a_premierinc.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2013
Date of reporting period: October 31, 2012



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
10/31/12 (Unaudited)
MORTGAGE-BACKED SECURITIES (48.6%)(a)
Principal amount Value
Agency collateralized mortgage obligations (12.9%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.744s, 2032 $495,815 $809,408
     IFB Ser. 3408, Class EK, 24.932s, 2037 294,308 468,044
     IFB Ser. 2979, Class AS, 23.489s, 2034 139,890 186,023
     IFB Ser. 3072, Class SM, 23.012s, 2035 512,218 813,473
     IFB Ser. 3072, Class SB, 22.865s, 2035 458,802 725,791
     IFB Ser. 3951, Class CS, IO, 6.536s, 2026 11,298,480 1,769,455
     IFB Ser. 4098, Class MS, IO, 6.486s, 2041 8,919,144 1,918,329
     IFB Ser. 3727, Class PS, IO, 6.486s, 2038 4,694,187 397,856
     IFB Ser. 3895, Class SM, IO, 6.436s, 2040 10,928,522 1,409,689
     IFB Ser. 4048, Class GS, IO, 6.436s, 2040 4,719,030 912,377
     IFB Ser. 3940, Class PS, IO, 6.436s, 2040 13,260,027 2,157,406
     IFB Ser. 3860, Class SP, IO, 6.386s, 2040 9,610,890 1,615,687
     IFB Ser. 4032, Class SA, IO, 6.286s, 2042 12,335,550 1,590,178
     IFB Ser. 4112, Class SC, IO, 5.936s, 2042 18,708,842 3,243,964
     IFB Ser. 4105, Class LS, IO, 5.936s, 2041 5,603,730 1,123,716
     IFB Ser. 3922, Class CS, IO, 5.886s, 2041(F) 4,785,097 754,579
     IFB Ser. 3768, Class PS, IO, 5.786s, 2036 12,154,223 663,213
     IFB Ser. 3753, Class S, IO, 5.736s, 2040 5,688,528 687,956
     FRB Ser. 3030, Class EF, 5 1/2s, 2035 5,980 5,969
     FRB Ser. 3007, Class LU, 5 1/2s, 2035 7,791 7,593
     Ser. 3632, Class CI, IO, 5s, 2038 1,929,660 106,749
     Ser. 3626, Class DI, IO, 5s, 2037 1,134,314 36,468
     Ser. 4125, Class SH, IO, 4 1/2s, 2042(FWC) 6,564,000 944,888
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 8,924,000 1,358,233
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 6,529,340 841,632
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 17,235,903 2,133,805
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 11,669,437 1,487,865
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 1,269,449 103,988
     Ser. 4090, Class BI, IO, 4s, 2042 1,705,585 192,407
     Ser. 4098, Class PI, IO, 4s, 2042 8,410,078 1,316,177
     Ser. 4010, Class NI, IO, 4s, 2041 9,089,951 1,204,419
     Ser. 3748, Class NI, IO, 4s, 2034 6,501,126 258,095
     Ser. 3751, Class MI, IO, 4s, 2034 13,628,758 240,548
     Ser. 3740, Class KI, IO, 4s, 2033 5,707,592 84,529
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 5,147,574 766,165
     Ser. T-57, Class 1AX, IO, 0.004s, 2043 5,225,184 63,109
     Ser. 4077, Class TO, PO, zero %, 2041 3,548,792 3,026,339
     Ser. 3124, Class DO, PO, zero %, 2036 6,148 6,071
     FRB Ser. 3326, Class WF, zero %, 2035 17,380 15,642
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.636s, 2036 608,174 1,128,106
     IFB Ser. 07-53, Class SP, 23.427s, 2037 446,795 717,490
     IFB Ser. 08-24, Class SP, 22.511s, 2038 403,902 626,052
     IFB Ser. 05-75, Class GS, 19.618s, 2035 476,754 699,375
     IFB Ser. 05-83, Class QP, 16.846s, 2034 510,174 716,038
     IFB Ser. 12-88, Class SB, IO, 6.459s, 2042 12,576,609 2,296,992
     IFB Ser. 10-135, Class SP, IO, 6.389s, 2040 11,550,983 2,029,970
     IFB Ser. 10-99, Class NS, IO, 6.389s, 2039 9,292,856 978,352
     IFB Ser. 11-87, Class HS, IO, 6.289s, 2041 7,159,441 1,245,743
     IFB Ser. 404, Class S13, IO, 6.189s, 2040 10,995,913 1,688,310
     IFB Ser. 10-35, Class SG, IO, 6.189s, 2040 8,366,792 1,114,959
     IFB Ser. 12-113, Class CS, IO, 5.939s, 2041 4,096,633 797,860
     IFB Ser. 12-113, Class SG, IO, 5.889s, 2042 4,361,928 791,428
     IFB Ser. 10-46, Class WS, IO, 5.539s, 2040 7,788,093 995,240
     Ser. 374, Class 6, IO, 5 1/2s, 2036 1,664,193 229,292
     Ser. 12-132, Class SA, IO, 5s, 2042(FWC) 19,274,000 3,219,722
     Ser. 398, Class C5, IO, 5s, 2039 1,236,666 123,914
     Ser. 10-13, Class EI, IO, 5s, 2038 767,994 33,083
     Ser. 378, Class 19, IO, 5s, 2035 3,977,902 462,435
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 23,261,536 3,927,710
     Ser. 409, Class 81, IO, 4 1/2s, 2040 13,517,379 1,680,796
     Ser. 409, Class 82, IO, 4 1/2s, 2040 16,396,181 2,202,442
     Ser. 366, Class 22, IO, 4 1/2s, 2035 1,548,225 119,833
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 6,137,993 623,068
     Ser. 12-118, Class PI, IO, 4s, 2042 8,969,000 1,540,157
     Ser. 12-96, Class PI, IO, 4s, 2041 5,398,214 784,307
     Ser. 406, Class 2, IO, 4s, 2041 6,429,002 748,336
     Ser. 406, Class 1, IO, 4s, 2041 4,264,890 527,993
     Ser. 409, Class C16, IO, 4s, 2040 10,874,895 1,092,714
     Ser. 03-W10, Class 1, IO, 1.4s, 2043 954,733 42,702
     Ser. 00-T6, IO, 0.76s, 2030 4,048,466 80,969
     Ser. 99-51, Class N, PO, zero %, 2029 53,093 51,228
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.863s, 2041 7,087,077 7,879,342
     IFB Ser. 10-151, Class SL, IO, 6.489s, 2039 3,247,292 498,752
     IFB Ser. 10-163, Class SI, IO, 6.415s, 2037 8,694,732 1,287,907
     IFB Ser. 10-120, Class SB, IO, 5.989s, 2035 1,910,414 158,087
     IFB Ser. 10-20, Class SC, IO, 5.939s, 2040 525,258 86,972
     IFB Ser. 10-116, Class SL, IO, 5.839s, 2039 3,195,991 489,306
     IFB Ser. 10-61, Class SJ, IO, 5.836s, 2040 8,659,558 1,589,029
     IFB Ser. 11-70, Class SM, IO, 5.676s, 2041 5,451,000 1,373,325
     IFB Ser. 11-70, Class SH, IO, 5.676s, 2041 5,599,000 1,439,055
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 3,709,935 358,899
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 936,381 140,925
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 17,912,130 2,882,733
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 3,700,912 446,293
     Ser. 11-73, Class IP, IO, 4 1/2s, 2039 10,649,856 1,100,753
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 10,797,448 1,309,083
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 4,503,225 461,581
     Ser. 11-116, Class BI, IO, 4s, 2026 17,069,420 1,760,711
     Ser. 10-H03, Class DI, IO, 2.097s, 2060 14,073,649 1,512,917
     Ser. 12-H04, Class FI, IO, 0.941s, 2062 40,098,878 1,904,697
     Ser. 11-70, PO, zero %, 2041 11,621,584 9,656,025
     Ser. 06-36, Class OD, PO, zero %, 2036 20,781 19,463
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.038s, 2045 6,841,029 1,299,795
106,420,101
Commercial mortgage-backed securities (11.7%)
Banc of America Commercial Mortgage, Inc.
     FRB Ser. 08-1, Class AJ, 6.248s, 2051 1,330,000 1,257,515
     FRB Ser. 06-2, Class B, 5.762s, 2045 5,425,000 4,584,668
     FRB Ser. 05-5, Class D, 5.231s, 2045 1,456,000 1,275,820
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 318,946 258,346
     Ser. 01-1, Class K, 6 1/8s, 2036 681,276 104,626
     Ser. 07-5, Class XW, IO, 0.392s, 2051 197,038,503 2,495,887
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-PW17, Class AJ, 5.894s, 2050 5,545,000 4,713,250
     FRB Ser. 06-PW12, Class AJ, 5.751s, 2038 1,500,000 1,372,982
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 911,451
     Ser. 05-PWR7, Class B, 5.214s, 2041 1,641,000 1,558,950
     FRB Ser. 05-T20, Class C, 5.15s, 2042 1,518,000 1,466,751
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.73s, 2049 3,117,000 3,053,631
     Ser. 06-C5, Class AJ, 5.482s, 2049 2,069,000 1,982,073
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.032s, 2044 58,386,506 226,093
Commercial Mortgage Pass-Through Certificates FRB Ser. 04-LB3A, Class E, 5.357s, 2037 1,522,000 1,516,521
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom) GBP 868,987 1,177,955
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 282,011 405,035
Credit Suisse Mortgage Capital Certificates FRB Ser. 06-C1, Class AJ, 5.41s, 2039 $1,180,000 1,218,114
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 1,001,488 41,061
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 667,940 33,397
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 552,708 549,944
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.066s, 2020 5,158,221 106,363
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 484,725
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.307s, 2045 709,000 588,470
     FRB Ser. 06-C1, Class AJ, 5.3s, 2044 1,744,000 1,552,160
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 1,054,000 897,218
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 02-C3, Class H, 5.944s, 2039 1,010,000 1,004,426
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 999,000 910,591
GS Mortgage Securities Corp. II Ser. 05-GG4, Class AJ, 4.782s, 2039 1,414,000 1,412,261
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.746s, 2039 126,375,751 2,053,606
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.211s, 2030 (Cayman Islands) 779,289 389,645
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 06-LDP7, Class AJ, 5.868s, 2045 4,620,000 4,446,912
     FRB Ser. 04-CBX, Class E, 5.126s, 2037 4,261,000 3,753,089
