a_premierincomefund.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2015
Date of reporting period: October 31, 2014



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
10/31/14 (Unaudited)
MORTGAGE-BACKED SECURITIES (45.4%)(a)
Principal amount Value
Agency collateralized mortgage obligations (18.7%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.989s, 2032 $544,643 $812,290
     IFB Ser. 3408, Class EK, 25.178s, 2037 172,698 271,820
     IFB Ser. 2979, Class AS, 23.713s, 2034 50,034 63,802
     IFB Ser. 3072, Class SM, 23.236s, 2035 318,587 484,516
     IFB Ser. 3072, Class SB, 23.09s, 2035 285,363 432,327
     IFB Ser. 3998, Class KS, IO, 6.547s, 2027 3,655,965 615,230
     IFB Ser. 319, Class S2, IO, 5.847s, 2043 3,273,472 816,633
     IFB Ser. 4240, Class SA, IO, 5.847s, 2043 7,298,290 1,696,706
     IFB Ser. 317, Class S3, IO, 5.827s, 2043 8,480,299 2,123,129
     IFB Ser. 325, Class S1, IO, 5.797s, 2044 6,688,182 1,589,647
     IFB Ser. 326, Class S2, IO, 5.797s, 2044 21,448,821 5,240,131
     IFB Ser. 308, Class S1, IO, 5.797s, 2043 5,470,523 1,361,449
     IFB Ser. 269, Class S1, IO, 5.797s, 2042 5,546,249 1,295,937
     IFB Ser. 314, Class AS, IO, 5.737s, 2043 4,087,943 985,701
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 6,298,427 1,332,747
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 3,712,896 724,015
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 6,187,312 1,261,530
     Ser. 4193, Class PI, IO, 4s, 2043 8,264,339 1,398,210
     Ser. 304, Class C53, IO, 4s, 2032 4,046,160 716,049
     Ser. 303, Class C19, IO, 3 1/2s, 2043 7,833,188 1,711,294
     Ser. 304, Class C22, IO, 3 1/2s, 2042 4,439,407 955,246
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 9,749,172 1,393,005
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 8,833,820 1,262,215
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 4,333,870 645,573
     Ser. 304, IO, 3 1/2s, 2027 8,037,768 1,006,730
     Ser. 304, Class C37, IO, 3 1/2s, 2027 5,957,915 757,787
     Ser. 4165, Class TI, IO, 3s, 2042 18,833,387 2,474,707
     Ser. 4183, Class MI, IO, 3s, 2042 8,326,014 1,118,184
     Ser. 4210, Class PI, IO, 3s, 2041 5,884,014 665,629
     Ser. 304, Class C45, IO, 3s, 2027 7,485,460 869,471
     Ser. T-57, Class 1AX, IO, 0.393s, 2043 4,116,182 44,721
     FRB Ser. 3326, Class WF, zero %, 2035 3,156 2,474
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.988s, 2036 278,702 523,079
     IFB Ser. 07-53, Class SP, 23.643s, 2037 273,133 420,410
     IFB Ser. 08-24, Class SP, 22.726s, 2038 280,753 421,181
     IFB Ser. 05-75, Class GS, 19.794s, 2035 240,379 330,985
     IFB Ser. 05-83, Class QP, 16.999s, 2034 342,675 461,638
     IFB Ser. 13-101, Class HS, IO, 6.348s, 2043 3,429,163 983,004
     IFB Ser. 13-81, Class US, IO, 6.098s, 2043 4,627,483 835,862
     IFB Ser. 13-10, Class KS, IO, 6.048s, 2043 4,303,926 901,630
     IFB Ser. 13-19, Class DS, IO, 6.048s, 2041 9,126,761 1,613,939
     IFB Ser. 13-41, Class SP, IO, 6.048s, 2040 3,176,142 502,212
     Ser. 12-134, Class SA, IO, 5.998s, 2042 6,091,839 1,483,963
     IFB Ser. 13-19, Class SK, IO, 5.998s, 2043 5,587,800 1,303,037
     IFB Ser. 12-128, Class ST, IO, 5.998s, 2042 4,139,516 976,678
     IFB Ser. 13-18, Class SB, IO, 5.998s, 2041 4,095,347 727,334
     IFB Ser. 13-124, Class SB, IO, 5.798s, 2043 4,324,411 1,052,048
     IFB Ser. 411, Class S1, IO, 5.798s, 2042 5,724,444 1,313,989
     IFB Ser. 13-128, Class CS, IO, 5.748s, 2043 7,929,513 1,957,004
     IFB Ser. 13-101, Class CS, IO, 5.748s, 2043 4,919,598 1,241,411
     IFB Ser. 13-102, Class SH, IO, 5.748s, 2043 6,353,530 1,586,349
     Ser. 374, Class 6, IO, 5 1/2s, 2036 610,297 118,312
     Ser. 12-132, Class PI, IO, 5s, 2042 8,290,809 1,632,460
     Ser. 10-13, Class EI, IO, 5s, 2038 120,086 1,935
     Ser. 378, Class 19, IO, 5s, 2035 1,826,250 355,666
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 2,292,899 554,079
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 18,118,695 3,337,464
     Ser. 409, Class 81, IO, 4 1/2s, 2040 8,438,067 1,813,099
     Ser. 409, Class 82, IO, 4 1/2s, 2040 10,365,752 2,238,315
     Ser. 366, Class 22, IO, 4 1/2s, 2035 674,526 48,802
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 3,143,374 408,733
     Ser. 418, Class C24, IO, 4s, 2043 6,793,079 1,499,501
     Ser. 13-41, Class IP, IO, 4s, 2043 6,039,993 1,093,118
     Ser. 13-44, Class PI, IO, 4s, 2043 5,801,713 987,651
     Ser. 13-60, Class IP, IO, 4s, 2042 4,169,997 776,672
     Ser. 12-96, Class PI, IO, 4s, 2041 3,837,575 663,286
     Ser. 406, Class 2, IO, 4s, 2041 3,496,088 652,720
     Ser. 406, Class 1, IO, 4s, 2041 2,443,816 456,260
     Ser. 409, Class C16, IO, 4s, 2040 6,283,416 1,315,325
     Ser. 418, Class C15, IO, 3 1/2s, 2043 14,254,711 3,133,512
     Ser. 12-145, Class TI, IO, 3s, 2042 9,127,102 997,592
     Ser. 13-35, Class IP, IO, 3s, 2042 7,756,991 911,143
     Ser. 13-53, Class JI, IO, 3s, 2041 6,313,627 816,036
     Ser. 13-23, Class PI, IO, 3s, 2041 7,859,041 787,869
     Ser. 03-W10, Class 1, IO, 1.039s, 2043 644,255 16,987
     Ser. 00-T6, IO, 0.719s, 2030 3,148,878 66,914
     Ser. 99-51, Class N, PO, zero %, 2029 35,401 31,861
Government National Mortgage Association
     IFB Ser. 10-163, Class SI, IO, 6.478s, 2037 5,691,440 652,682
     IFB Ser. 11-56, Class MI, IO, 6.293s, 2041 5,507,905 1,182,878
     Ser. 13-116, Class SA, IO, 5.998s, 2043 4,776,168 854,170
     IFB Ser. 13-129, Class SN, IO, 5.993s, 2043 3,676,986 643,546
     IFB Ser. 13-165, Class LS, IO, 5.993s, 2043 3,749,759 699,518
     IFB Ser. 10-20, Class SC, IO, 5.993s, 2040 5,161,148 929,058
     Ser. 13-182, Class LS, IO, 5.983s, 2043 4,042,523 939,257
     IFB Ser. 12-77, Class MS, IO, 5.943s, 2042 3,588,515 891,674
     IFB Ser. 11-128, Class TS, IO, 5.898s, 2041 3,003,449 560,143
     IFB Ser. 13-99, Class AS, IO, 5.893s, 2043 2,944,225 645,757
     IFB Ser. 11-70, Class SM, IO, 5.738s, 2041 5,451,000 1,047,192
     IFB Ser. 11-70, Class SH, IO, 5.738s, 2041 5,599,000 1,116,945
     Ser. 14-122, Class IC, IO, 5s, 2044 5,647,932 1,140,487
     Ser. 14-25, Class MI, IO, 5s, 2043 3,816,992 825,615
     Ser. 13-22, Class IE, IO, 5s, 2043 6,045,750 1,243,869
     Ser. 13-22, Class OI, IO, 5s, 2043 5,652,491 1,265,261
     Ser. 13-3, Class IT, IO, 5s, 2043 5,042,072 1,121,203
     Ser. 13-6, Class IC, IO, 5s, 2043 4,696,847 975,300
     Ser. 12-146, Class IO, IO, 5s, 2042 4,583,717 950,159
     Ser. 13-6, Class CI, IO, 5s, 2042 3,503,944 671,846
     Ser. 13-130, Class IB, IO, 5s, 2040 3,973,393 471,350
     Ser. 13-16, Class IB, IO, 5s, 2040 5,823,225 493,902
     Ser. 11-41, Class BI, IO, 5s, 2040 3,515,022 360,103
     Ser. 10-35, Class UI, IO, 5s, 2040 2,682,394 574,091
     Ser. 10-20, Class UI, IO, 5s, 2040 4,838,469 1,033,304
     Ser. 10-9, Class UI, IO, 5s, 2040 26,474,966 5,830,592
     Ser. 09-121, Class UI, IO, 5s, 2039 10,269,225 2,256,354
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 9,095,338 1,819,805
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,836,905 389,461
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 2,186,371 210,285
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 638,221 104,336
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 9,611,808 2,003,774
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 21,362,555 4,291,065
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 9,643,998 1,967,921
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 5,714,498 1,219,855
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 3,397,401 872,419
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 2,243,378 344,695
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 7,060,293 989,430
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 2,754,902 270,642
     Ser. 14-4, Class IC, IO, 4s, 2044 4,187,979 862,263
     Ser. 13-165, Class IL, IO, 4s, 2043 3,460,450 591,564
     Ser. 12-56, Class IB, IO, 4s, 2042 3,709,998 751,234
     Ser. 12-47, Class CI, IO, 4s, 2042 9,596,620 1,853,527
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 16,714,495 2,247,431
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 5,703,614 902,552
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 7,402,908 1,048,844
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 11,021,320 1,567,893
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 15,045,611 1,989,481
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 7,981,468 1,159,149
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 8,210,978 1,819,064
     Ser. 06-36, Class OD, PO, zero %, 2036 10,918 9,632
138,142,548
Commercial mortgage-backed securities (17.7%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 1,658,000 1,721,254
     FRB Ser. 05-5, Class D, 5.214s, 2045 1,456,000 1,481,480
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 195,377 96,868
     Ser. 07-5, Class XW, IO, 0.527s, 2051 150,530,230 1,382,169
Bear Stearns Commercial Mortgage Securities Trust
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 1,007,881
     Ser. 05-PWR7, Class B, 5.214s, 2041(F) 1,641,000 1,650,352
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.435s, 2039 1,233,000 1,237,340
     FRB Ser. 06-PW11, Class C, 5.435s, 2039 1,554,000 1,544,971
     Ser. 06-PW14, Class XW, IO, 0.638s, 2038 40,557,327 498,044
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.559s, 2047 950,000 999,229
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.779s, 2049 3,592,000 3,744,348
     Ser. 06-C5, Class AJ, 5.482s, 2049 2,069,000 2,086,239
     Ser. 13-GC11, Class D, 4.458s, 2046 1,983,000 1,884,302
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.112s, 2044 2,160,000 2,138,400
