a_premierinc.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT 
INVESTMENT COMPANY
Investment Company Act file number: (811-05452)   
Exact name of registrant as specified in charter:  Putnam Premier Income Trust 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
Copy to:    John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  800 Boylston Street 
  Boston, Massachusetts 02199-3600 
Registrant’s telephone number, including area code:  (617) 292-1000 
Date of fiscal year end: July 31, 2011     
Date of reporting period: April 30, 2011     

 

Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/11 (Unaudited)
CORPORATE BONDS AND NOTES (29.6%)(a)
Principal amount Value
Basic materials (2.4%)
American Rock Salt Co. LLC/American Rock Capital Corp. 144A sr. notes 8 1/4s, 2018 $132,000 $133,650
Associated Materials, LLC 144A company guaranty sr. notes 9 1/8s, 2017 502,000 540,278
Atkore International, Inc. 144A sr. notes 9 7/8s, 2018 415,000 451,313
Catalyst Paper Corp. 144A company guaranty sr. notes 11s, 2016 (Canada) 240,000 240,900
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 620,000 652,550
Chemtura Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2018 168,000 180,180
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.31s, 2013 (Netherlands) 165,000 159,638
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 860,000 920,200
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 657,000 694,192
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 535,000 562,285
Georgia-Pacific, LLC sr. unsec. unsub. notes 8 1/8s, 2011 110,000 110,138
Georgia-Pacific, LLC 144A company guaranty 7 1/8s, 2017 135,000 143,438
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 110,000 119,900
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 375,000 406,875
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A sr. notes 9s, 2020 476,000 514,080
Huntsman International, LLC 144A company guaranty sr. unsec. sub. notes 8 5/8s, 2021 661,000 741,973
Ineos Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom) EUR 270,000 432,930
Ineos Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) $445,000 488,388
Ineos Group Holdings PLC company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 329,000 486,186
JMC Steel Group 144A sr. notes 8 1/4s, 2018 $160,000 167,600
KRATON Polymers, LLC/KRATON Polymers Capital Corp. 144A sr. notes 6 3/4s, 2019 145,000 147,538
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany) EUR 678,400 1,017,336
Lyondell Chemical Co. sr. notes 11s, 2018 $1,590,000 1,796,700
Lyondell Chemical Co. 144A company guaranty sr. notes 8s, 2017 1,008,000 1,123,920
Momentive Performance Materials, Inc. 144A notes 9s, 2021 691,000 744,553
Nalco Co. 144A sr. notes 6 5/8s, 2019 165,000 169,950
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 420,000 417,900
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A sr. sub. notes 8 3/8s, 2018 140,000 145,250
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 500,000 558,750
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 546,000 554,190
Omnova Solutions, Inc. 144A company guaranty sr. notes 7 7/8s, 2018 135,000 138,375
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 834,000 1,405,493
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria) $125,000 144,375
Rockwood Specialties Group, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2014 EUR 130,000 197,004
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.343s, 2015 (Germany) EUR 339,000 494,430
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $259,000 265,475
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 380,000 420,375
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 451,000 494,973
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2012 98,000 104,125
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 550,000 587,813
Teck Resources Limited sr. notes 10 3/4s, 2019 (Canada) 487,000 622,776
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) 291,000 351,383
TPC Group, LLC 144A sr. notes 8 1/4s, 2017 489,000 525,675
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 125,000 130,156
USG Corp. 144A company guaranty sr. notes 8 3/8s, 2018 165,000 173,250
Vartellus Specialties, Inc. 144A company guaranty sr. notes 9 3/8s, 2015 84,000 88,410
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty Ser. B, 11 3/8s, 2016 193,000 205,545
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 605,000 659,450
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr. notes 8 3/4s, 2019 200,000 206,500
22,038,364
Capital goods (1.7%)
Alliant Techsystems, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2020 565,000 591,838
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 466,000 482,310
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 11 1/4s, 2015 501,380 555,228
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 7 1/8s, 2019(FWC) 140,000 141,750
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 225,000 244,688
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 244,000 244,915
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 80,000 82,200
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 205,000 229,088
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 190,000 291,486
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland) EUR 130,000 199,438
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $689,000 724,311
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 225,000 226,406
Berry Plastics Corp. 144A sr. notes 9 3/4s, 2021 262,000 262,983
Berry Plastics Holding Corp. company guaranty notes FRN 4.185s, 2014 260,000 243,750
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 330,000 350,625
Crown Americas, LLC/Crown Americas Capital Corp. III 144A sr. notes 6 1/4s, 2021 330,000 339,075
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 100,000 153,773
Exide Technologies 144A sr. notes 8 5/8s, 2018 $220,000 235,950
Griffon Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2018 160,000 165,800
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 367,000 402,783
Kratos Defense & Security Solutions, Inc. 144A sr. notes 10s, 2017 525,000 576,188
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 860,000 1,067,204
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 70,000 77,875
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 217,000 226,765
Polypore International, Inc. 144A sr. notes 7 1/2s, 2017 265,000 280,734
Pregis Corp. company guaranty notes FRN 6.327s, 2013 EUR 80,000 114,887
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 $255,000 251,813
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom) EUR 350,000 509,949
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 714,000 1,151,290
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A sr. notes 7 3/4s, 2016 (Luxembourg) EUR 843,000 1,302,222
Reynolds Group Issuer, Inc. 144A sr. notes 9s, 2019 $185,000 194,944
Reynolds Group Issuer, Inc. 144A sr. notes 7 1/8s, 2019 310,000 323,175
Reynolds Group Issuer, Inc. 144A sr. notes 6 7/8s, 2021 (New Zealand) 100,000 103,125
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/4s, 2021 (New Zealand) 120,000 121,950
Ryerson, Inc. company guaranty sr. notes 12s, 2015 777,000 839,160
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 345,000 366,563
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 330,000 338,250
Terex Corp. sr. unsec. sub. notes 8s, 2017 137,000 144,878
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 742,000 787,448
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 309,000 332,175
TransDigm, Inc. 144A sr. sub. notes 7 3/4s, 2018 665,000 716,538
15,995,530
Communication services (3.6%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 170,000 180,625
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 440,000
CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016 496,525 598,933
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 145,000 157,144
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 330,000 344,025
Cequel Communications Holdings I LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 347,000 372,158
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015 195,000 198,900
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 620,000 595,975
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 1,453,000 1,580,138
CPI International Acquisition, Inc. 144A sr. notes 8s, 2018 120,000 119,400
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 670,000 684,238
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 870,000 957,000
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 1,110,000 1,184,925
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 160,000 171,000
CSC Holdings LLC sr. notes 6 3/4s, 2012 196,000 203,350
CSC Holdings LLC sr. unsec. unsub. notes 8 1/2s, 2014 285,000 318,844
Digicel Group, Ltd. 144A sr. notes 8 1/4s, 2017 (Jamaica) 865,000 916,900
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 140,000 151,725
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 1,586,000 1,712,880
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 350,000 370,125
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) 491,000 498,365
Intelsat Jackson Holdings SA 144A sr. unsec. notes 7 1/4s, 2020 (Bermuda) 45,000 45,338
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 960,562 1,051,815
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 586,000 639,473
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 310,000 339,450
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) EUR 305,000 467,505
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 $529,000 548,838
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 285,000 302,813
Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 131,000 142,135
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 1,064,000 1,143,800
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 326,000 326,408
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 990,000 1,136,025
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 195,000 204,750
PAETEC Holding Corp. 144A sr. unsec. notes 9 7/8s, 2018 371,000 401,608
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 616,000 672,210
PAETEC Holding Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2015 445,000 467,250
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 410,000 685,151
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 $359,000 366,180
Qwest Communications International, Inc. company guaranty Ser. B, 7 1/2s, 2014 140,000 142,800
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 145,000 164,213
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012 1,566,000 1,663,875
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 403,010
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 235,000 259,381
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 405,000 438,919
Sprint Capital Corp. company guaranty 8 3/4s, 2032 140,000 153,300
Sprint Capital Corp. company guaranty 6 7/8s, 2028 270,000 258,863
Sprint Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2012 145,000 153,156
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 2,450,000 2,747,063
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 263,000 266,616
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) EUR 145,000 227,274
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) CHF 160,000 196,340
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 153,929
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 678,000 1,097,487
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 489,000 761,186
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) EUR 677,000 1,088,143
Virgin Media Finance PLC company guaranty sr. unsec. bond 8 7/8s, 2019 (United Kingdom) GBP 79,000 149,489
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Netherlands) EUR 760,000 1,186,761
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $140,000 150,850
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 584,000 630,720
Windstream Corp. 144A company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 315,000 333,113
33,323,887
Conglomerates (0.1%)
SPX Corp. sr. unsec. notes 7 5/8s, 2014 270,000 298,688
SPX Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2017 160,000 171,200
469,888
Consumer cyclicals (4.9%)
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 560,000 582,400
Affinion Group, Inc. 144A sr. notes 7 7/8s, 2018 955,000 909,638
AMC Entertainment, Inc. sr. sub. notes 8s, 2014 68,000 68,935
AMC Entertainment, Inc. 144A sr. sub. notes 9 3/4s, 2020 410,000 436,650
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 430,000 457,950
Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021 390,000 399,263
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 600,000 628,500
Beazer Homes USA, Inc. 144A sr. notes 9 1/8s, 2019 270,000 269,325
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 675,000 693,563
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 117,000 122,265
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 235,000 247,338
Building Materials Corp. 144A sr. notes 7s, 2020 140,000 145,950
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 180,000 185,850
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 360,000 364,950
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019 320,000 327,200
Caesars Entertainment Operating Co., Inc. company guaranty notes 10s, 2018 350,000 328,563
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 11 1/4s, 2017 845,000 963,300
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 9 1/8s, 2018 170,000 185,300
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 138,000 138,690
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 265,000 268,975
Citadel Broadcasting Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2018 135,000 146,138
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017(PIK) 475,000 499,938
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 214,000 208,115
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2021 428,000 434,420
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 1,083,000 1,204,838
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 305,000 329,400
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019(FWC) 400,000 400,000
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016 262,000 288,855
DISH DBS Corp. company guaranty 7 1/8s, 2016 135,000 143,775
DISH DBS Corp. company guaranty 6 5/8s, 2014 1,488,000 1,581,000
DR Horton, Inc. sr. notes 7 7/8s, 2011 60,000 60,525
FelCor Escrow Holdings, LLC 144A sr. notes 6 3/4s, 2019 (R )(FWC) 695,000 694,131
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 890,000 890,481
Goodyear Tire & Rubber Co. (The) sr. unsec. notes 10 1/2s, 2016 231,000 261,608
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 480,000 517,200
Grupo Televisa SA sr. unsec. bonds 6 5/8s, 2040 (Mexico) 195,000 207,198
Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico) 260,000 286,287
Gymboree Corp. 144A sr. unsec. notes 9 1/8s, 2018 200,000 196,000
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 407,000 402,930
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016(R) 140,000 144,550
Interactive Data Corp. 144A company guaranty sr. notes 10 1/4s, 2018 602,000 671,230
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 350,000 350,875
Isle of Capri Casinos, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2019 821,000 837,420
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 250,000 387,162
Jarden Corp. company guaranty sr. sub. notes Ser. 1, 7 1/2s, 2020 EUR 75,000 116,535
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 $615,000 660,356
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 225,000 262,125
Lear Corp. company guaranty sr. unsec. bonds 7 7/8s, 2018 168,000 184,380
Lear Corp. company guaranty sr. unsec. notes 8 1/8s, 2020 276,000 306,360
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 1,760,000 1,812,800
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 155,000 161,588
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 360,000 372,600
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy) EUR 1,747,000 2,684,909
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 $460,000 496,225
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, 2015 (In default)(NON) 760,000 95,000
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 125,000 127,734
MGM Resorts International company guaranty sr. notes 9s, 2020 240,000 267,600
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 145,000 136,663
MTR Gaming Group, Inc. company guaranty sr. notes 12 5/8s, 2014 485,000 514,100
Navistar International Corp. sr. notes 8 1/4s, 2021 760,000 845,500
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 315,000 322,875
Neiman-Marcus Group, Inc. company guaranty sr. unsec. notes 9s, 2015 211,000 221,023
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 7 3/4s, 2018 345,000 371,738
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 355,000 354,113
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 266,000 284,620
Owens Corning company guaranty unsec. unsub. notes 9s, 2019 1,248,000 1,486,680
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 115,000 126,213
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 380,000 393,300
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 235,000 253,800
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 230,000 253,575
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 120,000 132,000
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 625,000 637,500
Ply Gem Industries, Inc. 144A sr. notes 8 1/4s, 2018 155,000 159,263
Polish Television Holding BV sr. notes Ser. REGS, stepped-coupon 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 675,000 1,066,591
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 $120,000 121,200
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 325,000 334,750
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 354,000 345,150
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 330,000 341,550
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 145,000 145,363
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 355,000 399,375
Sears Holdings Corp. 144A sr. notes 6 5/8s, 2018 323,000 316,136
Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015 932,000 1,048,500
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 81,000 85,253
Standard Pacific Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 125,000 128,750
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 144A sr. notes 8 5/8s, 2016 165,000 168,713
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 45,000 48,431
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 105,000 110,250
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 135,000 145,125
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 820,000 929,675
Travelport LLC company guaranty 11 7/8s, 2016 375,000 330,938
Travelport LLC company guaranty 9 7/8s, 2014 325,000 307,125
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 210,000 190,050
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 235,000 366,262
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $800,000 882,000
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden) EUR 50,000 74,624
Universal City Development Partners, Ltd. company guaranty sr. unsec. notes 8 7/8s, 2015 $570,000 627,000
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019(FWC) 455,000 456,706
Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 (In default)(F)(NON)(PIK) 554,961 27,748
Visteon Corp. 144A sr. notes 6 3/4s, 2019 575,000 569,250
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty mtge. notes 7 3/4s, 2020 250,000 273,125