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 573,000 564,892
     FRB Ser. 05-LDP3, Class AJ, 4.997s, 2042(F) 1,451,000 1,455,676
     FRB Ser. 05-LDP2, Class B, 4.882s, 2042 4,360,000 4,359,128
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.159s, 2051 120,652,126 1,181,788
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 1,951,082 1,960,837
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,036,989
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C6, Class C, 5.482s, 2039 1,028,000 871,083
     FRB Ser. 06-C6, Class AJ, 5.452s, 2039 3,170,000 3,296,233
     Ser. 04-C8, Class E, 4.986s, 2039 1,467,000 1,474,335
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.406s, 2028(F) 148,958 186
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 5.805s, 2051(F) 917,000 884,603
     Ser. 06-C2, Class AJ, 5.802s, 2043 1,384,000 1,252,520
     Ser. 05-CKI1, Class AJ, 5.261s, 2037 1,379,000 1,405,753
     Ser. 04-KEY2, Class D, 5.046s, 2039 993,000 886,253
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 9.144s, 2037(F) 669,826 30,144
     Ser. 07-C5, Class X, IO, 4.87s, 2049 3,953,447 291,764
Morgan Stanley Capital I
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,380,758
     Ser. 06-HQ9, Class AJ, 5.793s, 2044 1,992,000 2,093,767
     FRB Ser. 07-T27, Class AJ, 5.653s, 2042 1,908,000 1,884,698
     FRB Ser. 06-HQ8, Class B, 5.497s, 2044 4,110,000 3,680,094
     Ser. 04-IQ8, Class C, 5.3s, 2040 3,200,000 3,208,000
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 3,099,510 2,948,409
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.73s, 2012 539 —
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 376,000 376,000
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,047,219 104,722
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.996s, 2045 3,691,000 3,437,428
     FRB Ser. 06-C25, Class AJ, 5.737s, 2043 1,273,000 1,282,293
     FRB Ser. 05-C20, Class B, 5.248s, 2042 4,060,000 3,941,854
     Ser. 07-C34, IO, 0.347s, 2046 31,095,643 376,257
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,282,545
     FRB Ser. 03-C8, Class H, 5.206s, 2035 1,304,000 1,227,455
96,980,000
Residential mortgage-backed securities (non-agency) (24.0%)
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO, 2.861s, 2047 25,598,078 2,999,775
American Home Mortgage Investment Trust Ser. 07-1, Class GIOP, IO, 2.078s, 2047 2,855,614 392,647
Banc of America Funding Corp.
     Ser. 06-2, Class 2A13, 6s, 2036 2,607,295 2,659,441
     FRB Ser. 07-C, Class 07-C, 2.756s, 2036 4,916,399 4,178,940
     FRB Ser. 06-G, Class 2A5, 0.491s, 2036 1,274,702 1,051,629
     FRB Ser. 07-D, Class 1A1, 0.421s, 2047 3,220,512 2,528,102
Banc of America Mortgage Securities Ser. 05-11, Class 1A10, 6s, 2035 850,000 827,135
Barclays Capital, LLC Trust
     Ser. 12-RR10, Class 8A3, 15.103s, 2042 400,000 183,352
     Ser. 12-RR10, Class 8A2, 4s, 2042 890,000 878,875
     Ser. 12-RR10, Class 9A1, 2.665s, 2042(F) 3,660,000 3,733,200
     FRB Ser. 12-RR10, Class 9A2, 2.665s, 2042(F) 2,320,000 1,624,000
     Ser. 12-RR10, Class 4A2, 2.655s, 2036 1,800,000 1,347,388
Barclays Capital, LLC Trust 144A
     FRB Ser. 11-RR4, Class 6A4, 14.855s, 2037 2,612,960 1,946,655
     Ser. 09-RR7, Class 1A7, IO, 1.781s, 2046 42,886,898 1,822,693
     Ser. 09-RR7, Class 2A7, IO, 1.574s, 2047 84,580,905 3,628,521
Bear Stearns Adjustable Rate Mortgage Trust
     FRB Ser. 05-4, Class 2A3, 2.634s, 2035 3,000,000 2,711,250
     FRB Ser. 06-1, Class A1, 2.37s, 2036 893,426 830,886
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.086s, 2034 79,080 27,788
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 14,984,076 421,053
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 10,463,811 152,772
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-AR3, Class 1A2A, 5.589s, 2036 3,521,547 3,248,627
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-12, Class 2A2, 0.581s, 2035 2,080,000 1,476,800
     FRB Ser. 12-1, Class 1A2, 0.581s, 2035 2,000,000 1,410,000
Countrywide Alternative Loan Trust
     FRB Ser. 06-36T2, Class 1A7, 6 1/4s, 2036 4,209,510 3,293,942
     Ser. 07-HY9, Class X, IO, 0.65s, 2047 12,968,966 550,917
Countrywide Home Loans
     Ser. 07-17, Class 1A2, 6s, 2037 4,504,552 4,315,050
     Ser. 07-1, Class A8, 6s, 2037 3,959,828 3,701,750
     Ser. 06-20, Class 1A21, 6s, 2037 1,470,916 1,323,824
     Ser. 06-21, Class A1, 6s, 2037 1,854,921 1,650,880
     Ser. 06-10, Class 1A16, 6s, 2036 3,806,202 3,392,546
     Ser. 06-6, Class 06-6, 6s, 2036 1,099,371 989,434
     Ser. 05-13, Class A7, 5 1/2s, 2035 2,750,000 2,765,400
Granite Mortgages PLC
     FRB Ser. 03-2, Class 2C1, 2.755s, 2043 EUR 2,002,000 2,195,278
     FRB Ser. 03-2, Class 3C, 3.079s, 2043 GBP 746,898 1,019,688
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $10,472 10,263
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 11,118,617 451,416
GSR Mortgage Loan Trust
     FRB Ser. 05-AR4, Class 3A5, 2.769s, 2035 2,100,000 1,884,750
     FRB Ser. 06-AR1, Class 2A4, 2.716s, 2036 1,700,000 1,266,500
Harborview Mortgage Loan Trust
     FRB Ser. 05-9, Class 2A1C, 0.661s, 2035 1,549,502 1,348,066
     FRB Ser. 05-8, Class 1A2B, 0.572s, 2035 1,659,670 381,724
     FRB Ser. 05-8, Class 1A2A, 0.542s, 2035 1,417,358 979,036
IndyMac Index Mortgage Loan Trust
     FRB Ser. 06-AR39, Class A1, 0.391s, 2037 7,358,811 4,783,227
     FRB Ser. 07-FLX1, Class A2, 0.391s, 2037 4,850,000 4,316,500
JPMorgan Mortgage Trust
     FRB Ser. 06-A2, Class 2A2, 5.334s, 2036 3,533,155 3,184,256
     FRB Ser. 06-A2, Class 1A3, 2.897s, 2036 3,711,597 3,080,625
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, PO, 0.8s, 2047 8,404,550 265,269
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.411s, 2034 94,854 34,723
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 0 1/2s, 2047 49,368,911 977,504
Structured Asset Mortgage Investments, Inc. Ser. 06-AR8, Class X, IO, 0.4s, 2036 31,997,476 521,559
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 07-HY6, Class 2A1, 4.917s, 2037 1,823,678 1,458,943
     FRB Ser. 07-HY1, Class 5A1, 4.837s, 2037 5,741,071 4,478,035
     FRB Ser. 07-HY3, Class 2A1, 4.829s, 2037 5,803,041 4,584,403
     FRB Ser. 07-HY2, Class 1A1, 2.662s, 2036 1,099,383 860,267
     FRB Ser. 07-HY7, Class 2A1, 2.596s, 2037 1,925,876 1,348,113
     FRB Ser. 05-AR12, Class 1A4, 2.485s, 2035 1,130,000 1,019,825
     FRB Ser. 06-AR14, Class 1A4, 2.298s, 2036 1,268,516 995,785
     FRB Ser. 06-AR1, Class 2A1B, 1.224s, 2046 5,820,157 5,063,537
     FRB Ser. 06-AR1, Class 2A1C, 1.224s, 2046 4,458,702 2,251,644
     FRB Ser. 06-AR9, Class 1A, 1.154s, 2046 7,511,198 5,783,622
     FRB Ser. 06-AR15, Class 1A, 0.994s, 2046 5,089,545 3,918,950
     FRB Ser. 06-AR17, Class 1A, 0.974s, 2046 4,574,816 3,339,616
     FRB Ser. 06-AR17, Class 1A1, 0.964s, 2046 4,828,973 2,305,834
     FRB Ser. 07-OA5, Class 1A, 0.904s, 2047 7,820,773 5,943,788
     FRB Ser. 06-AR19, Class 1A, 0.894s, 2047 2,025,963 1,438,433
     FRB Ser. 05-AR13, Class A1C3, 0.701s, 2045 8,005,075 5,603,552
     FRB Ser. 05-AR17, Class A1C3, 0.691s, 2045 2,057,500 925,875
     FRB Ser. 05-AR15, Class A1C3, 0.691s, 2045 1,960,917 745,148
     FRB Ser. 05-AR8, Class 2AC2, 0.671s, 2045 3,073,138 2,612,167
     FRB Ser. 05-AR11, Class A1B2, 0.661s, 2045 1,861,764 1,591,808
     FRB Ser. 05-AR13, Class A1B2, 0.641s, 2045 2,206,348 1,809,205
     FRB Ser. 2005-AR17, Class A1B2, 0.621s, 2045 1,434,116 1,140,122
     FRB Ser. 05-AR11, Class A1B3, 0.611s, 2045 4,278,014 3,657,702
     FRB Ser. 05-AR8, Class 2AC3, 0.601s, 2045 1,068,940 903,255
     FRB Ser. 05-AR2, Class 2A1B, 0.581s, 2045 2,348,740 2,043,404
     FRB Ser. 05-AR1, Class A3, 0.571s, 2045 1,209,600 1,034,208
     FRB Ser. 05-AR15, Class A1A2, 0.491s, 2045 5,522,483 4,583,661
     FRB Ser. 05-AR6, Class 2AB3, 0.481s, 2045 1,033,030 898,736
Washington Mutual Mortgage Pass-Through Certificates
     FRB Ser. 07-OA3, Class 5A, 2.319s, 2047 3,840,214 2,553,742
     FRB Ser. 06-AR11, Class 1A, 1.114s, 2046 5,856,698 4,480,374
     FRB Ser. 07-OA1, Class A1A, 0.854s, 2047 6,809,270 4,647,327
Wells Fargo Mortgage Backed Securities Trust
     Ser. 07-11, Class A36, 6s, 2037 991,638 986,679
     Ser. 07-8, Class 2A8, 6s, 2037 8,020,243 8,040,294
     Ser. 07-12, Class A7, 5 1/2s, 2037 796,955 820,864
     Ser. 06-3, Class A2, 5 1/2s, 2036 2,000,000 2,020,000
     FRB Ser. 07-AR3, Class A2, 5.39s, 2037 924,831 816,374
     FRB Ser. 06-AR1, Class 2A5, 5.359s, 2036 2,040,000 2,021,640
     FRB Ser. 06-AR11, Class A6, 5.08s, 2036 2,521,737 2,332,607
     FRB Ser. 05-AR16, Class 4A2, 2.65s, 2035 2,825,245 2,740,487
     FRB Ser. 06-AR17, Class A1, 2.63s, 2036 2,084,262 1,792,465
     FRB Ser. 06-AR2, Class 2A3, 2.629s, 2036 1,494,322 1,436,189
     FRB Ser. 05-AR15, Class 1A8, 2.617s, 2035 3,310,000 2,995,550
198,789,886
Total mortgage-backed securities (cost $388,164,379) $402,189,987