     Ser. 07-CD5, Class XS, IO, 0.045s, 2044 55,654,820 251,737
COMM Mortgage Trust FRB Ser. 07-C9, Class F, 5.796s, 2049 1,138,000 1,126,620
COMM Mortgage Trust 144A
     FRB Ser. 13-LC6, Class D, 4.288s, 2046 475,000 446,673
     FRB Ser. 13-LC13, Class E, 3.719s, 2046 1,331,000 1,005,260
     FRB Ser. 07-C9, Class AJFL, 0.842s, 2049 1,142,000 1,082,056
Credit Suisse Commercial Mortgage Trust Ser. 06-C5, Class AX, IO, 0.718s, 2039 46,647,848 560,758
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C5, Class C, 5.1s, 2038 993,000 1,015,726
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 1,173,402 586,701
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.419s, 2044 2,471,000 2,594,342
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1s, 2020 4,241,077 64,846
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 662,264
GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, Class AJ, 5.274s, 2044 1,093,000 1,095,995
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 1,054,000 1,044,904
Greenwich Capital Commercial Funding Corp.
     FRB Ser. 05-GG3, Class E, 5.087s, 2042 1,127,000 1,115,493
     FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,937,000 1,937,848
GS Mortgage Securities Trust
     Ser. 05-GG4, Class B, 4.841s, 2039 782,000 781,726
     Ser. 05-GG4, Class AJ, 4.782s, 2039(F) 2,015,000 2,038,515
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.638s, 2045 1,156,000 1,219,670
     FRB Ser. 11-GC3, Class D, 5.537s, 2044(F) 727,000 785,800
     FRB Ser. 11-GC3, Class E, 5s, 2044 1,347,000 1,284,301
     FRB Ser. 13-GC10, Class D, 4.414s, 2046 1,784,000 1,722,149
     Ser. 05-GG4, Class XC, IO, 0.704s, 2039(F) 104,121,141 292,828
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.152s, 2030 (Cayman Islands) 362,629 344,497
JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 13-C14, Class E, 4.561s, 2046 1,000,000 894,834
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.074s, 2051 3,342,000 3,483,768
     FRB Ser. 06-LDP7, Class B, 5.863s, 2045 1,231,000 1,009,694
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 1,182,000 1,203,654
     Ser. 06-LDP8, Class B, 5.52s, 2045 838,000 841,905
     FRB Ser. 06-LDP6, Class B, 5.501s, 2043 1,841,000 1,841,000
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 573,000 573,246
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 1,965,000 1,970,285
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.174s, 2051 1,675,000 1,703,931
     FRB Ser. 07-CB20, Class C, 6.174s, 2051 1,904,000 1,803,735
     FRB Ser. 11-C3, Class F, 5.567s, 2046 953,000 956,555
     FRB Ser. 12-C8, Class E, 4.667s, 2045 2,337,000 2,318,997
     FRB Ser. 13-C13, Class D, 4.056s, 2046 1,345,000 1,252,801
     FRB Ser. 13-C13, Class E, 3.986s, 2046 1,489,000 1,195,285
     FRB Ser. 13-C10, Class E, 3 1/2s, 2047 1,865,000 1,355,669
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 1,249,000 878,796
     Ser. 07-CB20, Class X1, IO, 0.313s, 2051 100,469,551 831,586
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031(F) 929,635 980,537
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,012,768
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 1,619,000 1,622,675
     Ser. 06-C6, Class E, 5.541s, 2039 1,750,000 1,648,693
     Ser. 06-C6, Class D, 5.502s, 2039 3,004,000 2,905,409
     Ser. 07-C1, Class AJ, 5.484s, 2040 632,000 648,034
     FRB Ser. 06-C6, Class C, 5.482s, 2039 2,276,000 2,236,170
     FRB Ser. 06-C1, Class AJ, 5.276s, 2041 944,000 974,385
     Ser. 04-C8, Class E, 4.986s, 2039 1,467,000 1,470,668
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.371s, 2028 81,847 7
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.283s, 2051 917,000 1,014,385
     FRB Ser. 05-CIP1, Class B, 5.236s, 2038 1,046,000 1,025,080
     Ser. 04-KEY2, Class D, 5.046s, 2039 2,993,000 2,993,000
     Ser. 05-MCP1, Class D, 5.023s, 2043 1,017,000 1,013,054
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.72s, 2037 78,384 2,336
     Ser. 07-C5, Class X, IO, 5.545s, 2049 2,158,475 116,558
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 796,000 798,858
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 893,000 870,523
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 13-C10, Class D, 4.082s, 2046 423,000 382,329
     FRB Ser. 13-C10, Class E, 4.082s, 2046 1,496,000 1,360,732
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,558,170
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,369,000 1,346,562
     FRB Ser. 06-HQ8, Class D, 5.492s, 2044 1,715,000 1,662,487
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 1,290,000 1,301,081
     Ser. 04-IQ8, Class C, 5.3s, 2040 391,854 389,565
Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039 2,204,894 2,088,454
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 376,000 282,000
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,078,858 269,714
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 4.958s, 2049 1,201,000 1,191,400
     Ser. 13-C6, Class D, 4.352s, 2046 1,160,000 1,100,550
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.997s, 2045 3,373,000 3,410,103
     FRB Ser. 06-C25, Class AJ, 5.712s, 2043 1,146,000 1,183,474
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,682,000 1,718,163
     Ser. 03-C9, Class E, 5.289s, 2035 637,493 639,087
     Ser. 07-C34, IO, 0.308s, 2046 27,352,953 222,380
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 03-C8, Class H, 5.745s, 2035 1,711,186 1,591,796
     FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,447,305
     FRB Ser. 05-C17, Class E, 5.346s, 2042 897,000 895,735
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.778s, 2045 1,094,000 962,611
     FRB Ser. 13-LC12, Class D, 4.302s, 2046 1,373,000 1,260,015
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.635s, 2044 491,000 530,280
     FRB Ser. 12-C6, Class E, 5s, 2045 1,243,000 1,224,479
     FRB Ser. 11-C4, Class F, 5s, 2044 1,993,000 1,873,309
     FRB Ser. 12-C7, Class E, 4.846s, 2045 1,018,000 1,020,863
     FRB Ser. 13-C18, Class D, 4.673s, 2046 1,522,000 1,459,391
     FRB Ser. 13-UBS1, Class D, 4.633s, 2046 3,396,000 3,281,249
     FRB Ser. 13-C15, Class D, 4.483s, 2046 1,786,000 1,695,584
     Ser. 14-C19, Class D, 4.234s, 2047 1,227,000 1,130,182
     Ser. 13-C12, Class E, 3 1/2s, 2048 1,628,000 1,256,501
130,718,018
Residential mortgage-backed securities (non-agency) (9.0%)
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 9A4, 7.46s, 2036 650,000 657,475
     FRB Ser. 12-RR10, Class 9A2, 2.665s, 2035 2,320,000 2,163,632
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 6.345s, 2036 1,350,000 1,285,875
     FRB Ser. 12-RR12, Class 4A7, 2.782s, 2036 1,250,000 1,159,375
     FRB Ser. 09-RR11, Class 2A2, 2.41s, 2035 1,970,000 1,792,700
     FRB Ser. 14-RR2, Class 3A2, 1.078s, 2046 1,200,000 805,500
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-12, Class 12A1, 2.559s, 2036 1,560,658 1,388,380
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.03s, 2034 79,080 13,032
Citigroup Mortgage Loan Trust, Inc. 144A FRB Ser. 12-4, Class 3A2, 2.53s, 2036 1,678,193 1,426,464
Countrywide Alternative Loan Trust
     Ser. 06-26CB, Class A8, 6 1/4s, 2036 882,450 758,907
     Ser. 06-11CB, Class 1A3, 6s, 2036 1,520,385 1,299,929
     FRB Ser. 05-76, Class 2A1, 1.115s, 2036 940,006 829,556
     FRB Ser. 05-38, Class A3, 0.502s, 2035 2,956,429 2,564,702
     FRB Ser. 05-59, Class 1A1, 0.487s, 2035 1,316,282 1,066,188
     FRB Ser. 07-OA10, Class 2A1, 0.402s, 2047 844,038 696,331
Countrywide Asset Backed Certificates FRB Ser. 06-4, Class 2A3, 0.442s, 2036 850,000 718,023
Countrywide Home Loans FRB Ser. 06-OA5, Class 1A1, 0.352s, 2046 932,576 778,701
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, Class 1A4, 0.552s, 2037 1,200,000 1,026,000
Credit Suisse First Boston Mortgage Securities Corp. FRB Ser. 03-AR30, Class CB1, 2.49s, 2034 947,572 855,682
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 746,898 1,224,085
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 2,002,000 2,551,456
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 $4,479 4,470
Morgan Stanley Resecuritization Trust 144A Ser. 13-R7, Class 9B, 5 1/2s, 2046 2,000,000 1,980,000
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.682s, 2035 880,752 767,135
     FRB Ser. 05-3, Class A2, 0.502s, 2035 1,036,050 929,855
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.542s, 2035 818,098 744,470
Residential Accredit Loans, Inc.
     FRB Ser. 06-QO7, Class 2A1, 0.965s, 2046(F) 2,843,514 1,987,048
     FRB Ser. 06-QO5, Class 2A1, 0.342s, 2046 2,357,945 1,827,407
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.185s, 2046 4,715,477 4,220,352
     FRB Ser. 06-AR3, Class A1B, 1.115s, 2046 2,238,070 1,819,551
     FRB Ser. 05-AR19, Class A1C3, 0.652s, 2045 5,104,113 4,491,619
     FRB Ser. 05-AR13, Class A1C3, 0.642s, 2045 8,198,476 7,214,659
     FRB Ser. 05-AR8, Class 2AC2, 0.612s, 2045 2,450,765 2,202,012
     FRB Ser. 05-AR11, Class A1B2, 0.602s, 2045 1,445,070 1,271,661
     FRB Ser. 05-AR13, Class A1B2, 0.582s, 2045 1,743,645 1,551,844
     FRB Ser. 05-AR17, Class A1B2, 0.562s, 2045 1,574,567 1,362,000
     FRB Ser. 05-AR15, Class A1B2, 0.562s, 2045 2,773,377 2,447,505
     FRB Ser. 05-AR19, Class A1C4, 0.552s, 2045 1,523,762 1,333,292
     FRB Ser. 05-AR11, Class A1B3, 0.552s, 2045 3,411,082 2,993,224
     FRB Ser. 05-AR8, Class 2AC3, 0.542s, 2045 852,458 760,819
     FRB Ser. 05-AR6, Class 2A1C, 0.492s, 2045 1,107,007 990,772
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.382s, 2047 1,250,000 924,956
66,886,644
Total mortgage-backed securities (cost $309,213,566) $335,747,210