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 205,000 243,438
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 603,000 642,195
Yankee Acquisition Corp. company guaranty sr. notes Ser. B, 8 1/2s, 2015 310,000 323,175
YCC Holdings, LLC/Yankee Finance, Inc. 144A sr. unsec. notes 10 1/4s, 2016 305,000 314,150
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016(FWC) 641,000 705,100
44,977,554
Consumer staples (1.4%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,500,000 954,959
ARAMARK Holdings Corp. 144A sr. notes 8 5/8s, 2016(PIK) 167,000 171,593
Archibald Candy Corp. company guaranty sub. notes 10s, 2011 (In default)(F)(NON) $170,069 5,442
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 275,000 305,250
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 730,000 753,725
Bumble Bee Acquisition Corp. 144A company guaranty sr. notes 9s, 2017 360,000 377,100
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 432,000 456,840
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 463,000 488,465
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 220,000 212,300
CKE Restaurants, Inc. company guaranty sr. notes 11 3/8s, 2018 505,000 563,075
Claires Escrow Corp. 144A sr. notes 8 7/8s, 2019 320,000 311,200
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 142,000 154,780
Darling International, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2018 100,000 109,000
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 279,000 268,538
DineEquity, Inc. 144A sr. unsec. notes 9 1/2s, 2018 265,000 289,513
Dole Food Co. 144A sr. notes 8s, 2016 207,000 221,231
Dunkin Finance Corp. 144A sr. notes 9 5/8s, 2018 139,000 141,780
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 236,000 388,403
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $380,000 399,950
Europcar Groupe SA company guaranty sr. sub. bonds FRB Ser. REGS, 4.593s, 2013 (France) EUR 119,000 174,543
Foodcorp (Pty), Ltd. 144A company guaranty sr. notes 8 3/4s, 2018 (South Africa) EUR 180,000 263,475
Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014 $13,000 13,325
Hertz Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2018 155,000 162,750
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 360,000 572,561
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 $164,000 177,530
Libbey Glass, Inc. sr. notes 10s, 2015 114,000 124,545
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 330,000 352,275
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2018 170,000 181,475
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 620,000 631,625
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 542,000 501,350
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 125,000 134,688
Roadhouse Financing, Inc. 144A sr. notes 10 3/4s, 2017 270,000 292,275
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 220,000 232,100
Service Corporation International sr. notes 7s, 2019 180,000 191,250
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 130,000 154,050
Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018 614,000 686,145
Stewart Enterprises, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2019 310,000 312,325
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 120,000 144,900
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 170,000 180,625
West Corp. 144A sr. notes 7 7/8s, 2019 447,000 460,410
West Corp. 144A sr. unsec. notes 8 5/8s, 2018 51,000 54,060
12,571,426
Energy (5.6%)
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 255,000 292,051
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 905,000 1,008,867
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 585,000 660,735
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 720,000 776,700
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 582,000 585,638
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 150,000 156,000
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018 669,000 745,935
Carrizo Oil & Gas, Inc. 144A sr. unsec. notes 8 5/8s, 2018 814,000 868,945
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 914,000 968,840
Chaparral Energy, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2021 160,000 169,200
Chaparral Energy, Inc. 144A sr. notes 9 7/8s, 2020 325,000 367,250
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 1,150,000 1,384,313
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. notes 5 7/8s, 2021 160,000 161,400
Complete Production Services, Inc. company guaranty 8s, 2016 770,000 812,350
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, 2015 (Canada) 807,000 857,438
Connacher Oil and Gas, Ltd. 144A sr. sec. notes 11 3/4s, 2014 (Canada) 230,000 246,100
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 293,000 326,695
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 1,667,000 1,842,035
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 65,000 65,325
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 850,000 928,625
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 302,000 335,220
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 225,000 231,750
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 945,000 956,813
Expro Finance Luxemburg 144A sr. notes 8 1/2s, 2016 (Luxembourg) 364,000 355,810
Ferrellgas LP/Ferrellgas Finance Corp. 144A sr. notes 6 1/2s, 2021 234,000 229,320
Forest Oil Corp. company guaranty sr. unsec. notes 8s, 2011 1,465,000 1,518,106
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 1/8s, 2018 420,000 447,300
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 780,000 839,514
Gazprom OAO Via Gaz Capital SA 144A company guaranty sr. unsec. bond 8.146s, 2018 (Russia) 316,000 372,194
Gazprom OAO Via Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019 (Russia) 1,855,000 2,315,318
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Russia) 485,000 512,888
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 618,873
Gazprom OAO Via White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) 485,000 584,284
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 451,000 455,510
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 1,043,000 1,105,580
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014 790,000 797,900
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2021 492,000 521,520
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 222,000 389,660
James River Escrow, Inc. 144A sr. notes 7 7/8s, 2019 $160,000 167,600
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 220,000 228,800
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 230,000 244,375
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,138,104
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2019 (Russia) 450,000 496,364
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 320,000 328,400
Nak Naftogaz Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 620,000 682,254
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 698,000 712,833
OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada) 1,010,000 537,825
OPTI Canada, Inc. 144A company guaranty sr. notes 9 3/4s, 2013 (Canada) 675,000 681,750
OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada) 210,000 212,625
Peabody Energy Corp. company guaranty 7 3/8s, 2016 1,321,000 1,489,428
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 44,000 47,135
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 345,150
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico) 325,000 328,497
Penn Virginia Corp. company guaranty sr. unsec. notes 7 1/4s, 2019 125,000 126,094
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,132,800
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 540,000 569,263
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 3/4s, 2041 (Brazil) 296,000 308,085
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 973,572
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 225,000 257,906
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 5,035,000 3,096,525
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela) 650,000 302,250
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 650,000 309,725
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 600,000 452,400
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,705,000 1,134,234
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 300,000 217,500
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 315,000 295,313
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) 800,000 819,600
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 9 3/4s, 2019 (Trinidad) 215,000 256,925
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 6s, 2022 (Trinidad) 1,113,583 1,124,196
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 539,000 610,418
Plains Exploration & Production Co. company guaranty 7 3/4s, 2015 280,000 291,200
Plains Exploration & Production Co. company guaranty 7s, 2017 150,000 155,250
Plains Exploration & Production Co. company guaranty sr. unsec. notes 10s, 2016 645,000 728,850
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines) 690,000 795,225
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) 950,000 1,097,250
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 350,000 374,500
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 290,000 321,900
SandRidge Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 95,000 99,988
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 1,060,000 1,120,950
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 190,000 196,175
Williams Cos., Inc. (The) notes 7 3/4s, 2031 256,000 310,668
50,931,904
Financials (5.0%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 320,000 323,200
Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012 117,000 120,803
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 818,000 859,923
Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012 851,000 885,040
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 240,000 270,000
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.511s, 2014 85,000 83,645
Ally Financial, Inc. 144A company guaranty notes 6 1/4s, 2017 335,000 349,238
Ally Financial, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,438,800
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058 440,000 492,800
Banco Do Brasil 144A sr. unsec. 9 3/4s, 2017 (Brazil) BRL 855,000 544,239
Boparan Holdings LTD 144A sr. notes 9 3/4s, 2018 (United Kingdom) EUR 265,000 398,345
Bosphorus Financial Services, Ltd. 144A sr. notes FRN 2.113s, 2012 $707,000 699,801
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 374,000 377,740
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 135,000 141,075
CIT Group, Inc. sr. bonds 7s, 2017 2,438,000 2,457,809
CIT Group, Inc. sr. bonds 7s, 2016 1,148,000 1,156,610
CIT Group, Inc. sr. bonds 7s, 2014 106,000 107,988
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 504,857
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 130,000 137,475
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 395,000 404,381
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 599,000 655,156
HSBC Capital Funding LP/ Jersey Channel Islands company guaranty sub. FRB 5.13s, 2049 (United Kingdom) EUR 486,000 692,194
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 $185,000 192,400
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 135,000 140,569
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 895,000 924,088
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 600,000 601,457
JPMorgan Chase & Co. 144A sr. unsec. unsub. notes FRN 4.03s, 2011 RUB 46,000,000 1,679,724
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012 INR 37,500,000 851,182
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 $641,000 673,050
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 1,330,000 1,237,835
MPT Operating Partnership LP/MPT Finance Corp. 144A company guaranty sr. notes 6 7/8s, 2021(R) 225,000 226,125
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 300,000 334,500
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 444,000 462,315
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 265,000 295,806
Omega Healthcare Investors, Inc. 144A sr. notes 6 3/4s, 2022(R) 447,000 454,264
Russian Agricultural Bank OJSC Via RSHB Capital SA sub. bonds FRB 6.97s, 2016 (Russia) 5,400,000 5,455,404
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 3/4s, 2018 (Russia) 775,000 867,070
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 775,000 840,875
Sabra Health Care LP/Sabra Capital Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018(R) 235,000 246,163
Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South Korea) 257,000 270,244
SLM Corp. sr. notes Ser. MTN, 6 1/4s, 2016 141,000 149,547
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 370,512
UBS AG/ Jersey Branch jr. unsec. sub. FRB 4.28s, 2015 (Cayman Islands) EUR 327,000 443,140
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $425,000 447,104
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.188s, 2014 120,000 116,100
Vnesheconombank Via VEB Finance, Ltd. 144A bank guaranteed bonds 6.8s, 2025 (Russia) 1,100,000 1,116,500
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 1,065,000 1,123,575
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 7 1/2s, 2011 (Russia) 935,000 958,936
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,934,000 3,095,370
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) 3,965,000 4,186,207
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 4,520,000 4,859,000
45,720,181
Government (0.1%)
International Bank for Reconstruction & Development sr. unsec. unsub. notes Ser. GDIF 5 1/4s, 2014 (Supra-Nation) 22,650,000 815,597
815,597
Health care (1.6%)
Aviv Healthcare Properties LP 144A sr. notes 7 3/4s, 2019 325,000 342,875
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 364,000 539,323
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 $236,000 260,780
Capella Healthcare, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 380,000 409,450
CHS/Community Health Systems, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2015 857,000 876,283
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 247,269
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $1,070,000 1,152,925
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 110,000 112,888
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 340,000 348,075
Fresenius Medical Care US Finance, Inc. 144A company guaranty sr. notes 5 3/4s, 2021 510,000 497,888
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 143,281
Giant Funding Corp. 144A sr. notes 8 1/4s, 2018 (Spain) 220,000 228,250
HCA Holdings, Inc. 144A sr. unsec. notes 7 3/4s, 2021 400,000 418,000
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016(PIK) 1,028,000 1,103,815
HCA, Inc. sr. sec. notes 9 1/4s, 2016 1,587,000 1,702,058
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019 865,000 877,975
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 345,000 373,463
Select Medical Corp. company guaranty 7 5/8s, 2015 381,000 391,001
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 640,000 660,800
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 329,569 338,632
Talecris Biotherapeutics Holdings Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 48,000 52,800
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 276,000 320,160
Tenet Healthcare Corp. sr. notes 9s, 2015 749,000 816,410
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 471,000 532,230
Tenet Healthcare Corp. sr. unsec. notes 8s, 2020 415,000 429,525
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 70,000 68,775
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 170,000 169,788
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 70,000 69,650
Vanguard Health Systems, Inc. 144A sr. notes zero %, 2016 470,000 304,325
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) 590,000 633,314
14,422,008
Technology (1.1%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 140,000 145,950
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 149,000 153,843
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 430,000 425,700
Buccaneer Merger Sub., Inc. 144A sr. notes 9 1/8s, 2019 431,000 462,248
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 139,000 145,950
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 547,000 568,880
CommScope, Inc. 144A sr. notes 8 1/4s, 2019 325,000 342,063
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 193,000 213,265
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 462,000 505,890
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015(PIK) 655,044 684,521
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 351,000 354,510
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 175,000 191,625
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 110,000 112,063
Freescale Semiconductor, Inc. company guaranty sr. unsec. sub. notes 10 1/8s, 2016 5,000 5,363
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 967,000 1,097,545
Freescale Semiconductor, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2020 4,000 4,600
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 1,035,000 1,078,988
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 290,000 308,850
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 1,091,000 1,262,833
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) 433,000 458,980
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 817,000 857,850
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 344,000 358,620
9,740,137
Transportation (0.2%)
AMGH Merger Sub., Inc. 144A company guaranty sr. notes 9 1/4s, 2018 466,000 502,698
Swift Services Holdings, Inc. 144A company guaranty sr. notes 10s, 2018 655,000 718,863
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 294,000 289,590
1,511,151
Utilities and power (1.9%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,140,000 1,239,750
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 906,000 1,088,207
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 $380,000 406,600
Calpine Corp. 144A sr. notes 7 1/4s, 2017 995,000 1,044,750
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada) 615,000 668,942
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019 1,160,000 904,800
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 289,000 248,540
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 135,000 134,325
Edison Mission Energy sr. unsec. notes 7.2s, 2019 292,000 228,490
Edison Mission Energy sr. unsec. notes 7s, 2017 44,000 34,870
El Paso Corp. sr. unsec. notes 7s, 2017 160,000 177,582
El Paso Natural Gas Co. debs. 8 5/8s, 2022 577,000 737,679
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 1,390,000 1,487,411
Energy Future Intermediate Holdings Co., LLC sr. notes 10s, 2020 644,000 692,352
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 346,000 378,870
GenOn Escrow Corp. 144A sr. notes 9 7/8s, 2020 685,000 732,950
GenOn Escrow Corp. 144A sr. unsec. notes 9 1/2s, 2018 105,000 112,088
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 220,000 239,800
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) 525,000 612,938
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 2,425,000 2,772,672
GenOn Americas Generation, LLC sr. unsec. notes 8.3s, 2011 205,000 205,000
NRG Energy, Inc. sr. notes 7 3/8s, 2016 1,555,000 1,613,313
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 255,000 263,361
NV Energy, Inc. sr. unsec. unsub. notes 6 3/4s, 2017 120,000 122,771
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028 145,000 163,604
Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 310,000 318,525
Vattenfall Treasury AB company guaranty jr. unsec. sub. bond FRB 5 1/4s, 2049 (Sweden) EUR 364,000 546,188
17,176,378
Total corporate bonds and notes (cost $255,609,486) $269,694,005