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (36.6%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.8%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $1,386,861 $1,570,565
     3s, TBA, January 1, 2043 2,000,000 2,118,750
     3s, TBA, November 1, 2042 3,000,000 3,195,234
6,884,549
U.S. Government Agency Mortgage Obligations (35.8%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3s, TBA, November 1, 2042 15,000,000 15,711,329
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, April 1, 2016 6,760 7,133
     3s, TBA, February 1, 2043 23,000,000 23,974,804
     3s, TBA, November 1, 2042 244,000,000 256,142,806
295,836,072
Total U.S. government and agency mortgage obligations (cost $301,475,439) $302,720,621

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 2.125%, February 15, 2040(i) $285,554 $427,743
Total U.S. treasury obligations (cost $427,743) $427,743

CORPORATE BONDS AND NOTES (29.6%)(a)
Principal amount Value
Basic materials (1.6%)
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 $165,000 $168,300
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 695,000 695,000
Boise Cascade LLC / Boise Cascade Finance Corp. 144A sr. unsec. notes 6 3/8s, 2020 (United Kingdom) 70,000 71,400
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 620,000 675,800
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 478,913
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 235,000 233,238
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 650,000 599,625
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 290,000 290,000
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 203,000 204,523
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 420,000 407,232
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 255,000 240,338
Grohe Holding GmbH 144A company guaranty sr. notes FRN 4.252s, 2017 (Germany) EUR 721,000 915,067
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 $310,000 313,100
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 661,000 751,888
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 183,000 182,543
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 130,000 137,800
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 100,000 101,000
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 413,000 510,129
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 (Netherlands) $500,000 578,125
LyondellBasell Industries NV sr. unsec. unsub. notes 5 3/4s, 2024 (Netherlands) 525,000 607,688
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 (Netherlands) 950,000 1,028,375
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 310,000 293,676
Momentive Performance Materials, Inc. 144A company guaranty sr. notes 10s, 2020 $81,000 77,760
MPM Escrow LLC / MPM Finance Escrow Corp. 144A sr. notes 8 7/8s, 2020 185,000 181,300
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 546,000 552,596
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 175,000 182,009
Rockwood Specialties Group, Inc. company guaranty sr. unsec. notes 4 5/8s, 2020 95,000 98,325
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 298,000 327,800
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 315,000 321,300
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 1.599s, 2015 (Germany) EUR 339,000 431,323
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) $200,000 200,500
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 75,000 78,375
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 95,000 99,275
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 456,000 501,600
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 485,000 483,788
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 73,000 27,010
13,443,621
Capital goods (1.7%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 70,000 72,450
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 53,000 56,445
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 799,000 866,915
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 158,343 208,992
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) $111,858 147,638
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 190,000 260,308
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 130,000 178,106
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $689,000 764,790
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 325,000 339,625
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 82,000 86,510
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 199,000 216,413
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 56,000 63,560
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 425,000 435,625
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 160,000 160,400
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 371,000 409,955
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 250,000 266,250
Continental Rubber of America Corp. 144A notes 4 1/2s, 2019 195,000 198,731
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 100,000 140,955
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $709,000 765,720
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 860,000 1,120,973
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 115,000 114,569
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 51,000 58,523
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 657,000 606,083
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 265,000 286,200
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom) EUR 350,000 464,735
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 593,000 839,345
Reynolds Group Issuer, Inc. company guaranty sr. notes 7 7/8s, 2019 $150,000 162,375
Reynolds Group Issuer, Inc. company guaranty sr. notes 7 1/8s, 2019 160,000 170,400
Reynolds Group Issuer, Inc. company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 350,000 366,625
Reynolds Group Issuer, Inc. company guaranty sr. unsec. unsub. notes 9s, 2019 185,000 187,313
Reynolds Group Issuer, Inc. company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 120,000 117,900
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 235,000 237,350
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 3/4s, 2016 EUR 843,000 1,139,092
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 $345,000 375,619
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 330,000 359,288
Terex Corp. sr. unsec. sub. notes 8s, 2017 137,000 142,994
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 759,000 800,745
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 232,000 257,520
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 519,000 572,198
14,019,235
Communication services (4.2%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 153,000 165,240
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 155,000 180,963
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 449,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 50,006
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 231,000 249,480
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 296,000 313,760
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 317,000 341,568
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 347,000 371,290
Cequel Communiciations Escrow Capital Corp. 144A sr. unsec. notes 6 3/8s, 2020 95,000 96,188
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 392,000 393,960
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 174,000 186,180
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 811,000 863,715
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 550,000 567,188
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 870,000 914,588
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 1,110,000 1,173,825
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 160,000 175,600
Crown Castle International Corp. 144A sr. unsec. notes 5 1/4s, 2023 310,000 320,850
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 717,000 770,775
DISH DBS Corp. company guaranty 7 1/8s, 2016 234,000 261,495
DISH DBS Corp. company guaranty 6 5/8s, 2014 1,214,000 1,317,190
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 443,000 493,391
Equinix, Inc. sr. unsec. notes 7s, 2021 305,000 338,550
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 145,000 171,463
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 140,000 161,350
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 1,586,000 1,800,110
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 594,000 660,825
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 979,000 1,054,873
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 346,418
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 190,000 188,575
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 2,334,562 2,457,127
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 586,000 615,300
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 245,000 338,087
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $285,000 317,775
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 332,000 361,880
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 85,000 90,738
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 44,000 44,770
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 131,000 145,083
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 945,000 1,037,138
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 24,000 24,030
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 839,000 832,708
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 36,000 30,240
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 159,000 126,803
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 616,000 663,740
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 371,000 423,868
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 410,000 686,449
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 $145,000 161,324
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 453,315
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 153,000 170,978
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 125,000 130,000
Sprint Capital Corp. company guaranty 8 3/4s, 2032 79,000 93,220
Sprint Capital Corp. company guaranty 6 7/8s, 2028 110,000 112,475
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 1,764,000 2,046,240
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 330,000 354,750
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 370,000 434,750
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 278,000 305,105
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 959,000 1,184,365
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 184,080
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 139,039
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) $200,000 265,063
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 140,000 185,997
TW Telecom Holdings, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $120,000 123,300
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 974,630
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) $305,000 432,265
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 489,000 683,730
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) $677,000 956,871
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 79,000 146,307
Virgin Media Finance PLC company guaranty sr. unsec. unsub. notes 5 1/4s, 2022 (United Kingdom) $200,000 212,575
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 760,000 914,631
Wind Acquisition Holding company guaranty sr. notes Ser. REGS, 12 1/4s, 2017 (Luxembourg)(PIK) EUR 250,027 275,461
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $140,000 151,550
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 584,000 650,430
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 274,638
35,113,401
Consumer cyclicals (5.1%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 60,000 66,000
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 50,000 36,125
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 955,000 780,713
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 560,000 460,600
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 361,000 405,223
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 522,000 540,923
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 167,000 170,759
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 185,000 196,100
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 600,000 673,500
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 130,000 138,450
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 172,000 172,860
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 164,000 172,200
Bon-Ton Department Stores, Inc. (The) 144A company guaranty sr. notes 10 5/8s, 2017 675,000 618,469
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 235,000 257,619
Building Materials Corp. 144A sr. notes 7s, 2020 140,000 151,900
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 180,000 193,050
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 360,000 392,400
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 320,000 353,200
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 596,000 372,500
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 394,000 426,505
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 170,000 192,313
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 265,000 239,163
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 175,000 191,844
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 705,000 753,469
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 100,000 110,250
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 740,150 782,709
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 313,000 273,093
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 128,000 115,840
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 401,000 381,953
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 715,000 766,838
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 611,000 597,253
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 695,000 741,913
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 890,000 981,709
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 250,000 288,951
Gray Television, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2020 290,000 286,375
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 620,480
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico) $195,000 262,103
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) 128,000 152,928
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 407,000 444,139
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019 440,000 486,200
HD Supply, Inc. 144A company guaranty sr. unsec. notes 11 1/2s, 2020 230,000 242,075
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes 4 3/4s, 2023(R) 120,000 127,500
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 1,007,000 1,127,840
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 821,000 879,496
Isle of Capri Casinos, Inc. 144A company guaranty sr. sub. notes 8 7/8s, 2020 295,000 310,488
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 486,000 648,826
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 75,000 105,457
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 $718,000 827,495
Jo-Ann Stores Holdings, Inc. 144A sr. notes 9 3/4s, 2019(PIK) 235,000 231,181
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 120,000 125,250
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 260,000 274,300
KB Home company guaranty sr. unsec. unsub. notes 7 1/2s, 2022 50,000 54,125
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 225,000 249,750
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 137,800
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 460,000 486,450
Lennar Corp. 144A company guaranty sr. notes 4 3/4s, 2017 125,000 130,313
Lennar Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2022 160,000 158,400
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 360,000 413,100
Limited Brands, Inc. sr. notes 5 5/8s, 2022 190,000 205,200
Lottomatica Group SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy) EUR 730,000 941,666
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 $460,000 542,063
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 760,000 91,200
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 274,000 290,440
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 145,000 150,438
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 471,000 500,438
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 255,000 261,375
MGM Resorts International 144A company guaranty sr. unsec. notes 6 3/4s, 2020 285,000 282,863
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 1,206,979 1,261,293
Navistar International Corp. sr. notes 8 1/4s, 2021 730,000 678,900
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 315,000 316,969
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 (Netherlands) 65,000 73,125
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 (Netherlands) 219,000 217,358
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 666,000 738,428
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 258,000 277,350
Owens Corning company guaranty sr. unsec. notes 9s, 2019 1,248,000 1,591,200
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 115,000 128,513
Penske Automotive Group, Inc. 144A company guaranty sr. sub. notes 5 3/4s, 2022 365,000 371,844
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 235,000 259,969
Petco Holdings, Inc. 144A sr. notes 8 1/2s, 2017(PIK) 165,000 166,444
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 120,000 129,600
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 790,000 1,061,548
QVC Inc. 144A sr. notes 7 1/2s, 2019 $275,000 303,219
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 120,000 129,000
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 125,000 135,313
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 354,000 361,965
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 401,000 423,055
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Germany) EUR 595,000 870,502
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Germany) $200,000 225,500
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 330,000 358,463
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 200,000 217,750
Sears Holdings Corp. company guaranty 6 5/8s, 2018 323,000 302,005
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 165,000 170,363
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 50,000
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 879,000 986,678
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 255,000 260,419
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 70,000 75,075
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 135,000 144,956
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 607,000 656,319
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 299,000 111,378
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 55,000 42,488
Travelport, LLC 144A sr. notes Ser. B, 6.362s, 2016(PIK) 115,861 86,027
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 304,000 218,120
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 800,000 911,000
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 50,000 66,830
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 $455,000 465,238
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 821,000 907,205
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 305,000 315,294
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 801,000 849,060
42,074,756
Consumer staples (1.7%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,500,000 833,118
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 $275,000 306,281
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 115,000 125,494
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 633,000 650,414
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 432,000 500,040
