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: (811-05635)
Exact name of registrant as specified in charter: Putnam Diversified Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2014
Date of reporting period: December 31, 2013



Item 1. Schedule of Investments:













Putnam Diversified Income Trust

The fund's portfolio
12/31/13 (Unaudited)
MORTGAGE-BACKED SECURITIES (44.7%) (a)
Principal amount Value
Agency collateralized mortgage obligations (20.7%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.934s, 2032 $967,797 $1,481,227
     IFB Ser. 3408, Class EK, 25.123s, 2037 527,927 761,820
     IFB Ser. 2979, Class AS, 23.662s, 2034 213,872 273,756
     IFB Ser. 3998, Class KS, IO, 6.533s, 2027 22,454,329 3,550,591
     IFB Ser. 4048, Class GS, IO, 6.483s, 2040 19,108,064 3,730,658
     IFB Ser. 3860, Class SP, IO, 6.433s, 2040 30,656,294 4,891,518
     IFB Ser. 3861, Class PS, IO, 6.433s, 2037 13,717,413 2,081,892
     IFB Ser. 4032, Class SA, IO, 6.333s, 2042 14,203,167 2,729,006
     IFB Ser. 4218, Class PS, IO, 6.083s, 2042 28,848,969 5,165,769
     IFB Ser. 4125, Class SH, IO, 5.983s, 2042 17,121,946 3,060,205
     IFB Ser. 4105, Class LS, IO, 5.983s, 2041 18,344,996 3,529,210
     IFB Ser. 4104, Class S, IO, 5.933s, 2042 15,354,733 3,191,431
     IFB Ser. 4240, Class SA, IO, 5.833s, 2043 134,807,052 30,304,625
     IFB Ser. 4245, Class AS, IO, 5.833s, 2043 57,357,566 12,332,106
     IFB Ser. 310, Class S4, IO, 5.783s, 2043 18,668,367 4,519,612
     IFB Ser. 311, Class S1, IO, 5.783s, 2043 148,015,725 31,453,786
     IFB Ser. 308, Class S1, IO, 5.783s, 2043 45,676,811 10,687,003
     IFB Ser. 315, Class S1, IO, 5.753s, 2043 38,825,161 8,685,969
     IFB Ser. 314, Class AS, IO, 5.723s, 2043 60,282,432 12,848,477
     Ser. 3687, Class CI, IO, 5s, 2038 19,636,431 2,893,624
     Ser. 3632, Class CI, IO, 5s, 2038 4,244,523 411,719
     Ser. 3626, Class DI, IO, 5s, 2037 1,302,406 30,125
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 25,304,255 5,501,145
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 34,491,695 6,405,108
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 53,812,476 11,165,874
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 6,668,409 763,551
     Ser. 4213, Class GI, IO, 4s, 2041 50,109,135 9,129,884
     Ser. 4220, Class IE, IO, 4s, 2028 22,694,381 3,037,416
     Ser. 4141, Class IM, IO, 3 1/2s, 2042 68,329,612 13,494,893
     Ser. 4141, Class IQ, IO, 3 1/2s, 2042 35,574,312 7,025,891
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 34,421,846 5,249,332
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 15,039,558 2,413,548
     Ser. 4165, Class TI, IO, 3s, 2042 39,540,454 5,579,158
     Ser. 4210, Class PI, IO, 3s, 2041 31,677,600 3,573,629
     Ser. T-56, Class A, IO, 0.524s, 2043 261,482 4,484
     Ser. T-57, Class 1AX, IO, 0.399s, 2043 17,484,479 203,158
     Ser. T-56, Class 1, IO, zero %, 2043 306,413 24
     Ser. T-56, Class 2, IO, zero %, 2043 290,932 909
     Ser. T-56, Class 3, IO, zero %, 2043 9,030,402 705
     Ser. 3314, PO, zero %, 2036 157,172 144,216
     Ser. 1208, Class F, PO, zero %, 2022 81,843 76,033
     FRB Ser. 3326, Class WF, zero %, 2035 60,750 51,944
Federal National Mortgage Association
     IFB Ser. 06-8, Class HP, 23.963s, 2036 1,411,256 2,144,488
     IFB Ser. 05-45, Class DA, 23.816s, 2035 2,932,475 4,350,040
     IFB Ser. 05-83, Class QP, 16.966s, 2034 450,814 581,620
     Ser. 98-T2, Class A4, IO, 6 1/2s, 2036 87,301 14,316
     IFB Ser. 12-132, Class SB, IO, 6.035s, 2042 52,331,030 8,650,843
     IFB Ser. 13-81, Class QS, IO, 6.035s, 2041 32,896,330 5,781,273
     IFB Ser. 13-41, Class SP, IO, 6.035s, 2040 16,191,957 2,671,673
     IFB Ser. 13-9, Class JS, IO, 5.985s, 2043 33,709,327 7,771,618
     IFB Ser. 13-18, Class SB, IO, 5.985s, 2041 29,199,877 5,086,618
     IFB Ser. 12-105, Class S, IO, 5.885s, 2042 10,148,278 1,877,431
     IFB Ser. 13-92, Class SA, IO, 5.785s, 2043 37,315,125 8,687,707
     IFB Ser. 13-103, Class SK, IO, 5.755s, 2043 25,501,706 5,704,678
     IFB Ser. 13-128, Class CS, IO, 5.735s, 2043 52,273,154 11,303,547
     IFB Ser. 13-101, Class CS, IO, 5.735s, 2043 33,418,526 7,275,213
     IFB Ser. 13-102, Class SH, IO, 5.735s, 2043 60,852,794 12,864,281
     IFB Ser. 10-46, Class WS, IO, 5.585s, 2040 39,198,074 5,264,693
     Ser. 399, Class 2, IO, 5 1/2s, 2039 136,447 22,977
     Ser. 374, Class 6, IO, 5 1/2s, 2036 5,132,037 927,924
     Ser. 12-132, Class PI, IO, 5s, 2042 54,101,302 11,416,998
     Ser. 398, Class C5, IO, 5s, 2039 3,140,407 502,465
     Ser. 10-13, Class EI, IO, 5s, 2038 1,548,589 55,360
     Ser. 378, Class 19, IO, 5s, 2035 5,109,157 881,330
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 38,145,317 7,560,402
     Ser. 409, Class 81, IO, 4 1/2s, 2040 36,599,439 7,451,661
     Ser. 404, Class 2, IO, 4 1/2s, 2040 357,959 75,829
     Ser. 366, Class 22, IO, 4 1/2s, 2035 4,902,499 388,474
     Ser. 418, Class C24, IO, 4s, 2043 62,305,048 15,016,489
     Ser. 13-44, Class PI, IO, 4s, 2043 24,888,835 4,223,324
     Ser. 13-60, Class IP, IO, 4s, 2042 20,126,388 3,735,225
     Ser. 12-96, Class PI, IO, 4s, 2041 8,476,756 1,528,783
     Ser. 406, Class 2, IO, 4s, 2041 35,257,351 7,157,242
     Ser. 406, Class 1, IO, 4s, 2041 24,147,648 4,952,683
     Ser. 409, Class C16, IO, 4s, 2040 24,015,010 5,082,714
     Ser. 405, Class 2, IO, 4s, 2040 386,136 76,324
     Ser. 418, Class C15, IO, 3 1/2s, 2043 127,701,218 29,640,653
     Ser. 13-70, Class CI, IO, 3 1/2s, 2043 20,280,065 2,871,657
     Ser. 13-40, Class YI, IO, 3 1/2s, 2042 45,258,224 7,354,461
     Ser. 12-145, Class TI, IO, 3s, 2042 37,840,970 4,480,371
     Ser. 13-35, Class IP, IO, 3s, 2042 23,221,629 2,791,131
     Ser. 13-53, Class JI, IO, 3s, 2041 38,183,691 5,441,176
     Ser. 13-30, Class IP, IO, 3s, 2041 40,478,570 4,470,453
     Ser. 03-W10, Class 1, IO, 1.128s, 2043 7,891,718 251,240
     Ser. 00-T6, IO, 0.739s, 2030 8,952,493 190,240
     Ser. 01-T1, Class 1, IO, 0.722s, 2040 1,054,043 25,792
     Ser. 01-50, Class B1, IO, 0.409s, 2041 434,996 5,845
     Ser. 02-W8, Class 1, IO, 0.321s, 2042 12,779,653 151,758
     Ser. 99-51, Class N, PO, zero %, 2029 125,932 120,071
Government National Mortgage Association
     IFB Ser. 10-151, Class SL, IO, 6.533s, 2039 19,141,044 3,347,577
     IFB Ser. 10-163, Class SI, IO, 6.463s, 2037 25,875,129 3,881,295
     Ser. 10-9, Class XD, IO, 6.433s, 2040 168,821,283 30,315,238
     IFB Ser. 11-41, Class SM, IO, 6.433s, 2041 17,645,340 3,483,576
     IFB Ser. 11-11, Class PS, IO, 6.433s, 2040 24,550,239 3,928,038
     IFB Ser. 11-3, Class SG, IO, 6.383s, 2041 7,047,372 1,354,928
     IFB Ser. 10-55, Class SG, IO, 6.333s, 2040 26,130,928 4,660,190
     IFB Ser. 10-35, Class CS, IO, 6.303s, 2040 34,006,872 6,461,272
     IFB Ser. 11-56, Class MI, IO, 6.283s, 2041 79,840,443 18,086,255
     IFB Ser. 10-67, Class SE, IO, 6.283s, 2040 15,748,109 2,779,069
     IFB Ser. 13-91, Class SP, IO, 6.133s, 2042 50,695,925 9,408,657
     IFB Ser. 12-149, Class LS, IO, 6.083s, 2042 30,141,304 4,999,237
     IFB Ser. 10-20, Class SE, IO, 6.083s, 2040 93,212,639 16,013,931
     IFB Ser. 10-26, Class QS, IO, 6.083s, 2040 22,893,753 4,235,344
     IFB Ser. 13-37, Class S, IO, 6.063s, 2043 23,920,538 4,080,844
     IFB Ser. 13-113, Class SL, IO, 6.063s, 2042 40,503,901 7,173,620
     IFB Ser. 13-87, Class AS, IO, 6.033s, 2043 53,125,358 9,031,364
     IFB Ser. 13-87, Class SA, IO, 6.033s, 2043 38,279,755 6,361,262
     IFB Ser. 13-98, Class DS, IO, 6.033s, 2042 30,950,453 5,803,210
     IFB Ser. 13-129, Class SN, IO, 5.983s, 2043 31,566,011 4,902,833
     IFB Ser. 13-122, Class DS, IO, 5.983s, 2043 42,251,511 6,829,078
     IFB Ser. 13-102, Class AS, IO, 5.983s, 2043 26,740,457 4,746,404
     IFB Ser. 13-165, Class LS, IO, 5.983s, 2043 20,929,061 3,813,275
     IFB Ser. 13-99, Class SL, IO, 5.983s, 2043 34,111,843 5,949,788
     IFB Ser. 10-20, Class SC, IO, 5.983s, 2040 119,471,561 20,741,458
     IFB Ser. 13-184, Class SP, IO, 5.981s, 2043 66,244,250 12,549,973
     Ser. 13-149, Class MS, IO, 5.933s, 2039 54,768,126 8,728,396
     IFB Ser. 13-99, Class VS, IO, 5.933s, 2043 30,349,555 5,156,996
     IFB Ser. 12-77, Class MS, IO, 5.933s, 2042 26,552,961 6,109,305
     IFB Ser. 13-99, Class AS, IO, 5.883s, 2043 14,638,636 3,286,959
     IFB Ser. 11-128, Class TS, IO, 5.883s, 2041 19,599,464 4,008,090
     IFB Ser. 11-17, Class S, IO, 5.883s, 2041 44,061,442 7,008,854
     IFB Ser. 10-158, Class SA, IO, 5.883s, 2040 12,862,573 2,239,374
     IFB Ser. 10-151, Class SA, IO, 5.883s, 2040 30,911,130 5,383,482
     IFB Ser. 10-113, Class SM, IO, 5.883s, 2040 34,028,482 5,487,059
     IFB Ser. 13-184, Class SK, IO, 5.881s, 2043 38,894,000 6,962,804
     IFB Ser. 10-121, Class SE, IO, 5.833s, 2040 31,456,211 5,033,057
     IFB Ser. 10-89, Class SD, IO, 5.763s, 2040 11,830,179 1,996,366
     IFB Ser. 11-70, Class SM, IO, 5.723s, 2041 32,221,000 7,807,793
     IFB Ser. 11-70, Class SH, IO, 5.723s, 2041 33,097,000 8,027,677
     IFB Ser. 10-68, Class MS, IO, 5.683s, 2040 20,672,401 3,255,903
     IFB Ser. 10-15, Class BS, IO, 5.613s, 2040 23,193,593 3,523,107
     IFB Ser. 10-43, Class KS, IO, 5.583s, 2040 24,580,947 3,731,388
     IFB Ser. 10-31, Class SA, IO, 5.583s, 2040 65,531,365 10,792,963
     IFB Ser. 10-37, Class SG, IO, 5.533s, 2040 30,847,677 4,883,804
     IFB Ser. 10-115, Class BS, IO, 5.233s, 2040 26,299,923 3,898,964
     Ser. 13-3, Class IT, IO, 5s, 2043 17,675,629 3,997,355
     Ser. 13-6, Class IC, IO, 5s, 2043 15,319,332 3,210,626
     Ser. 12-146, Class IO, IO, 5s, 2042 32,937,959 6,946,945
     Ser. 13-6, Class CI, IO, 5s, 2042 11,470,548 2,337,239
     Ser. 13-130, Class IB, IO, 5s, 2040 33,529,410 4,809,459
     Ser. 13-16, Class IB, IO, 5s, 2040 48,759,009 5,982,672
     Ser. 11-41, Class BI, IO, 5s, 2040 33,125,241 4,451,022
     Ser. 10-35, Class UI, IO, 5s, 2040 87,592,850 19,727,327
     Ser. 10-20, Class UI, IO, 5s, 2040 41,017,283 8,712,891
     Ser. 10-9, Class UI, IO, 5s, 2040 196,436,097 43,612,880
     Ser. 09-121, Class UI, IO, 5s, 2039 88,531,042 19,286,488
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 52,692,681 11,458,234
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 8,675,350 1,866,155
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 26,822,217 5,765,704
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 22,980,967 3,147,243
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 31,839,210 6,507,139
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 77,927,076 16,745,021
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 128,506,939 28,252,137
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 22,227,019 4,105,330
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 31,568,544 5,506,817
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 11,610,957 1,364,287
     Ser. 13-165, Class IL, IO, 4s, 2043 19,314,960 3,449,652
     Ser. 13-27, Class IJ, IO, 4s, 2043 25,534,617 5,851,002
     Ser. 13-24, Class PI, IO, 4s, 2042 11,611,455 2,196,074
     Ser. 12-106, Class QI, IO, 4s, 2042 33,956,872 6,331,598
     Ser. 12-56, Class IB, IO, 4s, 2042 16,293,248 3,752,286
     Ser. 13-102, Class IP, IO, 3 1/2s, 2043 31,293,033 4,537,552
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 92,265,404 16,923,320
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 28,601,238 4,567,260
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 53,780,804 9,424,548
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 50,768,216 8,277,250
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 38,057,384 6,698,100
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 61,316,936 14,409,848
     Ser. 12-92, Class AI, IO, 3 1/2s, 2042 32,157,854 5,937,304
     Ser. 12-48, Class AI, IO, 3 1/2s, 2036 26,461,649 5,218,502
     Ser. 13-37, Class UI, IO, 3s, 2042 31,007,707 4,612,396
     Ser. 13-41, Class MI, IO, 3s, 2041 29,855,953 4,256,862
     Ser. 06-36, Class OD, PO, zero %, 2036 30,558 26,482
     Ser. 06-64, PO, zero %, 2034 109,318 107,299
Structured Asset Securities Corp. 144A
     Ser. 98-RF3, Class A, IO, 6.1s, 2028 390,441 50,757
     IFB Ser. 07-4, Class 1A3, IO, 6.007s, 2045 120,639,598 21,111,930
1,089,109,172
Commercial mortgage-backed securities (15.4%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 11,655,000 11,996,561
     Ser. 06-1, Class B, 5.49s, 2045 4,164,000 3,854,345
     FRB Ser. 05-1, Class B, 5.29s, 2042 6,655,000 6,825,501
     FRB Ser. 05-6, Class B, 5.184s, 2047 7,000,000 7,417,648
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 2,313,936 1,115,315
     Ser. 07-5, Class XW, IO, 0.364s, 2051 195,676,305 1,815,289
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW17, Class AJ, 5.887s, 2050 3,285,000 3,194,663