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (37.6%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.1%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $701,608 $793,787
793,787
U.S. Government Agency Mortgage Obligations (37.5%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4 1/2s, May 1, 2044 9,928,260 10,971,085
     4s, November 1, 2041 769,127 823,326
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, April 1, 2016 1,078 1,108
     5 1/2s, TBA, November 1, 2044 5,000,000 5,582,031
     4 1/2s, with due dates from January 1, 2044 to February 1, 2044 2,245,047 2,471,831
     4 1/2s, TBA, December 1, 2044 47,000,000 50,848,125
     4 1/2s, TBA, November 1, 2044 47,000,000 50,954,608
     4s, TBA, January 1, 2045 61,000,000 64,414,570
     4s, TBA, November 1, 2044 61,000,000 64,769,611
     3 1/2s, TBA, November 1, 2044 13,000,000 13,440,781
     3s, TBA, November 1, 2044 13,000,000 13,004,063
277,281,139
Total U.S. government and agency mortgage obligations (cost $277,016,640) $278,074,926

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Bonds 2.750%, November 15, 2042(i) $163,000 $155,386
U.S. Treasury Notes
     2.000%, January 31, 2016(i) 332,000 341,030
     2.250%, July 31, 2018(i) 107,000 111,372
     0.875%, September 15, 2016(i) 94,000 94,817
Total U.S. treasury Obligations (cost $702,605) $702,605

CORPORATE BONDS AND NOTES (33.1%)(a)
Principal amount Value
Basic materials (2.9%)
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 $85,000 $93,063
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 325,000 343,108
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) 681,000 841,035
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) 365,000 389,638
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 625,000 654,688
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 340,000 341,700
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 466,550
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 1,120,000 1,142,064
Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico) 210,000 234,570
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 420,000 449,925
Cemex SAB de CV 144A company guaranty sr. notes 5.7s, 2025 (Mexico) 250,000 245,000
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 486,000 477,495
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 450,000 471,938
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 550,000 563,750
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 183,000 180,767
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 463,000 451,425
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 118,000 115,788
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 238,000 246,925
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 681,000 725,265
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 357,000 415,905
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 318,000 318,000
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 351,000 347,051
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 330,000 346,500
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 400,000 420,000
Huntsman International, LLC company guaranty sr. unsec. notes 5 1/8s, 2021 EUR 100,000 130,820
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 $761,000 829,490
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 585,000 589,388
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 100,000 100,625
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 100,000 106,875
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 615,000 619,613
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 5 7/8s, 2019 (Luxembourg) 230,000 229,713
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 615,000 682,650
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 261,000 264,915
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 526,000 562,820
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 346,000 3
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 346,000 299,290
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 278,000 271,745
NOVA Chemicals Corp. 144A sr. unsec. notes 5s, 2025 (Canada) 95,000 98,088
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 653,000 664,428
PQ Corp. 144A sr. notes 8 3/4s, 2018 315,000 329,175
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 225,000 233,438
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 547,000 575,718
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 326,000 321,069
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 30,000 33,975
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 502,000 524,590
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 297,000 326,700
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 320,000 329,600
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 200,000 207,020
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 118,000 136,290
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 75,000 81,563
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 95,000 102,125
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 45,000 47,250
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 110,000 116,325
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 70,000 72,450
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 279,000 306,900
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 142,000 148,745
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 469,000 490,691
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 285,000 293,550
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 125,000 122,500
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 391,000 412,016
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 295,000 307,355
21,251,658
Capital goods (2.0%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,065,000 1,115,588
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 974,000 1,090,880
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 280,000 280,000
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 415,000 409,294
Ardagh Finance Holdings SA 144A sr. unsec. notes 8 5/8s, 2019 (Luxembourg)(PIK) 245,000 250,513
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 524,000 514,830
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 240,000 240,900
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 127,000 141,764
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 553,000 609,683
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 438,000 430,335
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 145,000 160,225
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 15,000 2,663
Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 818,000 793,460
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 194,426
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) $660,000 922,849
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 605,000 623,150
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 587,000 560,585
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 360,000 392,850
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 744,000 758,880
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 624,000 655,200
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 135,000 177,648
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 $330,000 353,513
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 695,000 722,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 210,000 228,638
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 185,000 193,325
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 845,000 908,375
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 100,000 105,250
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 662,000 688,480
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 105,000 113,400
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 95,000 97,850
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 570,000 570,000
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 192,000 202,080
14,509,434
Communication services (4.4%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 1,000,000 1,045,100
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 533,360
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 458,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 50,130
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 296,000 312,280
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 1,331,000 1,344,310
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 820,000 818,975
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 139,000 144,560
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 3/4s, 2024 380,000 382,138
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 1/2s, 2022 320,000 323,200
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 393,000 436,230
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 100,700
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 697,000 713,554
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 205,000 205,769
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 170,000 189,125
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 300,000 300,750
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 260,000 271,700
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 887,000 908,066
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 251,000 278,610
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 801,000 821,025
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 384,000 435,360
Frontier Communications Corp. sr. unsec. notes 6 7/8s, 2025 40,000 40,500
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 160,000 165,300
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 123,338
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 332,000 359,390
Inmarsat Finance PLC 144A company guaranty sr. unsec. notes 4 7/8s, 2022 (United Kingdom) 175,000 175,000
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 190,000 199,975
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 349,648
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 278,000 295,375
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 1,317,000 1,376,265
Level 3 Escrow II, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 475,000 482,125
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 332,000 365,200
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 44,000 46,970
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 150,000 157,313
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default)(NON) 145,000 92,800
Numericable Group SA 144A sr. bonds 6 1/4s, 2024 (France) 450,000 462,375
Numericable Group SA 144A sr. bonds 5 5/8s, 2024 (France) EUR 110,000 142,327
Numericable Group SA 144A sr. notes 6s, 2022 (France) $1,075,000 1,101,875
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 371,000 391,405
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 413,000 425,390
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 450,274
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 125,000 130,625
Sprint Capital Corp. company guaranty 6 7/8s, 2028 745,000 724,513
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 695,000 784,481
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 238,000 252,280
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 959,000 1,128,024
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 616,000 666,820
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 465,000 491,738
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 172,372
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 130,353
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 $855,000 902,025
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 175,000 182,438
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 320,000 328,800
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 480,000 501,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 455,000 473,200
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 206,000 212,180
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 680,000 949,704
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 200,000 271,610
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) $244,000 331,371
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 305,000 402,491
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 535,000 714,496
Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 893,970
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 677,000 911,434
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $662,000 681,860
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 535,000 894,815
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 $835,000 916,413
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) 225,000 219,938
Wind Acquisition Finance SA 144A sr. bonds 4s, 2020 (Luxembourg) EUR 290,000 357,054
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 $254,000 271,780
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 205,000 206,538
32,380,110
Consumer cyclicals (5.4%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 778,000 789,670
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 196,000 217,560
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 255,000 260,100
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 471,000 535,183
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 512,000 559,360
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 430,000 431,075
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 132,000 114,840
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 535,000 569,775
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 225,000 239,130
Building Materials Corp. of America 144A company guaranty sr. notes 7s, 2020 140,000 147,280
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 360,000 386,100
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 680,000 681,700
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 137,000 102,750
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2025 315,000 330,750
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 459,000 478,508
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 236,175
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 100,000 100,000
Ceridian, LLC 144A sr. notes 8 7/8s, 2019 49,000 54,390
Ceridian, LLC/Comdata, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2017 193,000 193,000
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 705,000 787,838
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 165,000 165,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 140,000 137,900
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 83,000 89,018
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 298,000 315,880
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 865,000 895,275
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 407,000 417,175
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 979,000 1,027,950
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 465,000 495,225
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 414,000 430,560
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 359,000 372,463
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 9,000 9,360
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 493,000 496,698
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 313,000 300,871
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 400,000 416,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 145,000 148,988
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 616,000 644,490
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 555,659
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 $207,000 159,390
Grupo Televisa SAB sr. unsec. bonds 6 5/8s, 2040 (Mexico) 195,000 233,977
Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico) 69,000 78,050
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 6,600,000 422,684
GTECH SpA jr. sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 281,000 368,097
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $352,000 372,240
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 245,000 247,144
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 615,000 615,000
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 741,000 748,873
Interactive Data Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2019 98,000 96,653
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 245,000 251,125
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 295,000 315,650
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 821,000 862,050
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 535,000 513,600
Jo-Ann Stores, LLC 144A sr. unsec. notes 9 3/4s, 2019(PIK) 175,000 161,000
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 695,000 787,088
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 190,000 204,250
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 137,150
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 187,000 193,545
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 570,000 605,625
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 580,000 571,300
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 200,000 203,626
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 256,000 267,200
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 574,000 614,180
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 640,000 648,000
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 95,000 95,713
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 410,000 449,975
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 378,000 387,450
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 480,000 526,800
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 1,206,979 1,324,659
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 260,000 262,600
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 301,000 322,070
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 220,000 234,671
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 200,000 207,500
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 598,000 618,930
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 666,000 700,965
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 418,000 449,350
Owens Corning company guaranty sr. unsec. notes 9s, 2019 211,000 257,008
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 513,000 489,915
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 439,000 456,560
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 235,000 243,813
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 265,000 304,419
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 388,000 379,270
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 80,000 78,600
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 90,000 96,300
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 555,000 591,075
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 445,000 478,375
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 122,000 113,460
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 115,000 92,000
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 227,000 236,648
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 57,000 57,143
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 64,000 66,240
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 366,000 361,425
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 333,000 347,153
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 505,000 534,038
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 52,750
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 770,000 773,850
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 25,000 26,813
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 31,800
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 150,000 158,625
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 562,000 590,100
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 85,000 81,388
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 165,000 163,350
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 747,000 754,470
Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom) GBP 449,000 738,018
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $800,000 880,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 115,000 115,719
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 204,000 220,830
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 455,000 478,319
39,641,350
Consumer staples (1.8%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 310,000 323,950
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 828,000 894,240
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 400,000 402,000
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 795,000 805,931
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 584,000 614,660
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 195,000 187,200
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 886,000 998,965
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 115,288
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 585,000 585,731
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 223,500
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 40,000 40,900
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 35,000 35,525
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 241,000 236,180
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 285,000 280,725
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 925,000 839,438
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 454,000 775,810
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $310,000 316,975
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 804,000 811,879
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 150,000 160,500
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 866,700
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 135,000 140,400
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 225,000 240,469
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 320,000 308,800
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 540,000 540,000
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 535,000 591,068
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 135,000
Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018 176,000 181,280
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 481,000 533,910
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 330,000 346,088
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 330,000 355,163
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 195,000 206,700
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 454,000 477,835
13,572,810
Energy (6.0%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 309,000 326,768
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 369,750
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 574,000 599,830
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 355,000 168,625
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 300,000 300,060
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 324,000 328,860
Athlon Holdings LP/Athlon Finance Corp. company guaranty sr. unsec. notes 7 3/8s, 2021 484,000 529,980
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 241,000 258,774
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 440,000 424,600
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 260,000 253,500
California Resources Corp. 144A company guaranty sr. unsec. notes 6s, 2024 299,000 304,980
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020 245,000 248,675
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 289,000 300,560
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 342,875
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 5,025
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 145,000 195,756
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 $115,000 125,925
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 216,000 220,914
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 555,556
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 448,000 474,320
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 215,220
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 515,000 310,860
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $101,000 64,640
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 205,000 208,075
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 77,515
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 405,000 399,938
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 302,000 266,515
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 146,000 140,890
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 355,000 340,800
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 245,000 231,525
Gazprom OAO Via Gaz Capital SA sr. unsec. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 780,000 838,500
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 612,375
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,138,592
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 237,000 206,190
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 719,000 733,380
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 200,000 204,000
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 390,000 325,406
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 1,002,000 821,640
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 340,000 359,550
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 100,000 98,500
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 160,000 153,600
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 275,000 244,750
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 125,000 134,375
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 493,000 502,860
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 728,000 669,760
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 353,000 322,995
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 407,000 380,545
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 605,000 556,600
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 184,000 10
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,123,837
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 123,000 121,770
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 242,000 239,580
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 364,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 194,850
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 196,000 204,330
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 324,000 336,960
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 460,000 393,300
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 211,000 174,075
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 200,000 152,500
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 678,000 518,670
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 275,400
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 400,000 389,000
Petrobras International Finance Co. SA (PIFCO) company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,098,691
Petrobras International Finance Co. SA (PIFCO) company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 140,000 146,809
Petrobras International Finance Co. SA (PIFCO) company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 982,906
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 4,035,000 2,698,406
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 2,067,000 981,825
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 323,000 237,405
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,022,000 912,135
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 6,688,000 5,065,491
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 2,345,000 1,146,705
Petroleos de Venezuela SA 144A company guaranty sr. unsec. unsub. notes 9s, 2021 (Venezuela) 390,000 247,163
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 401,200
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,749,456
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 211,000 230,771
Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 181,000 204,700
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 135,000 134,663
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 300,000 288,000
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 255,000 247,350
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 220,000 236,500
Sabine Pass Liquefaction, LLC 144A sr. notes 5 3/4s, 2024 210,000 217,088
Sabine Pass Liquefaction, LLC 144A sr. notes 5 5/8s, 2023 210,000 217,350
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 175,000 185,063
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 950,000 703,000
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 365,000 385,440
Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022 45,000 42,300
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 385,000 380,188
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 144,000 149,040
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 245,000 253,269
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 125,000 107,129
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $125,000 120,000
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 105,000 92,400
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 6 1/4s, 2022 45,000 46,575
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 5 1/2s, 2019 30,000 30,825
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 70,000 61,250
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 582,000 580,545
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 450,000 474,750
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 750,000 783,750
44,223,349
Financials (4.9%)
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 618,000 786,405
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,570,800
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 163,000 221,273
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 900,000 1,192,370
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $1,455,000 1,492,668
Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, 2018 (Costa Rica) 250,000 255,000
Bank of America Corp. jr. unsec. sub. FRN notes Ser. Z, 6 1/2s, perpetual maturity 185,000 190,088
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 175,000 179,156
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 194,820
CIT Group, Inc. sr. unsec. notes 5s, 2023 255,000 265,838
CIT Group, Inc. sr. unsec. notes 5s, 2022 315,000 329,569
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 331,313
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 155,000 155,969
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 514,650
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 405,413
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 262,000 190,605
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 372,000 385,020
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 373,000 364,608
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 583,750
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 675,983
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 706,000 752,773
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 244,000 208,620
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 475,000 495,188
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Jersey) EUR 486,000 633,325
Hub Holdings LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) $161,000 159,793
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 823,000 864,150
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 440,000 452,100
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 20,000 21,750
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 265,000 282,225
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 25,000 24,875
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 804,954
Lloyds Bank PLC jr. unsec. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 175,000 462,807
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, perpetual maturity (United Kingdom) $320,000 344,800
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 189,390
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 505,000 541,613
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 185,000 182,225
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 464,070
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 35,000 37,100
NRG Yield Operating LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 200,000 208,000
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 298,000 280,120
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 535,000 563,756
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 120,000 115,650
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 520,000 517,400
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 600,000 633,000
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, perpetual maturity (United Kingdom) EUR 700,000 921,065
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) $235,000 238,096
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 550,000 572,556
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 500,000 500,000
Societe Generale SA 144A jr. unsec. sub. FRB bonds 7 7/8s, perpetual maturity (France) 405,000 405,000
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 1,385,000 1,433,475
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 368,194
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 158,000 154,050
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 680,000 693,600
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 182,000 229,426
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 561,211
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 376,125
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 607,000 614,588
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes 5.942s, 2023 (Russia) 200,000 188,530
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 468,000 462,735
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, perpetual maturity (Russia) 1,650,000 1,511,813
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 1,065,000 1,075,650
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 3,196,000 3,259,920
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,406,000 2,430,060
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 800,000 761,600
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 315,000 296,100
36,578,776
Health care (2.7%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 455,000 471,437
Acadia Healthcare Co., Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 195,000 193,538
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 325,000 341,250
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 466,670
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) $110,000 111,856
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 406,000 402,955
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 200,000 202,250
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 70,000 73,150
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 145,000 150,800
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 85,000 91,588
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 515,000 526,008
ConvaTec Healthcare D SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 208,857
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 $563,000 526,405
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 754,000 1,260,343
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 $400,000 408,000
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 538,000 543,380
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 295,000 288,363
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 370,000 396,363
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 4 3/4s, 2024 145,000 145,453
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 130,000
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 323,000 330,268
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 233,000 233,583
HCA, Inc. sr. notes 6 1/2s, 2020 1,898,000 2,116,270
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 148,320
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 740,000 802,808
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 386,000 407,230
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 202,000 209,575
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 505,000 516,994
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 420,000 450,450
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 562,000 571,723
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 911,000 1,002,100
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 295,698
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 310,000 319,157
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 540,000 573,750
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 135,000 146,138
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 830,000 854,900
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 644,000 667,055
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 396,825
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 115,000 116,725
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 115,000 115,288
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 307,000 305,081
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 833,000 904,846
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 393,000 422,475
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 80,000 81,800
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 70,000 73,325
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 175,950
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 71,838
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 90,000 89,100
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 3/4s, 2018 318,000 338,273
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 435,000 447,963
20,124,174
Technology (1.0%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 180,000 187,650
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 260,000 268,450
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 252,000 220,815
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 1,085,000 1,066,013
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 174,000 210,105
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 146,000 168,265
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 377,000 442,033
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 903,000 979,755
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 250,000 256,250
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 125,000 135,938
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 430,000 453,650
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 433,000 454,650
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 870,000 880,875
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 265,000 274,275
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 286,000 300,300
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 380,000 523,431
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 515,000 675,085
7,497,540
Transportation (0.2%)
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $372,000 388,740
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 634,500 678,915
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 548,000 556,220
1,623,875
Utilities and power (1.8%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,293,900
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 353,690
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 160,000 160,000
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 790,000 799,875
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 110,000 118,525
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 85,000 91,163
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 615,000 694,844
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 5/8s, 2024 30,000 31,800
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 3/8s, 2022 40,000 42,300
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 6 3/4s, 2019 573,000 593,055
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019 940,000 1,175
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 577,000 741,107
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 405,000 481,950
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 346,000 397,900
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 208,000 217,360
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 120,000 126,600
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 644,000 705,180
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 150,000 150,413
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 441,000 457,538
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 109,463
Kinder Morgan, Inc./DE company guaranty sr. notes 7s, 2017 160,000 178,000
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 100,000 106,250
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,525,000 1,774,368
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,491,875
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 396,000 421,740
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 289,800
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 195,000 198,900
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 230,000 228,275
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 457,000 463,855
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 205,000 164,513
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 364,000 467,984
13,353,398
Total corporate bonds and notes (cost $242,831,260) $244,756,474

