a_premierincome.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2017
Date of reporting period: October 31, 2016



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
10/31/16 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (57.8%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.6%)
Government National Mortgage Association Pass-Through Certificates 4.50%, TBA, 11/1/46 $3,000,000 $3,237,656
3,237,656
U.S. Government Agency Mortgage Obligations (57.3%)
Federal National Mortgage Association Pass-Through Certificates
     5.50%, TBA, 11/1/46 5,000,000 5,632,869
     4.50%, TBA, 12/1/46 2,000,000 2,184,375
     4.50%, TBA, 11/1/46 2,000,000 2,185,938
     4.00%, TBA, 11/1/46 2,000,000 2,141,562
     3.50%, TBA, 12/1/46 114,000,000 119,563,154
     3.50%, TBA, 11/1/46 122,000,000 128,082,225
     2.50%, TBA, 12/1/46 20,000,000 19,928,324
     2.50%, TBA, 11/1/46 56,000,000 55,895,560
335,614,007
Total U.S. government and agency mortgage obligations (cost $340,285,898) $338,851,663

U.S. TREASURY OBLIGATIONS (0.0%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 2.125%, 2/15/41(i) $85,777 $113,475
Total U.S. treasury obligations (cost $113,475) $113,475

MORTGAGE-BACKED SECURITIES (50.5%)(a)
Principal amount Value
Agency collateralized mortgage obligations (18.5%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 23.642%, 4/15/37 $114,391 $191,449
     IFB Ser. 2979, Class AS, 22.313%, 3/15/34 7,208 7,549
     IFB Ser. 3072, Class SM, 21.837%, 11/15/35 221,510 349,734
     Ser. 4122, Class TI, IO, 4.50%, 10/15/42 3,598,178 607,013
     Ser. 4000, Class PI, IO, 4.50%, 1/15/42 2,091,445 323,965
     Ser. 4024, Class PI, IO, 4.50%, 12/15/41 3,556,170 545,648
     Ser. 4546, Class TI, 4.00%, 12/15/45 8,140,537 956,513
     Ser. 4462, IO, 4.00%, 4/15/45 3,500,332 578,920
     Ser. 4425, IO, 4.00%, 1/15/45 9,289,428 1,202,517
     Ser. 4452, Class QI, IO, 4.00%, 11/15/44 7,182,244 1,185,070
     Ser. 4193, Class PI, IO, 4.00%, 3/15/43 5,708,195 838,089
     Ser. 4062, Class DI, IO, 4.00%, 9/15/39 8,617,581 819,686
     Ser. 4604, Class QI, IO, 3.50%, 7/15/46 15,238,821 2,191,800
     Ser. 4580, Class ID, IO, 3.50%, 8/15/45 11,601,874 1,218,197
     Ser. 4501, Class BI, IO, 3.50%, 10/15/43 8,193,083 719,353
     Ser. 4122, Class AI, IO, 3.50%, 10/15/42 6,580,612 820,773
     Ser. 4122, Class CI, IO, 3.50%, 10/15/42 5,962,757 743,711
     Ser. 4105, Class HI, IO, 3.50%, 7/15/41 3,107,295 372,880
     Ser. 304, Class C37, IO, 3.50%, 12/15/27 3,691,016 385,641
     Ser. 4165, Class TI, IO, 3.00%, 12/15/42 13,369,470 1,369,034
     Ser. 4183, Class MI, IO, 3.00%, 2/15/42 6,152,559 610,949
     Ser. 4210, Class PI, IO, 3.00%, 12/15/41 3,851,979 284,234
     FRB Ser. 57, Class 1AX, IO, 0.375%, 7/25/43 3,308,526 35,405
     Ser. 3326, Class WF, zero %, 10/15/35 2,204 1,752
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 36.696%, 7/25/36 169,251 337,805
     IFB Ser. 07-53, Class SP, 22.242%, 6/25/37 187,826 300,282
     IFB Ser. 08-24, Class SP, 21.325%, 2/25/38 182,155 258,269
     IFB Ser. 05-75, Class GS, 18.648%, 8/25/35 146,533 205,045
     IFB Ser. 05-83, Class QP, 16.006%, 11/25/34 221,305 288,765
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 7,450,017 1,789,417
     IFB Ser. 13-18, Class SB, IO, 5.616%, 10/25/41 2,908,293 328,346
     Ser. 374, Class 6, IO, 5.50%, 8/25/36 327,320 69,974
     Ser. 12-132, Class PI, IO, 5.00%, 10/25/42 4,863,737 797,395
     Ser. 378, Class 19, IO, 5.00%, 6/25/35 1,051,239 169,084
     Ser. 15-16, Class MI, IO, 4.50%, 4/25/45 5,229,426 954,370
     Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 1,568,234 326,389
     Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 10,472,876 1,233,485
     Ser. 409, Class 81, IO, 4.50%, 11/25/40 4,940,264 809,507
     Ser. 409, Class 82, IO, 4.50%, 11/25/40 6,133,239 1,004,741
     Ser. 366, Class 22, IO, 4.50%, 10/25/35 240,550 11,388
     Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 5,963,009 692,434
     Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 4,134,711 636,539
     Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 3,956,872 548,089
     Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 3,108,924 449,258
     Ser. 12-96, Class PI, IO, 4.00%, 7/25/41 2,392,456 279,970
     Ser. 409, Class C16, IO, 4.00%, 11/25/40 3,811,416 536,647
     Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 5,626,668 430,440
     Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 5,248,885 459,277
     Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 4,630,074 437,542
     Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 5,217,084 362,535
     FRB Ser. 03-W10, Class 1, IO, 0.621%, 6/25/43 492,294 6,230
     Ser. 99-51, Class N, PO, zero %, 9/17/29 22,343 19,559
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.717%, 3/30/30 2,405,988 51,127
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.624%, 9/20/43 2,115,070 354,930
     IFB Ser. 14-119, Class SA, IO, 5.074%, 8/20/44 8,548,773 1,335,746
     Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 2,969,620 491,680
     Ser. 14-76, IO, 5.00%, 5/20/44 3,798,341 723,294
     Ser. 14-25, Class MI, IO, 5.00%, 11/20/43 2,419,213 390,751
     Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 8,861,672 959,090
     Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 5,879,934 1,040,137
     Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 5,194,123 942,967
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 2,899,428 527,522
     Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 2,672,479 488,556
     Ser. 12-146, IO, 5.00%, 12/20/42 2,612,925 480,935
     Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 1,962,274 325,463
     Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 1,560,708 112,314
     Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 1,110,253 46,827
     Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 1,022,303 80,321
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 905,620 167,222
     Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 2,743,768 481,614
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 12,441,088 2,263,706
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 6,379,709 1,183,500
     Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 2,414,111 410,705
     Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 4,191,605 859,279
     Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 20,427,471 1,905,474
     Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 4,688,233 642,429
     Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 5,349,246 956,178
     Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 7,313,007 1,071,209
     Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 5,286,494 904,440
     Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 1,214,450 170,922
     Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 631,350 26,156
     Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 330,731 37,376
     Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 5,446,851 863,326
     Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 8,707,896 1,469,109
     Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 4,913,208 819,071
     Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 5,534,263 890,109
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 3,285,579 546,678
     Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 2,471,245 526,499
     Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 1,155,366 106,606
     Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 3,410,380 274,297
     Ser. 10-98, Class PI, IO, 4.50%, 10/20/37 706,791 17,917
     Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 12,389,204 1,826,912
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 5,985,584 1,267,992
     Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 8,442,502 1,105,411
     Ser. 15-40, IO, 4.00%, 3/20/45 6,768,181 1,354,753
     Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 6,904,386 1,104,426
     Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 2,566,405 400,531
     Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 12,603,559 1,407,187
     Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 2,456,467 363,164
     Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 2,242,559 352,788
     Ser. 12-38, Class MI, IO, 4.00%, 3/20/42(F) 6,817,573 1,181,866
     Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 5,784,645 918,219
     Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 5,329,947 961,405
     Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 8,123,891 781,924
     Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 6,911,663 700,359
     Ser. 13-76, IO, 3.50%, 5/20/43 9,535,186 1,115,521
     Ser. 13-28, IO, 3.50%, 2/20/43 2,994,750 360,891
     Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 4,608,054 533,521
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 6,475,093 749,686
     Ser. 13-14, IO, 3.50%, 12/20/42 14,079,695 1,657,602
     Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 4,785,758 551,654
     Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 5,269,463 926,372
     Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 6,384,971 1,198,842
     Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 3,009,840 587,963
     Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 9,390,059 1,152,001
     Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 6,807,116 622,851
     Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 5,386,604 687,993
     Ser. 16-H23, Class NI, IO, 2.83%, 10/20/66 29,810,000 4,429,766
     Ser. 16-H17, Class KI, IO, 2.466%, 7/20/66 5,786,178 766,530
     Ser. 15-H20, Class CI, IO, 2.442%, 8/20/65 11,584,139 1,475,310
     Ser. 15-H15, Class BI, IO, 2.417%, 6/20/65 6,815,763 856,074
     Ser. 15-H24, Class AI, IO, 2.391%, 9/20/65 10,701,161 1,250,966
     Ser. 15-H10, Class BI, IO, 2.274%, 4/20/65 7,546,425 905,797
     Ser. 16-H09, Class BI, IO, 2.186%, 4/20/66 13,606,253 1,681,719
     Ser. 16-H16, Class EI, IO, 2.167%, 6/20/66 8,272,292 1,072,916
     Ser. 16-H03, Class DI, IO, 2.039%, 12/20/65 11,263,138 1,163,043
     Ser. 16-H03, Class AI, IO, 2.001%, 1/20/66 10,290,576 1,258,630
     Ser. 15-H25, Class EI, IO, 1.849%, 10/20/65 10,559,789 1,085,546
     Ser. 15-H20, Class AI, IO, 1.837%, 8/20/65 10,737,050 1,118,801
     Ser. 16-H02, Class HI, IO, 1.827%, 1/20/66 13,463,817 1,474,288
     Ser. 16-H10, Class AI, IO, 1.826%, 4/20/66 23,675,705 2,263,397
     FRB Ser. 15-H08, Class CI, IO, 1.792%, 3/20/65 8,037,314 797,213
     Ser. 16-H06, Class DI, IO, 1.728%, 7/20/65 16,031,978 1,736,263
     Ser. 15-H23, Class BI, IO, 1.726%, 9/20/65 11,627,920 1,136,048
     Ser. 13-H08, Class CI, IO, 1.672%, 2/20/63 14,547,618 1,037,245
     Ser. 16-H14, IO, 1.67%, 6/20/66 10,283,122 948,104
     Ser. 16-H06, Class CI, IO, 1.609%, 2/20/66 14,604,993 1,330,515
     Ser. 14-H21, Class BI, IO, 1.544%, 10/20/64 13,686,095 1,041,512
     Ser. 15-H26, Class CI, IO, 0.576%, 8/20/65 34,543,955 856,690
     Ser. 06-36, Class OD, PO, zero %, 7/16/36 7,096 6,154
108,612,507
Commercial mortgage-backed securities (19.6%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695%, 7/10/46 452,623 448,945
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.343%, 2/10/51 132,007,014 314,322
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.403%, 10/10/45 581,395 581,194
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(F) 2,750,000 2,544,847
     Ser. 05-PWR7, Class D, 5.304%, 2/11/41 1,026,000 995,220
     Ser. 05-PWR7, Class B, 5.214%, 2/11/41(F) 1,484,511 1,475,683
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.436%, 3/11/39 1,877,000 844,650
     FRB Ser. 06-PW11, Class C, 5.436%, 3/11/39 1,554,000 388,500
     FRB Ser. 06-PW14, Class XW, IO, 0.583%, 12/11/38 15,849,263 66,567
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.116%, 11/15/44 2,160,000 2,096,179
     FRB Ser. 07-CD5, Class XS, IO, 0.148%, 11/15/44 44,684,258 33,750
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.741%, 12/15/47 1,068,000 1,079,322
     FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 2,275,000 2,063,653