CKE Holdings, Inc. 144A sr. unsec. notes 10 1/2s, 2016(PIK) 259,327 282,342
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 284,000 257,375
Claire's Stores, Inc. 144A sr. notes 9s, 2019 695,000 736,700
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 142,000 164,010
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 227,000
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 5/8s, 2023 95,000 96,900
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 599,000 638,684
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 279,000 300,274
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 265,000 298,456
Dole Food Co. 144A sr. notes 8s, 2016 207,000 216,056
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 365,000 509,286
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $380,000 424,175
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 300,000 431,413
HDTFS, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 $70,000 70,963
HDTFS, Inc. 144A company guaranty sr. notes 5 7/8s, 2020 70,000 70,700
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 155,000 168,175
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 360,000 504,946
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 $150,000 154,875
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 810,000 793,800
Libbey Glass, Inc. 144A company guaranty sr. notes 6 7/8s, 2020 276,000 293,940
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 210,000 222,863
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 500,000 549,375
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 620,000 637,050
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 643,000 660,683
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 535,000 547,038
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 143,625
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 340,000 356,150
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 1,400,000 1,589,000
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 90,000 90,900
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 37,000 38,573
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 447,000 455,940
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020 115,000 122,475
14,469,089
Energy (6.2%)
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 309,000 321,360
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 153,338
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 300,000 261,000
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 316,000 276,500
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec. notes 7s, 2022 335,000 362,638
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 37,000 50,525
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 666,000 776,776
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 112,000 99,120
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019 383,000 339,913
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 140,000 144,900
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 (In default)(NON) 150,000 22,500
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 115,000 123,625
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 360,000 381,600
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 694,000 747,785
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 369,688
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 5,463
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 145,000 193,601
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $1,150,000 1,288,000
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 94,000 94,470
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 565,856
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 126,000
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 213,690
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 515,000 424,597
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $197,000 162,033
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 293,000 310,580
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 1,667,000 1,762,853
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 430,000 452,575
Continental Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 5s, 2022 365,000 385,075
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 850,000 911,625
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2022 150,000 150,750
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 302,000 342,770
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 81,400
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 882,000 822,465
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 234,000 225,810
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 340,000 315,350
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 305,000 318,725
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 780,000 1,005,880
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 744,625
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,414,245
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 316,000 386,364
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 485,000 539,126
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 451,000 451,000
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 264,000 258,720
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021 419,000 424,761
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 40,000 41,200
Hiland Partners LP / Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 190,000 197,600
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 222,000 361,068
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 $175,000 174,125
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 100,000 99,000
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019 125,000 136,250
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 150,000 163,500
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 433,000 491,455
Lone Pine Resources Canada, Ltd. 144A company guaranty sr. notes 10 3/8s, 2017 (Canada) 184,000 167,440
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,304,532
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 620,000 664,950
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 150,000 160,875
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 520,000 388,700
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 620,000 630,187
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 194,175
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 375,000 388,125
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 250,000 265,625
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 316,000 347,205
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 460,000 453,100
PDC Energy, Inc. company guaranty sr. unsec. notes 12s, 2018 539,000 589,181
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 543,000 621,735
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 44,000 46,640
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 424,150
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 325,000 406,250
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 293,625
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 728,000 742,560
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,218,979
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 140,000 180,461
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 1,088,694
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 225,000 242,438
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 4,530,000 3,592,698
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 650,000 408,194
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 910,000 841,586
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 2,205,000 1,928,868
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 4,455,000 3,998,363
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 315,000 316,575
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,886,400
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 325,000 325,000
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 350,000 385,875
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 175,000 182,875
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 290,000 320,088
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 175,000 178,500
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 950,000 1,002,250
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 11,000 11,440
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 1,344,000 1,411,200
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 385,000 386,925
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 190,000 199,025
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 75,000 78,375
Suburban Propane Partners LP/Suburban Energy Finance Corp. 144A sr. unsec. notes 7 3/8s, 2021 304,000 325,280
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 135,000 138,038
Unit Corp. 144A company guaranty sr. sub. notes 6 5/8s, 2021 250,000 255,000
Williams Cos., Inc. (The) notes 7 3/4s, 2031 158,000 206,024
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 750,000 800,625
51,472,706
Financials (3.5%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 276,000 260,130
Air Lease Corp. 144A sr. notes 5 5/8s, 2017 380,000 391,400
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 335,000 367,912
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 240,000 268,860
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,555,950
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.618s, 2014 85,000 84,000
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068 315,000 392,963
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 375,000 414,375
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,080,000 1,181,225
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 135,000 188,307
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 $374,000 375,870
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 135,000 146,475
CIT Group, Inc. sr. unsec. notes 5s, 2022 385,000 398,948
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 330,925
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017 250,000 263,450
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 524,050
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 405,175
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 395,000 384,138
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 462,500
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 535,575
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, (Perpetual maturity) (Jersey) 399,000 326,183
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. bonds FRB 5.13s, (Perpetual maturity) (Jersey) EUR 486,000 600,851
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 $155,000 159,650
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 895,000 962,125
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 126,000 135,293
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 455,000 472,063
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 175,000 182,000
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 690,827
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 191,160
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 255,000 265,838
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 174,000 194,228
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 105,000 105,788
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 230,000 229,713
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 230,000 265,650
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 300,000 321,000
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, (Perpetual maturity) (United Kingdom) 525,000 364,875
Royal Bank of Scotland Group PLC jr. sub. notes FRN Ser. MTN, 7.64s, 2049 (United Kingdom) 600,000 504,329
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 775,000 820,570
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia) 550,000 589,314
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg) 500,000 560,477
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg) 1,160,000 1,229,577
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 378,706
UBS AG/ Jersey Branch jr. unsec. sub. notes FRN Ser. EMTN, 7.152s, (Perpetual maturity) (Jersey) EUR 400,000 531,603
UBS AG/Jersey Branch jr. unsec. sub. FRB 4.28s, (Perpetual maturity) (Jersey) EUR 182,000 213,401
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 413,869
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 468,000 554,000
VTB Bank OJSC 144A jr. sub. notes FRN 9 1/2s, 2049 (Russia) 1,650,000 1,663,407
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 1,065,000 1,134,470
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 3,196,000 3,448,037
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,406,000 2,562,943
29,004,175
Health care (2.0%)
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 325,000 342,469
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 500,654
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 $510,000 526,575
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 380,000 402,800
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 455,000 666,675
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $470,000 455,900
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 360,000 373,500
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 507,000 546,926
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7 1/8s, 2020 250,000 263,125
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 221,424
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $1,070,000 1,160,950
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 504,000 534,240
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 290,000 313,200
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 370,000 389,425
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 143,438
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 511,000 567,210
HCA, Inc. sr. notes 6 1/2s, 2020 1,454,000 1,603,035
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 143,360
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 740,000 771,450
Hologic, Inc. 144A company guaranty sr. unsec. notes 6 1/4s, 2020 110,000 116,600
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 758,000 697,360
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 202,000 205,535
Jaguar Holding Co. I 144A sr. notes 9 3/8s, 2017(PIK) 190,000 192,850
Kinetic Concepts/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 291,000 277,905
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 345,000 379,500
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 301,930
Service Corporation International sr. notes 7s, 2019 180,000 197,100
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 353,000 351,235
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 430,000 461,713
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 640,000 659,200
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 329,569 336,160
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 397,750
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 276,000 314,640
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 455,000 491,400
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 471,000 526,343
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 70,000 75,338
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 181,263
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 70,000 75,075
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 16,000 11,200
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 (Canada) 70,000 73,675
16,250,128
Technology (1.4%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 167,000 138,193
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 252,000 224,280
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 552,000 503,700
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 288,000 282,960
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 643,000 626,925
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 183,000 192,150
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 258,000 288,315
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 172,000 187,695
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 790,000 815,675
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 783,603 803,193
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 242,000 236,555
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 537,000 537,000
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 175,000 190,750
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 235,000 243,225
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 85,000 89,250
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 855,000 925,538
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 125,000 138,125
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 1,035,000 1,089,338
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 290,000 320,450
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 516,000 602,430
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 433,000 469,805
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 10 1/4s, 2015 817,000 835,791
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 265,000 267,319
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 344,000 373,670
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 431,000 459,015
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) 380,000 520,892
11,362,239
Transportation (0.3%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 1,111,000 1,276,463
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $170,000 179,775
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 466,000 500,950
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 555,000 595,238
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 99,000 63,360
2,615,786
Utilities and power (1.9%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,303,875
AES Corp. (The) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 346,425
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 342,000 377,910
Calpine Corp. 144A sr. notes 7 1/4s, 2017 896,000 949,760
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 615,000 761,477
Dynegy Holdings, LLC bonds 7 3/4s, 2019 940,000 5,875
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 289,000 141,610
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 135,000 67,838
Edison Mission Energy sr. unsec. notes 7.2s, 2019 292,000 143,080
Edison Mission Energy sr. unsec. notes 7s, 2017 44,000 21,230
El Paso Corp. sr. unsec. notes 7s, 2017 160,000 182,806
El Paso Natural Gas Co. debs. 8 5/8s, 2022 577,000 789,346
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 1,390,000 1,476,875
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 784,000 856,520
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 692,000 787,150
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. notes 6 7/8s, 2019 170,000 183,600
EP Energy, LLC/EP Energy Finance, Inc. 144A sr. unsec. notes 9 3/8s, 2020 600,000 663,000
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2022 120,000 124,200
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 644,000 722,890
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 119,700
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 220,000 245,025
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,525,000 1,934,005
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 180,000 207,000
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,505,625
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 255,000 303,981
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 291,200
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 145,000 198,748
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 205,000 146,575
Vattenfall AB jr. unsec. sub. bonds FRB 5 1/4s, 2049 (Replace maturity date by Perpetual maturity) (Sweden) EUR 364,000 498,092
15,355,418
Total corporate bonds and notes (cost $234,668,792) $245,180,554