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.9%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) (In default)(NON) $1,500,181 $1,245,150
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 2,540,000 2,235,200
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 9,081,000 8,558,843
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) 6,348,428 4,948,600
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 7,048,045 6,061,319
Bahamas (Commonwealth of) 144A sr. unsec. notes 5 3/4s, 2024 (Bahamas) 200,000 211,780
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) (units) BRL 3,500 1,399,069
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) $525,000 500,063
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 100,000 91,000
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 347,500,000 633,516
Costa Rica (Republic of) 144A unsec. notes 7s, 2044 (Costa Rica) $250,000 258,750
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) 375,000 404,063
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 265,000 283,550
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 620,000 681,225
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 425,000 348,500
Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) 1,000,000 1,065,000
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 468,000 494,536
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 1,677,959 1,686,349
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 4,943,000 5,658,768
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 3,622,000 4,159,683
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 1,040,472 695,679
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 134,941 90,977
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 951,344 643,668
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 866,021 583,867
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 584,559 401,249
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 542,459 373,398
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 591,295 413,468
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 400,059 283,695
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 2,313,586 1,680,243
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 461,295 343,074
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 2,024,624 1,533,204
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 760,042 592,422
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 2,431,993 1,939,282
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 5,529,811 4,525,152
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 740,156 649,055
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 2,474,365 2,198,432
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $1,355,000 1,297,616
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 1,823,035
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 22,650,000 525,328
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $1,275,000 1,131,563
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 400,000 425,500
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 43,885 49,919
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 200,000 204,000
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 465,000 460,931
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 3,974,344 4,520,816
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 400,000 399,984
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 300,000 304,125
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 171,218 172,882
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) 440,000 444,008
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 3,785,000 4,261,304
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 3,240,000 2,936,250
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,120,000 1,185,895
Venezuela (Bolivarian Republic of) sr. unsec. bonds 9 1/4s, 2028 (Venezuela) 100,000 63,500
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 370,500
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9 1/4s, 2027 (Venezuela) 605,000 393,716
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 1,860,777
Total foreign government and agency bonds and notes (cost $83,753,954) $80,703,478