MORTGAGE-BACKED SECURITIES (25.9%)(a)
Principal amount Value
Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 5A31, 0.353s, 2037 $2,177,468 $1,203,051
Banc of America Commercial Mortgage, Inc. 144A
    Ser. 01-1, Class J, 6 1/8s, 2036 318,946 258,346
    Ser. 01-1, Class K, 6 1/8s, 2036 718,000 535,987
    Ser. 07-5, Class XW, IO, 0.593s, 2051 213,766,659 3,688,031
Banc of America Funding Corp.
    FRB Ser. 06-D, Class 6A1, 5.408s, 2036 5,062,907 3,316,204
    FRB Ser. 07-6, Class A1, 0.503s, 2037 1,191,384 908,859
    FRB Ser. 07-B, Class A1, 0.423s, 2047 3,231,144 2,132,555
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 2A1, 5.233s, 2047 2,485,860 1,625,131
Bear Stearns Alt-A Trust
    FRB Ser. 06-5, Class 2A2, 5.969s, 2036 5,493,646 3,790,616
    FRB Ser. 06-5, Class 2A1, 5.607s, 2036 1,211,850 824,058
    FRB Ser. 07-1, Class 21A1, 5.18s, 2047 2,649,905 1,589,943
Bear Stearns Alt-A Trust II FRB Ser. 07-1, Class 1A1, 5.416s, 2047 12,982,847 7,789,708
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-IM1, Class A1, 0.443s, 2036 1,184,838 639,445
Citigroup Mortgage Loan Trust, Inc.
    FRB Ser. 05-10, Class 1A5A, 5.593s, 2035 221,705 148,543
    FRB Ser. 06-AR5, Class 2A5A, 5.453s, 2036 2,486,406 1,433,164
    FRB Ser. 07-AR5, Class 1A1A, 5.4s, 2037 1,356,083 833,330
    FRB Ser. 05-10, Class 1A4A, 2.904s, 2035 2,276,852 1,462,878
    FRB Ser. 07-AR1, Class A3, 0.433s, 2037 5,687,720 3,369,974
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.138s, 2044 67,746,394 373,671
Cornerstone Titan PLC 144A
    FRB Ser. 05-CT1A, Class D, 1.869s, 2014 (United Kingdom) GBP 868,987 1,016,515
    FRB Ser. 05-CT2A, Class E, 1.869s, 2014 (United Kingdom) GBP 444,138 556,649
Countrywide Alternative Loan Trust
    Ser. 07-16CB, Class 3A1, 6 3/4s, 2037 $2,428,499 1,499,598
    Ser. 06-45T1, Class 2A2, 6s, 2037 2,989,782 2,111,920
    Ser. 06-45T1, Class 2A5, 6s, 2037 1,281,338 922,564
    Ser. 06-J8, Class A4, 6s, 2037 2,457,963 1,499,357
    Ser. 06-40T1, Class 1A11, 6s, 2037 1,714,349 1,262,023
    Ser. 06-41CB, Class 1A7, 6s, 2037 1,367,334 1,018,664
    FRB Ser. 05-84, Class 4A1, 5.818s, 2036 10,685,161 7,052,206
    Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 2,265,420 2,173,388
    Ser. 07-8CB, Class A1, 5 1/2s, 2037 1,477,346 1,120,936
    FRB Ser. 06-24CB, Class A13, 0.563s, 2036 1,799,436 1,109,465
    FRB Ser. 06-OC10, Class 2A2A, 0.393s, 2036 1,715,708 887,879
    FRB Ser. 06-HY11, Class A1, 0.333s, 2036 1,643,922 1,012,039
Countrywide Home Loans FRB Ser. 05-HYB4, Class 2A1, 2.856s, 2035 1,085,542 808,729
Countrywide Home Loans 144A
    Ser. 05-R3, Class AS, IO, 5.548s, 2035 196,586 25,191
    FRB Ser. 05-R3, Class AF, 0.613s, 2035 193,138 166,099
Credit Suisse Mortgage Capital Certificates Ser. 07-1, Class 1A4, 6.131s, 2037 1,334,522 834,076
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 691,000 192,468
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
    FRB Ser. 06-AR1, Class 3A1, 2.959s, 2036 2,054,188 1,400,699
    FRB Ser. 06-AR1, Class 1A3, 0.543s, 2036 7,632,039 3,663,379
    FRB Ser. 07-AR3, Class 2A2A, 0.393s, 2037 1,629,390 1,132,426
    FRB Ser. 06-AR6, Class A4, 0.383s, 2037 1,592,745 1,041,337
Deutsche Alternative Securities, Inc. Mortgage Loan Trust
    FRB Ser. 06-AR6, Class A6, 0.403s, 2037 5,706,262 3,423,757
    FRB Ser. 06-AR3, Class A1, 0.403s, 2036 2,445,083 1,249,285
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 552,708 552,708
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.672s, 2014 (United Kingdom) GBP 517,996 121,187
Federal Home Loan Mortgage Corp.
    IFB Ser. 3182, Class SP, 27.725s, 2032 $575,566 947,044
    IFB Ser. 3211, Class SI, IO, 26.746s, 2036 504,735 332,252
    IFB Ser. 3408, Class EK, 24.913s, 2037 432,953 648,254
    IFB Ser. 2979, Class AS, 23.471s, 2034 239,869 329,294
    IFB Ser. 3072, Class SM, 22.995s, 2035 658,889 930,569
    IFB Ser. 3072, Class SB, 22.848s, 2035 590,177 829,457
    IFB Ser. 3105, Class SI, IO, 19.061s, 2036 377,664 202,941
    IFB Ser. 3031, Class BS, 16.178s, 2035 909,833 1,181,787
    IFB Ser. 3184, Class SP, IO, 7.131s, 2033 5,184,766 686,981
    IFB Ser. 3727, Class PS, IO, 6.481s, 2038 7,310,222 1,335,120
    IFB Ser. 3287, Class SE, IO, 6.481s, 2037 3,222,043 552,709
    IFB Ser. 3398, Class SI, IO, 6.431s, 2036 4,309,681 574,739
    IFB Ser. 3762, Class SA, IO, 6.381s, 2040 6,756,561 1,125,126
    IFB Ser. 3677, Class KS, IO, 6.331s, 2040 9,884,315 1,544,293
    IFB Ser. 3485, Class SI, IO, 6.331s, 2036 842,074 141,157
    IFB Ser. 3242, Class SC, IO, 6.071s, 2036 12,313,324 1,731,561
    IFB Ser. 3225, Class EY, IO, 6.071s, 2036 33,610,204 4,762,902
    IFB Ser. 3751, Class SB, IO, 5.821s, 2039 16,609,622 2,558,712
    IFB Ser. 3768, Class PS, IO, 5.781s, 2036 5,120,242 785,445
    Ser. 3645, Class ID, IO, 5s, 2040 2,995,679 535,957
    Ser. 3653, Class KI, IO, 5s, 2038 6,671,641 1,224,780
    Ser. 3632, Class CI, IO, 5s, 2038 3,518,179 656,352
    Ser. 3626, Class DI, IO, 5s, 2037 2,488,539 321,245
    Ser. 3740, Class IP, IO, 5s, 2037 13,856,413 2,420,715
    Ser. 3623, Class CI, IO, 5s, 2036 2,242,951 362,026
    Ser. 3747, Class HI, IO, 4 1/2s, 2037 1,521,500 243,423
    Ser. 3738, Class MI, IO, 4s, 2034 16,121,116 2,150,833
    Ser. 3736, Class QI, IO, 4s, 2034 19,411,742 2,538,692
    Ser. 3751, Class MI, IO, 4s, 2034 21,523,976 2,977,412
    Ser. 3740, Class KI, IO, 4s, 2033 10,420,951 1,387,550
    Ser. 3707, Class HI, IO, 4s, 2023 3,131,263 348,290
    Ser. 3707, Class KI, IO, 4s, 2023 5,615,075 546,964
    Ser. T-57, Class 1AX, IO, 0.426s, 2043 2,630,827 34,621
    Ser. 3124, Class DO, PO, zero %, 2036 51,800 38,682
    FRB Ser. 3251, Class TC, zero %, 2036 79,443 78,793
    FRB Ser. 3072, Class TJ, zero %, 2035 20,791 19,731
    FRB Ser. 3052, Class TJ, zero %, 2035 5,745 5,412
    FRB Ser. 3326, Class WF, zero %, 2035 33,599 29,231
    FRB Ser. 3030, Class EF, zero %, 2035 45,077 37,821
    FRB Ser. 3033, Class YF, zero %, 2035 9,367 9,324
    FRB Ser. 3412, Class UF, zero %, 2035 19,320 16,928
    FRB Ser. 3007, Class LU, zero %, 2035 20,408 16,542
Federal National Mortgage Association
    IFB Ser. 06-62, Class PS, 38.624s, 2036 850,608 1,473,795
    IFB Ser. 07-53, Class SP, 23.42s, 2037 586,701 844,474
    IFB Ser. 08-24, Class SP, 22.504s, 2038 506,691 727,814
    IFB Ser. 05-75, Class GS, 19.612s, 2035 644,214 849,072
    IFB Ser. 05-83, Class QP, 16.841s, 2034 648,660 829,835
    IFB Ser. 10-35, Class SG, IO, 6.187s, 2040 12,315,248 2,442,237
    IFB Ser. 10-46, Class WS, IO, 5.537s, 2040 12,755,022 1,725,882
    Ser. 11-51, Class SM, IO, 5 1/2s, 2041(F)(FWC) 15,230,000 2,229,767
    Ser. 374, Class 6, IO, 5 1/2s, 2036 2,802,514 600,102
    Ser. 10-21, Class IP, IO, 5s, 2039 6,271,570 1,359,168
    Ser. 10-92, Class CI, IO, 5s, 2039 3,639,800 724,550
    Ser. 398, Class C5, IO, 5s, 2039 2,503,440 525,722
    Ser. 10-13, Class EI, IO, 5s, 2038 1,740,034 248,797
    Ser. 378, Class 19, IO, 5s, 2035 7,599,566 1,490,229
    Ser. 366, Class 22, IO, 4 1/2s, 2035 2,602,340 288,834
    Ser. 407, Class 1, IO, 4s, 2041 5,815,000 1,381,063
    Ser. 407, Class 2, IO, 4s, 2041 2,332,000 548,020
    Ser. 406, Class 2, IO, 4s, 2041 9,202,408 2,151,523
    Ser. 406, Class 1, IO, 4s, 2041 5,741,650 1,363,642
    Ser. 03-W10, Class 1, IO, 1.549s, 2043 1,146,942 53,763
    Ser. 00-T6, IO, 0.769s, 2030 4,691,328 97,061
    Ser. 99-51, Class N, PO, zero %, 2029 72,071 65,617
    FRB Ser. 05-45, Class FG, zero %, 2035 172,416 158,011
    IFB Ser. 06-48, Class FG, zero %, 2036 44,922 44,522
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.112s, 2020 5,731,769 170,119
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 618,803
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 210,982 194,104
Government National Mortgage Association
    IFB Ser. 11-56, Class MS, 6.82s, 2041 6,888,000 6,587,477
    IFB Ser. 11-56, Class SG, 6.786s, 2041 3,827,000 3,669,940
    IFB Ser. 10-142, Class SA, IO, 6.487s, 2039 7,438,353 1,266,008
    IFB Ser. 10-85, Class AS, IO, 6.437s, 2039 7,261,819 1,307,127
    IFB Ser. 10-93, Class NS, IO, 6.437s, 2037 5,465,569 898,540
    IFB Ser. 11-41, Class SM, IO, 6.387s, 2041 4,610,342 937,919
    IFB Ser. 10-98, Class QS, IO, 6.387s, 2040 7,604,251 1,361,640
    IFB Ser. 10-88, Class SA, IO, 6.337s, 2040(F) 7,892,597 1,501,520
    IFB Ser. 10-157, Class SN, IO, 6.334s, 2038 7,457,609 1,218,126
    IFB Ser. 10-115, Class SN, IO, 5.887s, 2038 3,668,105 573,435
    IFB Ser. 10-116, Class SL, IO, 5.837s, 2039 3,708,786 612,951
    IFB Ser. 11-35, Class SB, IO, 5.837s, 2037 6,307,049 924,613
    IFB Ser. 10-121, Class SE, IO, 5.787s, 2040 6,631,538 1,093,474
    IFB Ser. 10-89, Class SD, IO, 5.717s, 2040 5,727,382 990,665
    IFB Ser. 10-116, Class SA, IO, 5.687s, 2040 9,688,483 1,683,083
    IFB Ser. 10-43, Class KS, IO, 5.537s, 2040 14,803,584 2,176,589
    Ser. 11-70, Class SH, IO, 5s, 2041(FWC) 5,599,000 1,328,083
    Ser. 11-70, Class SM, IO, 5s, 2041(FWC) 5,451,000 1,294,613
    Ser. 11-70, PO, 3 1/2s, 2041(FWC) 12,715,000 9,101,143
    Ser. 06-36, Class OD, PO, zero %, 2036 36,155 33,994
    FRB Ser. 07-73, Class KI, IO, zero %, 2037 269,462 4,168
    FRB Ser. 07-73, Class KM, zero %, 2037 26,824 23,082
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.333s, 2039 154,489,364 2,924,216
Harborview Mortgage Loan Trust FRB Ser. 05-14, Class 5A1A, 5.583s, 2035 2,929,329 1,918,710
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1, 5.809s, 2037 6,647,861 4,387,589
IndyMac Indx Mortgage Loan Trust
    FRB Ser. 07-AR15, Class 1A1, 5.472s, 2037 4,256,544 2,851,884
    FRB Ser. 06-AR25, Class 5A1, 5.424s, 2036 4,011,947 2,422,091
    FRB Ser. 07-AR9, Class 2A1, 5.381s, 2037 2,495,680 1,673,753
    FRB Ser. 06-AR25, Class 3A1, 5.365s, 2036 2,213,072 1,195,059
    FRB Ser. 07-AR11, Class 1A1, 4.711s, 2037 1,705,118 997,494
    FRB Ser. 06-AR3, Class 2A1A, 2.895s, 2036 2,264,254 1,245,340
    FRB Ser. 05-AR31, Class 3A1, 2.679s, 2036 5,322,865 3,592,934
    FRB Ser. 06-AR39, Class A1, 0.393s, 2037 8,875,911 5,591,824
    FRB Ser. 06-AR35, Class 2A1A, 0.383s, 2037 3,309,195 1,793,839
    FRB Ser. 06-AR15, Class A1, 0.333s, 2036 3,223,105 1,716,303
JPMorgan Alternative Loan Trust
FRB Ser. 07-A2, Class 12A1, 0.413s, 2037 1,801,366 927,704
    FRB Ser. 06-A7, Class 1A1, 0.373s, 2036 2,464,476 1,404,751
    FRB Ser. 06-A6, Class 1A1, 0.373s, 2036 1,888,734 1,119,192
    FRB Ser. 07-A1, Class 1A1A, 0.353s, 2037 1,947,526 973,763
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.199s, 2051 127,891,358 1,247,043
LB Commercial Conduit Mortgage Trust 144A
    Ser. 99-C1, Class G, 6.41s, 2031 492,082 486,230
    Ser. 98-C4, Class J, 5.6s, 2035 965,000 992,985
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.343s, 2037 1,878,564 995,639
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.287s, 2028 1,411,418 46,676
Merrill Lynch/Countrywide Commercial Mortgage Trust 144A Ser. 06-4, Class XC, IO, 0.263s, 2049 114,463,743 1,428,805
Mezz Cap Commercial Mortgage Trust 144A
    Ser. 04-C1, Class X, IO, 8.143s, 2037 1,082,207 59,954
    Ser. 07-C5, Class X, IO, 5.064s, 2049 4,422,075 304,239
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 3,360,000 2,956,800
Morgan Stanley Mortgage Loan Trust
    FRB Ser. 06-3AR, Class 3A1, 5.423s, 2036 1,388,416 985,775
    FRB Ser. 07-11AR, Class 2A1, 5.059s, 2037 5,068,775 2,518,269
    Ser. 06-6AR, Class 2A, 2.655s, 2036 1,518,013 925,988
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.968s, 2012 3,192 29
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2033 285,000 11,400
Residential Asset Securitization Trust
    Ser. 07-A5, Class 2A3, 6s, 2037 1,338,443 1,010,524
    Ser. 06-A5CB, Class A6, 6s, 2036 1,703,442 1,013,548
    FRB Ser. 05-A2, Class A1, 0.713s, 2035 890,131 700,492
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 376,000 263,200
Structured Adjustable Rate Mortgage Loan Trust
    FRB Ser. 07-10, Class 1A1, 6s, 2037 2,674,001 1,420,563
    FRB Ser. 06-9, Class 1A1, 5.197s, 2036 1,497,407 910,638
    FRB Ser. 07-4, Class 1A1, 0.453s, 2037 2,046,676 1,054,038
Structured Asset Securities Corp.
    IFB Ser. 07-4, Class 1A3, IO, 5.99s, 2045 8,246,830 1,139,093
    Ser. 07-4, Class 1A4, IO, 1s, 2045 11,366,010 314,287
Structured Asset Securities Corp. 144A
    Ser. 05-RF1, Class A, IO, 5.498s, 2035 1,780,955 201,175
    Ser. 05-RF3, Class 1A, IO, 5.318s, 2035 1,587,724 214,370
    FRB Ser. 05-RF3, Class 1A, 0.563s, 2035 1,587,724 1,278,118
    FRB Ser. 05-RF1, Class A, 0.563s, 2035 1,780,955 1,438,121
Ursus PLC 144A FRB Ser. 1-A, Class D, 1.719s, 2012 (Ireland) GBP 409,617 34,226
Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO, 0.544s, 2046 $34,178,508 514,387
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 3.519s, 2018 917,000 550,200
Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 07-0C2, Class A3, 0.523s, 2037 2,407,742 1,444,645
Total mortgage-backed securities (cost $224,857,808) $235,972,324

