollar Sell 5/16/12 1,822,478 1,804,675 (17,803)
Turkish Lira Buy 5/16/12 3,561,090 3,509,102 51,988
Credit Suisse AG
Australian Dollar Buy 5/16/12 2,651,039 2,705,705 (54,666)
Brazilian Real Buy 5/16/12 381,044 414,356 (33,312)
British Pound Buy 5/16/12 6,061,981 5,995,300 66,681
Canadian Dollar Buy 5/16/12 2,862,985 2,862,843 142
Chilean Peso Buy 5/16/12 3,698,247 3,695,608 2,639
Czech Koruna Sell 5/16/12 3,699,638 3,783,470 83,832
Euro Sell 5/16/12 11,687,921 11,733,870 45,949
Hungarian Forint Sell 5/16/12 1,893,733 1,867,083 (26,650)
Japanese Yen Buy 5/16/12 1,977,382 2,041,695 (64,313)
Mexican Peso Buy 5/16/12 10,466 (10,206) 20,672
New Zealand Dollar Buy 5/16/12 128,432 137,258 (8,826)
Norwegian Krone Sell 5/16/12 3,138,447 3,163,499 25,052
Polish Zloty Sell 5/16/12 67,555 54,548 (13,007)
Singapore Dollar Sell 5/16/12 2,320,839 2,293,713 (27,126)
South African Rand Buy 5/16/12 2,386,944 2,388,756 (1,812)
South Korean Won Buy 5/16/12 1,816,805 1,816,781 24
Swedish Krona Buy 5/16/12 6,089,663 6,327,132 (237,469)
Swiss Franc Sell 5/16/12 8,181,050 8,215,214 34,164
Taiwan Dollar Sell 5/16/12 1,873,401 1,856,675 (16,726)
Turkish Lira Buy 5/16/12 3,577,552 3,493,796 83,756
Deutsche Bank AG
Australian Dollar Sell 5/16/12 3,336,349 3,318,093 (18,256)
Brazilian Real Buy 5/16/12 77,852 113,959 (36,107)
British Pound Sell 5/16/12 2,174,498 2,145,173 (29,325)
Canadian Dollar Buy 5/16/12 10,619,892 10,615,289 4,603
Czech Koruna Sell 5/16/12 3,688,999 3,770,236 81,237
Euro Sell 5/16/12 5,591,320 5,617,126 25,806
Mexican Peso Buy 5/16/12 1,876,468 1,859,724 16,744
Mexican Peso Sell 5/16/12 1,876,467 1,900,867 24,400
Peruvian New Sol Sell 5/16/12 1,982,791 1,961,121 (21,670)
Polish Zloty Buy 5/16/12 1,793,336 1,815,887 (22,551)
Singapore Dollar Sell 5/16/12 2,308,152 2,282,101 (26,051)
South African Rand Buy 5/16/12 1,882,807 1,874,528 8,279
South African Rand Sell 5/16/12 1,882,807 1,832,664 (50,143)
South Korean Won Buy 5/16/12 1,826,353 1,834,495 (8,142)
Swedish Krona Sell 5/16/12 2,246,161 2,285,174 39,013
Swiss Franc Buy 5/16/12 1,708,164 1,714,065 (5,901)
Turkish Lira Buy 5/16/12 2,341,741 2,298,674 43,067
Goldman Sachs International
Australian Dollar Buy 5/16/12 3,530,488 3,522,315 8,173
British Pound Sell 5/16/12 1,640,772 1,753,446 112,674
Chilean Peso Buy 5/16/12 827,455 832,862 (5,407)
Czech Koruna Sell 5/16/12 3,675,101 3,760,417 85,316
Euro Sell 5/16/12 6,708,313 6,738,261 29,948
Japanese Yen Buy 5/16/12 183,823 189,345 (5,522)
Norwegian Krone Buy 5/16/12 4,241,316 4,273,103 (31,787)
Singapore Dollar Sell 5/16/12 3,698,634 3,667,769 (30,865)
South African Rand Buy 5/16/12 1,868,144 1,860,219 7,925
South African Rand Sell 5/16/12 1,868,144 1,851,669 (16,475)
South Korean Won Buy 5/16/12 1,809,861 1,819,222 (9,361)
Swedish Krona Buy 5/16/12 9,780,743 9,782,839 (2,096)
Swiss Franc Buy 5/16/12 86,389 86,723 (334)
Taiwan Dollar Buy 5/16/12 35,577 32,840 2,737
Turkish Lira Buy 5/16/12 2,993,309 2,948,858 44,451
HSBC Bank USA, National Association
Australian Dollar Buy 5/16/12 5,855,182 5,891,282 (36,100)
British Pound Buy 5/16/12 1,188,363 1,219,371 (31,008)
Canadian Dollar Buy 5/16/12 6,189,860 6,161,952 27,908
Czech Koruna Sell 5/16/12 3,675,101 3,763,196 88,095
Euro Sell 5/16/12 16,367,299 16,401,855 34,556
Indian Rupee Sell 5/16/12 5,211 5,388 177
Japanese Yen Sell 5/16/12 441,633 345,664 (95,969)
Norwegian Krone Sell 5/16/12 6,150,274 6,192,010 41,736
Singapore Dollar Sell 5/16/12 4,172,418 4,126,660 (45,758)
South Korean Won Buy 5/16/12 1,810,062 1,819,505 (9,443)
Swiss Franc Buy 5/16/12 1,934,164 1,941,628 (7,464)
Turkish Lira Buy 5/16/12 1,768,908 1,740,838 28,070
JPMorgan Chase Bank, N.A.
Australian Dollar Sell 5/16/12 3,615,072 3,620,206 5,134
Brazilian Real Buy 5/16/12 395,275 430,443 (35,168)
British Pound Sell 5/16/12 3,732 20,874 17,142
Canadian Dollar Buy 5/16/12 6,153,226 6,146,444 6,782
Chilean Peso Buy 5/16/12 1,852,159 1,854,084 (1,925)
Czech Koruna Sell 5/16/12 4,613,606 4,717,789 104,183
Euro Sell 5/16/12 10,542,467 10,573,363 30,896
Japanese Yen Sell 5/16/12 3,940,393 3,830,220 (110,173)
Mexican Peso Sell 5/16/12 1,141,953 1,130,492 (11,461)
Norwegian Krone Buy 5/16/12 7,159,514 7,216,347 (56,833)