SENIOR LOANS (2.1%)(a)(c)
Principal amount Value
Basic materials (0.1%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 $239,400 $237,006
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 122,000 118,340
WR Grace & Co. bank term loan FRN 3s, 2021 249,274 246,843
WR Grace & Co. bank term loan FRN Ser. DD, 1s, 2021(U) 89,474 88,601
690,790
Capital goods (—%)
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 330,000 325,816
325,816
Communication services (0.2%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021 329,000 333,627
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 339,778 339,618
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 175,000 174,125
Level 3 Financing, Inc. bank term loan FRN Ser. B5, 4 1/2s, 2022 305,000 305,858
1,153,228
Consumer cyclicals (1.0%)
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.985s, 2017 1,955,958 1,748,137
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 164,588 151,955
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 598,500 563,993
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021 393,163 391,197
Delta 2 (Lux) Sarl bank term loan FRN 4 3/4s, 2021 (Luxembourg) 225,000 222,680
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 490,078 462,207
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.904s, 2019 743,000 700,835
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 914,538 892,246
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 256,972 257,294
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 596,409 588,208
ROC Finance, LLC bank term loan FRN 5s, 2019 297,744 283,602
Travelport Finance Sarl bank term loan FRN Ser. B, 6s, 2021 (Luxembourg) 401,000 400,499
Univision Communications, Inc. bank term loan FRN 4s, 2020 387,050 382,938
Visteon Corp. bank term loan FRN Ser. DD, 3 1/2s, 2021 224,438 221,632
7,267,423
Consumer staples (0.2%)
BC ULC bank term loan FRN Ser. B, 4 1/2s, 2021 (Canada) 220,000 219,694
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 340,290 328,948
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 340,688 338,274
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 199,500 196,632
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 397,261 391,965
1,475,513
Health care (0.2%)
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 322,563 322,764
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.154s, 2021 527,350 519,919
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 184,538 182,508
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 199,693 196,532
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada) 284,288 276,825
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020 238,821 236,831
1,735,379
Technology (0.2%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.652s, 2017 238,595 230,423
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 485,711 481,157
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 421,805 422,188
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 678,150 676,737
1,810,505
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) 480,000 474,000
474,000
Utilities and power (0.1%)
Energy Future Intermediate Holding Co., LLC bank term loan FRN 4 1/4s, 2016 170,000 169,522
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.647s, 2017 1,053,286 765,826
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.647s, 2017 10,810 7,860
943,208
Total senior loans (cost $16,416,327) $15,875,862

PURCHASED SWAP OPTIONS OUTSTANDING (0.2%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.7175/3 month USD-LIBOR-BBA/Nov-24 Nov-14/$2.7175 $51,060,000 $1,069,707
Credit Suisse International
     (2.52875)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.52875 83,692,000 424,318
     2.27125/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.27125 83,692,000 56,911
Total purchased swap options outstanding (cost $1,192,268) $1,550,936

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/$103.13 $25,000,000 $241,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/102.94 25,000,000 217,250
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/102.63 25,000,000 180,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/102.38 25,000,000 154,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Dec-14/101.69 21,000,000 21,630
Total purchased options outstanding (cost $1,066,406) $815,380

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 815 $816,223
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 16,265 434,763
M/I Homes, Inc. Ser. A, $2.438 pfd. 8,790 224,145
Total preferred stocks (cost $1,103,872) $1,475,131

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $230,000 $300,006
Sirius XM Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 195,000 363,675
Total convertible bonds and notes (cost $613,807) $663,681

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
United Technologies Corp. $3.75 cv. pfd. 7,100 $415,492
Total convertible preferred stocks (cost $381,995) $415,492

COMMON STOCKS (0.0%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 22,950 $918
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 22,950 918
Tribune Co. Class 1C(F) 92,963 23,241
Total common stocks (cost $149,872) $25,077

SHORT-TERM INVESTMENTS (6.5%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.09%(AFF) Shares 18,843,172 $18,843,172
SSgA Prime Money Market Fund Class N 0.00%(P) Shares 140,000 140,000
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 23, 2015(SEGSF)(SEGCCS) $5,554,000 5,550,768
U.S. Treasury Bills with an effective yield of 0.03%, December 18, 2014(SEGSF)(SEGCCS) 2,281,000 2,280,896
U.S. Treasury Bills with effective yields ranging from 0.03% to 0.05%, December 11, 2014(SEGSF)(SEGCCS) 994,000 993,956
U.S. Treasury Bills with an effective yield of 0.03%, December 4, 2014(SEGSF) 246,000 245,993
U.S. Treasury Bills with an effective yield of 0.05%, November 20, 2014(SEG)(SEGSF)(SEGCCS) 18,415,000 18,414,538
U.S. Treasury Bills with an effective yield of 0.05%, November 13, 2014(SEGSF) 331,000 330,995
U.S. Treasury Bills with an effective yield of 0.01%, November 6, 2014(SEGSF) 1,174,000 1,173,997
Total short-term investments (cost $47,973,329) $47,974,315

TOTAL INVESTMENTS
Total investments (cost $982,415,901)(b) $1,008,780,567













FORWARD CURRENCY CONTRACTS at 10/31/14 (aggregate face value $461,192,428) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 12/17/14 $1,884,921 $1,923,064 $(38,143)
British Pound Sell 12/17/14 1,884,921 1,923,226 38,305
Chilean Peso Sell 1/21/15 762,474 734,300 (28,174)
Euro Sell 12/17/14 12,058,127 12,712,252 654,125
Japanese Yen Buy 11/19/14 1,776,925 1,864,637 (87,712)
Japanese Yen Sell 11/19/14 1,776,925 1,846,167 69,242
Singapore Dollar Buy 11/19/14 294,364 303,096 (8,732)
Singapore Dollar Sell 11/19/14 294,364 303,045 8,681
Swiss Franc Buy 12/17/14 3,628,497 3,699,401 (70,904)
Swiss Franc Sell 12/17/14 3,628,497 3,800,531 172,034
Barclays Bank PLC
Australian Dollar Buy 1/21/15 5,533,734 5,525,487 8,247
Australian Dollar Sell 1/21/15 5,533,734 5,514,951 (18,783)
British Pound Sell 12/17/14 160,555 68,560 (91,995)
Canadian Dollar Sell 1/21/15 3,720,427 3,706,588 (13,839)
Chinese Yuan (Offshore) Buy 11/19/14 3,889,961 3,839,388 50,573
Czech Koruna Buy 12/17/14 1,861,278 1,914,889 (53,611)
Czech Koruna Sell 12/17/14 1,861,278 1,960,874 99,596
Euro Sell 12/17/14 12,820,378 13,365,295 544,917
Japanese Yen Sell 11/19/14 3,574,658 3,677,231 102,573
Mexican Peso Sell 1/21/15 101,233 101,554 321
New Zealand Dollar Buy 1/21/15 87,571 104,533 (16,962)
Norwegian Krone Sell 12/17/14 786,486 647,698 (138,788)
Polish Zloty Buy 12/17/14 788,172 797,122 (8,950)
Singapore Dollar Buy 11/19/14 297,788 306,674 (8,886)
Singapore Dollar Sell 11/19/14 297,788 306,566 8,778
Swedish Krona Buy 12/17/14 1,096,868 1,015,783 81,085
Swiss Franc Buy 12/17/14 3,714,172 3,769,297 (55,125)
Swiss Franc Sell 12/17/14 3,714,172 3,888,650 174,478
Turkish Lira Buy 12/17/14 3,816,483 3,728,201 88,282
Turkish Lira Sell 12/17/14 3,816,483 3,770,720 (45,763)
Citibank, N.A.
Australian Dollar Sell 1/21/15 2,284,033 2,308,164 24,131
Brazilian Real Sell 1/5/15 608,901 469,091 (139,810)
Canadian Dollar Sell 1/21/15 1,887,222 1,902,317 15,095
Chilean Peso Buy 1/21/15 18,393 17,735 658
Chilean Peso Sell 1/21/15 18,393 18,377 (16)
Euro Sell 12/17/14 11,684,836 12,342,068 657,232
Japanese Yen Sell 11/19/14 3,574,660 3,792,906 218,246
New Zealand Dollar Buy 1/21/15 4,031,290 4,093,446 (62,156)
Norwegian Krone Sell 12/17/14 1,767,263 1,661,652 (105,611)
Swiss Franc Buy 12/17/14 3,623,818 3,695,147 (71,329)
Swiss Franc Sell 12/17/14 3,623,818 3,795,612 171,794
Credit Suisse International
Australian Dollar Buy 1/21/15 7,533,597 7,529,232 4,365
Australian Dollar Sell 1/21/15 7,533,597 7,488,760 (44,837)
British Pound Sell 12/17/14 429,052 501,703 72,651
Canadian Dollar Sell 1/21/15 3,912,054 3,909,792 (2,262)
Euro Sell 12/17/14 9,719,856 10,262,357 542,501
Indian Rupee Buy 11/19/14 3,741,724 3,742,322 (598)
Japanese Yen Buy 11/19/14 696,645 599,170 97,475
New Zealand Dollar Buy 1/21/15 3,677,602 3,708,805 (31,203)
Norwegian Krone Sell 12/17/14 1,430,971 1,399,358 (31,613)
Singapore Dollar Buy 11/19/14 57,596 59,297 (1,701)
Singapore Dollar Sell 11/19/14 57,596 59,314 1,718
Swedish Krona Buy 12/17/14 5,578,957 5,797,610 (218,653)
Swedish Krona Sell 12/17/14 5,578,957 5,836,029 257,072
Swiss Franc Buy 12/17/14 3,635,255 3,705,890 (70,635)
Swiss Franc Sell 12/17/14 3,635,255 3,807,901 172,646
Turkish Lira Buy 12/17/14 3,814,344 3,738,719 75,625
Turkish Lira Sell 12/17/14 3,814,344 3,769,706 (44,638)
Deutsche Bank AG
Australian Dollar Sell 1/21/15 2,284,033 2,262,180 (21,853)
Canadian Dollar Sell 1/21/15 1,755,722 1,769,336 13,614
Euro Sell 12/17/14 10,528,737 10,780,659 251,922
Japanese Yen Buy 11/19/14 746,603 775,697 (29,094)
Japanese Yen Sell 11/19/14 746,603 816,755 70,152
New Zealand Dollar Buy 1/21/15 3,621,516 3,666,192 (44,676)
Norwegian Krone Sell 12/17/14 3,530,913 3,623,967 93,054
Polish Zloty Buy 12/17/14 1,054,580 1,108,969 (54,389)
Swedish Krona Buy 12/17/14 562,377 491,584 70,793
Swiss Franc Sell 12/17/14 688,934 829,394 140,460
Goldman Sachs International
Australian Dollar Sell 1/21/15 2,284,033 2,281,383 (2,650)
Canadian Dollar Sell 1/21/15 3,763,729 3,804,347 40,618
Euro Sell 12/17/14 11,753,152 12,462,842 709,690
Japanese Yen Sell 11/19/14 469,902 505,223 35,321
New Zealand Dollar Buy 1/21/15 1,792,501 1,802,866 (10,365)
Norwegian Krone Sell 12/17/14 1,795,924 1,770,588 (25,336)
Swedish Krona Buy 12/17/14 988,667 895,462 93,205
HSBC Bank USA, National Association
Australian Dollar Buy 1/21/15 2,307,662 2,256,315 51,347
British Pound Buy 12/17/14 1,864,451 1,867,900 (3,449)
British Pound Sell 12/17/14 1,864,451 1,881,108 16,657
Canadian Dollar Sell 1/21/15 53,663 46,029 (7,634)
Euro Sell 12/17/14 5,522,526 5,936,167 413,641
Japanese Yen Sell 11/19/14 3,574,659 3,582,062 7,403
Norwegian Krone Sell 12/17/14 1,776,752 1,821,945 45,193
Swedish Krona Buy 12/17/14 2,893,623 2,859,604 34,019
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/21/15 721,932 706,794 15,138
Brazilian Real Buy 1/5/15 7,331,284 7,403,105 (71,821)
Brazilian Real Sell 1/5/15 7,331,284 7,216,422 (114,862)
British Pound Buy 12/17/14 745,524 726,184 19,340
Canadian Dollar Sell 1/21/15 2,556,499 2,577,637 21,138
Czech Koruna Buy 12/17/14 1,861,282 1,914,752 (53,470)
Czech Koruna Sell 12/17/14 1,861,282 1,961,274 99,992
Euro Sell 12/17/14 10,541,147 11,062,293 521,146
Hungarian Forint Buy 12/17/14 2,447,277 2,461,145 (13,868)
Hungarian Forint Sell 12/17/14 2,447,277 2,516,342 69,065
Indian Rupee Buy 11/19/14 36,222 35,933 289
Japanese Yen Buy 11/19/14 8,418,515 8,806,506 (387,991)
Japanese Yen Sell 11/19/14 8,418,515 9,163,123 744,608
Malaysian Ringgit Sell 11/19/14 3,681,020 3,701,817 20,797
Mexican Peso Sell 1/21/15 460,956 474,855 13,899
New Taiwan Dollar Sell 11/19/14 3,861,241 3,918,603 57,362
New Zealand Dollar Sell 1/21/15 1,560,576 1,467,856 (92,720)
Norwegian Krone Sell 12/17/14 1,462,756 1,403,700 (59,056)
Russian Ruble Sell 12/17/14 505,875 584,473 78,598
Swedish Krona Buy 12/17/14 1,830,899 1,876,072 (45,173)
Swiss Franc Sell 12/17/14 3,325,724 3,593,845 268,121
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/21/15 398,992 352,519 46,473
British Pound Buy 12/17/14 5,554,655 5,593,727 (39,072)
British Pound Sell 12/17/14 5,554,655 5,633,038 78,383
Canadian Dollar Sell 1/21/15 3,666,145 3,681,532 15,387
Euro Sell 12/17/14 3,619,845 3,611,512 (8,333)
New Zealand Dollar Buy 1/21/15 3,634,280 3,672,464 (38,184)
Norwegian Krone Sell 12/17/14 3,579,175 3,698,565 119,390
State Street Bank and Trust Co.
Australian Dollar Buy 1/21/15 2,716,544 2,656,380 60,164
Brazilian Real Buy 1/5/15 7,335,647 7,415,952 (80,305)
Brazilian Real Sell 1/5/15 7,335,647 7,131,927 (203,720)
British Pound Buy 12/17/14 3,677,730 3,664,089 13,641
Canadian Dollar Sell 1/21/15 4,683,519 4,706,259 22,740
Chilean Peso Buy 1/21/15 9,982 9,981 1
Chilean Peso Sell 1/21/15 9,982 9,625 (357)
Euro Sell 12/17/14 9,039,584 9,487,045 447,461
Israeli Shekel Sell 1/21/15 3,657,393 3,711,232 53,839
Japanese Yen Sell 11/19/14 2,743,157 3,011,662 268,505
New Taiwan Dollar Sell 11/19/14 30,349 30,835 486
New Zealand Dollar Buy 1/21/15 2,009,959 2,046,373 (36,414)
Norwegian Krone Sell 12/17/14 1,401,747 1,390,150 (11,597)
Singapore Dollar Sell 11/19/14 240,270 247,496 7,226
Swedish Krona Buy 12/17/14 967,051 835,558 131,493
Swiss Franc Buy 12/17/14 7,663,430 7,772,972 (109,542)
Swiss Franc Sell 12/17/14 7,663,430 7,954,826 291,396
UBS AG
Canadian Dollar Sell 1/21/15 2,519,927 2,545,440 25,513
Euro Sell 12/17/14 6,771,885 6,914,125 142,240
Japanese Yen Buy 11/19/14 1,775,594 1,844,854 (69,260)
Japanese Yen Sell 11/19/14 1,775,594 1,942,047 166,453
Singapore Dollar Buy 11/19/14 283,701 292,079 (8,378)
Singapore Dollar Sell 11/19/14 283,701 292,157 8,456
WestPac Banking Corp.
Australian Dollar Sell 1/21/15 2,284,033 2,337,340 53,307
Canadian Dollar Sell 1/21/15 7,803,298 7,862,786 59,488
Euro Sell 12/17/14 6,314,736 6,768,735 453,999
Japanese Yen Buy 11/19/14 3,646,654 3,787,541 (140,887)
Japanese Yen Sell 11/19/14 3,646,654 3,981,311 334,657
New Zealand Dollar Buy 1/21/15 3,577,034 3,694,729 (117,695)
Total $7,816,146