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 12-GC8, Class D, 4.876%, 9/10/45 2,053,000 1,923,045
     FRB Ser. 14-GC21, Class D, 4.835%, 5/10/47 951,000 778,298
COBALT CMBS Commercial Mortgage Trust
     FRB Ser. 07-C3, Class AJ, 5.758%, 5/15/46 2,669,000 2,632,093
     Ser. 07-C2, Class AJFX, 5.568%, 4/15/47 736,000 736,000
COMM Mortgage Pass-Through Certificates 144A Ser. 12-CR3, Class F, 4.75%, 10/15/45 1,755,510 1,346,129
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.813%, 12/10/49 1,138,000 1,124,632
     Ser. 06-C8, Class AJ, 5.377%, 12/10/46 2,923,000 2,879,155
COMM Mortgage Trust 144A
     FRB Ser. 13-CR11, Class D, 5.169%, 10/10/46 284,000 268,664
     FRB Ser. 13-CR9, Class D, 4.256%, 7/10/45 2,441,000 2,276,233
     Ser. 13-LC13, Class E, 3.719%, 8/10/46 1,331,000 933,164
     Ser. 14-CR18, Class E, 3.60%, 7/15/47 1,371,000 894,440
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.611%, 12/15/39 10,422,928 38,565
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 1,169,871 1,168,116
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.80%, 4/15/50 2,109,000 1,769,293
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class E, 5.087%, 8/10/42 765,685 765,815
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.309%, 3/10/44 3,020,193 2,971,870
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 179,379 179,935
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46 1,084,000 993,920
     FRB Ser. 05-GG4, Class XC, IO, 0.667%, 7/10/39(F) 1,432,188 2,148
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.32%, 11/10/46 1,693,000 1,389,445
     Ser. 11-GC3, Class E, 5.00%, 3/10/44 1,347,000 1,259,849
     FRB Ser. 14-GC18, Class D, 4.945%, 1/10/47(F) 4,405,000 3,705,687
     FRB Ser. 14-GC26, Class D, 4.511%, 11/10/47 2,204,000 1,772,854
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C15, Class D, 5.046%, 11/15/45 1,650,000 1,598,760
     FRB Ser. 14-C18, Class D, 4.814%, 2/15/47 2,236,000 1,909,544
     FRB Ser. 13-C14, Class E, 4.562%, 8/15/46 1,178,000 968,905
     FRB Ser. C14, Class D, 4.562%, 8/15/46 1,063,000 997,463
     FRB Ser. 14-C18, Class E, 4.314%, 2/15/47 914,000 660,822
     FRB Ser. 14-C25, Class D, 3.948%, 11/15/47 2,308,000 1,756,157
     Ser. 14-C25, Class E, 3.332%, 11/15/47 1,823,000 1,114,400
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.079%, 2/12/51 1,225,830 1,224,236
     FRB Ser. 06-LDP7, Class B, 5.925%, 4/17/45 1,231,000 225,889
     FRB Ser. 06-LDP6, Class B, 5.653%, 4/15/43 144,407 144,407
     Ser. 06-LDP8, Class B, 5.52s, 5/15/45 662,120 668,661
     FRB Ser. 05-LDP2, Class E, 4.981%, 7/15/42 870,000 868,608
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.179%, 2/12/51 1,087,000 1,021,780
     FRB Ser. 07-CB20, Class C, 6.179%, 2/12/51 1,904,000 1,675,520
     FRB Ser. 11-C3, Class F, 5.614%, 2/15/46 1,113,000 1,137,375
     FRB Ser. 13-C13, Class D, 4.053%, 1/15/46 1,027,000 939,903
     Ser. 13-C13, Class E, 3.986%, 1/15/46 1,537,000 1,236,055
     Ser. 13-C10, Class E, 3.50%, 12/15/47 1,865,000 1,355,855
     FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 1,249,000 923,760
     FRB Ser. 07-CB20, Class X1, IO, 0.313%, 2/12/51 74,975,255 169,137
LB Commercial Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41%, 6/15/31(F) 455,207 462,240
     Ser. 98-C4, Class J, 5.60%, 10/15/35 965,000 991,345
LB-UBS Commercial Mortgage Trust
     Ser. 06-C6, Class D, 5.502%, 9/15/39 3,168,000 696,105
     FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 3,041,000 760,250
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.261%, 4/20/48 977,000 848,788
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.263%, 2/12/51 428,000 439,342
     Ser. 06-C2, Class AJ, 5.802%, 8/12/43(F) 190,007 190,482
     Ser. 04-KEY2, Class D, 5.046%, 8/12/39 2,548,342 2,522,814
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.263%, 2/12/51 812,000 822,475
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37 48,105 1,467
     FRB Ser. 07-C5, Class X, IO, 5.449%, 12/15/49 1,702,540 103,514
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147%, 12/12/49 893,000 892,107