Peruvian New Sol Sell 5/16/12 435,920 431,124 (4,796)
Polish Zloty Buy 5/16/12 1,835,269 1,863,967 (28,698)
Russian Ruble Sell 5/16/12 787,413 791,330 3,917
Singapore Dollar Sell 5/16/12 2,292,394 2,269,449 (22,945)
South African Rand Buy 5/16/12 2,422,447 2,468,602 (46,155)
South Korean Won Sell 5/16/12 39,145 16,970 (22,175)
Swiss Franc Sell 5/16/12 3,812,241 3,827,356 15,115
Taiwan Dollar Sell 5/16/12 1,842,778 1,829,294 (13,484)
Turkish Lira Buy 5/16/12 2,622,793 2,557,451 65,342
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 5/16/12 1,690,751 1,738,951 (48,200)
Brazilian Real Sell 5/16/12 1,602,340 1,616,944 14,604
British Pound Buy 5/16/12 6,209,490 6,084,360 125,130
Canadian Dollar Buy 5/16/12 2,827,464 2,821,615 5,849
Chilean Peso Buy 5/16/12 1,862,444 1,856,920 5,524
Czech Koruna Sell 5/16/12 4,597,161 4,701,840 104,679
Euro Sell 5/16/12 17,726,674 17,858,131 131,457
Japanese Yen Sell 5/16/12 1,709,747 1,662,631 (47,116)
Mexican Peso Buy 5/16/12 1,851,502 1,839,292 12,210
Mexican Peso Sell 5/16/12 1,851,502 1,863,192 11,690
New Zealand Dollar Sell 5/16/12 1,838,657 1,827,485 (11,172)
Norwegian Krone Sell 5/16/12 415,261 417,925 2,664
Polish Zloty Buy 5/16/12 1,854,938 1,873,408 (18,470)
Singapore Dollar Sell 5/16/12 1,837,034 1,821,279 (15,755)
South African Rand Buy 5/16/12 2,190,749 2,177,424 13,325
South Korean Won Buy 5/16/12 1,820,413 1,828,042 (7,629)
Swedish Krona Buy 5/16/12 14,790,598 15,082,170 (291,572)
Swiss Franc Sell 5/16/12 6,613,599 6,641,070 27,471
Taiwan Dollar Sell 5/16/12 3,579,846 3,545,714 (34,132)
Turkish Lira Buy 5/16/12 3,703,461 3,668,319 35,142
State Street Bank and Trust Co.
Australian Dollar Sell 5/16/12 2,106,703 2,076,325 (30,378)
Brazilian Real Buy 5/16/12 1,240,916 1,314,049 (73,133)
British Pound Sell 5/16/12 2,609,073 2,488,538 (120,535)
Canadian Dollar Buy 5/16/12 6,147,762 6,136,984 10,778
Chilean Peso Buy 5/16/12 3,679,810 3,679,456 354
Czech Koruna Sell 5/16/12 3,685,263 3,814,196 128,933
Euro Sell 5/16/12 16,908,454 16,892,370 (16,084)
Hungarian Forint Buy 5/16/12 1,647,192 1,615,811 31,381
Japanese Yen Sell 5/16/12 9,867,675 9,590,259 (277,416)
Mexican Peso Sell 5/16/12 813,864 830,856 16,992
Norwegian Krone Buy 5/16/12 3,879,811 3,910,610 (30,799)
Polish Zloty Buy 5/16/12 2,808,567 2,811,002 (2,435)
Singapore Dollar Sell 5/16/12 2,325,283 2,297,602 (27,681)
South African Rand Buy 5/16/12 1,675,531 1,647,196 28,335
South Korean Won Buy 5/16/12 1,787,534 1,802,349 (14,815)
Swedish Krona Buy 5/16/12 996,817 1,312,551 (315,734)
Swiss Franc Sell 5/16/12 3,048,955 3,061,010 12,055
Turkish Lira Buy 5/16/12 3,632,162 3,557,042 75,120
UBS AG
Australian Dollar Sell 5/16/12 2,964,407 2,934,078 (30,329)
Brazilian Real Buy 5/16/12 3,578,974 3,715,887 (136,913)
Brazilian Real Sell 5/16/12 3,578,975 3,636,504 57,529
British Pound Buy 5/16/12 815,112 807,269 7,843
Canadian Dollar Buy 5/16/12 5,643,291 5,598,317 44,974
Czech Koruna Sell 5/16/12 3,684,276 3,800,866 116,590
Euro Sell 5/16/12 8,614,932 8,582,152 (32,780)
Hungarian Forint Buy 5/16/12 1,891,614 1,853,115 38,499
Indian Rupee Sell 5/16/12 1,081,317 1,119,242 37,925
Japanese Yen Sell 5/16/12 317,875 329,836 11,961
New Zealand Dollar Sell 5/16/12 1,848,298 1,853,774 5,476
Norwegian Krone Buy 5/16/12 764,296 717,593 46,703
Polish Zloty Buy 5/16/12 1,852,784 1,839,223 13,561
Singapore Dollar Sell 5/16/12 2,325,041 2,297,062 (27,979)
South African Rand Buy 5/16/12 1,868,799 1,883,781 (14,982)
South Korean Won Buy 5/16/12 1,771,083 1,783,252 (12,169)
Swedish Krona Buy 5/16/12 5,406,386 5,690,664 (284,278)
Swiss Franc Sell 5/16/12 7,317,382 7,344,688 27,306
Taiwan Dollar Sell 5/16/12 1,837,256 1,821,500 (15,756)
Turkish Lira Buy 5/16/12 2,954,708 2,908,485 46,223
Westpac Banking Corp.
Australian Dollar Buy 5/16/12 2,237,377 2,229,595 7,782
British Pound Buy 5/16/12 2,910,257 2,878,202 32,055
Euro Sell 5/16/12 18,336,612 18,376,446 39,834
Japanese Yen Buy 5/16/12 881,943 857,227 24,716
Mexican Peso Sell 5/16/12 1,789,611 1,861,962 72,351
Norwegian Krone Buy 5/16/12 375,634 378,685 (3,051)
Swedish Krona Buy 5/16/12 4,081,367 4,156,486 (75,119)
Total $(1,329,093)