     Ser. 06-PW13, Class AJ, 5.611s, 2041 4,750,000 4,826,988
     FRB Ser. 06-PW11, Class AJ, 5.439s, 2039 1,580,000 1,622,463
     Ser. 05-PWR7, Class D, 5.304s, 2041 4,190,000 3,884,549
     Ser. 05-PWR7, Class C, 5.235s, 2041 4,945,000 4,698,704
     Ser. 05-PWR7, Class B, 5.214s, 2041 7,239,000 7,321,439
     Ser. 05-PWR9, Class C, 5.055s, 2042 3,745,000 3,540,149
     Ser. 05-PWR9, Class AJ, 4.985s, 2042 1,723,000 1,754,531
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class C, 5.439s, 2039 3,536,000 3,444,064
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class B, 5.778s, 2049 10,998,000 10,539,383
     Ser. 06-C5, Class AJ, 5.482s, 2049 7,567,000 7,407,367
     FRB Ser. 05-C3, Class B, 5.029s, 2043 16,007,000 14,856,097
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.118s, 2044 8,486,000 8,231,420
     Ser. 07-CD5, Class XS, IO, 0.043s, 2044 131,048,767 578,169
COMM Mortgage Trust Ser. 07-C9, Class AJ, 5.65s, 2049 2,860,000 2,969,252
COMM Mortgage Trust 144A
     FRB Ser. 13-LC13, Class D, 5.05s, 2046 18,552,000 16,494,672
     FRB Ser. 13-LC6, Class D, 4.29s, 2046 8,936,000 7,530,020
     FRB Ser. 13-CR6, Class D, 4.176s, 2046 7,779,000 6,455,178
     FRB Ser. 13-CR8, Class D, 3.971s, 2046 7,568,000 6,124,867
     FRB Ser. 07-C9, Class AJFL, 0.86s, 2049 14,635,000 12,878,800
Commercial Mortgage Trust 144A FRB Ser. 12-LC4, Class D, 5.648s, 2044 7,782,000 7,632,586
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT2A, Class E, 1.567s, 2014 (Ireland) GBP 643,029 953,017
     FRB Ser. 05-CT1A, Class D, 1.565s, 2014 (Ireland) GBP 42,903 70,335
Credit Suisse First Boston Commercial Mortgage Trust
     Ser. 05-C5, Class C, 5.1s, 2038 $4,077,000 4,174,386
     Ser. 05-C5, Class F, 5.1s, 2038 4,760,000 4,593,400
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 02-CP5, Class H, 6.326s, 2035 9,440,000 8,304,689
     Ser. 02-CP5, Class M, 5 1/4s, 2035 1,223,680 76,480
Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, IO, 0.211s, 2039 214,727,044 1,245,417
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 4,521,854 185,396
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.418s, 2044 27,897,000 27,498,413
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.032s, 2020 13,185,912 243,544
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 3,121,100 1,956,627
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.31s, 2045 10,193,000 9,893,326
     FRB Ser. 06-C1, Class AJ, 5.28s, 2044 6,282,269 6,084,189
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 4,022,000 3,546,921
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 16,043,000 16,004,449
GS Mortgage Securities Trust
     Ser. 06-GG8, Class AJ, 5.622s, 2039 3,663,000 3,587,491
     Ser. 05-GG4, Class AJ, 4.782s, 2039 7,032,000 7,096,793
GS Mortgage Securities Trust 144A
     FRB Ser. 11-GC3, Class D, 5.543s, 2044 17,502,000 17,622,919
     FRB Ser. GC10, Class D, 4.415s, 2046 5,376,000 4,646,477
     Ser. 05-GG4, Class XC, IO, 0.742s, 2039 341,711,836 2,562,839
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.165s, 2030 (Cayman Islands) 2,453,000 1,644,737
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class D, 4.087s, 2045 15,385,000 12,728,798
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.071s, 2051 12,711,000 13,004,624
     FRB Ser. 06-LDP7, Class AJ, 5.863s, 2045 10,865,000 10,896,997
     FRB Ser. 06-LDP7, Class B, 5.863s, 2045 9,729,000 8,366,994
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 20,859,000 21,303,297
     FRB Ser. 05-LDP3, Class D, 5.192s, 2042 7,191,000 6,968,798
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 2,344,000 2,378,892
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 13,871,000 12,781,217
     FRB Ser. 04-C3, Class C, 4.981s, 2042 4,777,000 4,681,460
     FRB Ser. 13-LC11, Class D, 4.243s, 2046 13,148,000 11,077,337
     FRB Ser. 13-C10, Class D, 4.161s, 2047 6,108,000 5,140,152
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class C, 6.171s, 2051 9,324,000 8,685,865
     FRB Ser. 11-C3, Class E, 5.541s, 2046 6,889,000 6,863,511
     FRB Ser. 12-LC9, Class E, 4.427s, 2047 6,905,000 6,039,306
     FRB Ser. 13-C13, Class D, 4.056s, 2046 13,946,000 11,561,669
     Ser. 07-CB20, Class X1, IO, 0.154s, 2051 255,545,588 2,425,639
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 8,260,023 8,588,656
     Ser. 98-C4, Class J, 5.6s, 2035 3,535,000 3,954,251
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 9,917,000 10,019,145
     Ser. 06-C6, Class E, 5.541s, 2039 9,358,000 8,681,417
     Ser. 07-C1, Class AJ, 5.484s, 2040 14,438,000 14,645,907
     FRB Ser. 06-C6, Class C, 5.482s, 2039 4,186,000 4,023,793
     FRB Ser. 05-C2, Class D, 5.244s, 2040 4,875,000 4,131,563
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.38s, 2028 339,683 37
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.263s, 2051 4,285,000 4,580,665
     FRB Ser. 05-CIP1, Class C, 5.21s, 2038 5,991,000 5,489,254
     FRB Ser. 05-CIP1, Class B, 5.18s, 2038 5,395,000 5,179,200
     Ser. 04-KEY2, Class D, 5.046s, 2039 4,390,000 4,402,731
     Ser. 05-MCP1, Class D, 5.023s, 2043 4,029,000 3,903,698
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 3,901,000 3,805,426
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049 10,799,000 10,259,050
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 9,331,000 8,975,489
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.59s, 2037 1,287,289 54,710
     Ser. 07-C5, Class X, IO, 5.488s, 2049 6,713,227 481,338
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 13-C11, Class D, 4.419s, 2046 10,082,000 8,578,774
Ser. 13-C8, Class D, 4.172s, 2048 6,644,000 5,575,645
     Ser. 13-C10, Class D, 4.083s, 2046 7,253,000 6,002,365
Morgan Stanley Capital I Trust
     Ser. 07-HQ11, Class C, 5.558s, 2044 4,619,000 4,042,549
     FRB Ser. 06-HQ8, Class D, 5.497s, 2044 8,329,000 7,308,698
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 10,341,000 10,406,148
     Ser. 04-HQ4, Class E, 5.15s, 2040 4,766,000 4,766,000
Morgan Stanley Capital I Trust 144A
     FRB Ser. 04-RR, Class F7, 6s, 2039 9,491,148 9,028,455
     FRB Ser. 04-HQ3, Class K , 5.759s, 2041 13,937,000 14,454,063
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, 3.238s, 2038 2,016,779 1,794,934
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 1,590,000 1,192,500
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 4,233,255 1,058,314
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 4.958s, 2049 2,949,000 2,622,474
     Ser. 13-C6, Class D, 4.354s, 2046 8,788,000 7,459,254
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.997s, 2045 21,124,000 21,212,721
     FRB Ser. 06-C25, Class AJ, 5.724s, 2043 11,577,000 11,937,045
     Ser. 06-C24, Class AJ, 5.658s, 2045 15,521,000 15,364,238
     FRB Ser. 05-C20, Class B, 5.241s, 2042 15,494,522 15,927,750
     FRB Ser. 05-C21, Class D, 5.239s, 2044 24,100,000 24,752,724
     Ser. 07-C34, IO, 0.337s, 2046 69,416,872 839,944
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 04-C10, Class H, 5.429s, 2041 6,983,000 6,980,207
     FRB Ser. 04-C11, Class G, 5.427s, 2041 5,825,000 5,835,019
     FRB Ser. 04-C10, Class J, 5.007s, 2041 7,401,000 7,378,797
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.304s, 2046 11,908,000 9,857,481
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 12-C6, Class D, 5.563s, 2045 5,394,000 5,213,638
     FRB Ser. 13-C17, Class D, 5.127s, 2046 23,441,000 21,302,009
     FRB Ser. 12-C9, Class D, 4.803s, 2045 1,690,000 1,528,774
FRB Ser. 13-C15, Class D, 4.486s, 2046 19,111,000 16,671,361
     FRB Ser. 13-C12, Class D, 4.357s, 2048 10,575,000 9,014,976
     FRB Ser. 13-C11, Class D, 4.184s, 2045 4,677,000 3,899,449
     FRB Ser. 13-C14, Class D, 4.002s, 2046 12,895,000 10,567,453
809,656,510
Residential mortgage-backed securities (non-agency) (8.6%)
American Home Mortgage Assets Trust FRB Ser. 06-5, Class A1, 1.064s, 2046 16,868,179 8,771,453
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1A, 0.325s, 2047 23,038,280 16,391,736
Banc of America Funding Corp.
     Ser. 06-2, Class 2A2, 6 1/4s, 2036 4,996,801 4,982,061
     Ser. 06-2, Class 2A13, 6s, 2036 5,712,457 5,726,738
     FRB Ser. 06-G, Class 2A5, 0.447s, 2036 4,045,680 3,479,285
Barclays Capital, LLC Trust
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 1,907,360 1,041,610
     Ser. 13-RR1, Class 3A3, 13.057s, 2037 3,405,451 2,858,876
     Ser. 13-RR1, Class 9A4, 10.132s, 2036 2,377,000 2,385,320
     Ser. 13-RR1, Class 2A4, 9.588s, 2036 4,952,337 4,521,484
     Ser. 13-RR1, Class 3A2, 4s, 2037 2,980,652 2,963,960
     Ser. 13-RR1, Class 4A2, 4s, 2037 3,287,852 3,254,316
     Ser. 12-RR10, Class 8A2, 4s, 2036 3,897,020 3,857,271
     FRB Ser. 12-RR10, Class 9A2, 2.66s, 2035 9,361,295 8,186,452
     Ser. 13-RR1, Class 1A2, 2.434s, 2035 5,838,493 4,732,099
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR12, Class 2A3, 12 5/8s, 2035 3,441,191 3,165,896
     FRB Ser. 12-RR11, Class 5A3, 11.012s, 2037 1,591,936 956,913
     FRB Ser. 13-RR2, Class 3A2, 7.67s, 2036 3,193,000 2,953,525
     FRB Ser. 10-RR12, Class 6A1, 5.995s, 2037 10,311,542 10,520,866
     Ser. 12-RR12, Class 2A2, 4s, 2035 2,619,780 2,593,058
     FRB Ser. 12-RR1, Class 1A4, 2.758s, 2037 6,657,281 4,700,041
     FRB Ser. 09-RR6, Class 1A2, 2.43s, 2035 7,751,421 6,588,708
     Ser. 09-RR7, Class 1A7, IO, 1.685s, 2046 346,237,171 10,819,912
     Ser. 09-RR7, Class 2A7, IO, 1.508s, 2047 311,379,336 9,746,173
     FRB Ser. 12-RR1, Class 6A5, 0.358s, 2046 5,320,000 4,641,700
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.04s, 2034 265,627 18,505
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-2, Class 3A2, 8.329s, 2037 6,434,161 6,163,412
     FRB Ser. 11-12, Class 2A2, 0.535s, 2035 8,520,000 6,901,200
Countrywide Alternative Loan Trust
     Ser. 07-16CB, Class 4A7, 6s, 2037 12,360,433 10,767,173
     Ser. 06-5T2, Class A7, 6s, 2036 5,937,515 4,815,485
     Ser. 07-4CB, Class 1A6, 5 3/4s, 2037 10,778,985 9,431,612
     FRB Ser. 05-59, Class 1A1, 0.497s, 2035 14,058,929 10,772,654
     FRB Ser. 05-56, Class 4A1, 0.475s, 2035 14,522,013 11,891,350
     FRB Ser. 05-81, Class A1, 0.445s, 2037 10,083,352 7,417,314
Credit Suisse Commercial Mortgage Trust 144A
     FRB Ser. 08-4R, Class 3A4, 2.702s, 2038 6,487,000 5,838,300
     FRB Ser. 08-4R, Class 1A4, 0.565s, 2037 5,000,000 3,790,000
DSLA Mortgage Loan Trust Ser. 04-AR2, Class X2, IO, 2.253s, 2044 47,993,693 2,463,425
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.067s, 2043 (United Kingdom) GBP 2,706,624 4,443,040
     FRB Ser. 03-2, Class 2C1, 2.77s, 2043 (United Kingdom) EUR 7,263,000 9,904,776
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $39,570 39,462
Green Tree Home Improvement Loan Trust Ser. 95-D, Class B2, 7.45s, 2025 37,359 37,263
GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036 12,248,185 11,765,606
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.651s, 2035 4,000,000 3,715,000
IndyMac INDX Mortgage Loan Trust FRB Ser. 06-AR15, Class A1, 0.285s, 2036 8,491,301 6,317,528
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.813s, 2035 3,887,090 3,304,026
Merrill Lynch Alternative Note Asset Trust FRB Ser. 07-OAR2, Class A1, 0.345s, 2037 8,021,210 7,138,877
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.515s, 2035 7,975,909 6,787,499
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.555s, 2035 11,136,256 9,855,586
Residential Accredit Loans, Inc. FRB Ser. 06-QO7, Class 1A1, 0.943s, 2046 39,690,628 25,104,322
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.213s, 2046 15,986,586 13,988,263
     FRB Ser. 06-AR3, Class A1B, 1.143s, 2046 21,897,904 17,693,506
     FRB Ser. 06-AR4, Class 1A1B, 1.083s, 2046 9,671,300 8,027,179
     FRB Ser. 05-AR19, Class A1C3, 0.665s, 2045 18,032,009 15,146,888
     FRB Ser. 05-AR13, Class A1C3, 0.655s, 2045 36,269,702 30,974,326
     FRB Ser. 05-AR8, Class 2AC2, 5/8s, 2045 11,253,470 9,796,145
     FRB Ser. 05-AR11, Class A1B2, 0.615s, 2045 6,589,295 5,666,794
     FRB Ser. 05-AR13, Class A1B2, 0.595s, 2045 8,209,339 7,306,312
     FRB Ser. 05-AR17, Class A1B2, 0.575s, 2045 1,729,525 1,474,420
     FRB Ser. 05-AR15, Class A1B2, 0.575s, 2045 10,051,137 8,354,907
     FRB Ser. 05-AR19, Class A1C4, 0.565s, 2045 6,748,346 5,533,644
     FRB Ser. 05-AR11, Class A1B3, 0.565s, 2045 13,118,896 11,479,034
     FRB Ser. 05-AR8, Class 2AC3, 0.555s, 2045 3,900,755 3,395,607
     FRB Ser. 05-AR1, Class A1B, 0.555s, 2045 6,074,448 5,357,663
     FRB Ser. 05-AR15, Class A1B3, 0.505s, 2045 7,055,695 5,863,283
     FRB Ser. 05-AR6, Class 2AB3, 0.435s, 2045 3,849,046 3,464,141
Wells Fargo Mortgage Backed Securities Trust Ser. 07-12, Class A7, 5 1/2s, 2037 2,694,034 2,723,612
454,768,592
Total mortgage-backed securities (cost $2,233,307,459) $2,353,534,274