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 14-C14, Class D, 4.831%, 2/15/47 2,190,600 1,925,318
     Ser. 14-C17, Class D, 4.698%, 8/15/47 1,803,000 1,484,223
     FRB Ser. 12-C6, Class G, 4.50%, 11/15/45 830,000 646,072
     FRB Ser. 13-C10, Class E, 4.084%, 7/15/46 2,426,000 2,031,290
     Ser. 14-C17, Class E, 3.50%, 8/15/47 1,673,000 1,069,382
     Ser. 14-C19, Class D, 3.25%, 12/15/47 1,200,000 906,125
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842%, 7/12/44 3,417,000 3,410,553
     Ser. 07-HQ11, Class C, 5.558%, 2/12/44 2,693,000 1,615,800
     Ser. 06-HQ10, Class B, 5.448%, 11/12/41 1,600,000 1,598,508
     FRB Ser. 06-HQ8, Class C, 5.422%, 3/12/44 1,300,000 1,287,000
     FRB Ser. 06-HQ8, Class D, 5.422%, 3/12/44 2,090,000 1,547,812
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.275%, 1/11/43 798,000 796,723
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39 1,079,028 984,505
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18 (Cayman Islands) 376,000 11,731
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 1,208,361 90,627
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.346%, 4/10/46 649,000 594,549
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.109%, 6/15/45 3,695,000 2,773,837
     Ser. 07-C30, Class AJ, 5.413%, 12/15/43(F) 1,237,000 1,234,157
     FRB Ser. 07-C34, IO, 0.294%, 5/15/46 25,705,288 51,411
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395%, 10/15/41 1,500,000 1,402,500
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.777s, 10/15/45 1,094,000 935,698
     FRB Ser. 13-LC12, Class D, 4.297%, 7/15/46 456,000 415,166
     Ser. 14-LC18, Class D, 3.957%, 12/15/47 1,734,000 1,339,514
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 13-C17, Class D, 5.124%, 12/15/46 1,339,000 1,276,603
     Ser. 12-C6, Class E, 5.00%, 4/15/45 1,243,000 1,020,130
     Ser. 11-C4, Class F, 5.00%, 6/15/44 1,993,000 1,803,067
     FRB Ser. 13-C16, Class D, 4.982%, 9/15/46 981,000 927,143
     FRB Ser. 14-C19, Class E, 4.97%, 3/15/47 2,746,000 2,061,422
     FRB Ser. 13-C18, Class D, 4.665%, 12/15/46 530,000 502,103
     FRB Ser. 13-C15, Class D, 4.48%, 8/15/46 1,805,000 1,634,419
     Ser. 14-C19, Class D, 4.234%, 3/15/47 2,677,000 2,163,929
     Ser. 13-C12, Class E, 3.50%, 3/15/48 1,664,000 1,281,446
114,893,111
Residential mortgage-backed securities (non-agency) (12.4%)
BCAP, LLC Trust 144A FRB Ser. 12-RR5, Class 4A8, 0.695%, 6/26/35 447,204 429,823
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.459%, 4/25/34 892,295 885,482
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, Class M6, 5.409%, 9/25/34 76,336 43,496
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.834%, 7/25/25 (Bermuda) 1,062,000 1,079,258
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A1, 1.786%, 6/25/46 1,292,304 1,150,150
     FRB Ser. 06-OA10, Class 1A1, 1.483%, 8/25/46 862,375 626,712
     FRB Ser. 06-OA7, Class 1A2, 1.463%, 6/25/46 1,420,169 1,168,089
     FRB Ser. 05-38, Class A3, 0.884%, 9/25/35 1,889,785 1,676,688
     FRB Ser. 05-59, Class 1A1, 0.856%, 11/20/35 3,345,203 2,856,207
     FRB Ser. 07-OH1, Class A1D, 0.744%, 4/25/47 1,214,210 915,853
     FRB Ser. 06-OA10, Class 4A1, 0.724%, 8/25/46 7,890,822 5,734,655
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class B, 13.284%, 9/25/28 509,881 623,783
     Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, 12.034%, 1/25/25 2,352,169 2,719,591
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, 11.034%, 10/25/28 440,000 488,852
     Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, 11.034%, 5/25/28 2,221,824 2,461,605
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 10.534%, 7/25/28 2,035,805 2,194,580
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 9.884%, 4/25/28 1,495,923 1,601,776
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, 8.084%, 12/25/27 1,395,748 1,422,281
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, 5.684%, 11/25/28 1,500,000 1,580,001
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, 5.184%, 10/25/28 570,000 594,381