FUTURES CONTRACTS OUTSTANDING at 4/30/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 5 $624,231             Jun-12 $18,270
Canadian Government Bond 10 yr (Long) 67 8,956,167             Jun-12 39,711
Euro-Bobl 5 yr (Short) 7 1,161,018             Jun-12 (12,810)
Euro-Bund 10 yr (Long) 56 10,458,609             Jun-12 225,161
Euro-Schatz 2 yr (Short) 161 23,570,602             Jun-12 (59,140)
Euro-Swiss Franc 3 Month (Short) 87 23,943,811             Jun-12 (243,439)
Euro-Swiss Franc 3 Month (Short) 87 23,951,000             Dec-12 (334,912)
Japanese Government Bond 10 yr Mini (Long) 20 3,582,415             Jun-12 20,215
U.K. Gilt 10 yr (Short) 12 2,251,481             Jun-12 (22,544)
U.S. Treasury Note 10 yr (Long) 39 5,158,969             Jun-12 (3,425)
Total $(372,913)












WRITTEN OPTIONS OUTSTANDING at 4/30/12 (premiums received $57,094,234) (Unaudited)


Contract       Expiration date/
amount       strike price Value
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. $7,284,400       Aug-15/4.375 $348,238
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. 7,284,400       Aug-15/4.375 2,063,328
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 7,284,400       Aug-15/4.46 323,711
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. 7,284,400       Aug-15/4.46 2,162,258
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. 64,500,748       Aug-16/4.35 8,257,644
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. 27,536,670       Aug-16/4.28 1,002,307
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. 27,536,670       Aug-16/4.28 3,404,359
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. 18,053,080       Aug-16/4.68 509,097
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. 18,053,080       Aug-16/4.68 2,675,466
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. 15,044,234       Jul-16/4.67 425,752
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. 15,044,234       Jul-16/4.67 2,220,529
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. 6,017,693       Jul-16/4.80 157,664
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. 6,017,693       Jul-16/4.80 941,167
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 8,457,241       Jul-16/4.79 216,996
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. 8,457,241       Jul-16/4.79 1,356,051
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 15,141,557       Jul-16/4.74 399,010
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. 15,141,557       Jul-16/4.74 2,378,330
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. 4,622,106       Jun-16/5.12 50,085
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. 4,548,270       Jun-16/4.89 52,760
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 4,519,392       Jun-16/4.575 60,027
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. 4,622,106       Jun-16/4.12 348,068
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. 4,548,270       Jun-16/4.39 385,238
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. 4,519,392       Jun-16/4.575 425,623
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. 71,799,174       May-16/4.705 922,619
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. 71,799,174       May-16/4.705 7,023,395
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 22,922,000       Sep-15/4.04 685,437
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. 22,922,000       Sep-15/4.04 2,725,036
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.3625% versus the three month USD-LIBOR-BBA maturing January 2023. 3,282,000       Jan-13/2.3625 104,729
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2022. 3,282,000       Dec-12/2.355 103,383
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.345% versus the three month USD-LIBOR-BBA maturing December 2022. 3,282,000       Dec-12/2.345 100,954
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.335% versus the three month USD-LIBOR-BBA maturing November 2022. 3,282,000       Nov-12/2.335 98,427
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.32% versus the three month USD-LIBOR-BBA maturing November 2022. 3,282,000       Nov-12/2.32 95,506
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.443% versus the three month USD-LIBOR-BBA maturing October 2022. 11,721,000       Oct-12/2.443 425,472
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.419% versus the three month USD-LIBOR-BBA maturing September 2022. 11,721,000       Sep-12/2.419 401,679
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing August 2022. 29,628,000       Aug-12/2.4475 1,073,422
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. 74,503,300       Aug-12/2.855 152,732
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. 74,503,300       Aug-12/2.855 5,147,433
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 August 2022. 21,595,000       Aug-12/2.73 62,194
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. 21,595,000       Aug-12/2.73 1,262,660
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.394% versus the three month USD-LIBOR-BBA maturing August 2022. 11,721,000       Aug-12/2.394 377,299
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.6825% versus the three month USD-LIBOR-BBA maturing July 2022. 3,304,000       Jul-12/2.6825 181,753
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. 2,813,000       Jul-12/2.1714 48,130
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. 2,813,000       Jul-12/2.1714 48,130
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. 2,813,000       Jul-12/2.1714 48,130
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. 2,813,000       Jul-12/2.1714 48,130
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. 2,813,000       Jul-12/2.1714 48,130
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 23,283,000       Jul-12/2.6075 1,136,443
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. 23,283,000       Jul-12/2.6075 1,136,443
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.61875% versus the three month USD-LIBOR-BBA maturing July 2022. 23,283,000       Jul-12/2.61875 1,158,096
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.372% versus the three month USD-LIBOR-BBA maturing July 2022. 11,721,000       Jul-12/2.372 350,927
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,754,000       Jun-12/2.183 44,450
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,754,000       Jun-12/2.183 44,450
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,754,000       Jun-12/2.183 44,450
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,754,000       Jun-12/2.183 44,450
Option on an interest rate swap with Barclay's Bank, PLC for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. 2,754,000       Jun-12/2.183 44,450
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. 2,266,000       Jun-12/2.195 13,891
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. 2,266,000       Jun-12/2.195 38,023
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.10% versus the three month USD-LIBOR-BBA maturing June 2022. 17,352,000       Jun-12/2.10 152,871
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.10% versus the three month USD-LIBOR-BBA maturing June 2022. 17,352,000       Jun-12/2.10 191,393
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing June 2022. 17,352,000       Jun-12/2.095 136,907
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing June 2022. 17,352,000       Jun-12/2.095 176,643
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.346% versus the three month USD-LIBOR-BBA maturing June 2022. 11,721,000       Jun-12/2.346 322,562
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. 17,352,000       May-12/2.09 119,555
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. 17,352,000       May-12/2.09 160,506
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing May 2022. 17,352,000       May-12/2.095 99,080
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing May 2022. 17,352,000       May-12/2.095 156,689
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. 17,352,000       May-12/2.09 78,778
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022. 17,352,000       May-12/2.09 138,122
Option on an interest rate swap with Bank of America N.A. for the obligation to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. 2,266,000       May-12/2.17 4,759
Option on an interest rate swap with Bank of America N.A. for the obligation to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. 2,266,000       May-12/2.17 29,458
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 2022. 19,551,000       May-12/5.51 6,261,990
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022. 3,183,000       May-12/2.005 8,053
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.324% versus the three month USD-LIBOR-BBA maturing May 2022. 11,721,000       May-12/2.324 301,931
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the obligation to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 2022. 19,551,000       May-12/5.51 20
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. 23,498,613       May-16/5.11 254,067
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. 24,125,492       May-16/4.86 278,891
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. 24,005,421       May-16/4.60 299,828
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. 23,498,613       May-16/4.11 1,763,430
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. 24,125,492       May-16/4.36 2,017,374
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. 24,005,421       May-16/4.60 2,201,777
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. 44,321,532       May-16/4.765 502,163
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. 44,321,532       May-16/4.765 4,362,125
Total $75,423,533