FUTURES CONTRACTS OUTSTANDING at 10/31/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Short) 78 $12,516,338             Dec-14 $(55,959)
Euro-Bund 10 yr (Short) 60 11,346,773             Dec-14 (152,070)
Euro-Buxl 30 yr (Short) 35 6,373,772             Dec-14 (154,924)
U.S. Treasury Bond 30 yr (Short) 135 19,047,656             Dec-14 2,962
U.S. Treasury Bond Ultra 30 yr (Short) 21 3,293,063             Dec-14 (95,774)
U.S. Treasury Note 5 yr (Long) 213 25,438,524             Dec-14 182,642
U.S. Treasury Note 10 yr (Short) 218 $27,546,344             Dec-14 (201,383)
Total $(474,506)












WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/14 (premiums $8,851,578) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Bank of America N.A.


(2.557)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.557        $51,060,000 $416,650
(2.60)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.60        60,497,200 896,569
(2.54)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.54        54,434,250 918,850
(2.54)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.54        54,434,250 918,850
Credit Suisse International


(2.40)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.40        41,846,000 114,240
2.40/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.40        41,846,000 496,294
(2.51)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.51        38,326,500 605,175
(2.51)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.51        38,326,500 605,175
JPMorgan Chase Bank N.A.


(2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60        30,248,600 456,451
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        26,070,000 4,620,343
Total $10,048,597












WRITTEN OPTIONS OUTSTANDING at 10/31/14 (premiums $931,406) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/$102.13        $25,000,000 $131,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/101.94        25,000,000 116,250
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/101.75        25,000,000 102,250
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/101.50        25,000,000 85,750
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/101.13        25,000,000 65,250
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/100.94        25,000,000 56,750
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/100.88        25,000,000 54,000
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Jan-15/100.63        25,000,000 44,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Dec-14/100.81        21,000,000 6,300
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Dec-14/99.94        21,000,000 1,680
Total $664,230













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/14 (Unaudited)
Counterparty        PremiumUnrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract receivable/appreciation
Floating rate index/Maturity date date/strike       amount (payable)(depreciation)


JPMorgan Chase Bank N.A.
     2.75/3 month USD-LIBOR-BBA/Dec-24 (Purchased) Dec-14/2.75 $49,393,200 $(464,049)$676,193
     2.75/3 month USD-LIBOR-BBA/Dec-24 (Purchased) Dec-14/2.75 49,393,200 (474,175)668,290
     (2.40)/3 month USD-LIBOR-BBA/Mar-25 (Written) Mar-15/2.40 49,393,200 164,726(263,266)
     (2.40)/3 month USD-LIBOR-BBA/Mar-25 (Written) Mar-15/2.40 49,393,200 165,467(265,241)
     (2.65)/3 month USD-LIBOR-BBA/Dec-24 (Written) Dec-14/2.65 49,393,200 293,396(499,859)
     (2.65)/3 month USD-LIBOR-BBA/Dec-24 (Written) Dec-14/2.65 49,393,200 296,359(500,847)
Total $(18,276)$(184,730)












TBA SALE COMMITMENTS OUTSTANDING at 10/31/14 (proceeds receivable $119,863,965) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, November 1, 2044 $47,000,000       11/13/14 $50,954,608
Federal National Mortgage Association, 4s, November 1, 2044 61,000,000       11/13/14 64,769,611
Federal National Mortgage Association, 3 1/2s, November 1, 2044 4,000,000       11/13/14 4,135,625
Total $119,859,844