CORPORATE BONDS AND NOTES (29.2%) (a)
Principal amount Value
Basic materials (2.3%)
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) $3,135,000 $3,970,162
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 2,090,000 2,053,425
ArcelorMittal sr. unsec. unsub. notes 5s, 2017 (France) 500,000 536,250
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 2,921,000 2,782,253
Ashland, Inc. sr. unsec. unsub. notes 3s, 2016 3,880,000 3,947,900
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 3,080,000 3,311,000
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issu 144A company guaranty sr. unsec. notes 5 5/8s, 2016 (Luxembourg) 1,375,000 1,402,500
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 2,440,000 2,568,100
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 2,990,000 2,855,450
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 2,735,000 2,912,775
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico) 955,000 1,076,763
Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, 2018 (Mexico) 845,000 959,075
Cemex SAB de CV 144A company guaranty sr. notes 7 1/4s, 2021 (Mexico) 1,805,000 1,868,175
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 2,485,000 2,567,005
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 880,000 882,200
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 1,672,000 1,747,240
Exopack Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 1,930,000 1,973,425
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 1,674,000 1,766,070
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 180,000 202,050
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 776,000 805,100
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 2,572,000 2,710,374
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 1,041,000 1,134,690
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 2,393,000 2,369,070
Grohe Holding GmbH 144A company guaranty sr. FRN notes 4.277s, 2017 (Germany) EUR 2,148,000 2,954,973
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 $3,475,000 3,744,313
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 3,152,000 3,762,700
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 1,980,000 2,029,500
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 4,499,000 4,673,336
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 4,125,000 4,661,250
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 816,000 902,700
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 3,315,000 3,265,275
Huntsman International, LLC 144A company guaranty sr. unsec. notes 5 1/8s, 2021 EUR 700,000 966,601
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) $383,000 329,380
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 1,205,000 1,320,981
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 5,045,000 5,076,531
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 2,472,000 2,836,620
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 2,634,000 2,930,325
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 392,000 410,620
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 3,381,000 3,558,503
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 794,000 766,210
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 2,325,000 2,586,563
Nufarm Australia, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2019 (Australia) 447,000 464,880
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 2,910,000 3,128,250
PQ Corp. 144A sr. notes 8 3/4s, 2018 1,373,000 1,496,570
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 435,000 487,200
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 1,649,000 1,747,940
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 1,264,000 1,355,640
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 1,065,000 1,037,044
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 675,000 685,946
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 82,000 89,688
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 305,000 329,400
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 1,405,000 1,520,913
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 190,000 189,525
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 3,110,000 3,529,850
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 2,240,000 2,380,000
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 1,862,000 1,899,240
USG Corp. sr. unsec. notes 9 3/4s, 2018 2,005,000 2,370,913
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 1,735,000 1,808,738
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 1,105,000 1,066,325
118,765,495
Capital goods (1.8%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 6,774,000 7,349,790
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 4,031,000 4,615,495
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. notes 4 7/8s, 2022 (Ireland) 735,000 727,650
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland) 2,140,000 2,150,700
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 2,733,000 2,992,635
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 1,425,000 1,442,813
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 1,194,000 1,280,565
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 500,000 578,750
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017 (PIK) 1,010,000 1,073,125
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 1,008,000 1,000,440
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 1,091,000 1,140,095
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 3,129,000 3,437,989
Consolidated Container Co., LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 181,000 192,086
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 2,512,000 2,348,720
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 812,000 836,360
Exide Technologies sr. notes 8 5/8s, 2018 (In default) (NON) 537,000 383,955
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg) 2,115,000 2,154,762
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020 1,808,000 1,853,200
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) EUR 590,000 885,386
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 $2,585,000 2,788,569
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 3,324,000 4,287,722
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 3,338,000 3,371,380
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 4,309,000 4,072,005
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 3,126,000 3,290,115
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 1,445,000 1,528,088
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 560,000 823,140
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) $684,000 714,780
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 1,325,000 1,467,438
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 1,750,000 1,785,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 1,325,000 1,469,094
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 3,375,000 3,619,688
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 4,095,000 4,371,413
Schaeffler Holding Finance BV 144A company guaranty sr. notes 6 7/8s, 2018 (Netherlands) (PIK) 2,120,000 2,247,200
Schaeffler Holding Finance BV 144A sr. unsec. notes 6 7/8s, 2018 (Netherlands) (PIK) EUR 1,020,000 1,499,684
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 $2,190,000 2,343,300
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 1,830,000 1,999,275
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 415,000 444,050
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 5,479,000 5,657,068
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 2,052,000 2,195,640
Titan International, Inc. 144A company guaranty sr. bonds 6 7/8s, 2020 1,120,000 1,167,600
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 455,000 489,125
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 1,460,000 1,427,150
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 3,171,000 3,400,898
Triumph Group, Inc. company guaranty sr. unsec. sub. FRN notes 4 7/8s, 2021 1,395,000 1,353,150
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 530,000 530,000
94,787,088
Communication services (3.7%)
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 2,000,000 2,330,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 244,000 272,365
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 1,634,000 1,683,020
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 6,802,000 6,342,865
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 4,219,000 3,913,123
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 1,347,000 1,417,718
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 4,189,000 4,241,363
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 380,000 386,650
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 950,000 1,023,625
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 3,742,000 3,667,160
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 4,210,000 4,546,800
CyrusOne LP/CyrusOne Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 357,000 369,495
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 3,505,000 3,632,056
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 5,118,000 5,322,720
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 2,657,000 2,816,420
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 3,588,000 3,659,760
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 2,620,000 2,999,900
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 475,000 475,000
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 1,949,000 2,109,793
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 3,750,000 4,181,250
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 4,928,000 5,125,120
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 770,000 793,100
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 1,949,000 2,148,773
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 4,016,000 4,307,160
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 8,659,000 9,286,778
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg) 2,470,000 2,624,375
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 1,560,000 2,271,702
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $1,699,000 1,900,756
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 2,993,000 3,352,160
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 515,000 563,925
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 183,000 193,980
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 895,000 903,950
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 386,000 417,363
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 3,915,000 4,042,238
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 4,663,000 4,837,863
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 2,345,000 1,770,475
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 3,202,000 3,578,235
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 2,520,000 4,420,452
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $2,278,000 2,203,965
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 610,000 640,279
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 1,375,000 1,464,327
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 2,843,000 3,049,118
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 5 3/4s, 2020 520,000 540,800
Sprint Capital Corp. company guaranty 6 7/8s, 2028 4,110,000 3,873,675
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 4,280,000 4,954,100
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 3,538,000 3,838,730
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 4,427,000 5,323,468
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 3,459,000 3,718,425
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 5,785,000 6,211,644
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 495,000 716,722
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 540,000 637,128
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 $1,842,000 1,878,840
T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018 880,000 926,200
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 2,690,000 3,931,514
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 790,000 1,155,662
Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 2,398,000 3,644,160
Unitymedia KabelBW GmbH 144A sr. sub. notes 9 1/2s, 2021 (Germany) EUR 665,000 1,061,965
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 1,855,000 2,772,689
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 2,130,000 2,914,358
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 1,986,000 3,006,446
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $5,063,000 4,949,083
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 162,000 291,477
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 2,160,000 3,666,273
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 $6,375,000 7,076,250
Wind Acquisition Finance SA company guaranty sr. notes Ser. REGS, 7 3/8s, 2018 (Luxembourg) EUR 301,000 437,929
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 4,110,000 5,979,689
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) $1,135,000 1,194,588
Wind Acquisition Holdings Finance SA company guaranty sr. notes 12 1/4s, 2017 (Luxembourg) (PIK) EUR 1,509,446 2,187,286
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 $2,884,000 3,294,970
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 780,000 826,800
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 815,000 762,025
197,060,073
Consumer cyclicals (4.9%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 360,000 396,900
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 2,673,000 3,057,244
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 2,870,000 3,322,025
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 565,000 607,375
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 550,000 613,250
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023 1,704,000 1,704,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 962,000 962,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 711,000 716,333
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 600,000 652,500
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 2,145,000 2,225,438
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 2,550,000 2,565,565
Building Materials Corp. of America 144A company guaranty sr. unsec. notes 7 1/2s, 2020 1,185,000 1,279,800
Building Materials Corp. of America 144A company guaranty sr. notes 7s, 2020 2,425,000 2,606,875
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 1,965,000 2,127,113
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 1,865,000 2,100,456
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 3,256,000 3,166,460
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 1,061,000 1,079,568
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 855,000 927,675
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 945,000 933,188
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015 (PIK) 261,000 262,958
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 4,905,000 4,941,788
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 813,000 934,950
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 3,412,000 3,932,330
Chinos Intermediate Holdings A, Inc. 144A sr. unsec. notes 7 3/4s, 2019 (PIK) 2,293,000 2,333,128
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 2,348,000 2,670,850
Churchill Downs, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 1,110,000 1,129,425
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 245,000 230,300
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 680,000 751,400
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 4,178,000 4,219,780
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019 1,721,000 1,755,420
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 1,328,000 1,396,060
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 1,305,000 1,332,731
CST Brands, Inc. company guaranty sr. unsec. notes 5s, 2023 3,197,000 3,085,105
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 2,310,000 2,437,050
D.R. Horton, Inc. company guaranty sr. unsec. notes 5 3/4s, 2023 488,000 496,540
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 2,270,000 2,411,875
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 2,391,000 2,707,808
FelCor Lodging LP company guaranty sr. notes 10s, 2014 (R) 1,487,000 1,572,503
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 (R) 3,355,000 3,573,075
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023 (R) 450,000 438,750
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 2,635,000 2,951,904
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020 1,140,000 1,154,250
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2019 1,605,000 1,671,206
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 2,000,000 2,027,500
General Motors Co. 144A sr. unsec. unsub. notes 4 7/8s, 2023 3,000,000 3,037,500
General Motors Financial Co., Inc. 144A company guaranty sr. unsec. notes 4 1/4s, 2023 392,000 372,890
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 2,590,000 2,725,975
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020 2,370,000 2,370,000
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018 885,000 904,913
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 4,092,000 4,347,750
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 2,495,000 2,452,628
Griffey Intermediate, Inc./Griffey Finance Sub LLC 144A sr. unsec. notes 7s, 2020 $1,945,000 1,536,550
Grupo Televisa, S.A.B. sr. unsec. bonds 6 5/8s, 2040 (Mexico) 900,000 955,744
Grupo Televisa, S.A.B. sr. unsec. notes 6s, 2018 (Mexico) 418,000 465,576
Grupo Televisa, S.A.B sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 25,900,000 1,506,411
GTECH SpA jr. sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 2,387,000 3,565,511
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $2,903,000 3,011,863
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017 (PIK) 1,090,000 1,110,438
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 1,136,000 1,245,340
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 1,008,000 990,360
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 1,235,000 1,318,363
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 4,588,000 4,966,510
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 1,620,512 2,266,122
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019 (PIK) $700,000 732,375
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 1,060,000 1,128,900
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 2,755,000 3,016,725
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 1,325,000 1,354,813
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 2,567,000 2,631,175
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 2,560,000 2,649,600
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 2,245,000 2,082,238
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 2,330,000 2,522,225
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 1,420,000 1,562,000
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 1,370,000 1,356,300
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 2,555,000 2,906,313
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 915,000 1,006,500
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 2,785,000 2,979,950
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 2,495,000 2,775,688
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 360,000 379,350
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A sr. unsec. notes 7 1/2s, 2018 (PIK) 2,286,000 2,366,010
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016 843,000 863,038
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 5,615,776 6,240,531
Navistar International Corp. sr. notes 8 1/4s, 2021 2,816,000 2,907,520
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 3,305,000 3,457,856
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021 (PIK) 1,826,000 1,912,735
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021 1,280,000 1,337,600
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 1,317,000 1,303,830
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 2,195,000 2,348,650
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 1,336,000 1,362,720
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 799,000 777,028
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 2,343,000 2,586,086
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 2,155,000 2,386,663
Owens Corning company guaranty sr. unsec. notes 9s, 2019 679,000 835,170
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 2,615,000 2,582,313
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 2,907,000 2,972,408
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 1,280,000 1,372,800
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 (PIK) 665,000 678,300
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 1,625,000 1,669,688
Quiksilver, Inc./QS Wholesale, Inc. company guaranty sr. unsec. notes 10s, 2020 230,000 259,900
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. notes 7 7/8s, 2018 230,000 249,550
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 3,275,000 3,217,688
Rent-A-Center, Inc./TX company guaranty sr. unsec. notes 4 3/4s, 2021 1,650,000 1,546,875
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 503,000 547,641
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 2,820,000 2,897,550
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 3,139,000 3,499,985
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 3,558,000 3,931,590
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands) EUR 2,595,000 4,051,882
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Netherlands) $260,000 293,150
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) 2,055,000 2,049,863
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 1,145,000 1,127,825
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 1,885,000 1,903,850
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 2,019,000 2,084,618
Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 3,658,000 3,740,305
Sirius XM Holdings, Inc. 144A sr. unsec. notes 5 1/4s, 2022 200,000 202,500
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 3,984,000 3,894,360
Spectrum Brands Escrow Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 90,000 95,625
Spectrum Brands Escrow Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 215,000 229,513
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 1,125,000 1,210,781
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 1,680,000 1,751,400
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 2,315,000 2,233,975
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 4,162,000 4,047,545
Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom) GBP 2,188,000 3,940,250
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 $2,378,000 2,413,670
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016 (PIK) 2,350,841 2,491,891
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 4,975,000 5,708,813
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 475,000 480,938
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 1,584,000 1,742,400
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 2,324,000 2,553,495
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 1,500,000 1,603,125
255,660,546
Consumer staples (1.6%)
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 4,005,000 3,604,500
Affinion Investments, LLC 144A company guaranty sr. unsec. sub. notes 13 1/2s, 2018 883,320 878,903
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 11,100,000 4,653,696
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 $5,831,000 6,217,304
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 710,000 687,813
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 970,000 928,775