TBA SALE COMMITMENTS OUTSTANDING at 4/30/12 (proceeds receivable $61,194,688) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, May 1, 2042 $5,000,000       5/14/12 $5,353,516
Federal National Mortgage Association, 3 1/2s, May 1, 2042 54,000,000       5/14/12 56,075,625
Total $61,429,141















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/12 (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.
$76,801,000 $—      3/23/17 1.4045% 3 month USD-LIBOR-BBA $(1,301,690)
11,424,000 —      3/23/42 3 month USD-LIBOR-BBA 3.0995% 704,496
15,050,000 —      3/29/22 2.24312% 3 month USD-LIBOR-BBA (322,709)
86,475,000 —      4/17/14 0.5725% 3 month USD-LIBOR-BBA (43,528)
28,073,000 —      4/18/17 1.14% 3 month USD-LIBOR-BBA (77,580)
CAD 6,105,000 —      4/20/14 1.58% 3 month CAD-BA-CDOR 1,703
CAD 10,418,000 —      4/20/17 1.98% 3 month CAD-BA-CDOR (10,120)
CAD 2,612,000 —      4/20/22 2.56% 3 month CAD-BA-CDOR (2,476)
Barclay’s Bank, PLC
$10,361,000 193,440      4/18/22 2.3475% 3 month USD-LIBOR-BBA (113,241)
6,683,000 —      4/16/22 2.15% 3 month USD-LIBOR-BBA (76,062)
6,878,000 —      4/16/14 3 month USD-LIBOR-BBA 0.565% 2,689
3,760,000 —      4/19/17 3 month USD-LIBOR-BBA 1.145% 11,154
3,394,000 —      4/20/14 3 month USD-LIBOR-BBA 0.56% 912
3,253,000 —      4/20/14 0.56% 3 month USD-LIBOR-BBA (875)
3,253,000 —      4/20/22 3 month USD-LIBOR-BBA 2.08875% 17,781
3,688,000 —      4/25/22 2.059% 3 month USD-LIBOR-BBA (8,614)
2,371,000 —      4/25/14 3 month USD-LIBOR-BBA 0.569% 1,013
5,656,562 —      5/2/22 2.047% 3 month USD-LIBOR-BBA (3,394)
28,071,000 —      4/4/17 3 month USD-LIBOR-BBA 1.255% 254,327
321,787,000 —      4/10/14 0.623% 3 month USD-LIBOR-BBA (505,124)
72,681,000 —      4/10/17 1.3155% 3 month USD-LIBOR-BBA (852,817)
2,960,000 —      4/11/42 3.06% 3 month USD-LIBOR-BBA (154,185)
10,260,000 —      4/11/17 3 month USD-LIBOR-BBA 1.29625% 110,187
3,763,000 —      4/11/22 2.12% 3 month USD-LIBOR-BBA (33,969)
1,373,000 —      4/12/22 2.085% 3 month USD-LIBOR-BBA (7,844)
2,266,000 9,291      4/18/22 2.15% 3 month USD-LIBOR-BBA (16,289)
AUD 5,469,000 —      4/16/14 3 month AUD-BBR-BBSW 3.84% 14,158
AUD 3,906,000 —      4/16/17 6 month AUD-BBR-BBSW 4.22% 20,616
AUD 3,361,000 —      4/18/22 6 month AUD-BBR-BBSW 4.595% 35,045
AUD 7,820,000 —      4/5/22 6 month AUD-BBR-BBSW 4.73% 172,492
EUR 38,980,000 —      4/25/14 1.045% 6 month EUR-EURIBOR-REUTERS (117,385)
EUR 19,954,000 —      4/25/17 1.51% 6 month EUR-EURIBOR-REUTERS (115,252)
EUR 9,629,000 —      4/25/22 2.215% 6 month EUR-EURIBOR-REUTERS (42,416)
EUR 1,190,000 —      4/25/42 6 month EUR-EURIBOR-REUTERS 2.475% (6,457)
GBP 9,900,000 —      4/18/17 6 month GBP-LIBOR-BBA 1.645% (25,729)
GBP 3,892,000 —      4/18/22 2.43% 6 month GBP-LIBOR-BBA (3,769)
GBP 1,842,000 —      4/18/42 6 month GBP-LIBOR-BBA 3.21% (939)
GBP 5,884,000 —      4/30/22 6 month GBP-LIBOR-BBA 2.43% 3,056
JPY 1,540,785,000 —      4/13/17 0.45625% 6 month JPY-LIBOR-BBA (37,633)
$3,619,000 —      4/11/22 2.265% 3 month USD-LIBOR-BBA (81,347)
AUD 12,681,000 —      3/20/17 6 month AUD-BBR-BBSW 4.52% 237,534
AUD 9,294,000 —      3/20/22 4.82% 6 month AUD-BBR-BBSW (270,967)
AUD 13,114,000 —      3/20/14 4.205% 3 month AUD-BBR-BBSW (117,676)
AUD 5,387,000 —      3/20/22 4.82% 6 month AUD-BBR-BBSW (157,058)
AUD 34,263,000 —      3/20/17 4.52% 6 month AUD-BBR-BBSW (641,796)
AUD 12,296,000 —      3/16/17 6 month AUD-BBR-BBSW 4.71% 340,125
AUD 5,077,000 —      3/16/22 6 month AUD-BBR-BBSW 5.0175% 233,048
GBP 14,160,000 —      8/8/21 2.9785% 6 month GBP-LIBOR-BBA (1,346,669)
GBP 6,323,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (913,024)
GBP 21,410,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 2,177,897
JPY 3,010,354,000 —      2/13/17 6 month JPY-LIBOR-BBA 0.48% 139,980
JPY 1,505,177,000 —      2/16/17 6 month JPY-LIBOR-BBA 0.4675% 57,795
JPY 3,010,354,000 —      2/17/17 6 month JPY-LIBOR-BBA 0.44125% 65,985
JPY 11,789,100,000 —      3/6/14 6 month JPY-LIBOR-BBA 0.34375% (19,370)
JPY 4,761,000,000 —      3/6/17 0.4725% 6 month JPY-LIBOR-BBA (186,476)
JPY 9,185,900,000 —      3/30/14 0.3525% 6 month JPY-LIBOR-BBA (15,910)
JPY 1,224,100,000 —      3/30/17 0.4925% 6 month JPY-LIBOR-BBA (59,648)
Citibank, N.A.
$2,053,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 10,840
11,801,000 —      3/23/17 3 month USD-LIBOR-BBA 1.4259% 212,435
92,000 —      3/23/17 1.412% 3 month USD-LIBOR-BBA (1,593)
365,000 —      3/23/22 2.407% 3 month USD-LIBOR-BBA (13,537)
7,523,000 —      3/30/22 2.248% 3 month USD-LIBOR-BBA (164,214)
4,306,000 —      4/12/17 3 month USD-LIBOR-BBA 1.175% 20,507
Credit Suisse International
10,842,000 —      4/30/22 3 month USD-LIBOR-BBA 2.068% 31,382
1,655,000 —      4/30/22 3 month USD-LIBOR-BBA 2.068% 4,790
39,450,000 —      4/30/14 3 month USD-LIBOR-BBA 0.56% 6,770
8,469,000 —      4/30/22 2.07% 3 month USD-LIBOR-BBA (26,038)
1,397,000 —      4/30/22 2.077% 3 month USD-LIBOR-BBA (5,204)
2,548,000 (E) —      8/17/22 3 month USD-LIBOR-BBA 2.4475% 74,860
9,895,000 —      4/5/22 3 month USD-LIBOR-BBA 2.25% 213,100
1,623,000 —      4/12/42 2.8825% 3 month USD-LIBOR-BBA (24,254)
1,083,000 —      4/12/42 2.835% 3 month USD-LIBOR-BBA (5,446)