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (14.8%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.3%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $2,118,609 $2,371,435
2,371,435
U.S. Government Agency Mortgage Obligations (14.5%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
    3 1/2s, with due dates from December 1, 2040 to February 1, 2041 26,815,305 25,558,337
Federal National Mortgage Association Pass-Through Certificates
    6 1/2s, April 1, 2016 12,056 13,022
     4 1/2s, TBA, May 1, 2041 29,000,000 29,838,280
     4 1/2s, TBA, April 1, 2041 3,000,000 3,090,234
     4s, TBA, May 1, 2041 16,000,000 15,925,000
    3 1/2s, with due dates from December 1, 2040 to March 1, 2041 60,754,625 58,027,788
132,452,661
Total U.S. government and agency mortgage obligations (cost $133,143,573) $134,824,096

ASSET-BACKED SECURITIES (13.1%)(a)
Principal amount Value
Accredited Mortgage Loan Trust FRB Ser. 07-1, Class A3, 0.343s, 2037 $3,285,000 $2,291,288
Ace Securities Corp.
    FRB Ser. 06-OP2, Class A2C, 0.363s, 2036 217,000 137,549
    FRB Ser. 06-HE3, Class A2C, 0.363s, 2036 271,000 125,013
Asset Backed Securities Corp. Home Equity Loan Trust FRB Ser. 06-HE4, Class A5, 0.373s, 2036 135,297 93,601
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.088s, 2034 84,572 19,435
Bombardier Capital Mortgage Securitization Corp. Ser. 00-A, Class A4, 8.29s, 2030 1,452,840 1,031,516
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1, Class A1A, 0.283s, 2037 934,973 430,088
Conseco Finance Securitizations Corp.
    Ser. 00-2, Class A5, 8.85s, 2030 2,161,876 1,772,738
    Ser. 00-5, Class A7, 8.2s, 2032 2,156,951 1,801,054
    Ser. 00-1, Class A5, 8.06s, 2031 1,553,524 1,196,214
    Ser. 00-4, Class A5, 7.97s, 2032 310,491 256,155
    Ser. 00-5, Class A6, 7.96s, 2032 1,488,866 1,315,785
    Ser. 02-1, Class M1F, 7.954s, 2033 1,584,000 1,734,877
    Ser. 00-6, Class A5, 7.27s, 2031 3,163,873 3,326,654
    FRB Ser. 02-1, Class M1A, 2.294s, 2033 4,468,000 3,931,201
    FRB Ser. 01-4, Class M1, 1.994s, 2033 573,000 304,387
Countrywide Asset Backed Certificates
    FRB Ser. 06-6, Class 2A3, 0.493s, 2036(F) 9,381,000 3,775,853
    FRB Ser. 07-3, Class 2A2, 0.383s, 2047 1,957,000 1,482,574
    FRB Ser. 07-8, Class 2A2, 0.343s, 2037 4,125,000 3,289,688
    FRB Ser. 06-25, Class 2A2, 0.333s, 2047 1,900,000 1,724,250
    FRB Ser. 07-1, Class 2A2, 0.313s, 2037 2,985,000 2,417,850
Credit-Based Asset Servicing and Securitization FRB Ser. 07-CB1, Class AF1A, 0.283s, 2037 1,184,829 390,994
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 889,292 17,786
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.363s, 2036 2,540,000 1,498,600
Fremont Home Loan Trust FRB Ser. 06-2, Class 2A3, 0.383s, 2036 589,000 366,956
Granite Mortgages PLC
    FRB Ser. 03-2, Class 2C1, 3.888s, 2043(F) EUR 2,785,000 1,952,626
    FRB Ser. 03-2, Class 3C, 3.369s, 2043(F) GBP 1,337,631 937,845
Green Tree Financial Corp.
    Ser. 94-6, Class B2, 9s, 2020 $1,682,107 1,177,475
    Ser. 94-4, Class B2, 8.6s, 2019 627,569 326,219
    Ser. 93-1, Class B, 8.45s, 2018 357,715 282,618
    Ser. 96-6, Class M1, 7.95s, 2027 1,075,000 1,085,750
    Ser. 99-5, Class A5, 7.86s, 2029 1,971,023 1,803,486
    Ser. 96-8, Class M1, 7.85s, 2027 754,000 735,166
    Ser. 99-5, Class A6, 7 1/2s, 2030 1,368,428 1,245,269
    Ser. 95-8, Class B1, 7.3s, 2026 704,416 701,509
    Ser. 95-4, Class B1, 7.3s, 2025 726,329 690,369
    Ser. 97-6, Class M1, 7.21s, 2029 1,842,000 1,584,516
    Ser. 95-F, Class B2, 7.1s, 2021 19,902 19,581
    Ser. 98-2, Class A6, 6.81s, 2028 522,892 542,900
    Ser. 99-3, Class A7, 6.74s, 2031 1,380,696 1,380,696
    Ser. 99-2, Class A7, 6.44s, 2030 211,724 216,902
    Ser. 99-1, Class A6, 6.37s, 2025 23,734 24,564
    Ser. 98-4, Class A5, 6.18s, 2030 630,524 656,343
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031 2,641,818 2,702,910
GSAA Home Equity Trust
    FRB Ser. 05-15, Class 2A2, 0.463s, 2036 1,803,526 1,279,077
    FRB Ser. 05-11, Class 3A4, 0.463s, 2035 3,146,818 2,611,859
    FRB Ser. 06-19, Class A3A, 0.453s, 2036 1,106,265 613,977
    FRB Ser. 06-8, Class 2A2, 0.393s, 2036 20,693,203 10,760,466
    FRB Ser. 06-11, Class 2A2, 0.373s, 2036 10,497,706 5,563,784
    FRB Ser. 06-19, Class A1, 0.303s, 2036 3,603,328 1,797,520
    FRB Ser. 06-17, Class A1, 0.273s, 2036 4,333,232 2,123,284
    FRB Ser. 06-8, Class 2A1, 0.273s, 2036 4,055,076 1,946,437
    FRB Ser. 06-12, Class A1, 0.263s, 2036 4,461,048 2,294,317
    FRB Ser. 07-3, Class 2A1A, 0.227s, 2047 2,821,463 1,537,698
GSAMP Trust FRB Ser. 07-HE2, Class A2A, 0.333s, 2047 902,476 853,291
GSMPS Mortgage Loan Trust FRB Ser. 05-14, Class 2A2, 0.463s, 2035 9,143,398 6,491,813
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.213s, 2030 760,338 32,314
Lehman XS Trust
    FRB Ser. 07-3, Class 1BA2, 6.17s, 2037 1,938,513 886,870
    FRB Ser. 07-1, Class 1A3, 0.333s, 2037 9,725,037 4,189,838
Long Beach Mortgage Loan Trust
    FRB Ser. 06-4, Class 2A4, 0.473s, 2036 233,177 87,890
    FRB Ser. 06-WL1, Class 2A3, 0.453s, 2046 2,005,230 1,393,635
Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 3.463s, 2032 2,417,781 2,260,625
Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.383s, 2037 2,663,017 1,517,919
Mid-State Trust Ser. 11, Class B, 8.221s, 2038 192,872 186,312
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.413s, 2034 106,828 24,681
Novastar Home Equity Loan
    FRB Ser. 06-1, Class A2C, 0.373s, 2036 238,137 127,099
    FRB Ser. 06-2, Class A2C, 0.363s, 2036 298,000 171,110
Oakwood Mortgage Investors, Inc.
    Ser. 00-A, Class A3, 7.945s, 2022 43,096 34,489
    Ser. 99-D, Class A1, 7.84s, 2029 1,375,983 1,309,334
    Ser. 95-B, Class B1, 7.55s, 2021 288,472 211,336
    Ser. 00-D, Class A4, 7.4s, 2030 3,221,203 2,195,453
    Ser. 02-B, Class A4, 7.09s, 2032 694,320 709,557
    Ser. 99-B, Class A4, 6.99s, 2026 1,323,836 1,323,836
    Ser. 02-A, Class A4, 6.97s, 2032 92,041 92,185
    Ser. 01-D, Class A4, 6.93s, 2031 1,100,199 905,946
    Ser. 01-E, Class A4, 6.81s, 2031 2,049,272 1,835,379
    Ser. 99-B, Class A3, 6.45s, 2017 307,927 301,191
    Ser. 01-C, Class A2, 5.92s, 2017 1,829,455 1,006,200
    Ser. 02-C, Class A1, 5.41s, 2032 2,313,151 2,220,625
    Ser. 01-E, Class A2, 5.05s, 2031 1,465,826 1,179,990
    Ser. 02-A, Class A2, 5.01s, 2020 372,415 344,306
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030 346,632 336,233
Residential Asset Mortgage Products, Inc. FRB Ser. 07-RZ1, Class A2, 0.373s, 2037 293,000 190,620
Residential Asset Securities Corp. Ser. 01-KS3, Class AII, 0.673s, 2031 2,299,081 1,810,827
SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D, 0.423s, 2036 2,389,000 897,906
Soundview Home Equity Loan Trust FRB Ser. 06-OPT3, Class 2A3, 0.383s, 2036 240,000 190,143
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 942,275 113,073
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 756,000 378,000
Total asset-backed securities (cost $123,550,179) $119,137,295