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/14 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
MYR 22,750,000 $—      3/19/19 4.0275% 3 month MYR-KLIBOR-BNM $(41,682)
Citibank, N.A.
AUD 17,015,000 (E) —      7/31/24 4.5175% 6 month AUD-BBR-BBSW (107,508)
AUD 3,191,000 (E) —      8/6/24 4.63% 6 month AUD-BBR-BBSW (32,293)
AUD 23,444,000 (E) —      10/16/24 6 month AUD-BBR-BBSW 4.232% (105,423)
NZD 9,900,000 —      10/29/24 3 month NZD-BBR-FRA 4.42025% 17,107
Credit Suisse International
AUD 9,608,000 (E) —      10/16/24 6 month AUD-BBR-BBSW 4.1975% (54,620)
CAD 7,762,000 —      10/30/24 3 month CAD-BA-CDOR 2.495% (5,760)
CHF 7,597,000 —      10/27/24 6 month CHF-LIBOR-BBA 0.785% 11,608
CHF 7,099,000 —      10/28/24 6 month CHF-LIBOR-BBA 0.765% (3,704)
Deutsche Bank AG
MYR 22,750,000 —      3/19/19 4.035% 3 month MYR-KLIBOR-BNM (43,825)
PLN 23,326,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (1,222,804)
PLN 11,630,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (616,381)
PLN 9,735,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (509,109)
PLN 114,202,000 —      7/14/16 6 month PLN-WIBOR-WIBO 2.48% 398,586
Goldman Sachs International
AUD 4,611,000 (E) —      8/6/24 4.525% 6 month AUD-BBR-BBSW (29,905)
KRW 6,895,000,000 —      10/30/19 3 month KRW-CD-KSDA-BLOOMBERG 2.2875% 23,169
NZD 2,006,000 —      10/31/24 3 month NZD-BBR-FRA 4.425% 4,084
NZD 2,508,000 —      10/31/24 3 month NZD-BBR-FRA 4.42% 4,324
NZD 2,508,000 —      11/3/24 3 month NZD-BBR-FRA 4.415% 3,206
SEK 48,328,000 —      10/27/24 3 month SEK-STIBOR-SIDE 1.6025% 73,357
SEK 40,346,000 —      10/29/24 3 month SEK-STIBOR-SIDE 1.58% 49,660
JPMorgan Chase Bank N.A.
AUD 8,563,000 (E) —      8/6/24 4.5175% 6 month AUD-BBR-BBSW (53,276)
CAD 7,964,000 —      10/30/24 3 month CAD-BA-CDOR 2.5025% (1,104)
KRW 3,385,000,000 —      11/3/19 3 month KRW-CD-KSDA-BLOOMBERG 2.245% 4,852
MXN 47,333,000 —      7/24/29 1 month MXN-TIIE-BANXICO 6.565% (33,127)
NZD 2,947,000 —      11/4/24 3 month NZD-BBR-FRA 4.38% (2,779)
Total$—      $(2,273,347)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/14 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$72,579,000 $(541,672)     10/29/24 3 month USD-LIBOR-BBA 2.54% $(53,528)
72,579,000 (483,608)     10/28/24 3 month USD-LIBOR-BBA 2.54% 694
469,025,100 (E) 40,900      12/17/16 3 month USD-LIBOR-BBA 1.00% (1,861,935)
250,868,500 (E) 3,387,829      12/17/19 3 month USD-LIBOR-BBA 2.25% (1,829,232)
105,196,700 (E) 4,836,782      12/17/24 3 month USD-LIBOR-BBA 3.00% 168,468
18,869,400 (E) (1,647,940)     12/17/44 3 month USD-LIBOR-BBA 3.50% 40,796
40,205,000 (E) (223)     12/16/17 3 month USD-LIBOR-BBA 1.835% (134,789)
103,036,000 (E) (572)     12/16/17 3 month USD-LIBOR-BBA 1.897% (471,343)
51,673,000 (E) (287)     12/16/17 3 month USD-LIBOR-BBA 1.86625% (205,067)
80,392,000 (E) (446)     12/16/17 3 month USD-LIBOR-BBA 1.905% (380,459)
19,591,000 (E) (109)     12/16/17 3 month USD-LIBOR-BBA 1.8625% (76,298)
136,674,000 (E) (194,398)     12/16/17 3 month USD-LIBOR-BBA 1.882% (778,543)
4,727,000 (E) 175,820      12/17/24 3 month USD-LIBOR-BBA 2.90% 9,061
64,608,000 (E) (359)     12/16/17 3 month USD-LIBOR-BBA 1.80% 171,369
45,696,000 (E) (368)     12/16/18 3 month USD-LIBOR-BBA 2.34% (498,500)
34,272,000 (E) (276)     12/16/18 3 month USD-LIBOR-BBA 2.3795% (413,391)
65,167,000 (E) (362)     12/16/17 3 month USD-LIBOR-BBA 1.924% 332,055
11,424,000 (E) (92)     12/16/18 3 month USD-LIBOR-BBA 2.337% (123,620)
20,350,000 (E) (164)     12/16/18 3 month USD-LIBOR-BBA 2.0025% (21,430)
42,294,000 (E) (22,435)     12/16/18 3 month USD-LIBOR-BBA 1.9525% (4,883)
34,200,600 (E) (482)     11/5/24 3 month USD-LIBOR-BBA 2.3375% (427,066)
39,310,000 (E) (440)     10/22/24 3 month USD-LIBOR-BBA 3.14875% (233,352)
39,310,000 (E) (440)     10/22/24 3 month USD-LIBOR-BBA 3.145% (239,642)
EUR 2,458,000 (E) 18,306      12/17/16 6 month EUR-EURIBOR-REUTERS 0.50% 1,608
EUR 5,058,500 (E) (152,488)     12/17/19 6 month EUR-EURIBOR-REUTERS 1.00% 17,367
EUR 45,691,500 (E) (5,047,955)     12/17/24 6 month EUR-EURIBOR-REUTERS 2.00% 15,798
EUR 5,632,000 (E) (807,242)     12/17/34 6 month EUR-EURIBOR-REUTERS 2.50% 204,577
EUR 1,000 (E) 157      12/17/44 6 month EUR-EURIBOR-REUTERS 2.50% (50)
EUR 29,427,500 (E) (421)     10/22/24 6 month EUR-EURIBOR-REUTERS 1.75% (61,784)
EUR 29,427,500 (E) (421)     10/22/24 6 month EUR-EURIBOR-REUTERS 1.757% (74,139)
GBP 31,489,000 (E) (318,704)     12/17/19 6 month GBP-LIBOR-BBA 2.25% 707,696
GBP 33,455,000 (E) 2,122,028      12/17/24 6 month GBP-LIBOR-BBA 3.00% (1,071,229)
GBP 7,399,000 (E) (556,966)     12/17/44 6 month GBP-LIBOR-BBA 3.25% 659,343
JPY 75,973,000 (25)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 47,215
JPY 148,765,000 (50)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 91,176
JPY 4,165,600,000 (163)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 191,267
JPY 911,400,000 (159)     3/14/44 6 month JPY-LIBOR-BBA 1.795% (559,784)
JPY 73,652,000 (13)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 45,996
$25,551,000 178,517      9/16/24 3 month USD-LIBOR-BBA 2.68% 764,614
Total$981,059      $(6,050,964)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/14 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$6,772,000 (E) $—      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(88,537)
8,803,000 (E) —      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) (115,090)
Barclays Bank PLC
678,463 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,726
1,202,662 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,764
1,227,032 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,122
1,118,956 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,196
16,905,966 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 30,084
3,453,002 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,890)
466,185 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,161
1,257,253 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,592
5,867,183 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 16,760
1,217,523 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (162)
3,014,770 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,635)
3,683,333 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,522
1,128,193 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 2,809
147,375 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 111
513,378 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,467
631,018 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,901
3,771,760 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,775
2,191,408 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,277)
2,749,456 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 6,845
525,262 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,336
4,090,999 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 15,730
15,836,364 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 45,239
3,476,306 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,931
594,615 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,513
1,928,234 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,906
1,397,856 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,557
7,879,640 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (22,569)
1,443,063 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (5,559)
1,199,557 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,993)
599,779 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,497)
599,779 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,497)
1,203,661 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,004)
3,126,269 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (7,802)
1,203,661 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,004)
1,308,210 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,328
1,900,903 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (664)
1,144,309 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (399)
1,129,014 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,225
1,451,185 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (507)
2,502,726 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,168)
2,181,632 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,646
313,058 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 236
2,403,218 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,997)
241,152 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (691)
5,037,395 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,337
9,720,000 —      3/20/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) (284,359)
8,011,000 —      3/21/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) (234,346)
7,480,712 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (354)
13,753,000 —      9/17/19 2.138% USA Non Revised Consumer Price Index- Urban (CPI-U) 200,175
898,517 3,369      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,008
Citibank, N.A.
2,210,251 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,314
5,029,014 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 14,366
4,656,448 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,302
9,775,000 —      3/27/24 (2.4825%) USA Non Revised Consumer Price Index- Urban (CPI-U) (265,489)
7,854,000 —      10/3/16 1.631% USA Non Revised Consumer Price Index- Urban (CPI-U) 39,647
EUR 19,330,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (544,542)
EUR 10,070,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 558,527
Credit Suisse International
$1,676,338 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,789
1,656,831 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,745)
3,033,832 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (1,059)
3,084,043 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 2,043
3,384,945 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 2,242
3,239,855 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (1,131)
7,066,929 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 12,575
4,144,755 43,390      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 46,657
EUR 5,570,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (144,557)
EUR 19,330,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (528,700)
EUR 10,070,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 544,772
EUR 5,570,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (145,045)
GBP 4,710,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index 137,890
GBP 4,710,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index 134,379
Deutsche Bank AG
$1,656,831 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,745)
7,854,000 —      10/3/16 1.6475% USA Non Revised Consumer Price Index- Urban (CPI-U) 42,255
Goldman Sachs International
1,776,852 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (236)
686,342 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 518
2,984,005 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,376
2,984,005 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,376
1,049,437 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,006)
394,243 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,129)
853,025 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (113)
128,295 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (17)
2,068,507 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 128
858,229 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (114)
1,716,372 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (228)
49,374 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 37
739,775 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,119)
1,437,715 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,118)
887,647 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,542)
68,013 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (195)
181,423 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (520)
6,792,076 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,961
5,877,944 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,620
2,709,000 —      7/14/44 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (228,938)
15,575,000 (E) —      6/19/24 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (180,140)
1,856,000 —      7/29/44 (2.7975%) USA Non Revised Consumer Price Index- Urban (CPI-U) (141,075)
4,815,510 95,558      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 102,536
4,828,272 (102,601)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (97,405)
JPMorgan Chase Bank N.A.
8,942,102 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,912
5,188,296 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,232
6,654,789 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (768)
4,815,943 94,061      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 101,040
4,828,272 (98,072)     1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (92,879)
EUR 6,283,000 —      10/3/16 (0.7275%) Eurostat Eurozone HICP excluding tobacco (19,841)
EUR 6,283,000 —      10/3/16 (0.7325%) Eurostat Eurozone HICP excluding tobacco (20,628)
Total$35,705     $(1,037,529)
(E)   Extended effective date.