51,928,000 —      4/13/14 0.5925% 3 month USD-LIBOR-BBA (46,991)
CAD 45,883,000 —      4/20/14 1.58% 3 month CAD-BA-CDOR 12,801
CAD 1,651,000 —      4/20/17 3 month CAD-BA-CDOR 1.98% 1,604
CAD 4,023,000 —      4/20/22 3 month CAD-BA-CDOR 2.56% 3,814
CAD 39,216,000 —      4/26/14 1.71% 3 month CAD-BA-CDOR (85,492)
CAD 8,627,000 —      4/26/22 3 month CAD-BA-CDOR 2.61875% 50,816
CAD 7,845,000 —      4/30/22 3 month CAD-BA-CDOR 2.55% (4,400)
CHF 3,418,000 —      4/23/22 1.11% 6 month CHF-LIBOR-BBA (15,968)
CHF 11,200,000 —      4/23/14 0.15% 6 month CHF-LIBOR-BBA 8,092
CHF 5,961,000 —      4/27/17 0.49125% 6 month CHF-LIBOR-BBA (8,958)
CHF 87,940,000 —      3/14/14 6 month CHF-LIBOR-BBA 0.17% 597
CHF 18,676,000 —      3/14/17 6 month CHF-LIBOR-BBA 0.43% 4,622
CHF 24,427,000 —      3/19/14 0.2575% 6 month CHF-LIBOR-BBA (46,230)
CHF 12,099,000 —      3/19/17 0.5525% 6 month CHF-LIBOR-BBA (83,291)
CHF 10,098,000 —      3/19/22 6 month CHF-LIBOR-BBA 1.1675% 131,630
CHF 42,807,000 —      3/22/14 6 month CHF-LIBOR-BBA 0.2275% 50,800
CHF 2,481,000 —      3/22/22 1.2275% 6 month CHF-LIBOR-BBA (48,427)
CHF 2,130,000 —      3/22/17 6 month CHF-LIBOR-BBA 0.58% 17,723
CHF 11,820,000 —      3/27/22 6 month CHF-LIBOR-BBA 1.1275% 96,435
CHF 5,945,000 —      3/29/22 6 month CHF-LIBOR-BBA 1.15% 62,873
CHF 5,471,000 —      4/5/22 1.1725% 6 month CHF-LIBOR-BBA (68,872)
CHF 14,914,000 —      4/11/14 0.17% 6 month CHF-LIBOR-BBA 1,779
CHF 2,506,000 —      4/11/22 6 month CHF-LIBOR-BBA 1.12% 13,160
CHF 54,689,000 —      4/16/14 0.15125% 6 month CHF-LIBOR-BBA 36,694
CHF 18,572,000 —      4/19/14 0.14% 6 month CHF-LIBOR-BBA 17,453
CHF 7,734,000 —      4/19/17 0.4825% 6 month CHF-LIBOR-BBA (9,534)
CHF 3,808,000 —      4/19/22 1.125% 6 month CHF-LIBOR-BBA (21,826)
EUR 27,472,000 —      4/24/14 6 month EUR-EURIBOR-REUTERS 1.063% 95,334
EUR 5,455,000 —      4/24/17 6 month EUR-EURIBOR-REUTERS 1.539% 42,112
EUR 10,485,000 —      4/24/22 6 month EUR-EURIBOR-REUTERS 2.248% 88,779
EUR 5,647,000 —      4/27/17 6 month EUR-EURIBOR-REUTERS 1.533% 41,144
GBP 14,164,000 —      8/15/21 6 month GBP-LIBOR-BBA 2.91% 1,199,178
GBP 8,516,000 —      4/18/17 1.6475% 6 month GBP-LIBOR-BBA 24,317
GBP 4,202,000 —      4/18/22 2.4275% 6 month GBP-LIBOR-BBA (2,488)
MXN 78,540,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% 299,293
SEK 29,000,000 —      1/23/22 2.30% 3 month SEK-STIBOR-SIDE 55,682
SEK 29,000,000 —      1/25/22 2.4275% 3 month SEK-STIBOR-SIDE 6,860
SEK 29,000,000 —      2/20/22 3 month SEK-STIBOR-SIDE 2.38% (52,549)
SEK 14,903,000 —      2/23/22 2.545% 3 month SEK-STIBOR-SIDE (5,399)
SEK 19,381,000 —      2/24/22 2.5375% 3 month SEK-STIBOR-SIDE (5,089)
SEK 33,140,000 —      3/1/14 1.9675% 3 month SEK-STIBOR-SIDE 8,041
SEK 3,370,000 —      3/1/17 2.165% 3 month SEK-STIBOR-SIDE 653
SEK 48,706,000 —      3/6/22 3 month SEK-STIBOR-SIDE 2.475% (28,172)
SEK 39,400,000 —      3/13/22 2.43% 3 month SEK-STIBOR-SIDE 45,734
SEK 69,123,000 —      3/22/14 3 month SEK-STIBOR-SIDE 2.03% (1,623)
SEK 26,020,000 —      3/22/17 2.33% 3 month SEK-STIBOR-SIDE (24,803)
SEK 30,172,000 —      3/22/22 2.72% 3 month SEK-STIBOR-SIDE (79,318)
SEK 210,277,000 —      4/12/14 1.97% 3 month SEK-STIBOR-SIDE 31,876
SEK 46,680,000 —      4/12/22 3 month SEK-STIBOR-SIDE 2.4575% (39,326)
Deutsche Bank AG
$2,775,000 —      5/2/17 3 month USD-LIBOR-BBA 1.1066% 1,193
39,848,000 —      5/2/22 2.046% 3 month USD-LIBOR-BBA (20,323)
5,656,562 —      5/2/22 3 month USD-LIBOR-BBA 2.05% 4,978
1,039,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 4,790
EUR 54,940,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (7,998,093)
KRW 9,700,000,000 —      4/24/17 3.54% 3 month KRW-CD-KSDA-BLOOMBERG (18,720)
MXN 78,540,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% 322,100
PLN 16,643,000 —      4/12/17 4.99% 6 month PLN-WIBOR-WIBO (16,065)
PLN 16,643,000 —      4/13/17 4.99% 6 month PLN-WIBOR-WIBO (16,404)
PLN 16,643,000 —      4/16/17 5.01% 6 month PLN-WIBOR-WIBO (20,685)
ZAR 35,936,000 —      4/17/17 3 month ZAR-JIBAR-SAFEX 6.76% (2,831)
ZAR 36,717,000 —      4/10/17 3 month ZAR-JIBAR-SAFEX 6.95% 37,810
ZAR 36,717,000 —      4/11/17 3 month ZAR-JIBAR-SAFEX 6.92% 31,389
Goldman Sachs International
$14,755,100 —      4/23/22 2.10375% 3 month USD-LIBOR-BBA (96,853)
21,946,000 (609,550)     3/26/22 2.075% 3 month USD-LIBOR-BBA (739,991)
4,547,000 132,273      4/27/22 2.60% 3 month USD-LIBOR-BBA (105,613)
5,814,000 (107,559)     4/27/22 3 month USD-LIBOR-BBA 2.35% 61,915
38,126,600 —      2/22/14 1 month USD-FEDERAL FUNDS-H.15 0.1925% 54,612
10,278,000 —      2/23/14 0.19625% 1 month USD-FEDERAL FUNDS-H.15 (15,409)
20,119,000 —      4/12/22 2.09542% 3 month USD-LIBOR-BBA (134,361)
26,145,000 —      4/13/14 0.594% 3 month USD-LIBOR-BBA (25,378)
7,469,971 —      4/13/22 2.1375% 3 month USD-LIBOR-BBA (78,542)
16,831,000 —      4/18/42 3 month USD-LIBOR-BBA 2.814126% 4,512
AUD 7,578,000 —      4/20/14 3 month AUD-BBR-BBSW 3.8025% 14,573
AUD 5,506,000 —      4/20/17 6 month AUD-BBR-BBSW 4.185% 21,922
AUD 990,000 —      4/20/22 6 month AUD-BBR-BBSW 4.565% 7,926
AUD 5,250,000 —      3/21/22 5.0175% 6 month AUD-BBR-BBSW (240,652)