Barry Callebaut Services NV 144A company guaranty sr. unsec. notes 5 1/2s, 2023 (Belgium) 630,000 631,939
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 1,492,000 1,656,120
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 2,144,000 2,208,320
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 475,000 454,813
Claire's Stores, Inc. 144A sr. notes 9s, 2019 2,170,000 2,354,450
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 470,000 437,100
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 2,850,000 2,679,000
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,401,000 2,725,135
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 885,000 944,738
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023 (R) 480,000 452,400
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020 (R) 1,337,000 1,310,260
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 2,498,000 2,760,290
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 4,296,000 4,768,560
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 2,115,000 2,305,350
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 1,688,000 2,895,397
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $1,220,000 1,088,707
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 4,405,000 4,261,838
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 800,000 863,000
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 280,000 289,100
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 280,000 290,150
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 680,000 737,800
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 3,515,000 3,673,175
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 1,675,000 1,742,000
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 955,000 1,013,494
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 2,475,000 2,697,750
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 1,645,000 1,776,600
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 910,000 973,700
Post Holdings, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 230,000 246,100
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 2,010,000 2,025,075
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 3,003,000 2,961,709
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 3,845,000 4,412,138
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 595,000 669,375
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 1,405,000 1,485,788
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2021 460,000 471,500
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 1,515,000 1,583,175
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 4,016,000 4,462,780
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 920,000 1,020,050
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 421,000 427,315
84,727,182
Energy (5.4%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 1,947,000 2,073,555
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 765,000 818,550
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 6,012,000 5,801,580
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 1,950,000 1,667,250
Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 1,938,000 1,957,380
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 1,992,000 2,091,600
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 520,000 555,100
Aurora USA Oil & Gas Inc. 144A company guaranty sr. unsec. notes 9 7/8s, 2017 1,560,000 1,677,000
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 3,906,000 4,228,245
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 1,640,000 1,853,200
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 260,000 282,100
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 565,000 844,815
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $3,310,000 3,587,213
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 475,000 489,250
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 3,280,000 3,542,400
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 1,035,000 1,063,463
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 896,000 925,120
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 2,355,000 1,524,182
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $827,000 568,563
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,829,000 1,979,893
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 7,000,000 7,376,250
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 3,415,000 3,547,331
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 7 1/8s, 2021 788,000 893,395
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 4,722,000 4,964,003
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 2,340,000 2,579,850
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 4,135,000 3,948,925
Forbes Energy Services, Ltd. company guaranty sr. unsec. notes 9s, 2019 2,205,000 2,160,900
Forum Energy Technologies, Inc. 144A sr. unsec. notes 6 1/4s, 2021 2,345,000 2,462,250
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 1,810,000 1,878,092
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 1,280,000 1,348,800
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 3,305,000 4,079,494
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 740,000 871,579
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 4,595,000 4,778,800
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 2,883,000 3,070,395
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 2,835,000 2,955,488
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 4,153,000 4,194,530
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 175,000 186,156
Hercules Offshore, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 810,000 858,600
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 795,000 881,456
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 1,625,000 1,742,813
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 1,492,000 1,529,300
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 540,000 599,400
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 4,375,000 4,353,125
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 2,918,000 3,260,865
Linn Energy LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 535,000 545,700
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7s, 2019 5,080,000 5,130,800
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) (In default) (NON) 813,000 243,900
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 6 1/8s, 2020 (Russia) 5,000,000 5,417,500
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 4.563s, 2023 (Russia) 1,700,000 1,597,712
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 2,380,000 2,603,125
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 1,624,000 1,709,260
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 2,401,000 2,419,008
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 9,475,000 9,417,297
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 750,000 773,438
Newfield Exploration Co. sr. unsec. sub. notes 6 7/8s, 2020 1,000,000 1,071,250
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 902,000 944,845
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 1,045,000 1,110,313
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 3,475,000 3,683,500
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 2,250,000 2,441,591
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 1,425,000 1,453,500
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 2,848,000 3,204,000
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 760,000 782,800
Pertamina Persero PT 144A sr. unsec. notes 5 1/4s, 2021 (Indonesia) 3,700,000 3,561,250
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 720,000 660,600
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 6,751,000 6,818,510
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 21,355,000 15,886,625
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 3,000,000 1,626,330
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 5,000,000 3,813,400
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 32,650,000 30,032,123
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 16,885,000 14,019,278
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 22,725,000 18,918,563
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 1,000,000 912,500
Petroleos Mexicanos company guaranty sr. unsec. notes 6 1/2s, 2041 (Mexico) 1,000,000 1,045,000
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 1,640,000 1,775,300
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 790,000 776,175
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 3,321,000 3,553,470
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 1,351,000 1,347,623
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 2,650,000 2,630,125
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 2,885,000 3,260,050
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 705,000 731,438
Samson Investment Co. 144A sr. unsec. notes 10 1/2s, 2020 3,925,000 4,278,250
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 678,000 710,205
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 620,000 669,600
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 2,045,000 2,208,600
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 1,105,000 1,174,063
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 985,000 1,034,250
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) 590,000 609,175
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) $655,000 661,943
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 590,000 569,183
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 1,915,000 2,020,325
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 5,725,000 5,982,625
Williams Cos., Inc. (The) notes 7 3/4s, 2031 522,000 559,699
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 690,000 795,647
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 4,215,000 4,215,000
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 1,143,000 1,220,153
284,678,873
Financials (4.4%)
Allegion US Holding Co., Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 4,028,000 4,189,120
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 1,815,000 2,023,725
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 4,595,000 4,939,625
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 2,000,000 2,392,500
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 7,290,000 8,492,850
Ally Financial, Inc. unsec. sub. notes 8s, 2018 1,333,000 1,572,940
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 3,027,000 3,662,670
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 1,200,000 1,122,000
Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, 2018 (Costa Rica) 2,200,000 2,160,259
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom) EUR 1,030,000 1,556,995
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) GBP 1,365,000 2,479,176
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 $2,575,000 2,755,250
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 782,000 751,698
CIT Group, Inc. sr. unsec. notes 5s, 2023 1,205,000 1,159,813
CIT Group, Inc. sr. unsec. notes 5s, 2022 3,615,000 3,524,625
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 1,350,000 1,434,375
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 2,885,000 3,242,019
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 1,710,000 1,833,975
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 2,620,000 2,410,400
Commerzbank AG 144A unsec. sub. notes 8 1/8s, 2023 (Germany) 785,000 865,463
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 2,170,000 1,817,375
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 3,250,000 3,363,750
Dresdner Funding Trust I 144A bonds 8.151s, 2031 3,659,000 3,787,065
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 4,906,000 5,267,818
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 2,650,000 2,722,875
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Jersey) EUR 1,092,000 1,575,349
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 $4,000,000 4,160,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. unsec. notes 6s, 2020 1,878,000 1,934,340
Industry & Construction Bank St. Petersburg OJSC Via Or-ICB unsec. sub. FRN notes 5.01s, 2015 (Russia) 1,695,000 1,729,731
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 608,000 658,160
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 760,000 760,000
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 970,000 928,775
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 1,675,000 1,683,375
iStar Financial, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2018 (R) 400,000 400,500
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 (R) 2,250,000 2,491,875
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, perpetual maturity (United Kingdom) 2,158,000 2,304,744
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 2,775,000 2,830,350
MetLife Capital Trust X 144A jr. sub. FRB bonds 9 1/4s, 2068 935,000 1,204,981
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 (R) 2,405,000 2,489,175
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 1,454,000 1,475,810
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 9 5/8s, 2019 835,000 939,375
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 740,000 767,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2018 1,380,000 1,402,425
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 3,243,000 3,088,958
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 3,872,000 3,881,680
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 1,774,000 1,774,000
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 3,583,000 3,659,139
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 3,493,000 3,728,778
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 1,460,000 1,463,650
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 3,128,000 3,104,540
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 500,000 545,000
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 3,300,000 3,217,500
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, perpetual maturity (United Kingdom) EUR 2,550,000 3,411,562
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) $1,495,000 1,505,644
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 2,100,000 2,213,680
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 5,010,000 5,310,600
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 3,021,000 3,519,465
Societe Generale SA 144A jr. unsec. sub. FRB bonds 7 7/8s, perpetual maturity (France) 2,540,000 2,559,050
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 4,130,000 4,514,090
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 1,295,000 1,398,600
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 2,105,000 2,105,000
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 1,665,000 1,714,667
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 976,000 1,352,524
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 2,000,000 3,045,798
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $3,400,000 3,225,002
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 1,956,000 2,044,020
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, perpetual maturity (Russia) 1,600,000 1,728,583
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 4,335,000 4,595,100
VTB Bank OJSC Via VTB Capital SA 144A bank guaranty sr. unsec. notes 6.551s, 2020 (Russia) 5,000,000 5,293,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 22,451,000 24,498,531
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 23,618,000 25,035,080
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 6,000,000 6,150,000
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 2,000,000 2,025,000
230,974,067
Health care (2.1%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 2,200,000 2,255,000
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 1,210,000 1,258,400
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 1,901,000 2,043,575
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 819,000 1,172,228
Biomet, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2020 $1,770,000 1,823,100
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 2,085,000 2,189,250
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 2,882,000 3,069,330
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 2,235,000 3,428,246
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg) (PIK) $2,247,000 2,289,131
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 5,425,000 5,614,875
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 721,000 782,285
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg) (PIK) 2,429,000 2,486,689
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 865,000 1,258,963
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $2,010,000 2,263,763
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 2,990,000 5,215,045
Endo Finance Co. 144A company guaranty sr. unsec. notes 5 3/4s, 2022 $2,205,000 2,224,294
Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 1,686,000 1,827,203
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 1,675,000 1,809,000
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 2,160,000 2,386,800
HCA, Inc. company guaranty sr. notes 7 7/8s, 2020 1,500,000 1,610,625
HCA, Inc. sr. notes 6 1/2s, 2020 7,233,000 7,947,259
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 741,000 815,100
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 3,240,000 3,491,100
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018 (PIK) 1,000,000 1,037,500
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 1,591,000 1,686,460
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 816,000 867,000
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 (PIK) 2,140,000 2,263,050
Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 1,349,000 1,517,625
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 5,154,000 5,927,100
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 1,213,000 1,367,658
MPH Intermediate Holding Co. 2 144A sr. unsec. notes 8 3/8s, 2018 (PIK) 1,140,000 1,184,175
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 1,083,000 1,191,300
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 (R) 1,266,000 1,375,193
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 2,331,000 2,409,671
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 840,000 861,000
Service Corp. International/US sr. notes 7s, 2019 970,000 1,037,900
Service Corp. International/US sr. notes 7s, 2017 3,136,000 3,512,320
Service Corp. International/US sr. unsec. unsub. notes 4 1/2s, 2020 1,933,000 1,865,345
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 835,000 845,438
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 2,790,000 2,957,400
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 2,400,000 2,520,000
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 1,825,000 1,729,188
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 1,485,000 1,395,900
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 2,265,000 2,514,150
Tenet Healthcare Corp. 144A sr. notes 6s, 2020 1,245,000 1,299,469
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 350,000 377,125
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 900,000 963,000
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 290,000 305,588
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 350,000 372,750
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018 2,270,000 2,494,163
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 3,905,000 3,992,863
109,131,592
Technology (1.3%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 2,900,000 3,030,500
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 4,155,000 4,310,813
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 1,786,000 1,705,630
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 3,801,000 3,724,980
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 1,065,000 1,155,525
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 6,038,000 7,087,103
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 10,426,000 11,090,658
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 1,245,000 1,329,038
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 2,240,000 2,472,400
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 3,210,000 3,386,550
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 (FWC) 680,000 717,400
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 4,449,000 5,049,615
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 2,336,000 2,362,280
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 555,000 624,375
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 200,000 230,500
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 2,170,000 2,224,250
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 5,620,000 5,479,500
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 1,315,000 1,380,750
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 2,062,000 2,247,580
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 3,115,000 3,403,138
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 1,550,000 2,390,880
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 1,935,000 2,810,064
68,213,529
Transportation (0.4%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 6,917,000 8,219,293
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) $1,475,000 1,563,500
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 2,993,000 3,239,923
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 2,275,000 2,451,313
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 4,085,000 4,544,563
United Continental Holdings, Inc. company guaranty sr. unsec. notes 6s, 2020 1,475,000 1,473,156
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 1,415,000 1,400,850
22,892,598
Utilities and power (1.3%)
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 5,000,000 5,875,000
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 1,960,000 2,209,900
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 965,000 904,688
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 4,425,000 4,845,375
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 640,000 654,400
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 510,000 499,800
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 5 3/4s, 2021 (Brazil) 500,000 485,625
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 2,495,000 2,695,633
El Paso Corp. sr. unsec. notes 7s, 2017 4,910,000 5,551,428
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 2,976,000 3,737,332
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 7,570,000 8,043,125
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022 875,000 1,028,125
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 7,000,000 7,420,000
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 2,415,000 2,710,838
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 2,122,000 2,283,803
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 485,000 543,200
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 2,584,000 2,981,290
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017 (PIK) 1,034,715 1,076,104
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 605,000 563,953
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 2,237,000 2,483,070
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 530,000 600,225
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 1,368,000 1,340,640
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 6,000,000 6,645,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 1,140,000 1,111,500
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 955,000 869,050
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 520,000 612,367
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 1,440,000 1,058,400
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 819,000 1,172,487
70,002,358
Total corporate bonds and notes (cost $1,487,454,891) $1,536,893,401