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.0%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $1,665,000 $1,215,450
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 $1,136,000 1,056,480
Argentina (Republic of) sr. unsec. bonds FRB 0.543s, 2013 3,113,000 357,995
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 13,260,000 10,972,650
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 2,863,164 1,961,268
Brazil (Federal Republic of) unsec. notes 10s, 2017 BRL 3,500 1,867,944
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 2,365 1,234,009
Chile (Republic of) notes 5 1/2s, 2020 CLP 347,500,000 769,180
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 $620,000 702,720
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 565,000 621,973
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 53,200,000 956,908
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $1,590,000 1,847,993
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038 920,000 1,392,650
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 180,000 192,062
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 1,555,000 2,089,811
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 22,650,000 705,666
Iraq (Republic of) 144A bonds 5.8s, 2028 $1,275,000 1,195,950
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 EUR 1,019,000 1,433,531
Portugal (Republic of) sr. unsec. bonds 4.35s, 2017 EUR 1,019,000 1,217,452
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 $51,925 65,753
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 4,000,000 4,797,760
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 400,000 424,260
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030 4,349,843 5,504,726
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 EUR 1,019,000 1,382,734
Sri Lanka (Republic of) 144A notes 7.4s, 2015 $440,000 483,573
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 3,785,000 4,582,121
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 425,000 403,750
Ukraine (Government of) 144A bonds 7 3/4s, 2020 830,000 866,205
Ukraine (Government of) 144A notes 9 1/4s, 2017 2,640,000 2,871,473
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 700,000 708,733
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 1,105,000 1,164,814
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 4,165,000 4,192,073
United Mexican States sr. unsec. notes 5 3/4s, 2110 1,120,000 1,316,000
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 650,000 466,219
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 2,510,000 2,579,351
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 2,215,000 2,444,629
Total foreign government and agency bonds and notes (cost $63,815,618) $66,045,866

SENIOR LOANS (1.8%)(a)(c)
Principal amount Value
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 $507,599 $507,599
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 5 1/2s, 2017 60,158 60,566
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.461s, 2018 1,677,518 1,504,639
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.47s, 2016 1,120,003 1,123,146
Chesapeake Energy Corp. bank term loan FRN 8 1/2s, 2017 111,264 111,403
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.866s, 2016 987,831 815,114
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 249,277 248,530
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 341,041 343,684
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 274,077 245,984
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.22s, 2014(PIK) 199,151 189,891
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.22s, 2014(PIK) 113,360 108,089
Goodman Global, Inc. bank term loan FRN 9s, 2017 271,091 272,853
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 416,710 416,825
HUB International, Ltd. bank term loan FRN 6 3/4s, 2017 162,011 163,226
Intelsat SA bank term loan FRN 3.214s, 2014 (Luxembourg) 885,000 876,980
iStar Financial, Inc. bank term loan FRN 5 3/4s, 2017 300,000 299,250
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017 816,648 823,964
Momentive Performance Materials, Inc. bank term loan FRN Ser. B1, 3 3/4s, 2015 163,510 162,488
Motor City Casino bank term loan FRN 6s, 2017 535,766 538,780
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 282,994 283,584
Navistar, Inc. bank term loan FRN Ser. B, 7s, 2017 170,000 170,850
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 370,000 370,505
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 201,925 198,139
Plains Exploration & Production Co. bank term loan FRN Class B, 4s, 2019 380,000 381,221
Quintiles Transnational Holdings, Inc. bank term loan FRN 7 1/2s, 2017(PIK) 135,000 136,013
Realogy Corp. bank term loan FRN Ser. B, 4.464s, 2016 800,784 798,115
Revlon Consumer Products Corp. bank term loan FRN 4 3/4s, 2017 557,938 558,199
Rite Aid Corp. bank term loan FRN Ser. B, 1.97s, 2014 178,650 176,797
Servicemaster Co. bank term loan FRN 4.46s, 2017 156,126 156,633
Springleaf Financial bank term loan FRN Ser. B, 5 1/2s, 2017 290,000 285,288
SRAM Corp. bank term loan FRN 8 1/2s, 2018 135,000 137,025
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.749s, 2017 1,360,286 877,384
Thomson Learning bank term loan FRN Ser. B, 2.47s, 2014 484,033 460,588
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)(NON) 670,438 512,275
Univision Communications, Inc. bank term loan FRN 4.466s, 2017 197,993 193,609
West Corp. bank term loan FRN Ser. B5, 5 1/2s, 2016 107,945 108,844
Total senior loans (cost $15,122,751) $14,618,080

PURCHASED SWAP OPTIONS OUTSTANDING (0.7%)(a)
Counterparty Expiration Contract
Fixed right % to receive or (pay)/ Floating rate index/ Maturity date date/ strike amount Value
Barclay's Bank PLC
     (1.75)/3 month USD-LIBOR-BBA/Dec-22 Dec-12/1.75 $27,030,000 $306,250
     1.75/3 month USD-LIBOR-BBA/Dec-22 Dec-12/1.75 27,030,000 270,300
Credit Suisse International
     (2.25)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.25 139,573,000 842,742
Deutsche Bank AG
     (2.25)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.25 139,573,000 842,742
     2.27/3 month USD-LIBOR-BBA/Dec-22 Dec-12/2.27 8,182,000 397,972
     2.13375/3 month USD-LIBOR-BBA/Dec-22 Dec-12/2.13375 893,000 32,961
     2.2475/3 month USD-LIBOR-BBA/Nov-22 Nov-12/2.2475 8,182,000 392,654
     2.1125/3 month USD-LIBOR-BBA/Nov-22 Nov-12/2.1125 893,000 31,648
Goldman Sachs International
     (2.25)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.25 139,573,000 842,742
     1.8625/3 month USD-LIBOR-BBA/Jan-23 Jan-13/1.8625 5,860,000 99,913
     1.855/3 month USD-LIBOR-BBA/Dec-22 Dec-12/1.855 5,860,000 94,698
     2.325/3 month USD-LIBOR-BBA/Dec-22 Dec-12/2.325 2,266,000 121,390
     (2.325)/3 month USD-LIBOR-BBA/Dec-22 Dec-12/2.325 2,266,000 2,175
     2.3675/3 month USD-LIBOR-BBA/Dec-22 Dec-12/2.3675 8,182,000 469,647
     2.8825/3 month USD-LIBOR-BBA/Dec-42 Dec-12/2.8825 4,711,000 311,727
     (2.8825)/3 month USD-LIBOR-BBA/Dec-42 Dec-12/2.8825 4,711,000 31,093
     1.845/3 month USD-LIBOR-BBA/Dec-22 Dec-12/1.845 5,860,000 85,439
     1.835/3 month USD-LIBOR-BBA/Nov-22 Nov-12/1.835 5,860,000 73,016
     2.305/3 month USD-LIBOR-BBA/Nov-22 Nov-12/2.305 2,266,000 120,189
     (2.305)/3 month USD-LIBOR-BBA/Nov-22 Nov-12/2.305 2,266,000 68
     2.34375/3 month USD-LIBOR-BBA/Nov-22 Nov-12/2.34375 8,182,000 466,538
     1.82/3 month USD-LIBOR-BBA/Nov-22 Nov-12/1.82 5,860,000 57,601
Total purchased swap options outstanding (cost $8,161,455) $5,893,505

CONVERTIBLE BONDS AND NOTES (0.3%)(a)
Principal amount Value
Altra Holdings, Inc. cv. company guaranty sr. unsec. notes 2 3/4s, 2031 $365,000 $365,456
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 345,000 507,797
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) 659,000 570,859
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014 398,000 346,758
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 350,000 372,094
Total convertible bonds and notes (cost $2,149,629) $2,162,964

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 440 $423,995
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 28,680 749,695
M/I Homes, Inc. $2.438 pfd.(NON) 16,229 356,227
Total preferred stocks (cost $1,191,087) $1,529,917

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 9,017 $366,541
Lucent Technologies Capital Trust I 7.75% cv. pfd. 407 227,920
United Technologies Corp. $3.75 cv. pfd. 4,800 261,024
Total convertible preferred stocks (cost $1,090,219) $855,485

COMMON STOCKS (0.1%)(a)
Shares Value
Dynegy, Inc.(NON) 22,932 $428,835
Magellan Health Services, Inc.(NON) 304 15,246
Trump Entertainment Resorts, Inc. 224 896
Vertis Holdings, Inc.(F) 1,450 15
Total common stocks (cost $648,351) $444,992

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $0.01 117 $3,686
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 1.00 960 54,883
Total warrants (cost $35,777) $58,569

SHORT-TERM INVESTMENTS (12.4%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.16%(AFF) 58,988,539 $58,988,539
SSgA Prime Money Market Fund 0.12%(P) 1,536,763 1,536,763
Straight-A-Funding, LLC commercial paper with an effective yield of 0.178%, January 14, 2013 $15,000,000 14,994,375
Straight-A-Funding, LLC commercial paper with an effective yield of 0.178%, December 18, 2012 4,000,000 3,999,060
Straight-A-Funding, LLC commercial paper with an effective yield of 0.158%, December 13, 2012 5,000,000 4,999,067
U.S. Treasury Bills with an effective yield of 0.090%, November 15, 2012(SEG) 1,690,000 1,689,940
U.S. Treasury Bills with effective yields ranging from 0.151% to 0.172%, July 25, 2013(SEG)(SEGSF) 16,482,000 16,462,238
Total short-term investments (cost $102,669,885) $102,669,982