AUD 2,773,000 —      4/16/22 6 month AUD-BBR-BBSW 4.575% 24,388
CHF 26,543,000 —      3/15/14 6 month CHF-LIBOR-BBA 0.18% 3,664
CHF 18,474,000 —      3/15/22 1.06% 6 month CHF-LIBOR-BBA (15,620)
CHF 9,853,000 —      3/26/17 6 month CHF-LIBOR-BBA 0.575% 77,782
CHF 5,906,000 —      3/29/17 6 month CHF-LIBOR-BBA 0.53% 31,363
CHF 15,633,000 —      4/5/17 0.5225% 6 month CHF-LIBOR-BBA (72,063)
CHF 31,594,000 —      4/13/14 0.1125% 6 month CHF-LIBOR-BBA 48,044
CHF 5,454,000 —      4/13/17 6 month CHF-LIBOR-BBA 0.425% (5,749)
CHF 3,214,000 —      4/13/22 6 month CHF-LIBOR-BBA 1.0725% 1,612
EUR 3,384,000 —      4/24/17 1.53% 6 month EUR-EURIBOR-REUTERS (23,133)
EUR 847,000 —      4/24/22 2.24% 6 month EUR-EURIBOR-REUTERS (6,340)
EUR 947,000 —      4/24/42 2.51% 6 month EUR-EURIBOR-REUTERS (4,284)
EUR 25,200,000 —      9/29/13 1.47% 6 month EUR-EURIBOR-REUTERS (511,858)
EUR 6,300,000 —      9/29/15 6 month EUR-EURIBOR-REUTERS 1.775% 263,321
EUR 46,100,000 —      9/29/21 6 month EUR-EURIBOR-REUTERS 2.54% 3,074,753
GBP 1,842,000 —      4/18/42 3.21% 6 month GBP-LIBOR-BBA 938
GBP 12,161,000 (E) —      9/22/31 6 month GBP-LIBOR-BBA 4.06% 137,363
GBP 6,323,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 127,406
GBP 11,495,000 (E) —      9/23/31 3.99% 6 month GBP-LIBOR-BBA (42,720)
GBP 40,194,000 —      2/8/14 1 month GBP-WMBA-SONIA-COMPOUND 0.5175% (50,329)
GBP 43,899,000 —      2/10/14 1 month GBP-WMBA-SONIA-COMPOUND 0.505% (72,689)
GBP 11,038,000 (E) —      8/9/31 4.605% 6 month GBP-LIBOR-BBA (780,853)
GBP 11,038,000 (E) —      8/10/31 4.5175% 6 month GBP-LIBOR-BBA (675,700)
GBP 18,256,400 —      2/17/14 0.5625% 1 month GBP-WMBA-SONIA-COMPOUND (618)
GBP 20,042,000 —      2/21/14 0.558% 1 month GBP-WMBA-SONIA-COMPOUND 1,879
GBP 19,939,000 —      2/24/14 0.5125% 1 month GBP-WMBA-SONIA-COMPOUND 34,362
GBP 5,685,000 —      3/2/14 1 month GBP-WMBA-SONIA-COMPOUND 0.54% (5,349)
GBP 31,540,600 —      4/4/14 0.5525% 1 month GBP-WMBA-SONIA-COMPOUND 31,496
GBP 5,332,000 —      4/18/17 1.6475% 6 month GBP-LIBOR-BBA 12,673
GBP 6,414,000 —      4/18/22 6 month GBP-LIBOR-BBA 2.4325% 8,636
SEK 51,148,000 —      2/13/17 2.15% 3 month SEK-STIBOR-SIDE 17,966
SEK 51,148,000 —      2/20/17 3 month SEK-STIBOR-SIDE 1.995% (71,149)
SEK 164,970,600 —      2/21/14 3 month SEK-STIBOR-SIDE 1.895% (77,332)
SEK 36,660,000 —      2/21/22 2.485% 3 month SEK-STIBOR-SIDE 15,500
SEK 49,846,000 —      2/23/17 2.1575% 3 month SEK-STIBOR-SIDE 12,445
SEK 19,430,000 —      3/1/22 3 month SEK-STIBOR-SIDE 2.5275% 2,489
SEK 39,171,000 —      3/6/17 3 month SEK-STIBOR-SIDE 2.115% (21,600)
SEK 39,374,000 —      3/29/22 3 month SEK-STIBOR-SIDE 2.6325% 58,514
JPMorgan Chase Bank NA
$10,041,800 —      4/19/22 2.107% 3 month USD-LIBOR-BBA (72,573)
1,113,000 —      4/20/22 3 month USD-LIBOR-BBA 2.085% 5,704
2,833,000 —      4/27/14 3 month USD-LIBOR-BBA 0.568% 1,032
607,000 —      4/27/17 1.159% 3 month USD-LIBOR-BBA (1,983)
8,959,000 —      4/27/22 3 month USD-LIBOR-BBA 2.11% 61,931
1,911,000 —      4/27/42 2.858% 3 month USD-LIBOR-BBA (16,866)
39,450,000 —      5/1/14 3 month USD-LIBOR-BBA 0.56% 7,140
8,469,000 —      5/1/22 2.08% 3 month USD-LIBOR-BBA (31,505)
14,182,400 688,555      4/12/22 4.8675% 3 month USD-LIBOR-BBA (3,052,072)
2,600,000 —      3/23/22 2.39% 3 month USD-LIBOR-BBA (92,324)
56,193,000 —      3/23/17 1.398% 3 month USD-LIBOR-BBA (934,602)
11,286,765 —      4/10/22 2.354% 3 month USD-LIBOR-BBA (347,401)
CAD 52,788,000 —      4/20/14 3 month CAD-BA-CDOR 1.58% (14,567)
CAD 8,746,000 —      4/20/17 3 month CAD-BA-CDOR 1.98% 8,496
CAD 1,451,000 —      4/20/22 2.56% 3 month CAD-BA-CDOR (1,376)
CAD 39,216,000 —      4/27/14 1.67% 3 month CAD-BA-CDOR (52,592)
CAD 8,627,000 —      4/27/22 3 month CAD-BA-CDOR 2.57% 11,805
CAD 8,100,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR 61,964
EUR 6,868,000 —      3/23/14 1 month EUR-EONIA-OIS-COMPOUND 0.506% 34,219
EUR 11,267,000 —      3/23/17 1 month EUR-EONIA-OIS-COMPOUND 1.147% 227,518
EUR 285,000 —      3/23/42 2.65% 6 month EUR-EURIBOR-REUTERS (12,906)
GBP 3,783,000 —      3/7/17 6 month GBP-LIBOR-BBA 1.54% (34,886)
GBP 1,655,000 —      3/7/22 6 month GBP-LIBOR-BBA 2.354% (9,507)
JPY 1,961,078,000 —      2/20/22 6 month JPY-LIBOR-BBA 0.965% 178,248
JPY 799,200,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 345,246
JPY 1,074,500,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA (7,267)
JPY 1,662,600,000 —      3/6/22 1.0175% 6 month JPY-LIBOR-BBA (243,875)
MXN 44,527,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (150,139)
MXN 57,580,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (193,977)
MXN 11,220,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% 48,334
MXN 57,160,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (64,810)
MXN 154,373,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (175,033)
MXN 57,160,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 133,018
MXN 88,180,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 261,367
UBS AG
CHF 65,659,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (967,962)
Total $(13,487,700)
(E)   See Interest rate swap contracts note regarding extended effective dates.










TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/12 (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)
Bank of America N.A.
$1,435,537 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $(6,198)
Barclay's Bank, PLC
1,435,806 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,712
753,573 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 2,000
2,596,722 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,522
2,042,905 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,659
1,145,792 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (8,405)
10,371,179 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (64,879)
9,054,938 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (56,645)
6,724,753 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 25,211
2,599,621 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 15,295
304,099 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (219)
12,280,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (172,399)
7,588,985 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (55,669)
4,766,950 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 29,779
1,037,715 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 6,483
4,456,195 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (32,689)
4,250,618 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 25,456
4,498,833 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 11,942
6,886,196 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 25,816
6,581,949 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (41,174)
6,335,389 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 37,276
17,208,713 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (32,959)
3,821,825 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (23,908)
2,914,378 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,584)
9,902,287 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 62,405
28,912,840 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 108,392
2,651,743 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 16,565
6,346,777 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 23,794
1,258,361 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,130
4,080,649 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,392
2,958,230 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,708
Citibank, N.A.
4,035,311 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 15,128
9,181,594 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 34,421
8,501,391 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 31,871
Credit Suisse International
847,251 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 5,074
3,060,531 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,474
1,757,614 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (3,366)
4,976,334 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (31,130)
1,434,720 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,195)
5,097,869 18,320      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools (8,605)
Deutsche Bank AG
4,976,334 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (31,130)
Goldman Sachs International
4,389,133 32,233      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,386
7,020,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 26,816
5,265,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 14,584
9,283,717 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (17,781)
3,955,856 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (29,018)
3,435,865 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (25,204)
1,680,143 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (12,325)
3,152,010 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,718)
1,184,119 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,407)
27,526,859 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (118,859)
10,252,205 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (44,268)
3,270,607 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (14,122)
10,180,305 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (43,958)
4,318,214 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (27,011)
920,913 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,764
204,279 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,278)
544,909 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,409)
4,563,061 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 8,739
4,530,263 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (33,232)
7,884,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) (20,814)
7,884,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) (9,067)
3,077,931 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 5,895
3,135,796 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (13,540)
7,884,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) (6,544)
7,884,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) 36,424
7,225,949 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 13,839
12,462,191 (3,894)     1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 19,689
EUR 13,603,000 —      10/18/13 (1.7775%) Eurostat Eurozone HICP excluding tobacco (141,890)
GBP 4,920,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (3,753)
GBP 4,920,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (25,152)
GBP 4,920,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (27,228)
GBP 4,920,000 —      4/3/22 (3.21%) GBP Non-revised UK Retail Price Index (35,212)
JPMorgan Chase Bank NA
EUR 7,278,000 —      4/2/13 (1.98%) Eurostat Eurozone HICP excluding tobacco (2,601)
Total $(596,904)










CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/12 (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 — $(41,661) $4,680,000 12/20/19 (100 bp) $913,449
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 161,961 1,385,000 3/20/17 500 bp (58,856)
  Russian Federation, 7 1/2%, 3/31/30 — — 442,500 4/20/13 (112 bp) (2,236)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B1 — EUR 935,000 9/20/13 715 bp 121,112
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 477 bp 63,195
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 535 bp 73,335
JPMorgan Chase Bank NA
  DJ CDX NA HY Series 18 Index B+/P 158,602 $6,042,000 6/20/17 500 bp (17,924)
  Russian Federation, 7 1/2%, 3/31/30 Baa1 — 225,000 9/20/13 276 bp 6,730
Morgan Stanley Capital Services LLC
  Republic of Venezuela, 9 1/4%, 9/15/27 B2 — 1,570,000 10/20/12 339 bp 6,532
Total $1,105,337
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at April 30, 2012. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
ARS Argentine Peso
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
PEN Peruvian Neuvo Sol
PLN Polish Zloty
RUB Russian Ruble
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
LOC Letter of Credit
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2011 through April 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 $819,697,071.
(b) The aggregate identified cost on a tax basis is $1,079,850,417, resulting in gross unrealized appreciation and depreciation of $45,786,541 and $37,783,385, respectively, or net unrealized appreciation of $8,003,156.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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 $51,374 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $378,793,674 and $500,654,450, 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.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $225,309,506 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.
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 will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, and to hedge prepayment risk.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers.
The fund had an average contract amount of approximately 2,043,300,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately 1,829,100,000 on written options contracts for the reporting period.
Futures contracts: The fund used futures contracts to hedge prepayment risk, to hedge interest rate risk, and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
The fund had an average number of contracts of approximately 1,700 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.
Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during 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 markets or countries.
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 $364,700,000 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 and 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 $7,564,000,000 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 $32,300,000 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 $28,210,404 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 $37,631,887 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $36,803,270.
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 $— $672 $15
    Energy — — 4,141
    Health care 13,461 — —
Total common stocks 13,461 672 4,156
Asset-backed securities — 29,861,670 —
Convertible bonds and notes — 1,508,251 —
Convertible preferred stocks — 667,652 15
Corporate bonds and notes — 256,705,079 —
Foreign government bonds and notes — 66,830,527 —
Mortgage-backed securities — 269,776,710 —
Preferred stocks — 1,060,336 —
Purchased options outstanding — 84,886,151 —
Senior loans — 15,603,942 —
U.S. Government and Agency Mortgage Obligations — 175,277,740 —
U.S. Treasury Obligations — 305,332 —
Warrants — 2,112 41,939
Short-term investments 26,544,987 158,762,841 —
Totals by level $26,558,448 $1,061,249,015 $46,110



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


Forward currency contracts $— $(1,329,093) $—
Futures contracts (372,913) — —
Written options — (75,423,533) —
TBA sale commitments — (61,429,141) —
Interest rate swap contracts — (13,794,150) —
Total return swap contracts — (643,563) —
Credit default contracts — 826,435 —
Totals by level $(372,913) $(151,793,045) $—


At the start and/or 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 $1,226,014 $399,579
Foreign exchange contracts 3,393,550 4,722,643
Equity contracts 44,051 —
Interest rate contracts 99,532,125 104,880,133
Total $104,195,740 $110,002,355


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



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

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

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

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

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