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (7.4%) (a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (—%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $680,442 $763,183
763,183
U.S. Government Agency Mortgage Obligations (7.4%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4s, with due dates from August 1, 2042 to June 1, 2043 $43,061,480 43,821,786
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, January 1, 2044 23,000,000 25,305,391
     4 1/2s, November 1, 2043 5,679,690 5,999,394
     4s, TBA, January 1, 2044 231,000,000 238,038,293
     3 1/2s, TBA, January 1, 2044 41,000,000 40,762,971
     3s, TBA, January 1, 2044 36,000,000 34,211,250
388,139,085
Total U.S. government and agency mortgage obligations (cost $393,419,729) $388,902,268

U.S. TREASURY OBLIGATIONS (—%) (a)
Principal amount Value
U.S. Treasury Notes 3/8s, February 15, 2016 (i) $78,000 $78,045
Total U.S. treasury obligations (cost $78,045) $78,045

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (6.7%) (a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) $2,586,760 $1,912,392
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 17,225,000 15,545,563
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 37,188,000 37,057,842
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) 38,492,953 29,062,180
Banco Nacional de Desenvolvimento Economico e Social 144A sr. unsec. notes 5 3/4s, 2023 (Brazil) 5,000,000 4,916,706
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 6,880,000 7,237,829
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) units 7,250 2,906,592
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) $10,550,000 10,502,525
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 2,700,000 2,463,750
Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) 6,300,000 6,323,625
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 1,276,000 1,362,896
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 5,289,897 5,092,584
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2042 (Greece) (STP) EUR 4,115,000 2,870,412
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2041 (Greece) (STP) EUR 3,655,000 2,560,048
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2040 (Greece) (STP) EUR 4,115,000 2,892,433
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2039 (Greece) (STP) EUR 5,035,000 3,545,681
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece) (STP) EUR 11,465,000 8,076,569
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece) (STP) EUR 4,565,000 3,231,032
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece) (STP) EUR 6,625,000 4,708,844
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece) (STP) EUR 8,265,000 5,913,959
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece) (STP) EUR 5,945,000 4,296,429
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece) (STP) EUR 4,115,000 3,000,445
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece) (STP) EUR 6,185,000 4,565,258
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece) (STP) EUR 3,195,000 2,395,251
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece) (STP) EUR 12,695,000 9,690,704
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece) (STP) EUR 3,655,000 2,826,089
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece) (STP) EUR 8,265,000 6,550,574
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece) (STP) EUR 3,655,000 2,960,643
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece) (STP) EUR 7,345,000 6,115,554
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece) (STP) EUR 18,455,000 15,836,097
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece) (STP) EUR 13,701,000 12,135,391
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece) (STP) EUR 9,295,000 8,556,249
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) $3,740,000 3,748,788
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) 7,275,000 6,151,158
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 3,255,000 3,245,040
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 123,450,000 3,724,519
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $2,905,000 2,469,250
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) EUR 22,029,000 34,428,315
Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland) $3,500,000 3,740,625
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal) EUR 4,199,000 5,741,498
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) $731,338 851,804
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 1,925,000 1,949,063
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,372,800 1,597,939
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 1,250,000 1,181,322
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 755,246 745,926
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) EUR 4,199,000 6,412,215
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) $1,300,000 1,348,867
Turkey (Republic of) sr. unsec. bonds 5 5/8s, 2021 (Turkey) 6,800,000 6,831,756
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 5,015,000 5,745,886
Turkey (Republic of) unsec. notes 6 3/4s, 2040 (Turkey) 5,080,000 4,933,747
Ukraine (Government of) 144A bonds 7 3/4s, 2020 (Ukraine) 5,420,000 4,999,950
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 5,200,000 5,213,447
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 5,035,000 5,006,296
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 (Ukraine) 1,425,000 1,282,358
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 2,900,000 1,826,246
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela) 4,935,000 4,842,962
Total foreign government and agency bonds and notes (cost $332,801,910) $355,131,123

SENIOR LOANS (1.5%) (a) (c)
Principal amount Value
Air Medical Group Holdings, Inc. bank term loan FRN 8 3/8s, 2018 (PIK) $2,415,000 $2,354,625
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 1,242,450 1,244,521
Asurion Corp. bank term loan FRN 11s, 2019 1,980,000 2,041,875
Asurion, LLC/CA bank term loan FRN Ser. B1, 4 1/2s, 2019 1,825,779 1,822,989
Avaya, Inc. bank term loan FRN Ser. B3, 4.762s, 2017 1,824,351 1,777,602
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 711,319 718,729
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.488s, 2018 10,603,735 10,106,685
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 2,855,486 2,880,471
Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017 2,091,000 2,133,194
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.918s, 2019 10,049,000 9,588,424
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021 1,435,000 1,447,556
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 2,120,535 2,124,308
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 2,755,000 2,810,100
First Data Corp. bank term loan FRN 4.17s, 2018 824,435 824,744
First Data Corp. bank term loan FRN 4.17s, 2017 61,131 61,208
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 1,758,535 1,764,031
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 3,710,700 3,750,097
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 1,213,869 1,131,681
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 1,412,900 1,422,528
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 4s, 2020 3,102,632 3,123,748
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 (R) 924,657 928,992
J.C. Penney Corp., Inc. bank term loan FRN 6s, 2018 952,215 928,807
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 488,532 495,402
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 5s, 2020 3,985,000 4,031,967
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 1,235,075 1,235,075
Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019 1,000,000 987,500
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 1,015,000 1,028,956
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 1,520,000 1,524,750
ROC Finance, LLC bank term loan FRN 5s, 2019 500,000 477,500
Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018 (PIK) 1,500,000 1,522,500
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.73s, 2017 4,000,000 2,748,000
Travelport, LLC bank term loan FRN 9 1/2s, 2016 4,700,289 4,856,964
Travelport, LLC bank term loan FRN 8 3/8s, 2016 (PIK) 745,267 758,309
Travelport, LLC bank term loan FRN 6 1/4s, 2019 746,250 764,906
Tribune Co. bank term loan FRN Ser. B, 4s, 2020 2,200,000 2,187,625
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 1,253,700 1,268,501
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 4 1/2s, 2020 1,369,650 1,376,498
WNA Holdings, Inc. bank term loan FRN 8 1/2s, 2020 1,000,000 1,011,250
Total senior loans (cost $81,115,790) $81,262,618

CONVERTIBLE BONDS AND NOTES (—%) (a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 (R) $910,000 $1,242,150
Total convertible bonds and notes (cost $984,735) $1,242,150

PURCHASED SWAP OPTIONS OUTSTANDING (—%) (a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Credit Suisse International
     2.79625/3 month USD-LIBOR-BBA/May-24 May-14/2.79625 $298,916,200 $1,049,196
Total purchased swap options outstanding (cost $3,392,699) $1,049,196