TOTAL INVESTMENTS
Total investments (cost $1,119,621,125)(b) $1,144,798,265













FORWARD CURRENCY CONTRACTS at 10/31/12 (aggregate face value $346,330,419) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Barclays Bank PLC
Australian Dollar Buy 11/21/12 $3,972,872 $3,951,906 $20,966
Brazilian Real Buy 11/21/12 1,142,489 1,136,744 5,745
British Pound Sell 11/21/12 10,345,885 10,322,889 (22,996)
Canadian Dollar Sell 11/21/12 4,100,736 4,155,778 55,042
Chilean Peso Sell 11/21/12 361,595 366,266 4,671
Euro Sell 11/21/12 4,420,341 4,375,403 (44,938)
Indonesian Rupiah Sell 11/21/12 1,234,726 1,228,130 (6,596)
Japanese Yen Sell 11/21/12 7,512,752 7,636,096 123,344
Malaysian Ringgit Sell 11/21/12 3,180 3,172 (8)
Mexican Peso Buy 11/21/12 1,709,648 1,745,253 (35,605)
New Zealand Dollar Sell 11/21/12 1,769,474 1,777,299 7,825
Polish Zloty Buy 11/21/12 1,763,766 1,783,332 (19,566)
Singapore Dollar Sell 11/21/12 1,132,048 1,122,665 (9,383)
South African Rand Buy 11/21/12 626,189 620,840 5,349
South African Rand Sell 11/21/12 626,189 645,575 19,386
South Korean Won Buy 11/21/12 452,422 443,113 9,309
Swedish Krona Sell 11/21/12 2,172,529 2,155,677 (16,852)
Taiwan Dollar Buy 11/21/12 1,238,819 1,242,180 (3,361)
Turkish Lira Buy 11/21/12 1,374,500 1,371,115 3,385
Citibank, N.A.
Australian Dollar Buy 11/21/12 6,334,725 6,322,554 12,171
Brazilian Real Buy 11/21/12 1,250,223 1,245,233 4,990
Brazilian Real Sell 11/21/12 1,250,223 1,250,688 465
British Pound Sell 11/21/12 7,775,187 7,765,856 (9,331)
Canadian Dollar Sell 11/21/12 2,030,726 2,064,678 33,952
Euro Buy 11/21/12 8,247,467 8,232,295 15,172
Euro Sell 11/21/12 8,247,467 8,217,668 (29,799)
Japanese Yen Sell 11/21/12 6,454,174 6,607,151 152,977
South Korean Won Buy 11/21/12 254,597 249,527 5,070
Taiwan Dollar Buy 11/21/12 220,497 225,629 (5,132)
Turkish Lira Buy 11/21/12 804,490 832,618 (28,128)
Credit Suisse AG
Australian Dollar Buy 11/21/12 8,134,696 8,094,164 40,532
Brazilian Real Buy 11/21/12 571,883 568,083 3,800
British Pound Sell 11/21/12 4,550,479 4,533,347 (17,132)
Canadian Dollar Sell 11/21/12 6,739,629 6,822,301 82,672
Chilean Peso Sell 11/21/12 553,541 559,928 6,387
Euro Sell 11/21/12 3,779,419 3,737,645 (41,774)
Indonesian Rupiah Sell 11/21/12 1,234,726 1,228,130 (6,596)
Mexican Peso Buy 11/21/12 1,240,365 1,263,273 (22,908)
New Zealand Dollar Sell 11/21/12 1,898,024 1,911,457 13,433
Philippines Peso Buy 11/21/12 1,906,068 1,887,877 18,191
Polish Zloty Buy 11/21/12 1,234,918 1,240,555 (5,637)
South African Rand Buy 11/21/12 625,971 620,652 5,319
South African Rand Sell 11/21/12 625,971 627,138 1,167
South Korean Won Buy 11/21/12 1,548,768 1,516,085 32,683
Swedish Krona Sell 11/21/12 2,265,423 2,245,427 (19,996)
Swiss Franc Sell 11/21/12 693,206 690,541 (2,665)
Taiwan Dollar Buy 11/21/12 390,747 395,592 (4,845)
Turkish Lira Buy 11/21/12 2,598,429 2,583,906 14,523
Deutsche Bank AG
Australian Dollar Sell 11/21/12 1,309,607 1,323,760 14,153
Brazilian Real Buy 11/21/12 610,693 604,202 6,491
British Pound Sell 11/21/12 6,277,563 6,279,897 2,334
Canadian Dollar Sell 11/21/12 4,158,735 4,227,483 68,748
Euro Sell 11/21/12 3,823,496 3,795,898 (27,598)
Mexican Peso Buy 11/21/12 2,859 2,908 (49)
Norwegian Krone Buy 11/21/12 2,105,140 2,108,051 (2,911)
Polish Zloty Buy 11/21/12 1,089,396 1,092,544 (3,148)
Singapore Dollar Sell 11/21/12 533,929 529,512 (4,417)
South Korean Won Buy 11/21/12 410,823 402,370 8,453
Swedish Krona Buy 11/21/12 2,201,038 2,211,600 (10,562)
Swedish Krona Sell 11/21/12 2,201,038 2,198,539 (2,499)
Swiss Franc Buy 11/21/12 1,396 1,385 11
Turkish Lira Buy 11/21/12 768,489 766,158 2,331
Goldman Sachs International
Japanese Yen Sell 11/21/12 151,062 154,628 3,566
Singapore Dollar Buy 11/21/12 534,995 537,009 (2,014)
Singapore Dollar Sell 11/21/12 537,618 533,322 (4,296)
South Korean Won Buy 11/21/12 48,382 47,344 1,038
HSBC Bank USA, National Association
Australian Dollar Buy 11/21/12 7,567,970 7,546,128 21,842
British Pound Sell 11/21/12 4,926,926 4,916,963 (9,963)
Canadian Dollar Sell 11/21/12 2,052,545 2,062,256 9,711
Euro Buy 11/21/12 4,772,953 4,762,743 10,210
Indian Rupee Buy 11/21/12 85,964 87,835 (1,871)
Japanese Yen Buy 11/21/12 3,061,293 3,133,851 (72,558)
Norwegian Krone Sell 11/21/12 2,098,935 2,073,343 (25,592)
Russian Ruble Buy 11/21/12 2,460,604 2,482,307 (21,703)
South Korean Won Buy 11/21/12 756,251 739,928 16,323
Swiss Franc Buy 11/21/12 1,015,320 1,008,600 6,720
Turkish Lira Buy 11/21/12 2,412,470 2,408,667 3,803
JPMorgan Chase Bank, N.A.
Australian Dollar Sell 11/21/12 80,846 93,498 12,652
Brazilian Real Buy 11/21/12 1,161,107 1,155,499 5,608
British Pound Buy 11/21/12 4,774,776 4,793,288 (18,512)
Canadian Dollar Sell 11/21/12 2,050,243 2,074,640 24,397
Chilean Peso Buy 11/21/12 238,288 240,961 (2,673)
Euro Buy 11/21/12 678,646 693,039 (14,393)
Japanese Yen Sell 11/21/12 2,586,268 2,638,976 52,708
Mexican Peso Buy 11/21/12 1,238,291 1,265,149 (26,858)
New Zealand Dollar Sell 11/21/12 1,872,232 1,881,676 9,444
Norwegian Krone Buy 11/21/12 6,340,799 6,348,956 (8,157)
Peruvian New Sol Buy 11/21/12 2,462,229 2,470,277 (8,048)
Peruvian New Sol Sell 11/21/12 2,462,229 2,448,589 (13,640)
Polish Zloty Buy 11/21/12 1,799,592 1,820,072 (20,480)
Russian Ruble Buy 11/21/12 1,723,826 1,741,748 (17,922)
Singapore Dollar Sell 11/21/12 190,027 188,489 (1,538)
South African Rand Buy 11/21/12 626,189 620,833 5,356
South African Rand Sell 11/21/12 626,189 635,691 9,502
South Korean Won Buy 11/21/12 556,677 544,783 11,894
Swiss Franc Buy 11/21/12 2,412,795 2,396,620 16,175
Taiwan Dollar Buy 11/21/12 745,474 744,797 677
Turkish Lira Buy 11/21/12 899,139 905,685 (6,546)
Royal Bank of Scotland PLC (The)
Euro Buy 11/21/12 11,408 11,364 44
Euro Sell 11/21/12 11,408 11,331 (77)
South Korean Won Buy 11/21/12 23,908 23,397 511
State Street Bank and Trust Co.
Australian Dollar Buy 11/21/12 4,715,311 4,693,699 21,612
Brazilian Real Buy 11/21/12 1,945,365 1,941,123 4,242
Brazilian Real Sell 11/21/12 1,945,365 1,945,897 532
British Pound Sell 11/21/12 6,697,756 6,669,309 (28,447)
Canadian Dollar Sell 11/21/12 6,994,645 7,078,898 84,253
Chilean Peso Buy 11/21/12 49,041 49,785 (744)
Euro Buy 11/21/12 6,726,832 6,716,501 10,331
Euro Sell 11/21/12 6,726,832 6,702,061 (24,771)
Indonesian Rupiah Sell 11/21/12 1,234,726 1,228,257 (6,469)
Japanese Yen Sell 11/21/12 6,887,519 7,050,857 163,338
Mexican Peso Buy 11/21/12 1,501,868 1,533,713 (31,845)
New Zealand Dollar Sell 11/21/12 1,261,434 1,268,335 6,901
Norwegian Krone Buy 11/21/12 3,952,233 3,976,962 (24,729)
Polish Zloty Buy 11/21/12 1,538,622 1,558,068 (19,446)
Singapore Dollar Sell 11/21/12 151,333 141,847 (9,486)
South African Rand Buy 11/21/12 1,236,000 1,231,706 4,294
South African Rand Sell 11/21/12 1,236,000 1,261,221 25,221
South Korean Won Buy 11/21/12 244,505 239,776 4,729
Swedish Krona Sell 11/21/12 2,047,872 2,033,812 (14,060)
Swiss Franc Buy 11/21/12 3,160,027 3,138,809 21,218
Taiwan Dollar Buy 11/21/12 1,267,076 1,266,398 678
Taiwan Dollar Sell 11/21/12 1,267,076 1,263,358 (3,718)
Thai Baht Buy 11/21/12 1,875,692 1,872,178 3,514
Turkish Lira Buy 11/21/12 2,008,666 1,995,536 13,130
UBS AG
Australian Dollar Buy 11/21/12 6,949,986 6,924,699 25,287
British Pound Sell 11/21/12 4,339,414 4,327,494 (11,920)
Canadian Dollar Sell 11/21/12 3,604,364 3,669,421 65,057
Euro Buy 11/21/12 303,219 313,281 (10,062)
Indian Rupee Sell 11/21/12 967,229 992,602 25,373
Japanese Yen Sell 11/21/12 92,309 94,487 2,178
Mexican Peso Buy 11/21/12 604,064 614,105 (10,041)
New Zealand Dollar Sell 11/21/12 1,872,314 1,882,488 10,174
Norwegian Krone Buy 11/21/12 335,836 342,559 (6,723)
Philippines Peso Buy 11/21/12 1,906,070 1,887,381 18,689
Russian Ruble Buy 11/21/12 2,460,604 2,485,086 (24,482)
Singapore Dollar Sell 11/21/12 1,813,212 1,799,060 (14,152)
South African Rand Buy 11/21/12 410,405 411,171 (766)
South African Rand Sell 11/21/12 410,405 424,046 13,641
Swedish Krona Sell 11/21/12 2,053,221 2,045,472 (7,749)
Swiss Franc Sell 11/21/12 7,636,113 7,584,211 (51,902)
Taiwan Dollar Buy 11/21/12 1,238,819 1,241,966 (3,147)
Thai Baht Buy 11/21/12 1,875,689 1,872,418 3,271
Turkish Lira Buy 11/21/12 1,406,495 1,404,340 2,155
WestPac Banking Corp.
Australian Dollar Buy 11/21/12 3,784,127 3,772,749 11,378
British Pound Sell 11/21/12 2,040,938 2,041,786 848
Canadian Dollar Sell 11/21/12 4,077,966 4,121,550 43,584
Euro Buy 11/21/12 221,601 248,032 (26,431)
Japanese Yen Buy 11/21/12 4,594,783 4,727,131 (132,348)
Mexican Peso Buy 11/21/12 670,978 683,126 (12,148)
Swedish Krona Sell 11/21/12 152,760 149,632 (3,128)
Total $448,869