FOREIGN GOVERNMENT BONDS AND NOTES (8.5%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $1,265,000 $1,138,500
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 1,136,000 1,151,779
Argentina (Republic of) sr. unsec. bonds FRB 0.45s, 2013 3,113,000 725,173
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 10,425,000 9,809,612
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012 ARS 4,110,000 1,015,356
Argentina (Republic of) sr. unsec. unsub. bonds FRB 0.467s, 2012 $43,339,000 10,390,525
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 2,758,017 2,406,369
Banco Nacional de Desenvolvimento Economico e Social 144A notes 5 1/2s, 2020 (Brazil) 170,000 173,655
Banco Nacional de Desenvolvimento Economico e Social 144A sr. unsec. unsub. notes 6.369s, 2018 (Brazil) 175,000 189,875
Brazil (Federal Republic of) notes 10s, 2017 BRL 3,500 2,071,918
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 2,365 1,465,362
Chile (Republic of) notes 5 1/2s, 2020 CLP 397,500,000 875,993
Colombia (Government of) bonds 6 1/8s, 2041 $1,000,000 1,050,000
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 620,000 630,632
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 INR 53,200,000 1,132,824
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $1,590,000 1,785,809
Hungary (Republic of) sr. unsec. unsub. notes 7 5/8s, 2041 470,000 497,548
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 210,000 217,875
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019 1,305,000 1,882,658
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038 920,000 1,122,400
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 7/8s, 2018 750,000 859,688
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 460,000 509,248
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 1,555,000 1,670,754
Industrial Bank of Korea 144A sr. notes 7 1/8s, 2014 1,475,000 1,663,495
Iraq (Republic of) 144A bonds 5.8s, 2028 1,275,000 1,164,075
Peru (Republic of) bonds 6.95s, 2031 PEN 5,885,000 1,942,731
Philippines (Republic of) sr. unsec. unsub. bonds 6 1/2s, 2020 $1,350,000 1,555,875
Philippines (Republic of) sr. unsec. unsub. bonds 6 3/8s, 2034 1,800,000 1,875,780
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030 57,955 67,829
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030 4,854,986 5,682,129
South Africa (Republic of) sr. unsec. unsub. notes 6 7/8s, 2019 950,000 1,105,325
Sri Lanka (Republic of) 144A notes 7.4s, 2015 440,000 482,218
Turkey (Republic of) bonds 16s, 2012 TRY 385,000 269,224
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019 $815,000 966,492
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 4,335,000 5,086,949
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 425,000 449,438
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 400,000 412,164
Ukraine (Government of) 144A bonds 7 3/4s, 2020 2,910,000 3,040,950
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 2,380,000 2,486,743
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 790,000 842,535
Venezuela (Republic of) bonds 8 1/2s, 2014 310,000 291,381
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027 300,000 217,800
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 2,510,000 2,555,582
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 2,215,000 2,132,646
Total foreign government bonds and notes (cost $70,819,702) $77,064,914

SENIOR LOANS (3.1%)(a)(c)
Principal amount Value
Basic materials (0.2%)
American Rock Salt Co., LLC / American Rock Capital Corp. bank term loan FRN 5 1/2s, 2017 $115,000 $115,863
Georgia-Pacific, LLC bank term loan FRN Ser. B2, 2.307s, 2012 189,141 189,088
Ineos Holdings, Ltd. bank term loan FRN Ser. B2, 7.501s, 2013 (United Kingdom) 203,780 210,657
Ineos Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 (United Kingdom) 216,220 223,518
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013 372,086 368,272
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 205,000 205,838
Smurfit-Stone Container Enterprises, Inc. bank term loan FRN 6 3/4s, 2016 151,051 151,051
Styron Corp. bank term loan FRN 6s, 2017 395,000 398,535
Univar, Inc. bank term loan FRN Ser. B, 5s, 2017 205,000 206,412
2,069,234
Communication services (0.4%)
CCO Holdings, LLC / CCO Holdings Capital Corp. bank term loan FRN 2.711s, 2014 400,000 394,500
Charter Communications Operating, LLC bank term loan FRN Ser. l, 7 1/4s, 2014 173,126 175,636
Charter Communications, Inc. bank term loan FRN Ser. C, 3.56s, 2016 1,466,537 1,464,924
Insight Midwest, LP bank term loan FRN Ser. B, 2.021s, 2014 224,114 221,814
Intelsat Jackson Holdings SA bank term loan FRN 3.285s, 2014 (Luxembourg) 885,000 864,811
Level 3 Communications, Inc. bank term loan FRN 2.533s, 2014 379,000 372,900
Level 3 Financing, Inc. bank term loan FRN Ser. B, 11 1/2s, 2014 185,000 197,488
3,692,073
Consumer cyclicals (1.3%)
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 1,037,400 1,057,715
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 114,713 114,458
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.303s, 2016 625,000 585,677
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3.303s, 2016 724,196 678,028
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 595,000 601,843
Cedar Fair LP bank term loan FRN 4s, 2017 181,720 183,309
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.46s, 2014 672,550 646,628
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.861s, 2016 1,003,622 893,502
Compucom Systems, Inc. bank term loan FRN 3.72s, 2014 202,139 195,570
Dex Media West, LLC bank term loan FRN Ser. A, 7s, 2014 308,950 276,896
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/2s, 2018 420,000 422,415
Federal Mogul Corp. bank term loan FRN Ser. B, 2.173s, 2014 164,689 160,392
Federal Mogul Corp. bank term loan FRN Ser. C, 2.151s, 2015 84,025 81,833
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.47s, 2014 425,048 183,169
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.22s, 2014 454,999 196,076
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.22s, 2014 169,776 73,163
Golden Nugget, Inc. bank term loan FRN 2.22s, 2014(PIK) 113,474 99,006
Golden Nugget, Inc. bank term loan FRN Ser. B, 2.22s, 2014(PIK) 199,342 173,926
Goodman Global, Inc. bank term loan FRN 9s, 2017 286,000 295,533
Goodman Global, Inc. bank term loan FRN Ser. 1st, 5 3/4s, 2016 570,135 574,319
Michaels Stores, Inc. bank term loan FRN Ser. B, 2.584s, 2013 210,712 208,656
National Bedding Co., LLC bank term loan FRN Ser. B, 3.813s, 2013 150,380 150,380
Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017 135,000 135,759
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 1,334,318 1,047,440
Realogy Corp. bank term loan FRN Ser. B, 4.562s, 2016 800,784 751,450
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.763s, 2014 527,887 519,026
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.72s, 2014 52,590 51,707
Six Flags Theme Parks bank term loan FRN Ser. B, 5 1/4s, 2016 493,442 496,423
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)(NON) 670,438 465,954
Univision Communications, Inc. bank term loan FRN 4.461s, 2017 345,227 337,783
11,658,036
Consumer staples (0.4%)
Claire's Stores, Inc. bank term loan FRN 3.058s, 2014 437,394 413,993
Del Monte Foods Co. bank term loan FRN Ser. B, 4 1/2s, 2018 260,000 261,055
Revlon Consumer Products bank term loan FRN 6s, 2015 2,217,600 2,226,956
Rite-Aid Corp. bank term loan FRN Ser. B, 1.977s, 2014 179,586 172,776
West Corp. bank term loan FRN Ser. B2, 2.732s, 2013 44,736 44,526
West Corp. bank term loan FRN Ser. B5, 4.607s, 2016 108,804 109,688
3,228,994
Energy (0.1%)
EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.213s, 2012 404,000 395,920
Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013 281,194 277,227
MEG Energy Corp. bank term loan FRN Ser. B, 4s, 2018 (Canada) 265,000 267,208
940,355
Financials (0.1%)
AGFS Funding Co. bank term loan FRN 7 1/4s, 2015 250,000 250,174
Fifth Third Processing Solutions, Inc. bank term loan FRN 8 1/4s, 2017 100,000 102,083
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014 164,495 164,207
516,464
Health care (0.5%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 355,308 356,493
Axcan Intermediate Holdings, Inc. bank term loan FRN Ser. B, 5 1/2s, 2017 154,613 154,274
Grifols SA bank term loan FRN Ser. B, 6s, 2016 (Spain) 235,000 237,130
Health Management Associates, Inc. bank term loan FRN 2.057s, 2014 1,297,704 1,277,200
IASIS Healthcare Corp. bank term loan FRN 5.461s, 2014(PIK) 273,559 275,542
IASIS Healthcare, LLC bank term loan FRN 7.62s, 2014 61,059 61,001
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 625,000 621,875
IASIS Healthcare, LLC bank term loan FRN Ser. B, 2.211s, 2014 643,314 642,711
IASIS Healthcare, LLC bank term loan FRN Ser. DD, 2.211s, 2014 222,673 222,465
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 333,012 334,427
4,183,118
Technology (0.1%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.811s, 2017 177,186 173,199
Ceridian Corp. bank term loan FRN 3.248s, 2014 306,217 299,949
473,148
Utilities and power (0.2%)
NRG Energy, Inc. bank term loan FRN 3.557s, 2015 337,536 336,323
NRG Energy, Inc. bank term loan FRN 2.057s, 2013 60,338 60,620
NRG Energy, Inc. bank term loan FRN 2.057s, 2013 129 129
NRG Energy, Inc. bank term loan FRN Ser. B, 3.502s, 2015 400,264 402,954
Texas Competitive Electric Holdings Co., LLC bank term loan FRN Ser. B2, 3.786s, 2014 498,295 424,298
Texas Competitive Electric Holdings Co., LLC bank term loan FRN Ser. B3, 3.761s, 2014 361,991 308,235
1,532,559
Total senior loans (cost $28,991,134) $28,293,981

CONVERTIBLE BONDS AND NOTES (0.3%)(a)
Principal amount Value
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 $534,000 $552,023
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 345,000 645,771
General Growth Properties, Inc. 144a cv. escrow funding bonds zero %, 2027(F)(R) 885,000 1,106
Meritor, Inc. cv. company guaranty sr. unsec. notes 4s, 2027 415,000 414,481
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 440,000 551,375
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 425,000 464,844
Total convertible bonds and notes (cost $2,143,869) $2,629,600

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. Jan-12/1.70175 CHF 36,660,000 $106,957
Option on an interest rate swap with UBS AG for the right to pay a fixed rate of 1.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. Jan-12/1.722 CHF 36,660,000 102,716
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013. Dec-11/1.578 CHF 36,660,000 105,683
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013. Dec-11/1.602 CHF 36,660,000 98,772
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 4.47% versus the three month USD-LIBOR-BBA maturing August 25, 2041. Aug-11/4.47 $1,370,200 77,197
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 4.47% versus the three month USD-LIBOR-BBA maturing August 25, 2041. Aug-11/4.47 1,370,200 22,992
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 4.555% versus the three month USD-LIBOR-BBA maturing August 5, 2041. Aug-11/4.555 11,420,900 756,863
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 4.555% versus the three month USD-LIBOR-BBA maturing August 5, 2041. Aug-11/4.555 11,420,900 110,212
Option on an interest rate swap with Barclay's Bank PLC the right to pay a fixed rate of 3.96% versus the three month USD-LIBOR-BBA maturing June 3, 2021. Jun-11/3.96 177,939,400 30,249
Total purchased options outstanding (cost $3,578,294) $1,411,641

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. 440 $409,283
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 15,000 389,400
Total preferred stocks (cost $521,180) $798,683

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 9,017 $448,596
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default)(NON) 1,477 517
Total convertible preferred stocks (cost $1,843,036) $449,113

COMMON STOCKS (—%)(a)
Shares Value
Bohai Bay Litigation, LLC (Escrow)(F)(NON) 1,327 $4,141
Nortek, Inc.(NON) 1,677 72,128
Trump Entertainment Resorts, Inc.(F)(NON) 224 1,120
Total common stocks (cost $64,638) $77,389

WARRANTS (—%)(a)(NON)
Expiration date Strike price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 117 $2,018
Smurfit Kappa Group PLC 144A (Ireland)(F) EUR 10/01/13 0.001 960 67,892
Total warrants (cost $35,777) $69,910

SHORT-TERM INVESTMENTS (22.6%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.08%(e) 56,515,318 $56,515,318
U.S. Treasury Bills, for effective yields ranging from 0.20% to 0.22%, November 17, 2011(SEG)(SEGSF) $44,879,000 44,839,103
U.S. Treasury Bills, for effective yields ranging from 0.23% to 0.26%, October 20, 2011(SEG)(SEGSF) 41,191,000 41,151,457
U.S. Treasury Bills, for effective yields ranging from 0.19% to 0.24%, August 25, 2011(SEG)(SEGSF) 5,569,000 5,564,639
U.S. Treasury Bills, for effective yields ranging from 0.22% to 0.24%, July 28, 2011(SEG)(SEGSF) 25,239,000 25,236,476
U.S. Treasury Bills, for effective yields ranging from 0.20% to 0.21%, June 2, 2011(SEG)(SEGSF) 32,787,000 32,781,017
Total short-term investments (cost $206,055,278) $206,088,010