SHORT-TERM INVESTMENTS (15.4%) (a)
Principal amount/shares Value
Federal Home Loan Bank unsec. discount notes with an effective yield of 0.10%, April 9, 2014 $25,000,000 $24,995,950
Federal Home Loan Bank unsec. discount notes with an effective yield of 0.10%, April 2, 2014 16,000,000 15,997,600
Federal Home Loan Bank unsec. discount notes with an effective yield of 0.09%, February 14, 2014 50,000,000 49,994,500
Federal Home Loan Mortgage Corp. unsec. discount notes with an effective yield of 0.15%, October 6, 2014 22,034,000 22,013,685
Federal National Mortgage Association unsec. discount notes with an effective yield of 0.10%, April 21, 2014 29,000,000 28,994,722
Putnam Money Market Liquidity Fund 0.04% (AFF) shares 191,513,598 191,513,598
Putnam Short Term Investment Fund 0.08% (AFF) shares 216,461,105 216,461,105
U.S. Treasury Bills with an effective yield of 0.10%, May 1, 2014 (SEGCCS) $5,000,000 4,999,130
U.S. Treasury Bills with an effective yield of 0.06%, April 3, 2014 25,000,000 24,995,575
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.14%, August 21, 2014 (SEG) (SEGSF)(SEGCCS) 56,953,000 56,927,428
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 24, 2014 (SEG) (SEGSF)(SEGCCS) 41,079,000 41,061,048
U.S. Treasury Bills with effective yields ranging from 0.08% to 0.09%, May 29, 2014 (SEG) (SEGSF)(SEGCCS) 134,268,000 134,236,447
Total short-term investments (cost $812,137,897) $812,190,788

TOTAL INVESTMENTS
Total investments (cost $5,344,693,155) (b) $5,530,283,863













FORWARD CURRENCY CONTRACTS at 12/31/13 (aggregate face value $1,951,412,898) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Brazilian Real Buy 1/3/14 $15,290,113 $16,116,234 $(826,121)
Brazilian Real Sell 1/3/14 15,290,113 15,402,928 112,815
Chilean Peso Buy 1/16/14 29,840,723 31,003,356 (1,162,633)
Chilean Peso Sell 1/16/14 29,840,723 29,994,347 153,624
Singapore Dollar Sell 2/19/14 9,109,804 9,263,558 153,754
Swiss Franc Sell 3/19/14 10,739,718 10,574,638 (165,080)
Barclays Bank PLC
Australian Dollar Sell 1/16/14 12,520,029 12,044,777 (475,252)
Brazilian Real Buy 1/3/14 44,903,296 47,081,826 (2,178,530)
Brazilian Real Sell 1/3/14 44,903,296 45,919,408 1,016,112
Brazilian Real Sell 4/2/14 7,379,126 7,327,539 (51,587)
British Pound Buy 3/19/14 6,485,220 6,272,501 212,719
Canadian Dollar Sell 1/16/14 25,324,194 25,258,507 (65,687)
Euro Sell 3/19/14 20,397,875 20,171,759 (226,116)
Japanese Yen Sell 2/19/14 23,037,780 24,220,217 1,182,437
Mexican Peso Buy 1/16/14 657,402 382,975 274,427
Norwegian Krone Buy 3/19/14 305,491 303,631 1,860
Polish Zloty Buy 3/19/14 5,163,438 5,025,574 137,864
Singapore Dollar Buy 2/19/14 36,114,715 36,546,162 (431,447)
Singapore Dollar Sell 2/19/14 36,114,715 36,671,655 556,940
Swiss Franc Sell 3/19/14 13,169,157 12,964,873 (204,284)
Turkish Lira Buy 3/19/14 6,470,949 6,746,178 (275,229)
Citibank, N.A.
Australian Dollar Buy 1/16/14 2,517,977 2,674,349 (156,372)
Brazilian Real Buy 1/3/14 36,950,429 38,727,202 (1,776,773)
Brazilian Real Sell 1/3/14 36,950,429 37,310,814 360,385
Brazilian Real Sell 4/2/14 6,585,027 6,542,225 (42,802)
British Pound Sell 3/19/14 9,283,114 9,170,372 (112,742)
Canadian Dollar Sell 1/16/14 11,850,883 12,042,129 191,246
Euro Sell 3/19/14 14,260,601 13,843,567 (417,034)
Japanese Yen Sell 2/19/14 12,508,374 12,712,732 204,358
New Taiwan Dollar Buy 2/19/14 22,855,791 23,142,849 (287,058)
New Taiwan Dollar Sell 2/19/14 22,855,791 23,212,453 356,662
New Zealand Dollar Buy 1/16/14 12,228,206 12,080,839 147,367
New Zealand Dollar Sell 1/16/14 12,228,206 12,065,705 (162,501)
Swiss Franc Sell 3/19/14 18,430,157 18,145,465 (284,692)
Credit Suisse International
British Pound Buy 3/19/14 13,130,487 13,129,720 767
Canadian Dollar Sell 1/16/14 11,191,560 11,491,036 299,476
Euro Sell 3/19/14 16,016,643 15,861,576 (155,067)
Indian Rupee Buy 2/19/14 7,487,893 7,479,139 8,754
Japanese Yen Sell 2/19/14 10,557,274 11,283,252 725,978
Mexican Peso Buy 1/16/14 9,933,290 9,662,727 270,563
New Zealand Dollar Buy 1/16/14 20,259,207 20,499,248 (240,041)
New Zealand Dollar Sell 1/16/14 20,259,207 20,092,975 (166,232)
Norwegian Krone Sell 3/19/14 978,438 845,651 (132,787)
Singapore Dollar Sell 2/19/14 8,350,812 8,531,205 180,393
South Korean Won Buy 2/19/14 8,183,793 8,155,046 28,747
Swedish Krona Sell 3/19/14 12,923,135 12,604,056 (319,079)
Swiss Franc Sell 3/19/14 30,065,534 29,597,807 (467,727)
Deutsche Bank AG
Australian Dollar Sell 1/16/14 5,950,754 5,263,964 (686,790)
Canadian Dollar Sell 1/16/14 12,600,080 12,579,231 (20,849)
Euro Sell 3/19/14 15,259,613 15,032,444 (227,169)
Japanese Yen Sell 2/19/14 13,452,015 13,929,396 477,381
Polish Zloty Buy 3/19/14 10,451,745 10,172,129 279,616
Swiss Franc Sell 3/19/14 38,909,618 38,503,603 (406,015)
Goldman Sachs International
Australian Dollar Buy 1/16/14 4,743,688 4,965,177 (221,489)
British Pound Buy 3/19/14 1,888,103 1,903,070 (14,967)
Canadian Dollar Sell 1/16/14 17,521,385 17,496,507 (24,878)
Chilean Peso Buy 1/16/14 31,239,129 32,435,416 (1,196,287)
Chilean Peso Sell 1/16/14 31,239,129 31,390,026 150,897
Euro Sell 3/19/14 9,740,977 9,594,620 (146,357)
Japanese Yen Sell 2/19/14 12,203,212 12,631,514 428,302
HSBC Bank USA, National Association
Canadian Dollar Sell 1/16/14 12,600,174 12,739,347 139,173
Euro Sell 3/19/14 5,300,867 5,166,373 (134,494)
New Taiwan Dollar Buy 2/19/14 24,308,204 24,603,828 (295,624)
New Taiwan Dollar Sell 2/19/14 24,308,204 24,670,475 362,271
JPMorgan Chase Bank N.A.
Australian Dollar Sell 1/16/14 12,731,377 12,876,734 145,357
Brazilian Real Buy 1/3/14 36,312,133 38,199,635 (1,887,502)
Brazilian Real Sell 1/3/14 36,312,133 36,789,859 477,726
British Pound Buy 3/19/14 13,080,834 13,042,220 38,614
Canadian Dollar Sell 1/16/14 12,413,369 12,496,010 82,641
Euro Buy 3/19/14 12,664,687 12,537,889 126,798
Japanese Yen Buy 2/19/14 1,762,017 1,817,943 (55,926)
Japanese Yen Sell 2/19/14 1,762,017 1,886,183 124,166
Mexican Peso Buy 1/16/14 7,016,027 6,831,784 184,243
New Taiwan Dollar Buy 2/19/14 38,458,290 38,853,065 (394,775)
New Taiwan Dollar Sell 2/19/14 38,458,290 39,099,766 641,476
New Zealand Dollar Buy 1/16/14 11,513,304 11,871,650 (358,346)
New Zealand Dollar Sell 1/16/14 11,513,304 11,457,552 (55,752)
Norwegian Krone Buy 3/19/14 5,847,710 5,812,587 35,123
Russian Ruble Sell 3/19/14 1,401,775 1,382,193 (19,582)
Singapore Dollar Sell 2/19/14 17,681,467 18,022,088 340,621
South Korean Won Buy 2/19/14 15,472,827 15,401,894 70,933
Swiss Franc Sell 3/19/14 21,510,282 21,392,215 (118,067)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/16/14 22,044,160 23,168,016 (1,123,856)
Australian Dollar Sell 1/16/14 21,983,942 23,374,586 1,390,644
Brazilian Real Buy 1/3/14 26,717,728 28,401,505 (1,683,777)
Brazilian Real Sell 1/3/14 26,717,728 27,049,117 331,389
Canadian Dollar Sell 1/16/14 12,713,574 12,893,325 179,751
Euro Sell 3/19/14 3,035,414 2,816,741 (218,673)
Japanese Yen Sell 2/19/14 12,776,958 13,119,846 342,888
Mexican Peso Buy 1/16/14 7,630,355 7,413,671 216,684
State Street Bank and Trust Co.
Australian Dollar Buy 1/16/14 10,900,527 11,399,401 (498,874)
Brazilian Real Buy 1/3/14 33,515,821 35,637,556 (2,121,735)
Brazilian Real Sell 1/3/14 33,515,821 34,225,903 710,082
British Pound Buy 3/19/14 12,719,202 12,579,434 139,768
Canadian Dollar Sell 1/16/14 12,800,437 12,710,453 (89,984)
Euro Sell 3/19/14 13,400,946 13,452,786 51,840
Japanese Yen Sell 2/19/14 6,544,020 7,129,577 585,557
Mexican Peso Buy 1/16/14 6,813,766 6,659,052 154,714
New Taiwan Dollar Buy 2/19/14 38,458,297 38,876,001 (417,704)
New Taiwan Dollar Sell 2/19/14 38,458,297 39,049,408 591,111
New Zealand Dollar Buy 1/16/14 11,513,386 11,785,576 (272,190)
New Zealand Dollar Sell 1/16/14 11,513,386 11,451,967 (61,419)
Norwegian Krone Buy 3/19/14 2,663,166 2,645,355 17,811
Polish Zloty Buy 3/19/14 8,598,339 8,366,697 231,642
Singapore Dollar Sell 2/19/14 8,027,499 8,221,837 194,338
South Korean Won Buy 2/19/14 19,473,681 19,395,517 78,164
Swiss Franc Sell 3/19/14 12,588,465 12,393,463 (195,002)
UBS AG
Australian Dollar Sell 1/16/14 5,766,259 5,743,580 (22,679)
British Pound Sell 3/19/14 189,836 27,075 (162,761)
Canadian Dollar Sell 1/16/14 19,963,121 19,958,772 (4,349)
Euro Sell 3/19/14 9,338,594 9,157,025 (181,569)
Japanese Yen Sell 2/19/14 7,520,869 7,695,764 174,895
Mexican Peso Buy 1/16/14 13,727,485 13,224,747 502,738
New Zealand Dollar Buy 1/16/14 11,513,386 11,786,108 (272,722)
New Zealand Dollar Sell 1/16/14 11,513,386 11,354,893 (158,493)
Norwegian Krone Buy 3/19/14 4,685,642 4,654,889 30,753
Russian Ruble Sell 3/19/14 2,386,727 2,352,098 (34,629)
Singapore Dollar Sell 2/19/14 8,543,928 8,770,278 226,350
Swedish Krona Sell 3/19/14 13,942,845 13,736,826 (206,019)
Swiss Franc Sell 3/19/14 20,186,815 19,870,379 (316,436)
WestPac Banking Corp.
Australian Dollar Buy 1/16/14 6,125,882 6,641,353 (515,471)
Canadian Dollar Sell 1/16/14 12,687,412 12,759,351 71,939
Euro Sell 3/19/14 9,161,270 8,921,547 (239,723)
Japanese Yen Sell 2/19/14 7,345,465 7,496,254 150,789
Total $(8,789,374)












FUTURES CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Short) 16 $1,638,126             Mar-14 $(13,832)
Euro-Bobl 5 yr (Long) 59 10,099,518             Mar-14 (109,753)
Euro-Bund 10 yr (Short) 242 46,332,372             Mar-14 748,336
Euro-Buxl 30 yr (Short) 82 13,764,753             Mar-14 243,416
Japanese Government Bond 10 yr (Long) 20 27,218,688             Mar-14 (157,802)
Japanese Government Bond 10 yr Mini (Long) 26 3,537,195             Mar-14 (20,603)
U.K. Gilt 10 yr (Long) 1 176,458             Mar-14 (3,828)
U.S. Treasury Bond 30 yr (Long) 193 24,764,313             Mar-14 (413,575)
U.S. Treasury Note 5 yr (Short) 818 97,597,625             Mar-14 1,250,722
U.S. Treasury Note 10 yr (Long) 1,889 232,435,547             Mar-14 (3,841,969)
Total $(2,318,888)












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/13 (premiums $3,288,076) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Credit Suisse International
     (1.5775)/3 month USD-LIBOR-BBA/May-19 May-14/1.5775        $597,832,100 $807,073
Total $807,073













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)

Counterparty        Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract appreciation/
Floating rate index/Maturity date date/strike       amount (depreciation)

Goldman Sachs International
     (1.18)/3 month USD-LIBOR-BBA/May-17 (Purchased) May-14/1.18 $611,053,000 $1,405,422
     (1.1925)/3 month USD-LIBOR-BBA/May-17 (Purchased) May-14/1.1925 615,396,000 1,390,795
     1.035/6 month EUR-EURIBOR_Reuters/May-17 (Written) May-14/1.035 EUR 492,228,000 (446,924)
     1.029/6 month EUR-EURIBOR_Reuters/May-17 (Written) May-14/1.029 EUR 488,939,000 (618,823)