FUTURES CONTRACTS OUTSTANDING at 10/31/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 5 $650,393             Dec-12 $2,925
Australian Government Treasury Bond 3 yr (Short) 106 12,099,723             Dec-12 (5,349)
Canadian Government Bond 10 yr (Long) 60 8,234,493             Dec-12 59,805
Euro-Bobl 5 yr (Short) 21 3,424,984             Dec-12 (27,645)
Euro-Swiss Franc 3 Month (Short) 87 23,352,115             Dec-12 (339,486)
Japanese Government Bond 10 yr (Short) 2 3,613,930             Dec-12 (14,292)
Japanese Government Bond 10 yr Mini (Long) 18 3,251,409             Dec-12 12,311
U.K. Gilt 10 yr (Short) 12 2,307,145             Dec-12 31,728
U.S. Treasury Note 10 yr (Short) 1 133,031             Dec-12 (174)
Total $(280,177)












WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/12 (premiums $2,726,724) (Unaudited)


Counterparty
Fixed Obligation % to receive or (pay)/ Floating rate index/ Maturity date Expiration date/ strike Contract amount Value
Deutsche Bank AG
    (1.75)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.75 $70,824,000 $952,229
    1.75/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.75 70,824,000 1,494,599
Total $2,446,828












TBA SALE COMMITMENTS OUTSTANDING at 10/31/12 (proceeds receivable $79,848,047) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3s, November 1, 2042 $74,000,000       11/14/12 $77,682,655
Government National Mortgage Association, 3s, November 1, 2042 2,000,000       11/20/12 2,130,156
Total $79,812,811








INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/12 (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)
Barclay’s Bank, PLC
$350,246,000 (E) $290,469      12/19/14 0.45% 3 month USD-LIBOR-BBA $(91,298)
1,229,000 (E) (1,032)     12/19/14 3 month USD-LIBOR-BBA 0.45% 307
2,093,000 (E) (127,029)     12/19/42 2.40% 3 month USD-LIBOR-BBA (33,493)
877,000 (E) 52,474      12/19/42 3 month USD-LIBOR-BBA 2.40% 13,281
42,730,000 (E) 453,711      12/19/22 3 month USD-LIBOR-BBA 1.75% 397,308
109,927,000 (E) (525,346)     12/19/22 1.75% 3 month USD-LIBOR-BBA (380,242)
17,107,000 —      10/23/22 1.826% 3 month USD-LIBOR-BBA (171,694)
14,574,000 —      10/26/22 1.8205% 3 month USD-LIBOR-BBA (135,982)
AUD 3,673,000 —      10/4/22 6 month AUD-BBR-BBSW 3.542% (59,211)
AUD 18,145,000 —      9/25/22 6 month AUD-BBR-BBSW 3.78687% 83,063
AUD 30,945,000 —      9/17/22 3.88% 6 month AUD-BBR-BBSW (376,338)
EUR 8,514,000 —      10/12/22 6 month EUR-EURIBOR-REUTERS 1.755% 3,706
EUR 49,147,000 —      10/16/22 1.747% 6 month EUR-EURIBOR-REUTERS 44,918
EUR 11,611,000 —      10/26/22 6 month EUR-EURIBOR-REUTERS 1.8305% 98,985
EUR 2,552,000 —      10/2/22 6 month EUR-EURIBOR-REUTERS 1.724% (6,729)
EUR 95,799,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 116,720
EUR 4,492,000 (E) —      8/16/22 1.862% 6 month EUR-EURIBOR-REUTERS (76,773)
EUR 5,721,000 —      9/10/22 6 month EUR-EURIBOR-REUTERS 1.8325% 68,359
GBP 11,061,000 —      10/19/22 6 month GBP-LIBOR-BBA 1.98375% 99,682
GBP 3,570,000 —      10/26/22 1.96% 6 month GBP-LIBOR-BBA (16,906)
GBP 3,790,000 —      9/30/22 6 month GBP-LIBOR-BBA 1.865% (28,187)
GBP 6,323,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (1,483,213)
GBP 4,143,000 —      7/25/42 6 month GBP-LIBOR-BBA 2.8425% (140,886)
GBP 7,350,000 —      7/25/22 1.885% 6 month GBP-LIBOR-BBA (13,074)
GBP 2,276,000 —      8/2/22 6 month GBP-LIBOR-BBA 1.93% 18,113
GBP 6,197,000 —      9/17/22 6 month GBP-LIBOR-BBA 2.048% 130,337
GBP 15,243,000 —      9/21/22 1.9425% 6 month GBP-LIBOR-BBA (75,779)
SEK 32,838,000 —      7/11/22 2.1275% 3 month SEK-STIBOR-SIDE (56,459)
Citibank, N.A.
$2,053,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 65,060
73,702,000 (E) 17,512      12/19/14 0.45% 3 month USD-LIBOR-BBA (62,824)
26,331,000 (E) (335,720)     12/19/22 1.75% 3 month USD-LIBOR-BBA (300,963)
4,525,000 (E) 35,296      12/19/22 3 month USD-LIBOR-BBA 1.75% 29,323
1,118,000 (E) 47,412      12/19/42 3 month USD-LIBOR-BBA 2.40% (2,551)
EUR 8,777,000 —      8/2/22 6 month EUR-EURIBOR-REUTERS 1.8% 91,213
GBP 5,478,000 —      8/8/22 6 month GBP-LIBOR-BBA 1.97% 73,856
GBP 7,174,000 —      9/24/22 1.9175% 6 month GBP-LIBOR-BBA (5,231)
SEK 43,535,000 —      8/2/22 3 month SEK-STIBOR-SIDE 2.285% 130,458
Credit Suisse International
$5,254,000 —      10/15/22 1.73875% 3 month USD-LIBOR-BBA (12,200)
10,259,000 —      10/19/22 3 month USD-LIBOR-BBA 1.80375% 84,590
111,370,000 (E) (143,580)     12/19/14 3 month USD-LIBOR-BBA 0.45% (22,186)
3,117,000 (E) 6,081      12/19/17 3 month USD-LIBOR-BBA 0.90% 12,845
18,720,000 (E) 1,209,874      12/19/42 3 month USD-LIBOR-BBA 2.40% 373,277
290,325,000 (E) 246,091      12/19/14 0.45% 3 month USD-LIBOR-BBA (70,364)
26,776,000 (E) 19,893      12/19/17 0.90% 3 month USD-LIBOR-BBA (38,211)
30,337,000 (E) (1,989,869)     12/19/42 2.40% 3 month USD-LIBOR-BBA (634,108)
210,701,000 (E) 2,242,229      12/19/22 3 month USD-LIBOR-BBA 1.75% 1,964,104
191,900,000 (E) (1,678,163)     12/19/22 1.75% 3 month USD-LIBOR-BBA (1,424,854)
AUD 7,564,000 —      9/21/22 6 month AUD-BBR-BBSW 3.8275% 63,262
AUD 5,820,000 —      7/17/22 3.77125% 6 month AUD-BBR-BBSW (29,589)
AUD 8,179,000 —      7/24/22 6 month AUD-BBR-BBSW 3.665% (34,582)
AUD 6,206,000 —      9/18/22 4.05% 6 month AUD-BBR-BBSW (168,590)
CAD 6,014,000 —      10/24/22 2.28875% 3 month CAD-BA-CDOR (52,800)
CHF 28,524,000 —      10/4/22 0.92% 6 month CHF-LIBOR-BBA (17,779)
CHF 5,140,000 —      10/8/22 6 month CHF-LIBOR-BBA 0.905% (6,087)
CHF 5,201,000 —      10/9/22 6 month CHF-LIBOR-BBA 0.92% 6,245
CHF 5,053,000 —      10/19/22 6 month CHF-LIBOR-BBA 0.94% 10,052
CHF 5,112,000 —      10/31/22 0.92% 6 month CHF-LIBOR-BBA 624
EUR 5,757,000 —      10/11/22 1 month EUR-EONIA-OIS-COMPOUND 1.4575% 6,073
EUR 4,911,000 —      10/26/22 6 month EUR-EURIBOR-REUTERS 1.831% 42,122
EUR 5,113,000 —      10/29/22 6 month EUR-EURIBOR-REUTERS 1.86% 60,638
EUR 32,040,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (234,028)
EUR 5,853,000 —      8/10/22 1.87% 6 month EUR-EURIBOR-REUTERS (107,777)
EUR 4,350,000 —      9/19/22 6 month EUR-EURIBOR-REUTERS 1.913% 92,561
GBP 3,216,000 —      10/5/22 1.905% 6 month GBP-LIBOR-BBA 5,614
GBP 14,441,000 —      8/2/22 6 month GBP-LIBOR-BBA 1.9125% 30,093
GBP 9,278,000 —      9/11/22 1.93% 6 month GBP-LIBOR-BBA (8,471)
GBP 4,925,000 —      9/13/22 1.985% 6 month GBP-LIBOR-BBA (59,301)
MXN 78,540,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% 428,697
SEK 139,673,000 —      10/11/22 2.07% 3 month SEK-STIBOR-SIDE 5,917
SEK 50,985,000 —      10/29/22 3 month SEK-STIBOR-SIDE 2.105% 19,007
Deutsche Bank AG
$1,039,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0475% 32,209
8,048,000 (E) (2,496)     12/19/17 3 month USD-LIBOR-BBA 0.90% 14,968
37,370,000 (E) (351,583)     12/19/22 1.75% 3 month USD-LIBOR-BBA (302,254)
45,891,000 (E) 598,485      12/19/22 3 month USD-LIBOR-BBA 1.75% 537,909
MXN 78,540,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% 450,984
Goldman Sachs International
$8,251,000 —      10/30/22 1.80625% 3 month USD-LIBOR-BBA (63,637)
24,301,000 (E) (16,741)     12/19/14 3 month USD-LIBOR-BBA 0.45% 9,747
17,149,000 (E) (32,786)     12/19/17 0.90% 3 month USD-LIBOR-BBA (69,999)
35,565,000 (E) (559,728)     12/19/22 1.75% 3 month USD-LIBOR-BBA (512,782)
63,155,000 (E) 715,186      12/19/22 3 month USD-LIBOR-BBA 1.75% 631,822
31,235,000 (E) 2,219,912      12/19/42 3 month USD-LIBOR-BBA 2.40% 824,020
CHF 9,678,000 —      10/4/22 0.92% 6 month CHF-LIBOR-BBA (6,032)
CHF 4,966,000 —      10/18/22 6 month CHF-LIBOR-BBA 0.91% (5,482)
EUR 4,719,000 —      10/11/22 1 month EUR-EONIA-OIS-COMPOUND 1.46333% 7,855
EUR 14,510,000 —      10/18/22 1.818% 6 month EUR-EURIBOR-REUTERS (110,344)
EUR 5,113,000 —      10/29/22 1 month EUR-EONIA-OIS-COMPOUND 1.554% 57,504
EUR 174,180,000 (E) —      8/1/17 1 month EUR-EONIA-OIS-COMPOUND 1.425% 237,052
EUR 87,090,000 (E) —      8/9/17 1 month EUR-EONIA-OIS-COMPOUND 1.4775% 162,550
EUR 87,090,000 (E) —      8/9/17 1 month EUR-EONIA-OIS-COMPOUND 1.497% 183,997
EUR 100,389,000 —      8/30/14 1 month EUR-EONIA-OIS-COMPOUND 0.11% (38,304)
EUR 100,389,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (58,958)
EUR 100,389,000 —      8/31/14 1 month EUR-EONIA-OIS-COMPOUND 0.11% (38,318)
EUR 100,389,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (72,165)
EUR 66,883,000 (E) —      8/31/17 1 month EUR-EONIA-OIS-COMPOUND 1.38% 10,403
EUR 100,389,000 —      9/3/14 1 month EUR-EONIA-OIS-COMPOUND 0.086% (104,578)
EUR 100,389,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS 11,711
EUR 12,703,000 —      9/25/22 1.824% 6 month EUR-EURIBOR-REUTERS (127,177)
GBP 6,323,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 683,122
GBP 5,264,000 —      10/10/22 1.88% 6 month GBP-LIBOR-BBA 31,021
GBP 16,016,000 —      8/2/22 6 month GBP-LIBOR-BBA 1.91% 27,219
GBP 5,029,000 —      8/7/22 1.9775% 6 month GBP-LIBOR-BBA (73,677)
GBP 9,749,000 —      8/28/22 1.9225% 6 month GBP-LIBOR-BBA (11,516)
SEK 52,377,000 —      10/11/22 3 month SEK-STIBOR-SIDE 2.06% (9,370)
JPMorgan Chase Bank NA
$76,154,000 (E) (138,891)     12/19/17 0.90% 3 month USD-LIBOR-BBA (304,145)
78,751,000 (E) (1,004,949)     12/19/22 1.75% 3 month USD-LIBOR-BBA (900,998)
23,785,000 (E) 233,706      12/19/22 3 month USD-LIBOR-BBA 1.75% 202,309
5,907,000 (E) 596,462      12/19/42 3 month USD-LIBOR-BBA 2.40% 332,478
55,615,000 —      10/11/22 1.7776% 3 month USD-LIBOR-BBA (352,337)
CAD 10,003,000 —      10/3/22 2.15% 3 month CAD-BA-CDOR 28,258
CAD 9,312,000 —      10/26/22 2.274% 3 month CAD-BA-CDOR (68,353)
CAD 8,100,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (212,225)
CAD 16,713,000 —      5/2/15 3 month CAD-BA-CDOR 1.6575% 154,495
EUR 4,347,000 —      7/30/22 6 month EUR-EURIBOR-REUTERS 1.803% 47,736
JPY 520,158,000 —      9/19/22 0.80% 6 month JPY-LIBOR-BBA (23,987)
MXN 44,527,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (228,483)
MXN 57,580,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (294,799)
MXN 11,220,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% 66,660
MXN 57,160,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (173,054)
MXN 154,373,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (467,370)
MXN 57,160,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 234,029
MXN 88,180,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 424,156
The Royal Bank of Scotland PLC
$4,667,000 (E) (58,650)     12/19/22 1.75% 3 month USD-LIBOR-BBA (52,488)
UBS AG
CHF 65,659,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (421,883)
Total $(1,468,851)
(E)   See interest rate swap contracts note regarding extended effective dates.









TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/12 (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.
$1,229,577 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $8,533
Barclay’s Bank, PLC
1,222,127 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,300
2,210,273 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,159
1,818,105 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,703
6,686,746 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 46,404
27,357,223 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 189,852
1,726,447 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 11,981
8,465,860 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (51,704)
864,481 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,581
3,077,793 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 21,359
214,144 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,486
2,042,814 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,161
9,533,133 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 19,418
6,982,068 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 48,454
3,316,205 (5,182)     1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 14,983
7,391,430 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (45,142)
5,984,765 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,190
2,092,090 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,826
244,729 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 972
361,325 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,063
1,981,501 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,102)
12,280,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (259,083)
4,159,656 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 23,412
905,514 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 5,096
7,744,168 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 53,742
1,071,432 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 4,862
6,128,443 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,483
5,372,760 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (32,813)
5,098,515 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 9,324
3,119,706 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,053)
5,546,745 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 38,493
1,999,184 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,943)
946,163 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,781
3,620,850 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,128
7,941,680 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 11,640
25,731,288 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 52,411
2,313,920 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 13,023
5,648,381 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,505
1,071,089 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,016
3,473,359 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,536
2,517,980 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,738
Citibank, N.A.
3,591,267 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,315
8,171,257 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 16,644
7,565,903 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 15,411
Credit Suisse International
2,723,752 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,548
19,491,687 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 109,705
4,872,343 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 27,423
2,184,827 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,162
3,900,777 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 27,070
4,062,118 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (24,809)
1,228,878 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,528
7,413,027 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 41,723
Deutsche Bank AG
4,062,118 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (24,809)
Goldman Sachs International
3,759,414 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 26,089
7,020,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 80,590
5,265,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 54,967
1,682,732 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 4,949
3,630,535 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 26,146
1,099,671 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 7,920
7,946,415 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 55,146
3,993,852 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 27,716
14,071,243 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 101,337
13,059,157 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 94,048
2,572,945 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (15,714)
966,581 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,903)
24,313,427 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 175,098
6,097,171 2,858      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 46,768
2,077,055 1,136      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,550
6,012,823 (21,843)     1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 17,230
2,323,412 (3,267)     1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 10,860
4,532,711 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 31,456
126,941 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 373
23,577,515 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 163,621
8,409,694 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 58,361
1,813,736 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,077)
8,781,296 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 60,940
869,872 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,037
8,719,712 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 60,512
3,524,903 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (21,528)
2,176,280 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,291)
64,994 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 191
166,750 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,018)
444,802 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,717)
7,884,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) 35,249
7,884,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) 46,878
5,646,119 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 39,182
3,781,808 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 26,245
7,248,698 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 50,304
5,172,343 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 35,895
10,774,373 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 74,771
7,884,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) 49,070
7,884,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) (7,805)
GBP 4,920,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (194,442)
GBP 4,920,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (218,674)
GBP 9,840,000 —      9/20/17 2.6625% GBP Non-revised UK Retail Price Index 429
GBP 4,920,000 —      9/21/17 2.66% GBP Non-revised UK Retail Price Index (850)
GBP 4,920,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (220,857)
JPMorgan Chase Bank NA
$14,470,104 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 100,419
9,466,899 5,916      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 74,095
8,395,697 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 58,264
GBP 4,459,000 —      9/12/14 2.825% GBP Non-revised UK Retail Price Index 5,467
Total $1,477,983











CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/12 (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)
Barclay’s Bank, PLC
  Irish Gov't, 4.50%, 4/18/2020 — $(81,643) $1,019,000 9/20/17 (100 bp) $(44,248)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (166,263) 1,019,000 9/20/17 (100 bp) (5,162)
Credit Suisse International
  Spain Gov't, 5.50%, 7/30/2017 — (120,132) 1,019,000 9/20/17 (100 bp) (35,042)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B/F 161,961 1,385,000 3/20/17 500 bp (352,105)
  Russian Federation, 7 1/2%, 3/31/30 — — 442,500 4/20/13 (112 bp) (1,806)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 BB-/F — EUR 935,000 9/20/13 715 bp 86,255
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 477 bp 50,833
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 535 bp 57,536
JPMorgan Chase Bank NA
  DJ CDX NA HY Series 19 Index B+ /P (98,182) $6,042,000 12/20/17 500 bp (130,903)
  Russian Federation, 7 1/2%, 3/31/30 BBB/F — 225,000 9/20/13 276 bp 5,321
Total $(369,321)
*   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 October 31, 2012. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
RUB Russian Ruble
SEK Swedish Krona
Key to holding's abbreviations
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
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
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2012 through October 31, 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 $827,322,377.
(b) The aggregate identified cost on a tax basis is $1,135,747,573, resulting in gross unrealized appreciation and depreciation of $28,454,763 and $19,404,071, respectively, or net unrealized appreciation of $9,050,692.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund, which is under common ownership and control, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $51,748,870 $264,498,364 $257,258,695 $31,139 $58,988,539
* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(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) Extended effective date.
(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 was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $276,457,814 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 would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration, convexity, and 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 isolate prepayment risk.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Certain options contracts include premiums that do not settle until the expiration date of the contract.
The fund had an average contract amount of approximately 713,300,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately 314,500,000 on written options contracts for the reporting period.
Futures contracts: The fund used futures contracts to hedge interest rate risk, to gain exposure to interest rates, and to hedge prepayment risk.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
The fund had an average number of contracts of approximately 360 futures contracts outstanding for the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
The fund had an average contract amount of approximately $640,100,000 on forward currency contracts for the reporting period.
Total return swap contracts: The fund entered into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, and to gain exposure to specific 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.
Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Interest rate swap contracts: The fund entered into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and 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.
Outstanding notional amount on interest rate swap contracts at the close of the reporting period are indicative of the volume of activity during 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.
Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during 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 $2,213,485 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 $2,688,253 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $689,172.
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 $— $896 $15
    Health care 15,246 — —
    Utilities and power 428,835 — —
Total common stocks 444,081 896 15
Convertible bonds and notes — 2,162,964 —
Convertible preferred stocks 261,024 594,461 —
Corporate bonds and notes — 245,180,554 —
Foreign government and agency bonds and notes — 66,045,866 —
Mortgage-backed securities — 402,189,987 —
Preferred stocks — 1,529,917 —
Purchased swap options outstanding — 5,893,505 —
Senior loans — 14,618,080 —
U.S. Government and Agency Mortgage Obligations — 302,720,621 —
U.S. Treasury Obligations — 427,743 —
Warrants — 3,686 54,883
Short-term investments 60,525,302 42,144,680 —
Totals by level $61,230,407 $1,083,512,960 $54,898



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $448,869 $—
Futures contracts (280,177) — —
Written swap options outstanding — (2,446,828) —
TBA sale commitments — (79,812,811) —
Interest rate swap contracts — (3,487,081) —
Total return swap contracts — 1,498,365 —
Credit default contracts — (65,062) —
Totals by level $(280,177) $(83,864,548) $—


At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $483,531 $548,593
Foreign exchange contracts 1,608,856 1,159,987
Equity contracts 58,569 —
Interest rate contracts 15,683,203 14,505,419
Total $17,834,159 $16,213,999


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: December 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: December 28, 2012

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