TOTAL INVESTMENTS
Total investments (cost $1,051,213,954)(b) $1,076,510,961













FORWARD CURRENCY CONTRACTS at 4/30/11 (aggregate face value $557,805,429) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Buy 5/24/11 $3,981,142 $3,815,577 $165,565
Brazilian Real Buy 5/24/11 846,350 824,876 21,474
British Pound Sell 5/24/11 7,742,410 7,469,424 (272,986)
Canadian Dollar Sell 5/24/11 2,122,469 2,098,297 (24,172)
Chilean Peso Buy 5/24/11 54,790 53,270 1,520
Czech Koruna Buy 5/24/11 604,385 595,791 8,594
Euro Buy 5/24/11 6,118,313 5,859,374 258,939
Japanese Yen Sell 5/24/11 1,631,115 1,575,301 (55,814)
Mexican Peso Sell 5/24/11 464,553 458,710 (5,843)
Norwegian Krone Buy 5/24/11 4,079,452 3,885,094 194,358
Singapore Dollar Buy 5/24/11 1,743,701 1,692,239 51,462
South African Rand Buy 5/24/11 1,369,027 1,337,506 31,521
South Korean Won Buy 5/24/11 3,932,795 3,864,436 68,359
Swedish Krona Sell 5/24/11 2,112,093 2,011,589 (100,504)
Swiss Franc Sell 5/24/11 1,568,031 1,467,474 (100,557)
Taiwan Dollar Sell 5/24/11 57,097 56,256 (841)
Turkish Lira Sell 5/24/11 729,474 720,648 (8,826)
Barclays Bank PLC
Australian Dollar Buy 5/24/11 6,850,667 6,446,952 403,715
Brazilian Real Buy 5/24/11 741,391 721,685 19,706
British Pound Sell 5/24/11 10,755,676 10,388,229 (367,447)
Canadian Dollar Buy 5/24/11 1,848,430 1,838,422 10,008
Chilean Peso Buy 5/24/11 1,324,815 1,304,587 20,228
Czech Koruna Buy 5/24/11 783,945 776,332 7,613
Euro Buy 5/24/11 8,966,606 8,596,977 369,629
Hungarian Forint Buy 5/24/11 2,214,434 2,108,236 106,198
Indian Rupee Sell 5/24/11 2,698,454 2,675,585 (22,869)
Japanese Yen Sell 5/24/11 2,436,634 2,354,574 (82,060)
Malaysian Ringgit Buy 5/24/11 1,392,698 1,368,962 23,736
Mexican Peso Buy 5/24/11 1,917,384 1,863,979 53,405
New Zealand Dollar Sell 5/24/11 995,492 955,593 (39,899)
Norwegian Krone Buy 5/24/11 1,153,256 1,099,409 53,847
Philippines Peso Buy 5/24/11 1,160,218 1,147,247 12,971
Polish Zloty Sell 5/24/11 772,483 720,429 (52,054)
Russian Ruble Buy 5/24/11 1,366,812 1,375,282 (8,470)
Singapore Dollar Buy 5/24/11 3,581,217 3,475,193 106,024
South Korean Won Buy 5/24/11 4,228,956 4,180,976 47,980
Swedish Krona Buy 5/24/11 1,744,309 1,723,106 21,203
Swiss Franc Sell 5/24/11 4,941,231 4,627,025 (314,206)
Taiwan Dollar Sell 5/24/11 19,715 19,560 (155)
Thai Baht Buy 5/24/11 1,151,734 1,140,223 11,511
Turkish Lira Buy 5/24/11 248,972 246,239 2,733
Citibank, N.A.
Australian Dollar Buy 5/24/11 10,121,840 9,690,629 431,211
Brazilian Real Sell 5/24/11 1,883,712 1,831,487 (52,225)
British Pound Sell 5/24/11 5,975,413 5,769,772 (205,641)
Canadian Dollar Sell 5/24/11 3,790,900 3,690,822 (100,078)
Chilean Peso Sell 5/24/11 536,177 521,081 (15,096)
Czech Koruna Sell 5/24/11 602,323 578,839 (23,484)
Danish Krone Buy 5/24/11 531,681 513,802 17,879
Euro Buy 5/24/11 1,413,618 1,355,443 58,175
Hungarian Forint Buy 5/24/11 1,374,017 1,308,473 65,544
Japanese Yen Sell 5/24/11 10,499,102 10,144,673 (354,429)
Mexican Peso Buy 5/24/11 1,955,433 1,905,836 49,597
New Zealand Dollar Buy 5/24/11 35,588 34,170 1,418
Norwegian Krone Buy 5/24/11 1,252,578 1,193,540 59,038
Polish Zloty Buy 5/24/11 2,215,162 2,066,443 148,719
Singapore Dollar Buy 5/24/11 381,637 370,391 11,246
South African Rand Buy 5/24/11 1,238,873 1,206,806 32,067
South Korean Won Buy 5/24/11 2,790,555 2,743,301 47,254
Swedish Krona Buy 5/24/11 782,898 745,992 36,906
Swiss Franc Buy 5/24/11 1,598,947 1,497,005 101,942
Taiwan Dollar Sell 5/24/11 3,402 3,414 12
Turkish Lira Buy 5/24/11 652,428 645,433 6,995
Credit Suisse AG
Australian Dollar Buy 5/24/11 3,795,252 3,579,860 215,392
Brazilian Real Buy 5/24/11 25,587 24,915 672
British Pound Sell 5/24/11 9,457,952 9,171,474 (286,478)
Canadian Dollar Sell 5/24/11 3,440,836 3,361,480 (79,356)
Czech Koruna Buy 5/24/11 9,463 9,180 283
Euro Buy 5/24/11 576,243 552,232 24,011
Indian Rupee Sell 5/24/11 1,540,739 1,534,305 (6,434)
Japanese Yen Sell 5/24/11 3,873,401 3,740,283 (133,118)
Malaysian Ringgit Buy 5/24/11 3,268,448 3,203,543 64,905
Mexican Peso Buy 5/24/11 1,477,428 1,451,250 26,178
Norwegian Krone Sell 5/24/11 85,615 81,508 (4,107)
Polish Zloty Sell 5/24/11 1,444,527 1,346,714 (97,813)
South African Rand Buy 5/24/11 1,863,059 1,822,409 40,650
South Korean Won Buy 5/24/11 2,779,602 2,729,778 49,824
Swedish Krona Buy 5/24/11 2,119,951 2,020,633 99,318
Swiss Franc Sell 5/24/11 6,241,323 5,840,882 (400,441)
Taiwan Dollar Buy 5/24/11 1,350,808 1,342,304 8,504
Turkish Lira Sell 5/24/11 468,240 468,032 (208)
Deutsche Bank AG
Australian Dollar Buy 5/24/11 1,337,441 1,281,259 56,182
Brazilian Real Buy 5/24/11 1,137,674 1,106,539 31,135
British Pound Sell 5/24/11 8,826,798 8,598,590 (228,208)
Canadian Dollar Buy 5/24/11 565,618 563,889 1,729
Chilean Peso Buy 5/24/11 474,081 461,318 12,763
Czech Koruna Sell 5/24/11 961,443 907,932 (53,511)
Euro Buy 5/24/11 7,547,205 7,232,500 314,705
Hungarian Forint Buy 5/24/11 1,936,738 1,839,245 97,493
Malaysian Ringgit Buy 5/24/11 2,113,383 2,072,009 41,374
Mexican Peso Buy 5/24/11 956,653 929,483 27,170
New Zealand Dollar Sell 5/24/11 997,838 958,832 (39,006)
Norwegian Krone Buy 5/24/11 5,147,703 4,895,696 252,007
Peruvian New Sol Sell 5/24/11 1,852,396 1,860,295 7,899
Philippines Peso Buy 5/24/11 1,166,917 1,153,100 13,817
Polish Zloty Buy 5/24/11 1,679,337 1,564,689 114,648
Singapore Dollar Buy 5/24/11 380,901 369,495 11,406
South Korean Won Buy 5/24/11 2,963,798 2,910,632 53,166
Swedish Krona Sell 5/24/11 2,557,877 2,435,295 (122,582)
Swiss Franc Sell 5/24/11 4,696,682 4,396,393 (300,289)
Taiwan Dollar Buy 5/24/11 914,614 908,515 6,099
Turkish Lira Sell 5/24/11 686,263 681,824 (4,439)
Goldman Sachs International
Australian Dollar Buy 5/24/11 6,854,058 6,460,454 393,604
British Pound Buy 5/24/11 926,349 894,503 31,846
Canadian Dollar Buy 5/24/11 2,039,628 1,993,700 45,928
Chilean Peso Sell 5/24/11 44,271 43,061 (1,210)
Euro Buy 5/24/11 846,124 811,433 34,691
Hungarian Forint Buy 5/24/11 3,274,691 3,149,618 125,073
Japanese Yen Sell 5/24/11 8,735,570 8,401,442 (334,128)
Norwegian Krone Buy 5/24/11 2,749,647 2,617,695 131,952
Polish Zloty Sell 5/24/11 282,503 263,745 (18,758)
South African Rand Buy 5/24/11 1,593,436 1,567,937 25,499
Swedish Krona Buy 5/24/11 1,694,923 1,676,035 18,888
Swiss Franc Sell 5/24/11 4,791,746 4,482,294 (309,452)
HSBC Bank USA, National Association
Australian Dollar Buy 5/24/11 11,632,946 11,043,283 589,663
British Pound Sell 5/24/11 11,592,799 11,283,372 (309,427)
Euro Buy 5/24/11 1,178,583 1,129,828 48,755
Indian Rupee Sell 5/24/11 406,167 403,175 (2,992)
Japanese Yen Sell 5/24/11 4,436,837 4,285,068 (151,769)
Norwegian Krone Sell 5/24/11 1,735,117 1,651,791 (83,326)
Philippines Peso Buy 5/24/11 1,166,917 1,154,404 12,513
Singapore Dollar Buy 5/24/11 2,708,998 2,628,901 80,097
South Korean Won Buy 5/24/11 3,844,455 3,784,109 60,346
Swiss Franc Sell 5/24/11 3,011,703 2,820,093 (191,610)
Taiwan Dollar Sell 5/24/11 72,150 71,091 (1,059)
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 5/24/11 2,502,779 2,384,559 118,220
Brazilian Real Buy 5/24/11 754,567 733,919 20,648
British Pound Sell 5/24/11 6,579,837 6,353,868 (225,969)
Canadian Dollar Sell 5/24/11 2,276,526 2,237,140 (39,386)
Chilean Peso Buy 5/24/11 1,457,952 1,431,599 26,353
Czech Koruna Buy 5/24/11 586,913 553,336 33,577
Euro Buy 5/24/11 4,315,739 4,139,273 176,466
Hungarian Forint Buy 5/24/11 554,094 527,888 26,206
Japanese Yen Sell 5/24/11 2,989,873 2,889,250 (100,623)
Malaysian Ringgit Buy 5/24/11 1,652,274 1,619,499 32,775
Mexican Peso Buy 5/24/11 186,156 181,084 5,072
New Zealand Dollar Sell 5/24/11 1,062,058 1,019,202 (42,856)
Norwegian Krone Buy 5/24/11 5,876,889 5,815,660 61,229
Peruvian New Sol Sell 5/24/11 407,253 409,004 1,751
Polish Zloty Sell 5/24/11 4,934,441 4,605,497 (328,944)
Singapore Dollar Buy 5/24/11 3,117,135 3,026,027 91,108
South African Rand Buy 5/24/11 922,396 900,891 21,505
South Korean Won Buy 5/24/11 2,317,881 2,277,126 40,755
Swedish Krona Sell 5/24/11 273,173 260,238 (12,935)
Swiss Franc Sell 5/24/11 1,451,893 1,359,182 (92,711)
Taiwan Dollar Buy 5/24/11 484,103 478,894 5,209
Thai Baht Buy 5/24/11 1,157,582 1,146,658 10,924
Turkish Lira Sell 5/24/11 451,257 446,390 (4,867)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 5/24/11 3,813,524 3,653,675 159,849
Brazilian Real Buy 5/24/11 1,024,823 998,078 26,745
British Pound Sell 5/24/11 6,050,089 5,883,401 (166,688)
Canadian Dollar Buy 5/24/11 1,157,652 1,154,174 3,478
Chilean Peso Buy 5/24/11 1,399,196 1,380,472 18,724
Czech Koruna Sell 5/24/11 861,825 813,745 (48,080)
Euro Buy 5/24/11 1,086,794 1,041,517 45,277
Hungarian Forint Buy 5/24/11 1,729,849 1,645,223 84,626
Indian Rupee Sell 5/24/11 2,283,709 2,265,063 (18,646)
Japanese Yen Sell 5/24/11 4,185,917 4,034,904 (151,013)
Malaysian Ringgit Buy 5/24/11 3,268,481 3,204,585 63,896
Mexican Peso Buy 5/24/11 2,829,956 2,755,125 74,831
New Zealand Dollar Sell 5/24/11 79,345 76,250 (3,095)
Norwegian Krone Buy 5/24/11 2,433,305 2,314,517 118,788
Polish Zloty Sell 5/24/11 1,110,559 1,092,825 (17,734)
Russian Ruble Buy 5/24/11 1,366,812 1,371,514 (4,702)
Singapore Dollar Buy 5/24/11 1,381,695 1,340,948 40,747
South African Rand Buy 5/24/11 2,612,915 2,552,148 60,767
South Korean Won Buy 5/24/11 3,711,191 3,647,190 64,001
Swedish Krona Sell 5/24/11 2,117,117 2,029,415 (87,702)
Swiss Franc Sell 5/24/11 6,105,617 5,867,111 (238,506)
Taiwan Dollar Buy 5/24/11 189,854 188,397 1,457
Turkish Lira Sell 5/24/11 1,486,946 1,478,498 (8,448)
State Street Bank and Trust Co.
Australian Dollar Buy 5/24/11 3,858,711 3,792,897 65,814
Brazilian Real Buy 5/24/11 937,114 911,325 25,789
British Pound Sell 5/24/11 9,349,530 9,027,859 (321,671)
Canadian Dollar Sell 5/24/11 3,491,026 3,412,838 (78,188)
Euro Buy 5/24/11 6,249,992 5,993,618 256,374
Hungarian Forint Buy 5/24/11 3,625,556 3,451,022 174,534
Japanese Yen Sell 5/24/11 8,698,173 8,403,238 (294,935)
Malaysian Ringgit Buy 5/24/11 3,505,440 3,440,519 64,921
Mexican Peso Sell 5/24/11 393,298 388,355 (4,943)
Norwegian Krone Buy 5/24/11 2,805,485 2,673,415 132,070
Philippines Peso Buy 5/24/11 1,166,917 1,154,511 12,406
Polish Zloty Sell 5/24/11 1,718,358 1,662,085 (56,273)
Singapore Dollar Buy 5/24/11 944,931 917,050 27,881
South African Rand Buy 5/24/11 1,418,191 1,387,619 30,572
Swedish Krona Buy 5/24/11 2,656,218 2,533,013 123,205
Swiss Franc Sell 5/24/11 474,277 464,123 (10,154)
Taiwan Dollar Buy 5/24/11 491,234 482,863 8,371
Thai Baht Buy 5/24/11 1,157,588 1,147,349 10,239
UBS AG
Australian Dollar Buy 5/24/11 2,791,734 2,630,955 160,779
Brazilian Real Buy 5/24/11 692,572 674,080 18,492
British Pound Sell 5/24/11 9,080,228 8,858,754 (221,474)
Canadian Dollar Sell 5/24/11 581,574 568,536 (13,038)
Czech Koruna Buy 5/24/11 412,385 405,490 6,895
Euro Buy 5/24/11 311,402 298,612 12,790
Hungarian Forint Buy 5/24/11 3,306,376 3,174,204 132,172
Indian Rupee Sell 5/24/11 3,375,183 3,350,320 (24,863)
Japanese Yen Sell 5/24/11 10,610,655 10,251,011 (359,644)
Mexican Peso Buy 5/24/11 2,822,119 2,744,804 77,315
New Zealand Dollar Sell 5/24/11 1,470,915 1,412,288 (58,627)
Norwegian Krone Buy 5/24/11 3,987,108 3,796,254 190,854
Polish Zloty Sell 5/24/11 1,975,375 1,882,117 (93,258)
Russian Ruble Buy 5/24/11 1,366,805 1,371,256 (4,451)
Singapore Dollar Buy 5/24/11 2,344,047 2,273,964 70,083
South African Rand Buy 5/24/11 2,880,669 2,816,350 64,319
South Korean Won Buy 5/24/11 3,530,357 3,464,702 65,655
Swedish Krona Sell 5/24/11 482,488 459,660 (22,828)
Swiss Franc Sell 5/24/11 8,289,883 7,758,092 (531,791)
Taiwan Dollar Buy 5/24/11 9,943 9,790 153
Thai Baht Buy 5/24/11 1,151,734 1,140,978 10,756
Turkish Lira Buy 5/24/11 6,754 6,680 74
Westpac Banking Corp.
Australian Dollar Buy 5/24/11 6,547,160 6,247,633 299,527
British Pound Sell 5/24/11 6,974,266 6,734,814 (239,452)
Canadian Dollar Buy 5/24/11 64,772 63,345 1,427
Euro Sell 5/24/11 17,239,616 16,515,290 (724,326)
Japanese Yen Sell 5/24/11 4,887,221 4,643,683 (243,538)
New Zealand Dollar Sell 5/24/11 1,380,812 1,330,984 (49,828)
Norwegian Krone Buy 5/24/11 1,320,864 1,258,185 62,679
Swedish Krona Sell 5/24/11 1,947,258 1,855,220 (92,038)
Swiss Franc Sell 5/24/11 4,507,705 4,195,360 (312,345)
Total $(866,330)