JPMorgan Chase Bank N.A.
     (1.155)/3 month USD-LIBOR-BBA/May-17 (Purchased) May-14/1.155 $492,318,000 1,102,792
     2.777/3 month USD-LIBOR-BBA/May-24 (Purchased) May-14/2.777 289,162,000 (2,324,862)
     (1.60)/3 month USD-LIBOR-BBA/May-19 (Written) May-14/1.60 578,323,700 2,394,260
     1.004/6 month EUR-EURIBOR_Reuters/May-17 (Written) May-14/1.004 EUR 369,171,000 (492,633)
Total $2,410,027












TBA SALE COMMITMENTS OUTSTANDING at 12/31/13 (proceeds receivable $24,206,250) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3 1/2s, January 1, 2044 $24,000,000       1/13/14 $23,861,251
Total $23,861,251









OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
CAD 76,015,000 $—      11/18/23 3 month CAD-BA-CDOR 2.9675% $(1,187,188)
CAD 101,774,000 —      12/27/23 3.20% 3 month CAD-BA-CDOR (94,084)
CAD 66,380,000 —      10/31/23 2.9075% 3 month CAD-BA-CDOR 1,271,240
CAD 33,751,000 —      11/1/23 2.9275% 3 month CAD-BA-CDOR 593,592
CAD 104,661,000 —      12/5/18 3 month CAD-BA-CDOR 2.1125% (686,134)
CAD 31,219,000 —      12/9/23 3 month CAD-BA-CDOR 3.06% (295,003)
CAD 70,913,000 —      12/11/23 3.0207% 3 month CAD-BA-CDOR 909,693
CAD 54,242,000 —      12/19/23 3 month CAD-BA-CDOR 3.135% (210,358)
CAD 28,478,000 —      12/20/23 3.10% 3 month CAD-BA-CDOR 196,288
CAD 25,668,000 —      12/24/23 3.12875% 3 month CAD-BA-CDOR 125,530
Barclays Bank PLC
AUD 22,525,000 —      11/27/23 6 month AUD-BBR-BBSW 4.57% 33,465
AUD 32,072,000 —      12/19/23 4.56% 6 month AUD-BBR-BBSW 27,233
AUD 24,351,000 —      12/16/23 4.6275% 6 month AUD-BBR-BBSW (106,889)
AUD 30,540,000 —      12/19/23 4.555% 6 month AUD-BBR-BBSW 37,161
AUD 25,553,000 —      12/23/23 4.6165% 6 month AUD-BBR-BBSW (76,123)
AUD 12,772,000 —      12/23/23 4.618% 6 month AUD-BBR-BBSW (39,421)
AUD 25,700,000 —      12/31/23 4.65425% 6 month AUD-BBR-BBSW (137,392)
AUD 25,700,000 (E) —      1/6/24 4.6275% 6 month AUD-BBR-BBSW (72,514)
AUD 38,566,000 (E) —      1/6/24 4.61% 6 month AUD-BBR-BBSW (58,802)
CHF 24,614,000 —      11/18/23 1.492% 6 month CHF-LIBOR-BBA 274,251
CHF 51,145,000 —      12/5/23 1.489% 6 month CHF-LIBOR-BBA 650,655
EUR 398,858,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 1,481,514
GBP 36,488,000 —      8/15/31 3.60% 6 month GBP-LIBOR-BBA (2,498,645)
Credit Suisse International
AUD 118,032,000 —      11/18/23 6 month AUD-BBR-BBSW 4.545% 22,935
AUD 28,611,750 —      12/16/23 4.63% 6 month AUD-BBR-BBSW (130,984)
CHF 23,358,000 —      10/22/23 6 month CHF-LIBOR-BBA 1.51875% (143,434)
CHF 37,409,000 —      11/19/23 1.4775% 6 month CHF-LIBOR-BBA 476,164
CHF 46,379,000 —      11/20/23 1.47% 6 month CHF-LIBOR-BBA 628,638
CHF 23,235,000 —      12/4/23 1.4675% 6 month CHF-LIBOR-BBA 346,278
CHF 16,370,000 —      7/18/23 1.4925% 6 month CHF-LIBOR-BBA 127,385
CHF 5,980,000 —      12/19/23 6 month CHF-LIBOR-BBA 1.5825% (23,942)
CHF 1,813,000 —      12/19/23 6 month CHF-LIBOR-BBA 1.5825% (7,259)
EUR 161,600,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (1,427,819)
SEK 119,770,000 —      11/28/23 3 month SEK-STIBOR-SIDE 2.635% (354,815)
SEK 154,540,000 —      12/19/23 3 month SEK-STIBOR-SIDE 2.69% (364,971)
SEK 226,230,000 —      12/23/23 3 month SEK-STIBOR-SIDE 2.81% (171,808)
Goldman Sachs International
AUD 79,881,000 —      11/18/23 6 month AUD-BBR-BBSW 4.545% 15,522
AUD 51,031,000 —      11/20/23 6 month AUD-BBR-BBSW 4.535% (33,196)
CAD 26,533,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR 1,198,606
CHF 64,100,000 —      7/2/23 6 month CHF-LIBOR-BBA 1.515% 141,631
CHF 64,100,000 —      7/3/23 6 month CHF-LIBOR-BBA 1.5275% 225,167
CHF 38,078,000 —      9/3/23 6 month CHF-LIBOR-BBA 1.585% 180,293
CHF 70,075,000 —      10/21/23 6 month CHF-LIBOR-BBA 1.55% (195,662)
CHF 40,600,000 —      11/7/23 1.475% 6 month CHF-LIBOR-BBA 487,702
CHF 72,558,000 —      11/8/23 6 month CHF-LIBOR-BBA 1.465% (953,145)
EUR 1,704,291,000 (E) —      8/6/17 1 month EUR-EONIA-OIS-COMPOUND 1.102% (1,195,743)
EUR 414,401,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (121,323)
EUR 414,401,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (648,716)
EUR 414,401,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (119,937)
EUR 414,401,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (681,184)
EUR 414,401,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (258,124)
EUR 414,401,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (496,855)
GBP 36,428,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% (1,860,760)
KRW 54,370,000,000 —      7/12/18 3.07% 3 month KRW-CD-KSDA-BLOOMBERG 43,159
KRW 129,130,000,000 —      7/12/15 3 month KRW-CD-KSDA-BLOOMBERG 2.771% 35,380
SEK 91,721,000 —      10/14/23 2.84% 3 month SEK-STIBOR-SIDE (28,531)
SEK 174,110,000 —      11/29/23 3 month SEK-STIBOR-SIDE 2.60% (601,065)
SEK 203,350,000 —      12/6/23 3 month SEK-STIBOR-SIDE 2.72125% (375,998)
JPMorgan Chase Bank N.A.
AUD 36,112,000 —      11/19/23 6 month AUD-BBR-BBSW 4.505% (101,395)
AUD 17,654,250 —      12/13/23 4.6375% 6 month AUD-BBR-BBSW (93,636)
AUD 25,662,000 —      12/18/23 4.5925% 6 month AUD-BBR-BBSW (42,798)
CAD 94,245,000 —      2/26/18 3 month CAD-BA-CDOR 1.65% (1,309,714)
CAD 20,168,000 —      8/6/23 3 month CAD-BA-CDOR 3.01625% (69,506)
CAD 50,185,000 —      9/17/23 3 month CAD-BA-CDOR 3.23% 571,247
CAD 24,535,500 —      11/6/23 3 month CAD-BA-CDOR 3.003% (285,691)
CAD 20,483,000 —      11/26/23 3 month CAD-BA-CDOR 2.955% (353,208)
CAD 34,468,000 —      12/5/23 3 month CAD-BA-CDOR 3.065% (298,858)
CAD 30,694,000 —      12/13/23 3 month CAD-BA-CDOR 3.076% (256,123)
CAD 30,694,000 —      12/13/23 3 month CAD-BA-CDOR 3.063% (289,548)
CAD 25,691,000 —      12/17/23 3 month CAD-BA-CDOR 3.072% (232,022)
SEK 200,855,000 —      11/12/23 2.745% 3 month SEK-STIBOR-SIDE 264,777
SEK 205,670,000 —      12/23/23 3 month SEK-STIBOR-SIDE 2.80% (184,404)
ZAR 1,168,615,000 —      7/10/15 5.90% 3 month ZAR-JIBAR-SAFEX (238,376)
ZAR 525,149,000 —      7/10/18 3 month ZAR-JIBAR-SAFEX 7.11% 11,515
Total $—      $(9,036,082)
(E)    Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$318,843,900 (E) $(3,571)     11/21/23 3 month USD-LIBOR-BBA 4.22125% $(4,763,910)
452,758,300 (E) (2,513)     11/21/18 2.1525% 3 month USD-LIBOR-BBA 5,444,170
446,207,000 (E) 2,164,372      3/19/19 3 month USD-LIBOR-BBA 1.90% 2,927,386
8,576,000 (541)     9/25/23 3 month USD-LIBOR-BBA 2.92% (20,244)
452,758,300 (E) (3,645)     11/20/18 2.14% 3 month USD-LIBOR-BBA 5,547,172
318,843,900 (E) (3,571)     11/20/23 3 month USD-LIBOR-BBA 4.255% (4,311,152)
1,561,536,600 (E) 18,782,692      3/19/19 3 month USD-LIBOR-BBA 2.00% 13,863,851
2,271,652,100 (E) 10,987,915      3/19/16 3 month USD-LIBOR-BBA 0.75% 3,605,045
127,657,900 (E) 1,891,789      3/19/44 3 month USD-LIBOR-BBA 3.75% (3,224,740)
1,508,465,300 (E) 23,509,780      3/19/24 3 month USD-LIBOR-BBA 3.25% 13,523,741
4,165,000,000 (E) (13,536)     12/5/16 3 month USD-LIBOR-BBA 1.237% 13,272,814
59,543,000 (E) 278,643      3/19/24 3 month USD-LIBOR-BBA 3.15% 417,378
EUR 45,453,000 (813)     12/9/23 2.044% 6 month EUR-EURIBOR-REUTERS 499,864
EUR 87,798,000 (834)     9/3/23 2.1825% 6 month EUR-EURIBOR-REUTERS (1,538,325)
EUR 39,949,000 (375)     7/17/23 1.918% 6 month EUR-EURIBOR-REUTERS 451,881
EUR 31,584,000 (297)     7/17/23 1.906% 6 month EUR-EURIBOR-REUTERS 406,513
EUR 338,991,000 (E) (1,810)     9/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.53% 1,523,154
EUR 70,094,000 (681)     10/21/23 6 month EUR-EURIBOR-REUTERS 2.168% 723,443
EUR 91,098,000 (891)     12/5/23 1.9825% 6 month EUR-EURIBOR-REUTERS 1,672,313
EUR 618,200,000 (E) (1,894)     12/4/16 6 month EUR-EURIBOR-REUTERS 0.926% (1,685,800)
EUR 79,358,000 (775)     12/5/23 1.9885% 6 month EUR-EURIBOR-REUTERS 1,396,284
EUR 20,704,000 (204)     12/9/23 2.095% 6 month EUR-EURIBOR-REUTERS 92,249
EUR 28,765,000 (E) (284)     7/18/23 6 month EUR-EURIBOR-REUTERS 2.932% (185,481)
EUR 68,840,000 (681)     12/18/23 2.05% 6 month EUR-EURIBOR-REUTERS 793,181
EUR 2,067,000 (20)     12/20/23 2.052% 6 month EUR-EURIBOR-REUTERS 23,855
EUR 618,200,000 (E) (3,121)     11/25/16 6 month EUR-EURIBOR-REUTERS 0.915% (1,636,000)
EUR 618,200,000 (E) (3,121)     11/25/16 6 month EUR-EURIBOR-REUTERS 0.925% (1,550,954)
EUR 618,200,000 (E) (2,730)     12/5/16 6 month EUR-EURIBOR-REUTERS 0.918% (1,754,673)
EUR 38,362,000 (E) (591)     7/19/23 6 month EUR-EURIBOR-REUTERS 2.92% (277,658)
EUR 75,041,000 (1,365)     1/2/24 6 month EUR-EURIBOR-REUTERS 2.1675% 139,033
EUR 137,700,000 (E) (2,005)     7/2/23 2.895% 6 month EUR-EURIBOR-Telerate 1,108,078
EUR 137,700,000 (E) (2,010)     7/3/23 2.89% 6 month EUR-EURIBOR-REUTERS 1,153,536
EUR 262,304,000 (4,515)     7/15/23 1.945% 6 month EUR-EURIBOR-REUTERS 2,017,799
EUR 84,676,000 (E) (1,254)     9/3/23 3.0925% 6 month EUR-EURIBOR-REUTERS (121,238)
EUR 37,953,000 (690)     1/2/24 6 month EUR-EURIBOR-REUTERS 2.171% 87,026
EUR 618,200,000 (E) (3,131)     11/27/16 6 month EUR-EURIBOR-REUTERS 0.942% (1,448,909)
EUR 48,151,000 (864)     12/6/23 2.028% 6 month EUR-EURIBOR-REUTERS 608,311
EUR 25,479,000 (459)     12/9/23 2.092% 6 month EUR-EURIBOR-REUTERS 123,194
EUR 42,865,000 (776)     12/11/23 2.09% 6 month EUR-EURIBOR-REUTERS 229,638
EUR 46,350,000 (839)     12/12/23 2.081% 6 month EUR-EURIBOR-REUTERS 311,237
EUR 25,054,000 (456)     12/16/23 2.068% 6 month EUR-EURIBOR-REUTERS 224,855
EUR 527,900,000 (E) (4,023)     9/20/17 1 month EUR-EONIA-OIS-COMPOUND 1.015% (1,521,848)
EUR 11,917,000 (216)     12/20/23 2.037% 6 month EUR-EURIBOR-REUTERS 160,296
EUR 37,528,000 (683)     1/2/24 6 month EUR-EURIBOR-REUTERS 2.166% 62,303
EUR 35,042,000 (632)     10/22/23 6 month EUR-EURIBOR-REUTERS 2.125% 165,168
GBP 21,976,000 (259)     12/19/23 2.90% 6 month GBP-LIBOR-BBA 250,576
GBP 158,327,000 (E) 2,026,555      3/19/24 6 month GBP-LIBOR-BBA 3.00% 3,641,592
JPY 7,465,647,000 (1,342)     7/12/43 2.024375% 6 month JPY-LIBOR-BBA (2,890,349)
JPY 2,336,245,000 (429)     10/3/43 6 month JPY-LIBOR-BBA 1.8425% (212,278)
JPY 35,929,069,000 (1,454)     7/12/18 6 month JPY-LIBOR-BBA 0.5175% 3,030,370
JPY 3,732,821,000 (677)     7/18/43 1.9825% 6 month JPY-LIBOR-BBA (1,059,336)
JPY 17,964,532,000 (733)     7/18/18 6 month JPY-LIBOR-BBA 0.4825% 1,197,999
JPY 26,946,800,500 (1,107)     8/28/18 0.4475% 6 month JPY-LIBOR-BBA (1,191,724)
JPY 5,621,798,000 (232)     10/3/18 0.403% 6 month JPY-LIBOR-BBA (99,455)
JPY 2,803,490,000 (519)     10/15/43 6 month JPY-LIBOR-BBA 1.73% (1,019,877)
JPY 5,621,798,000 (461)     10/3/18 0.403% 6 month JPY-LIBOR-BBA (99,684)
JPY 2,336,245,000 (810)     10/3/43 6 month JPY-LIBOR-BBA 1.843% (209,968)
Total $59,563,306     $49,871,702
(E)    Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/13 (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.
$15,272,881 $—      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools $128,999
10,855,890 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (44,734)
Barclays Bank PLC
5,653,854 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,806
2,785,687 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,908
2,452,342 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 26,344
2,785,687 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (6,869)
2,410,367 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (7,576)
2,214,103 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (2,229)
8,148,701 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 24,647
7,018,341 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,413
6,238,759 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,922
70,925,517 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 258,914
10,762,302 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (33,818)
3,433,279 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,561
3,075,587 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (9,664)
1,700,236 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (3,571)
2,159,700 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,128
26,821,759 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 51,256
6,745,723 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 53,918
19,295,966 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (46,064)
20,535,425 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 39,243
6,098,488 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (19,163)
996,069 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,511
2,497,956 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,774
22,849,310 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 83,411
3,296,761 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 6,301
29,495,855 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (70,413)
20,104,142 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (63,172)
8,144,307 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,442)
3,737,496 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,143
548,061 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Ginnie Mae II pools (3,516)
30,140,658 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (63,301)
110,657,046 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 211,462
31,242,352 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 59,703
4,954,204 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 9,468
16,065,668 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 30,704
11,647,293 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 22,260
115,474 —      1/12/39 (6.00%)1 month USD-LIBOR Synthetic TRS Index 6.00% 30 year Fannie Mae pools 923
2,852,526 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 13,259
12,738,176 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (107,590)
44,042,321 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (105,139)
9,829,592 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (57,750)
28,652,262 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (242,005)
6,682,196 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (38,547)
3,340,705 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (19,271)
3,340,705 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (19,271)
6,705,072 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (38,679)
17,414,818 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (100,460)
6,705,296 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (38,681)
11,864,606 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 55,150
7,142,748 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 33,202
5,496,680 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 10,504
9,059,209 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 42,110
13,988,715 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (33,394)
13,642,111 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 89,170
1,957,412 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 12,794
13,386,931 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (77,225)
7,859,031 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (18,761)
49,233,226 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (528,881)
5,947,700 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,199)
Citibank, N.A.
3,332,733 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,369
20,047,899 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 38,311
8,132,577 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 29,688
13,760,206 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (116,223)
11,227,487 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (40,986)
17,984,227 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (65,651)
24,522,074 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (207,121)
20,970,700 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (86,414)
Credit Suisse International
11,771,244 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 22,495
61,215,076 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools 14,862
2,452,342 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,686
13,356,614 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (31,885)
160,336 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,698
518,029 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 504
666,628 —      1/12/36 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 857
563,274 —      1/12/39 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 725
2,875,533 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 9,904
2,875,533 —      1/12/42 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (5,143)
4,582,765 —      1/12/43 3.00% (1 month USD-LIBOR) Synthetic TRS Index 3.00% 30 year Fannie Mae pools 4,294
20,931,787 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (76,412)
17,484,799 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (63,828)
16,976,693 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (61,973)
17,137,706 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (62,561)
21,575,546 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (182,233)
11,949,151 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (43,620)
22,454,010 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (81,968)
20,698,319 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (174,824)
22,067,520 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (186,389)
23,043,053 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (194,628)
8,445,038 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (71,329)
21,068,004 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 97,931
21,078,864 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (226,437)
27,613,386 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (113,787)
25,854,555 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (277,739)
35,435,280 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 129,357
Deutsche Bank AG
3,639,543 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (11,436)
13,356,614 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (31,885)
398,644 —      1/12/34 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 1,987
698,101 —      1/12/36 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 4,026
Goldman Sachs International
11,568,477 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 42,231
14,173,138 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 113,285
2,410,367 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,799
2,214,103 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 18,701
4,640,310 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 30,331
20,365,479 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 61,598
20,365,479 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 61,598
19,698,479 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 71,909
30,555,947 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 258,084
27,640,417 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 233,459
6,716,930 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (16,035)
2,523,398 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,024)
51,461,506 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 434,659
4,965,373 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 39,688
1,669,577 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,986)
73,770,416 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 303,987
1,580,721 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 12,635
9,894,372 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 79,085
2,251,739 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (13,229)
2,893,933 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 6,908
3,890,736 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools (7,436)
1,962,416 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic MBX Index 5.50% 30 year Fannie Mae pools 11,321
3,232,274 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 6,788
21,411,768 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 78,164
5,000,939 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,938)
9,201,482 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (21,966)
466,633 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,169
635,875 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Ginnie Mae II pools (2,222)
6,001,349 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,327)
3,102,407 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 20,279
458,243 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,094)
1,222,464 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,918)
417,505 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (997)
17,777 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 116
6,022,163 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 39,363
15,998,085 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 58,401
22,185,597 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 67,103
3,450,459 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,237)
6,432,930 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 51,418
13,367,501 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 112,906
28,907,961 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 87,436
15,272,881 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 128,999
18,366,511 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 67,047
20,030,628 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 73,122
20,018,094 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 73,076
145,862,000 —      8/9/18 2.2575% USA Non Revised Consumer Price Index- Urban (CPI-U) 1,642,404
145,862,000 —      8/15/18 2.225% USA Non Revised Consumer Price Index- Urban (CPI-U) 1,409,027
JPMorgan Chase Bank N.A.
31,711,264 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 115,762
20,425,541 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 172,520
2,673,579 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,760)
Royal Bank of Scotland PLC (The)
2,410,367 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,799
Total $—      $3,334,753