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/14 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $38,247 $671,000 5/11/63 300 bp $39,779
  CMBX NA BBB- Index BBB-/P 40,127 650,000 5/11/63 300 bp 41,612
  CMBX NA BBB- Index BBB-/P 19,586 325,000 5/11/63 300 bp 20,328
  CMBX NA BBB- Index BBB-/P 9,980 146,000 5/11/63 300 bp 10,313
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 77,713 701,000 5/11/63 300 bp 79,314
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 66,890 1,630,000 5/11/63 300 bp 70,612
  CMBX NA BBB- Index BBB-/P 73,649 961,000 5/11/63 300 bp 75,843
  CMBX NA BBB- Index BBB-/P 24,251 797,000 5/11/63 300 bp 26,071
  CMBX NA BBB- Index BBB-/P 14,042 797,000 5/11/63 300 bp 15,862
  CMBX NA BBB- Index BBB-/P 51,903 789,000 5/11/63 300 bp 53,704
  CMBX NA BBB- Index BBB-/P 61,012 788,000 5/11/63 300 bp 62,812
  CMBX NA BBB- Index BBB-/P 62,716 786,000 5/11/63 300 bp 64,512
  CMBX NA BBB- Index BBB-/P 85,870 760,000 5/11/63 300 bp 87,606
  CMBX NA BBB- Index BBB-/P 11,523 750,000 5/11/63 300 bp 13,236
  CMBX NA BBB- Index BBB-/P 48,442 665,000 5/11/63 300 bp 49,960
  CMBX NA BBB- Index BBB-/P 7,303 629,000 5/11/63 300 bp 8,739
  CMBX NA BBB- Index BBB-/P 48,395 608,000 5/11/63 300 bp 49,783
  CMBX NA BBB- Index BBB-/P 6,563 343,000 5/11/63 300 bp 7,346
  CMBX NA BB Index — (4,352) 833,000 5/11/63 (500 bp) (3,912)
  CMBX NA BB Index — (10,758) 616,000 5/11/63 (500 bp) (10,433)
  CMBX NA BB Index — 7,965 515,000 5/11/63 (500 bp) 8,236
  CMBX NA BB Index — 13,547 513,000 5/11/63 (500 bp) 13,817
  CMBX NA BB Index — 5,272 510,000 5/11/63 (500 bp) 5,541
  CMBX NA BB Index — (2,536) 278,000 5/11/63 (500 bp) (2,389)
  CMBX NA BB Index — (2,119) 276,000 5/11/63 (500 bp) (1,974)
  CMBX NA BB Index — (2,644) 276,000 5/11/63 (500 bp) (2,498)
  CMBX NA BB Index — 5,159 258,000 5/11/63 (500 bp) 5,295
  CMBX NA BB Index — (11,870) 612,000 5/11/63 (500 bp) (11,547)
  CMBX NA BBB- Index BBB-/P (15,354) 1,246,000 5/11/63 300 bp (12,509)
  CMBX NA BBB- Index BBB-/P (18,666) 1,238,000 5/11/63 300 bp (15,839)
  CMBX NA BBB- Index BBB-/P (23,329) 1,205,000 5/11/63 300 bp (20,578)
  CMBX NA BBB- Index BBB-/P 1,509 1,137,000 5/11/63 300 bp 3,727
  CMBX NA BBB- Index BBB-/P (8,056) 802,000 5/11/63 300 bp (6,225)
  CMBX NA BBB- Index BBB-/P 3,668 792,000 5/11/63 300 bp 5,476
  CMBX NA BBB- Index BBB-/P 438 658,000 5/11/63 300 bp 1,940
  CMBX NA BBB- Index BBB-/P 2,956 638,000 5/11/63 300 bp 4,413
  CMBX NA BBB- Index BBB-/P 14,943 628,000 5/11/63 300 bp 16,377
  CMBX NA BBB- Index BBB-/P 3,733 615,000 5/11/63 300 bp 5,137
  CMBX NA BBB- Index BBB-/P 2,109 609,000 5/11/63 300 bp 3,500
  CMBX NA BBB- Index BBB-/P 422 608,000 5/11/63 300 bp 1,810
  CMBX NA BBB- Index BBB-/P (10,948) 606,000 5/11/63 300 bp (9,564)
  CMBX NA BBB- Index BBB-/P 1,476 547,000 5/11/63 300 bp 2,725
  CMBX NA BBB- Index BBB-/P (1,788) 536,000 5/11/63 300 bp (564)
  CMBX NA BBB- Index BBB-/P (1,792) 536,000 5/11/63 300 bp (568)
  CMBX NA BBB- Index BBB-/P (5,339) 533,000 5/11/63 300 bp (4,122)
  CMBX NA BBB- Index BBB-/P (4,981) 532,000 5/11/63 300 bp (3,766)
  CMBX NA BBB- Index BBB-/P 6,197 520,000 5/11/63 300 bp 7,384
  CMBX NA BBB- Index BBB-/P 5,170 520,000 5/11/63 300 bp 6,357
  CMBX NA BBB- Index BBB-/P 24,887 520,000 5/11/63 300 bp 26,074
  CMBX NA BBB- Index BBB-/P (4,326) 517,000 5/11/63 300 bp (3,146)
  CMBX NA BBB- Index BBB-/P (1,672) 494,000 5/11/63 300 bp (544)
  CMBX NA BBB- Index BBB-/P (2,594) 272,000 5/11/63 300 bp (1,973)
  CMBX NA BBB- Index BBB-/P (1,615) 268,000 5/11/63 300 bp (1,003)
  CMBX NA BBB- Index — (39,321) 696,000 1/17/47 (300 bp) (26,155)
  CMBX NA BBB- Index — (32,149) 685,000 1/17/47 (300 bp) (19,191)
Goldman Sachs International
  CMBX NA BB Index — (5,185) 489,000 5/11/63 (500 bp) (4,927)
  CMBX NA BB Index — (2,651) 276,000 5/11/63 (500 bp) (2,505)
  CMBX NA BB Index — 5,834 258,000 5/11/63 (500 bp) 5,970
  CMBX NA BBB- Index BBB-/P (10,098) 606,000 5/11/63 300 bp (8,714)
  CMBX NA BBB- Index BBB-/P 6,683 585,000 5/11/63 300 bp 8,018
  CMBX NA BBB- Index BBB-/P (2,151) 536,000 5/11/63 300 bp (927)
  CMBX NA BBB- Index BBB-/P (4,959) 530,000 5/11/63 300 bp (3,749)
  CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp (4,105)
  CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp (4,105)
  CMBX NA BBB- Index BBB-/P 3,144 527,000 5/11/63 300 bp 4,347
  CMBX NA BBB- Index BBB-/P (4,153) 517,000 5/11/63 300 bp (2,972)
  CMBX NA BBB- Index BBB-/P (2,967) 272,000 5/11/63 300 bp (2,346)
  CMBX NA BBB- Index BBB-/P (208) 77,000 5/11/63 300 bp (31)
Total$614,113 $720,695
*   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, 2014. 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
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
NZD New Zealand Dollar
PLN Polish Zloty
RUB Russian
SEK Swedish Krona
Key to holding's abbreviations
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2014 through October 31, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $739,037,700.
(b) The aggregate identified cost on a tax basis is $994,185,735, resulting in gross unrealized appreciation and depreciation of $33,176,060 and $18,581,228, respectively, or net unrealized appreciation of $14,594,832.
(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 Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund * $15,660,350 $68,925,908 $65,743,086 $2,104 $18,843,172
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) Security 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.
(R) Real Estate Investment Trust.
(U) This security, in part or in entirety, represents an unfunded loan commitment. As of the close of the reporting period, the fund had unfunded loan commitments of $89,474, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:
Borrower Unfunded commitments
WR Grace & Co. $89,474
Totals $89,474
At the close of the reporting period, the fund maintained liquid assets totaling $287,645,653 to cover certain derivatives contracts and delayed delivery securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 83.0%
Greece 2.7
Argentina 2.3
Russia 2.1
Venezuela 1.4
United Kingdom 1.1
Canada 1.0
Luxembourg 0.9
Brazil 0.6
Mexico 0.6
Indonesia 0.6
Germany 0.5
Other 3.2
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
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 in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures 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 fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge interest rate risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors or industries, to gain exposure to rates of inflation in specific regions or countries and to hedge inflation in specific regions 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. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions 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. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $555,807 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.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $7,696,848 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $10,503,970 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $23,241
    Energy — — 1,836
Total common stocks — — 25,077
Convertible bonds and notes — 663,681 —
Convertible preferred stocks — 415,492 —
Corporate bonds and notes — 244,756,461 13
Foreign government and agency bonds and notes — 80,703,478 —
Mortgage-backed securities — 335,747,210 —
Preferred stocks 434,763 1,040,368 —
Purchased options outstanding — 815,380 —
Purchased swap options outstanding — 1,550,936 —
Senior loans — 15,875,862 —
U.S. government and agency mortgage obligations — 278,074,926 —
U.S. treasury obligations — 702,605 —
Short-term investments 18,983,172 28,991,143 —
Totals by level $19,417,935 $989,337,542 $25,090



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $7,816,146 $—
Futures contracts (474,506) — —
Written options outstanding — (664,230) —
Written swap options outstanding — (10,048,597) —
Forward premium swap option contracts — (184,730) —
TBA sale commitments — (119,859,844) —
Interest rate swap contracts — (9,305,370) —
Total return swap contracts — (1,073,234) —
Credit default contracts — 106,582 —
Totals by level $(474,506) $(133,213,277) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above) did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $106,582 $—
Foreign exchange contracts 11,229,726 3,413,580
Interest rate contracts 19,102,880 38,487,231
Total $30,439,188 $41,900,811


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$198,300,000
Purchased swap option contracts (contract amount)$452,800,000
Written TBA commitment option contracts (contract amount)$372,300,000
Written swap option contracts (contract amount)$681,500,000
Futures contracts (number of contracts)1,000
Forward currency contracts (contract amount)$849,800,000
OTC interest rate swap contracts (notional)$375,400,000
Centrally cleared interest rate swap contracts (notional)$1,994,800,000
OTC total return swap contracts (notional)$431,700,000
OTC credit default contracts (notional)$38,300,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
                                     
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#    $–  $–  $–  $17,107  $11,608  $398,586  $157,800  $–  $4,852  $–  $–  $–  $–  $–    589,953
  Centrally cleared interest rate swap contracts§    –  –  3,770,603  –  –  –  –  –  –  –  –  –  –  –    3,770,603
  OTC Total return swap contracts*#    –  389,633  –  632,156  841,957  42,255  40,190  –  37,316  –  –  –  –  –    1,983,507
  OTC Credit default contracts*#    4,092  1,601  –  –  89,594  –  11,295  –  –  –  –  –  –  –    106,582
  Futures contracts§    –  –  –  –  –  –  –  –  –  19,546  –  –  –  –    19,546
  Forward currency contracts#    942,387  1,158,850  –  1,087,156  1,224,053  639,995  878,834  568,260  1,929,493  –  259,633  1,296,952  342,662  901,451    11,229,726
  Forward premium swap option contracts#    –  –  –  –  –  –  –  –  1,344,483  –  –  –  –  –    1,344,483
  Purchased swap options#    1,069,707  –  –  –  481,229  –  –  –  –  –  –  –  –  –    1,550,936
  Purchased options#    –  –  –  –  –  –  –  –  815,380  –  –  –  –  –    815,380
                                     
  Total Assets  $2,016,186  $1,550,084  $3,770,603  $1,736,419  $2,648,441  $1,080,836  $1,088,119  $568,260  $4,131,524  $19,546  $259,633  $1,296,952  $342,662  $901,451  $21,410,716
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    41,682  –  –  245,224  64,084  2,392,119  29,905  –  90,286  –  –  –  –  –    2,863,300
  Centrally cleared interest rate swap contracts§    –  –  3,912,862  –  –  –    –  –  –  –  –  –  –    3,912,862
  OTC Total return swap contracts*#    203,627  607,374  –  810,031  825,237  4,745  564,490  –  41,237  –  –  –  –  –    3,056,741
  OTC Credit default contracts*#    –  –  –  –  –  –  –  –  –  –  –  –  –  –    –
  Futures contracts§    –  –  –  –  –  –  –  –  –  –  –  –  –  –    –
  Forward currency contracts#    233,665  452,702  –  378,922  446,140  150,012  38,351  11,083  838,961  –  85,589  441,935  77,638  258,582    3,413,580
  Forward premium swap option contracts#    –  –  –  –  –  –  –  –  1,529,213  –  –  –  –  –    1,529,213
  Written swap options#    3,150,919  –  –  –  1,820,884  –  –  –  5,076,794  –  –  –  –  –    10,048,597
  Written options#    –  –  –  –  –  –  –  –  664,230  –  –  –  –  –    664,230
                                     
  Total Liabilities  $3,629,893  $1,060,076  $3,912,862  $1,434,177  $3,156,345  $2,546,876  $632,746  $11,083  $8,240,721  $–  $85,589  $441,935  $77,638  $258,582  $25,488,523
                                     
  Total Financial and Derivative Net Assets    $(1,613,707)  $490,008  $(142,259)  $302,242  $(507,904)  $(1,466,040)  $455,373  $557,177  $(4,109,197)  $19,546  $174,044  $855,017  $265,024  $642,869    $(4,077,807)
  Total collateral received (pledged)##†    $(1,613,707)  $266,758  $–  $140,000  $(507,904)  $(1,466,040)  $238,485  $435,847  $(4,109,197)  $–  $120,167  $–  $197,155  $–    
  Net amount    $–  $223,250  $(142,259)  $162,242  $–  $–  $216,888  $121,330  $–  $19,546  $53,877  $855,017  $67,869  $642,869    
                                     
* Excludes premiums, if any.
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.
                                     
# Covered by master netting agreement.
                                     
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                     
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio. 

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



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

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

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

Putnam Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 29, 2014

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 29, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: December 29, 2014