FUTURES CONTRACTS OUTSTANDING at 4/30/11 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Short) 52 $5,394,573             Jun-11 $(6,508)
Canadian Government Bond 10 yr (Short) 61 7,841,429             Jun-11 (45,049)
Euro-Bobl 5 yr (Short) 8 1,367,899             Jun-11 (7,983)
Euro-Bund 10 yr (Long) 891 162,502,852             Jun-11 336,026
Euro-Dollar 90 day (Short) 692 171,512,200             Jun-12 (174,730)
Euro-Schatz 2 yr (Short) 500 79,606,897             Jun-11 (114,410)
Euro-Swiss Franc 3 Month (Short) 87 25,019,740             Dec-11 (3,917)
Euro-Swiss Franc 3 Month (Short) 87 24,916,498             Jun-12 (11,558)
Euro-Swiss Franc 3 Month (Short) 87 24,830,883             Dec-12 (14,510)
Euro-Swiss Franc 3 Month (Short) 87 24,966,860             Mar-12 (2,498)
Euro-Swiss Franc 3 Month (Short) 87 25,067,583             Sep-11 1,062
Japanese Government Bond 10 yr (Long) 20 34,529,093             Jun-11 89,017
Japanese Government Bond 10 yr Mini (Long) 10 1,726,701             Jun-11 9,677
U.K. Gilt 10 yr (Long) 583 116,091,785             Jun-11 1,192,341
U.S. Treasury Bond 20 yr (Long) 341 41,729,875             Jun-11 690,446
U.S. Treasury Bond 30 yr (Long) 461 58,028,375             Jun-11 1,094,539
U.S. Treasury Note 5 yr (Long) 78 9,240,563             Jun-11 138,274
U.S. Treasury Note 10 yr (Short) 181 21,926,453             Jun-11 (400,672)
Total $2,769,547












WRITTEN OPTIONS OUTSTANDING at 4/30/11 (premiums received $65,952,215) (Unaudited)


Contract       Expiration date/
amount       strike price Value
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 12, 2022. $14,182,400       Apr-12/4.8675 $124,805
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 12, 2022. 14,182,400       Apr-12/4.8675 1,355,128
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. 16,701,000       Aug-11/4.475 15,866
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. 16,701,000       Aug-11/4.475 1,398,876
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 24,738,000       Aug-11/4.49 2,107,925
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 24,738,000       Aug-11/4.49 20,780
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 12,369,000       Aug-11/4.55 8,164
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 12,369,000       Aug-11/4.55 1,116,055
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. 27,401,000       Aug-11/4.7 6,302
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. 27,401,000       Aug-11/4.7 2,848,060
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. 24,616,000       Aug-11/4.765 6,154
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. 24,616,000       Aug-11/4.765 2,672,559
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 10, 2045. 7,284,400       Aug-15/4.375 1,073,588
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 10, 2045. 7,284,400       Aug-15/4.375 567,382
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 7, 2045. 7,284,400       Aug-15/4.46 602,566
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 7, 2045. 7,284,400       Aug-15/4.46 1,012,532
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 12, 2025. 14,006,560       Feb-15/5.27 673,786
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 12, 2025. 14,006,560       Feb-15/5.27 1,140,414
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 13, 2025. 4,389,140       Feb-15/5.36 200,891
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 13, 2025. 4,389,140       Feb-15/5.36 375,754
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 45,798,000       Jul-11/4.46 15,113
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 45,798,000       Jul-11/4.46 3,911,149
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 42,950,000       Jul-11/4.52 10,308
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 42,950,000       Jul-11/4.52 3,888,264
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 45,798,000       Jul-11/4.525 4,165,786
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 45,798,000       Jul-11/4.525 10,534
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 21,475,000       Jul-11/4.5475 4,510
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 21,475,000       Jul-11/4.5475 1,994,598
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. 68,697,000       Jul-11/4.745 7,557
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. 68,697,000       Jul-11/4.745 7,507,208
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 14, 2022. 19,551,000       May-12/5.51 2,761,383
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 14, 2022. 19,551,000       May-12/5.51 83,619
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. 38,999,000       Sep-13/4.82 2,248,914
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. 38,999,000       Sep-13/4.82 643,918
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 11, 2025. 96,509,800       Sep-15/4.04 3,499,909
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 11, 2025. 96,509,800       Sep-15/4.04 9,716,999
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013. CHF 36,660,000       Dec-11/0.578 5,311
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013. CHF 36,660,000       Dec-11/0.602 6,284
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. CHF 36,660,000       Jan-12/0.70175 13,280
Option on an interest rate swap with UBS AG for the obligation to pay a fixed rate of 0.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. CHF 36,660,000       Jan-12/0.722 14,934
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 3.55% versus the three month USD-LIBOR-BBA maturing July 21, 2021. 19,591,784       Jul-11/3.55 236,473
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 3.55% versus the three month USD-LIBOR-BBA maturing July 21, 2021. 19,591,784       Jul-11/3.55 357,547
Total $58,431,185












TBA SALE COMMITMENTS OUTSTANDING at 4/30/11 (proceeds receivable $48,298,516) (Unaudited)


Principal       Settlement
Agency amount       date Value
FNMA, 4 1/2s, May 1, 2041 29,000,000       5/12/11 29,838,280
FNMA, 4 1/2s, April 1, 2041 3,000,000       4/13/11 3,090,234
FNMA, 4s, May 1, 2041 16,000,000       5/12/11 15,925,000
Total $48,853,514















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/11 (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.
$131,005,900 $(398,654)     4/20/21 3 month USD-LIBOR-BBA 3.5% $1,310,413
AUD 5,940,000 —      4/18/21 6.1% 6 month AUD-BBR-BBSW (72,073)
GBP 35,690,000 —      2/3/13 1.875% 6 month GBP-LIBOR-BBA (450,883)
GBP 15,960,000 —      2/3/16 3.0625% 6 month GBP-LIBOR-BBA (565,327)
GBP 11,260,000 —      2/3/21 3.9225% 6 month GBP-LIBOR-BBA (609,199)
GBP 23,200,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.87% 416,772
Barclays Bank PLC
$248,793,800 (95,687)     2/17/14 1.62% 3 month USD-LIBOR-BBA (3,868,469)
51,637,100 —      3/10/41 3 month USD-LIBOR-BBA 4.38% 2,225,969
20,588,600 —      3/10/18 3.06% 3 month USD-LIBOR-BBA (484,819)
36,821,600 (48,626)     3/30/31 4.17% 3 month USD-LIBOR-BBA (915,699)
257,018,100 59,463      4/1/13 1% 3 month USD-LIBOR-BBA (1,377,421)
74,686,600 —      4/21/21 3 month USD-LIBOR-BBA 3.43% 507,625
28,196,700 94,582      4/26/16 3 month USD-LIBOR-BBA 2.24% 235,935
30,600,000 —      5/4/16 2.17% 3 month USD-LIBOR-BBA (22,950)
AUD 41,210,000 —      3/21/16 5.57% 6 month AUD-BBR-BBSW 247,113
AUD 31,330,000 —      3/21/21 6 month AUD-BBR-BBSW 5.88% (155,129)
AUD 9,160,000 —      4/21/21 6.0675% 6 month AUD-BBR-BBSW (86,703)
EUR 14,050,000 —      3/1/21 6 month EUR-EURIBOR-REUTERS 3.425% (97,647)
EUR 39,514,000 —      2/9/21 3.53% 6 month EUR-EURIBOR-REUTERS (327,511)
GBP 43,680,000 —      4/6/16 6 month GBP-LIBOR-BBA 3.05% 1,123,258
GBP 14,840,000 —      4/6/31 4.2375% 6 month GBP-LIBOR-BBA (749,104)
GBP 22,720,000 —      1/18/21 3.7875% 6 month GBP-LIBOR-BBA (846,317)
GBP 21,410,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% 364,938
GBP 49,960,000 —      2/3/13 1.895% 6 month GBP-LIBOR-BBA (664,244)
GBP 8,210,000 —      2/3/21 6 month GBP-LIBOR-BBA 3.95% 476,750
Citibank, N.A.
$200,540,800 (55,180)     12/10/12 0.81% 3 month USD-LIBOR-BBA (1,298,496)
GBP 43,680,000 —      4/5/16 6 month GBP-LIBOR-BBA 3.075% 1,215,119
GBP 14,840,000 —      4/5/31 4.21075% 6 month GBP-LIBOR-BBA (657,940)
GBP 85,150,000 —      8/3/15 2.9225% 6 month GBP-LIBOR-BBA (2,816,386)
GBP 25,260,000 —      8/3/20 6 month GBP-LIBOR-BBA 3.885% 1,375,221
GBP 106,440,000 —      8/3/12 6 month GBP-LIBOR-BBA 1.61% 835,456
SEK 58,660,000 —      11/23/20 3.25% 3 month SEK-STIBOR-SIDE 292,926
SEK 49,830,000 —      3/24/21 3 month SEK-STIBOR-SIDE 3.8025% 48,199
SEK 33,150,000 —      4/15/21 3.93% 3 month SEK-STIBOR-SIDE (86,082)
SEK 35,730,000 —      2/4/21 3.79% 3 month SEK-STIBOR-SIDE (43,265)
SEK 58,660,000 —      11/23/20 3 month SEK-STIBOR-SIDE 3.75% 27,992
Credit Suisse International
$99,826,200 (292,544)     2/4/20 3 month USD-LIBOR-BBA 3.38% 2,104,940
11,043,800 (14,719)     3/14/16 3 month USD-LIBOR-BBA 2.35% 145,696
121,921,800 (242,473)     3/14/20 3 month USD-LIBOR-BBA 3.42% 2,499,833
46,552,700 106,717      3/14/41 4.36% 3 month USD-LIBOR-BBA (1,714,404)
58,600,000 (E) —      3/21/13 1.15625% 3 month USD-LIBOR-BBA (67,976)
108,255,200 (36,265)     2/17/13 1.04% 3 month USD-LIBOR-BBA (893,870)
96,713,000 (12,076)     2/24/14 1.53% 3 month USD-LIBOR-BBA (1,174,848)
86,500 15      2/24/15 3 month USD-LIBOR-BBA 2.04% 1,542
53,500 16      2/24/26 4.16% 3 month USD-LIBOR-BBA (2,386)
148,848,000 —      4/15/13 0.93125% 3 month USD-LIBOR-BBA (565,672)
153,589,900 11,841      4/19/13 0.89% 3 month USD-LIBOR-BBA (423,599)
9,000,000 —      5/3/21 3.431% 3 month USD-LIBOR-BBA (47,160)
1,000,000 —      5/4/21 3 month USD-LIBOR-BBA 3.379% —
CHF 63,900,000 —      1/28/13 0.675% 6 month CHF-LIBOR-BBA 55,319
CHF 10,940,000 —      3/22/16 1.5075% 6 month CHF-LIBOR-BBA 100,542
CHF 16,850,000 —      7/28/15 1.27% 6 month CHF-LIBOR-BBA 55,612
CHF 71,270,000 —      2/9/13 0.6875% 6 month CHF-LIBOR-BBA 84,137
CHF 9,810,000 —      4/28/16 6 month CHF-LIBOR-BBA 1.69% (17,276)
EUR 7,025,000 —      3/4/21 3.46% 6 month EUR-EURIBOR-REUTERS 19,970
EUR 5,610,000 —      4/19/21 3.691% 6 month EUR-EURIBOR-REUTERS (113,658)
GBP 25,610,000 —      2/3/16 3.065% 6 month GBP-LIBOR-BBA (912,100)
GBP 14,160,000 —      2/3/21 6 month GBP-LIBOR-BBA 3.93% 781,416
GBP 7,000,000 —      3/3/21 3.87375% 6 month GBP-LIBOR-BBA (298,259)
MXN 78,540,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% (242,865)
SEK 35,730,000 —      2/7/21 3.82% 3 month SEK-STIBOR-SIDE (57,227)
SEK 32,960,000 —      3/29/21 3 month SEK-STIBOR-SIDE 3.81125% 35,663
SEK 25,610,000 —      4/4/21 3.815% 3 month SEK-STIBOR-SIDE (27,706)
SEK 61,400,000 —      3/4/21 3 month SEK-STIBOR-SIDE 3.78% 48,310
Deutsche Bank AG
$303,397,000 (24,197)     1/5/13 0.79% 3 month USD-LIBOR-BBA (1,546,693)
233,211,400 —      1/14/13 0.85625% 3 month USD-LIBOR-BBA (1,434,807)
224,480,800 1,297,784      2/3/20 3 month USD-LIBOR-BBA 3.31% 5,441,865
143,768,900 (33,355)     4/13/13 0.98% 3 month USD-LIBOR-BBA (721,044)
68,093,200 (347,476)     4/14/21 3 month USD-LIBOR-BBA 3.66% 1,544,545
54,354,600 51,423      4/21/21 3 month USD-LIBOR-BBA 3.44% 468,296
EUR 54,940,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS 701,903
KRW 8,022,000,000 —      4/22/16 4.135% 3 month KRW-CD-KSDA-BLOOMBERG (5,241)
KRW 7,955,000,000 —      4/29/16 4.14% 3 month KRW-CD-KSDA-BLOOMBERG (5,211)
MXN 78,540,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% (214,608)
Goldman Sachs International
$18,699,200 6,412      2/15/13 1.03% 3 month USD-LIBOR-BBA (139,860)
161,417,100 (38,155)     1/5/13 0.79% 3 month USD-LIBOR-BBA (848,173)
84,503,400 —      2/15/13 1.01625% 3 month USD-LIBOR-BBA (637,387)
12,605,200 (3,104)     10/1/13 0.84% 3 month USD-LIBOR-BBA 33,821
40,789,500 (E) —      3/19/13 1.09375% 3 month USD-LIBOR-BBA (24,882)
65,803,200 —      4/4/16 3 month USD-LIBOR-BBA 2.415% 1,024,161
10,665,400 —      4/20/41 3 month USD-LIBOR-BBA 4.2525% 172,200
70,053,900 308,497      5/3/21 3 month USD-LIBOR-BBA 3.39% 424,086
8,500,000 —      5/4/41 4.1775% 3 month USD-LIBOR-BBA —
CHF 55,520,000 —      12/15/12 0.538% 6 month CHF-LIBOR-BBA 122,154
EUR 7,025,000 —      3/2/21 3.4325% 6 month EUR-EURIBOR-REUTERS 42,927
GBP 10,990,000 —      1/21/21 3.81% 6 month GBP-LIBOR-BBA (440,235)
KRW 7,688,000,000 —      4/21/16 4.12% 3 month KRW-CD-KSDA-BLOOMBERG (324)
SEK 36,900,000 —      12/10/20 3.5775% 3 month SEK-STIBOR-SIDE 23,187
SEK 61,400,000 —      3/2/21 3 month SEK-STIBOR-SIDE 3.7575% 31,143
JPMorgan Chase Bank, N.A.
$168,393,200 (28,555)     2/16/13 1.04% 3 month USD-LIBOR-BBA (1,364,008)
9,343,500 —      3/9/26 3 month USD-LIBOR-BBA 4.07% 303,974
103,427,700 394,043      3/11/41 4.42% 3 month USD-LIBOR-BBA (4,784,627)
117,300,000 (E) —      3/21/13 1.1685% 3 month USD-LIBOR-BBA (151,262)
57,200,000 (E) —      3/22/13 1.185% 3 month USD-LIBOR-BBA (80,804)
16,313,400 —      3/25/16 2.27% 3 month USD-LIBOR-BBA (153,076)
96,268,600 32,675      6/21/14 1.908001% 3 month USD-LIBOR-BBA (2,300,477)
39,102,300 (245,908)     4/15/41 4.33% 3 month USD-LIBOR-BBA (1,432,306)
171,493,100 (145,321)     4/27/21 3 month USD-LIBOR-BBA 3.48% 1,649,569
49,243,700 (25,705)     4/27/41 4.25% 3 month USD-LIBOR-BBA (761,002)
27,000,000 —      5/4/21 3 month USD-LIBOR-BBA 3.38% 18,630
161,909,900 50,076      1/6/13 0.79% 3 month USD-LIBOR-BBA (761,717)
93,652,325 (1,804,961)     4/28/21 3 month USD-LIBOR-BBA 3.59% 66,815
118,567,800 —      2/1/14 1.2425% 3 month USD-LIBOR-BBA (580,005)
80,478,300 —      2/4/13 0.879% 3 month USD-LIBOR-BBA (415,443)
2,473,000 —      5/4/21 3 month USD-LIBOR-BBA 3.407% 7,543
51,600,000 —      5/4/13 0.785% 3 month USD-LIBOR-BBA —
5,300,000 —      5/4/21 3 month USD-LIBOR-BBA 3.375% —
CAD 8,100,000 —      9/21/20 3.105% 3 month CAD-BA-CDOR 251,783
EUR 6,300,000 —      5/31/15 6 month EUR-EURIBOR-REUTERS 2.0975% (152,530)
EUR 31,420,000 —      5/31/20 6 month EUR-EURIBOR-REUTERS 2.949% (989,737)
GBP 8,210,000 —      2/3/21 6 month GBP-LIBOR-BBA 3.93105% 454,335
JPY 1,383,000,000 —      2/22/21 1.36375% 6 month JPY-LIBOR-BBA (283,234)
JPY 3,056,730,000 —      5/25/15 0.674375% 6 month JPY-LIBOR-BBA (335,959)
JPY 3,048,260,000 —      9/16/15 6 month JPY-LIBOR-BBA 0.59125% 137,823
JPY 799,200,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% (95,293)
JPY 1,074,500,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA 181,865
MXN 11,220,000 (E) —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% (29,249)
MXN 57,160,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% (277,322)
MXN 88,180,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% (367,793)
UBS, AG
$45,751,400 —      12/9/40 4.1075% 3 month USD-LIBOR-BBA (254,202)
AUD 7,080,000 (E) —      4/11/21 6 month AUD-BBR-BBSW 6.65% 88,316
AUD 7,080,000 (E) —      4/12/21 6 month AUD-BBR-BBSW 6.61% 78,529
CHF 72,350,000 —      2/11/13 0.6975% 6 month CHF-LIBOR-BBA 70,450
CHF 72,350,000 —      4/19/13 6 month CHF-LIBOR-BBA 0.9325% 83,840
Total $(14,282,755)
(E)   See Interest rate swap contracts note regarding extended effective dates.










TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/11 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
$1,264,073 $(988)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools $10,782
1,272,219 596      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,409)
1,263,628 (987)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 10,778
1,272,219 1,789      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,602)
Barclays Bank PLC
1,151,339 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (10,253)
8,454,811 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (51,922)
2,512,461 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (15,429)
11,928,502 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 58,173
6,696,098 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (59,630)
11,863,382 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (72,854)
3,905,141 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (30,703)
4,143,021 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (36,894)
2,370,010 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (18,633)
12,280,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) 30,654
3,599,222 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 33,509
12,970,697 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 46,842
1,264,073 (1,778)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 9,991
1,264,073 (1,778)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 9,991
1,272,219 994      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,807)
3,035,827 (4,269)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 23,996
3,045,689 1,904      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (29,026)
507,680 (476)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 4,251
23,690,423 7,403      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 221,303
1,391,466 435      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 11,566
1,379,569 1,293      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,956)
13,943,500 (34,859)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (80,352)
8,026,476 33,862      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 143,499
34,027,852 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (208,968)
6,947,334 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (42,664)
13,954,815 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (85,698)
7,369,554 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (65,627)
5,448,233 (35,754)     1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,674)
1,930,788 (15,989)     1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools —
5,220,381 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 25,459
3,282,758 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools (30,563)
8,813,265 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 42,981
Citibank, N.A.
1,230,198 (961)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 10,493
1,284,721 1,606      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (13,047)
GBP 16,980,000 —      5/18/13 (3.38%) GBP Non-revised UK Retail Price Index 736,757
Credit Suisse International
$6,485,349 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (23,421)
1,272,219 2,584      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (10,397)
1,264,073 198      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 11,967
Deutsche Bank AG
6,485,349 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (23,421)
Goldman Sachs International
8,490,000 —      7/28/11 (0.685%) USA Non Revised Consumer Price Index- Urban (CPI-U) 223,198
8,490,000 —      7/29/11 (0.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) 217,630
8,490,000 —      7/30/11 (0.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) 220,975
7,020,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) (85,554)
5,265,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) (68,870)
4,636,422 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools (43,166)
3,889,746 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 23,887
2,626,618 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 20,651
917,300 (1,290)     1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools 7,390
8,856,688 9,687      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 65,298
7,690,969 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools (71,614)
Total $996,867










CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/11 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America, N.A.
  Ford Motor Credit Co., 7%, 10/1/13 Ba2 $— $2,805,000 3/20/12 285 bp $60,520
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — (41,661) 4,680,000 12/20/19 (100 bp) 385,263
  Ukraine (Government of), 7.65%, 6/11/13 B2 — 2,175,000 10/20/11 194 bp 2,885
Deutsche Bank AG
  Federal Republic of Brazil, 12 1/4%, 3/6/30 Baa3 — 1,500,000 10/20/17 105 bp (15,404)
  Russian Federation, 7 1/2%, 3/31/30 — — 442,500 4/20/13 (112 bp) (4,622)
  United Mexican States, 7.5%, 4/8/33 Baa1 — 2,945,000 3/20/14 56 bp (9,110)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B2 — EUR 935,000 9/20/13 715 bp 190,119
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 477 bp 110,153
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 880,000 9/20/13 535 bp 128,587
Goldman Sachs International
  Lighthouse International Co, SA, 8%, 4/30/14 Caa2 — EUR 815,000 3/20/13 680 bp (584,415)
JPMorgan Chase Bank, N.A.
  DJ CDX NA HY Series 16 Version 1 Index B+ (124,616) $6,042,000 6/20/16 500 bp 106,698
  Republic of Argentina, 8.28%, 12/31/33 B3 — 1,385,000 6/20/14 235 bp (105,738)
  Russian Federation, 7 1/2%, 3/31/30 Baa1 — 225,000 9/20/13 276 bp 11,469
Morgan Stanley Capital Services, Inc.
  Dominican Republic, 8 5/8%, 4/20/27 — — 2,340,000 11/20/11 (170 bp) (531)
  Freeport-McMoRan Copper & Gold, Inc., T/L Bank Loan Baa1 — 2,360,500 3/20/12 44 bp 1,537
  Republic of Venezuela, 9 1/4%, 9/15/27 B2 — 1,570,000 10/20/12 339 bp (103,832)
Total $173,579
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at April 30, 2011. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."  










Key to holding's currency abbreviations
ARS Argentine Peso
BRL Brazilian Real
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
PEN Peruvian Neuvo Sol
RUB Russian Ruble
SEK Swedish Krona
TRY Turkish Lira
USD / $ United States Dollar
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds
FRN Floating Rate Notes
IFB Inverse Floating Rate Bonds
IO Interest Only
MTN Medium Term Notes
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2010 through April 30, 2011 (the reporting period).
(a) Percentages indicated are based on net assets of $910,565,595.
(b) The aggregate identified cost on a tax basis is $1,064,816,627, resulting in gross unrealized appreciation and depreciation of $38,289,411 and $26,595,077, respectively, or net unrealized appreciation of $11,694,334.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) These securities, in part or in entirety, were pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) These securities, in part or in entirety, were pledged and segregated with the custodian for collateral on certain derivatives contracts at the close of the reporting period.
(FWC) Forward commitments, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $52,746 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $512,902,796 and $459,615,130, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $594,822,775 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
IFB 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 interest rates shown are the current interest rates at the close of the reporting period.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses futures contracts to hedge interest rate risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” The fund had an average number of contracts of approximately 4,000 on futures contracts for the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk and to gain exposure to interest rates and volatility.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. The fund had an average contract amount of approximately $588,300,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately $1,638,900,000 on written options contracts for the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. 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. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. The fund had an average contract amount of approximately $492,200,000 on forward currency contracts for the reporting period.
Total return swap contracts: The fund enters into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount to hedge sector exposure, to manage exposure to specific sectors or industries and to gain exposure to specific sectors/industries. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. The fund had an average notional amount of approximately $211,800,000 on total return swap contracts for the reporting period.
Interest rate swap contracts: The fund enters into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. The fund had an average notional amount of approximately $8,268,300,000 on interest rate swap contracts for the reporting period.
Credit default contracts: The fund enters into credit default contracts to gain exposure on individual names and/or baskets of securities. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $3,419,014 at the close of the reporting period. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $73,457,330 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $69,764,954.
TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
Dollar rolls: To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
Consumer cyclicals $72,128 $— $1,120
Energy — — 4,141
Total common stocks 72,128 — 5,261
Asset-backed securities — 116,246,824 2,890,471
Convertible bonds and notes — 2,628,494 1,106
Convertible preferred stocks — 449,113 —
Corporate bonds and notes — 269,660,815 33,190
Foreign government bonds and notes — 77,064,914 —
Mortgage-backed securities — 232,241,037 3,731,287
Preferred stocks — 798,683 —
Purchased options outstanding — 1,411,641 —
Senior loans — 28,293,981 —
U.S. Government and Agency Mortgage Obligations — 134,824,096 —
Warrants — 2,018 67,892
Short-term investments 56,515,318 149,572,692 —
Totals by level $56,587,446 $1,013,194,308 $6,729,207



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


Forward currency contracts $— $(866,330) $—
Futures contracts 2,769,547
Written options (58,431,185)
TBA sale commitments (48,853,514)
Interest rate swap contracts (12,803,338)
Total return swap contracts 1,033,645
Credit default contracts 339,856
Totals by level $2,769,547 $(119,580,866) $—


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $1,163,508 $823,652
Foreign exchange contracts 9,851,617 10,717,947
Equity contracts 69,910 —
Interest rate contracts 38,745,432 104,765,122
Total $49,830,467 $116,306,721


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




Item 2. Controls and Procedures:

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

(b) Changes in internal control over financial reporting: Not applicable

Item 3. Exhibits:

Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES

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

Putnam Premier Income Trust

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: June 28, 2011

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

By (Signature and Title):

/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: June 28, 2011

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 28, 2011