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/13 (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 $39,713 $581,000 5/11/63 300 bp $30,466
  CMBX NA BBB- Index BBB-/P 79,608 1,321,000 5/11/63 300 bp 58,582
  CMBX NA BBB- Index BBB-/P 163,473 2,648,000 5/11/63 300 bp 121,325
  CMBX NA BBB- Index BBB-/P 155,838 2,734,000 5/11/63 300 bp 112,322
Barclays Bank PLC
  CMBX NA BBB Index BBB-/P 411,735 3,714,000 5/11/63 300 bp 352,621
  Irish Gov't, 4.50%, 4/18/20 — (336,426) 4,199,000 9/20/17 (100 bp) (353,992)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (685,119) 4,199,000 9/20/17 (100 bp) (400,945)
  Republic of Argentina, 8.28%, 12/31/33 B3 110,000 11,000,000 1/20/14 500 bp 56,833
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 202,017 2,538,000 5/11/63 300 bp 161,620
  CMBX NA BBB- Index BBB-/P 199,232 2,735,000 5/11/63 300 bp 155,700
  CMBX NA BBB- Index BBB-/P 32,415 2,792,000 5/11/63 300 bp (12,024)
  CMBX NA BBB- Index BBB-/P 47,813 3,112,000 5/11/63 300 bp (1,719)
  CMBX NA BBB- Index BBB-/P 254,058 3,184,000 5/11/63 300 bp 203,379
  CMBX NA BBB- Index BBB-/P 361,220 3,197,000 5/11/63 300 bp 310,335
  CMBX NA BBB- Index BBB-/P 211,953 3,222,000 5/11/63 300 bp 160,670
  CMBX NA BBB- Index BBB-/P 249,546 3,223,000 5/11/63 300 bp 198,247
  CMBX NA BBB- Index BBB-/P 56,804 3,224,000 5/11/63 300 bp 5,488
  CMBX NA BBB- Index BBB-/P 98,311 3,231,000 5/11/63 300 bp 46,884
  CMBX NA BBB- Index BBB-/P 306,092 3,994,000 5/11/63 300 bp 242,521
  CMBX NA BBB- Index BBB-/P 254,058 6,191,000 5/11/63 300 bp 155,519
  CMBX NA BBB- Index BBB-/P 122,967 1,424,000 5/11/63 300 bp 100,301
  CMBX NA BBB- Index BBB-/P 166,893 1,918,000 5/11/63 300 bp 136,364
  CMBX NA BBB- Index BBB-/P 149,128 3,116,000 5/11/63 300 bp 99,532
  CMBX NA BBB- Index BBB-/P 155,182 3,592,000 5/11/63 300 bp 98,009
  Spain Gov't, 5.50%, 7/30/17 — (495,028) 4,199,000 9/20/17 (100 bp) (459,077)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 B3 334,446 2,860,000 3/20/17 500 bp (569,445)
Total $2,645,929 $1,009,516
*   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 December 31, 2013. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
RUB Russian Ruble
SEK Swedish Krona
USD / $ United States Dollar
ZAR South African Rand
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
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2013 through December 31, 2013 (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 $5,268,391,827.
(b) The aggregate identified cost on a tax basis is $5,392,801,621, resulting in gross unrealized appreciation and depreciation of $198,850,346 and $61,368,104, respectively, or net unrealized appreciation of $137,482,242.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership 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 Money Market Liquidity Fund * $166,284,163 $121,228,197 $95,998,762 $32,186 $191,513,598
Putnam Short Term Investment Fund * 54,735,660 505,547,360 343,821,915 44,799 216,461,105
Totals $221,019,823 $626,775,557 $439,820,677 $76,985 $407,974,703
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(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.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(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.
At the close of the reporting period, the fund maintained liquid assets totaling $886,788,979 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 84.4%
Greece 2.0
Russia 1.8
Venezuela 1.7
Argentina 1.5
Luxembourg 1.2
United Kingdom 1.1
Canada 0.8
Ireland 0.7
Germany 0.5
Ukraine 0.5
Other 3.8
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. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to 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 recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at 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 and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC 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 an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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. 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 close of the contract. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties are settled through a central clearing agent through variation margin payments. 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.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $14,604,891 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $12,856,006.
TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at 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.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at their fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. Based on market circumstances, Putnam Management will determine whether to deliver the underlying securities or to dispose of the TBA commitments prior to settlement. TBA sale commitments outstanding at period end, if any, are listed after the fund's portfolio.












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
Convertible bonds and notes $— $1,242,150 $—
Corporate bonds and notes — 1,536,893,401 —
Foreign government and agency bonds and notes — 355,131,123 —
Mortgage-backed securities — 2,353,534,274 —
Purchased swap options outstanding — 1,049,196 —
Senior loans — 81,262,618 —
U.S. government and agency mortgage obligations — 388,902,268 —
U.S. treasury obligations — 78,045 —
Short-term investments 407,974,703 404,216,085 —
Totals by level $407,974,703 $5,122,309,160 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(8,789,374) $—
Futures contracts (2,318,888) — —
Written swap options outstanding — (807,073) —
Forward premium swap option contracts — 2,410,027 —
TBA sale commitments — (23,861,251) —
Interest rate swap contracts — (18,727,686) —
Total return swap contracts — 3,334,753 —
Credit default contracts — (1,636,413) —
Totals by level $(2,318,888) $(48,077,017) $—


At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
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 $320,125 $1,956,538
Foreign exchange contracts 17,056,433 25,845,807
Interest rate contracts 72,942,034 88,001,705
Total $90,318,592 $115,804,050


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 swap option contracts (contract amount) $1,954,800,000
Written swap option contracts (contract amount) $2,434,200,000
Futures contracts (number of contracts) 6,000
Forward currency contracts (contract amount) $3,425,200,000
OTC interest rate swap contracts (notional) $9,084,200,000
Centrally cleared interest rate swap contracts (notional) $19,581,000,000
OTC total return swap contracts (notional) $2,598,500,000
OTC credit default swap contracts (notional) $93,000,000

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 Diversified Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 27, 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: February 27, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 27, 2014

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