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, 4.334%, 3/25/29 430,000 424,759
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, 13.284%, 10/25/28 680,000 837,680
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 12.784%, 9/25/28 2,320,000 2,823,788
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.284%, 10/25/28 1,300,000 1,524,503
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.284%, 8/25/28 1,820,000 2,162,602
     Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, 11.284%, 1/25/29 953,000 1,062,006
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, 10.784%, 1/25/29 2,160,000 2,385,226
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 6.434%, 10/25/28 4,505,000 4,850,992
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.234%, 4/25/28 5,621,000 5,993,893
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.084%, 4/25/28 640,000 681,062
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.534%, 7/25/25 5,513,000 5,785,313
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 5.534%, 7/25/25 1,920,000 2,037,348
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.084%, 2/25/25 788,209 818,239
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, 4.784%, 1/25/29 550,000 554,895
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.534%, 5/25/25 204,000 211,024
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.534%, 5/25/25 307,000 316,643
MortgageIT Trust FRB Ser. 05-3, Class M2, 1.064%, 8/25/35 565,296 496,442
Nomura Resecuritization Trust 144A FRB Ser. 15-4R, Class 1A14, 0.747%, 3/26/47 1,200,000 745,200
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, 0.714%, 1/25/37 1,686,452 1,406,740
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 2.733%, 9/25/35(F) 406,744 395,554
     FRB Ser. 05-AR19, Class A1C3, 1.034%, 12/25/45 1,989,713 1,796,711
     FRB Ser. 05-AR13, Class A1C3, 1.024%, 10/25/45 4,681,312 4,018,182
     FRB Ser. 05-AR19, Class A1C4, 0.934%, 12/25/45 1,133,952 977,636
72,559,701
Total mortgage-backed securities (cost $312,827,040) $296,065,319

CORPORATE BONDS AND NOTES (32.6%)(a)
Principal amount Value
Basic materials (3.2%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $353,000 $359,178
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 426,000 447,300
ArcelorMittal SA sr. unsec. unsub. bonds 10.85%, 6/1/19 (France) 371,000 444,273
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 207,000 227,700
ArcelorMittal SA sr. unsec. unsub. notes 8.00%, 10/15/39 (France) 70,000 75,250
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 270,000 274,050
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 517,000 553,190
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 209,000 245,575
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 353,000 358,295
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 530,000 535,963
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 866,000 995,900
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 485,000 501,975
Cemex SAB de CV 144A company guaranty sr. notes 6.50%, 12/10/19 (Mexico) 420,000 448,350
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) 250,000 255,313
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 445,000 431,650
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 240,000 228,000
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 750,000 770,625
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 189,000 195,615
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 463,000 438,114
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 10/15/19 (Canada) 360,000 355,050
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 2/15/20 (Canada) 223,000 213,523
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6.75%, 2/1/22 208,000 212,680
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 2/15/23 340,000 352,750
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) 35,000 32,113
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 625,000 707,813
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9.50%, 10/1/20 (Canada) 498,000 508,583
Huntsman International, LLC company guaranty sr. unsec. notes 5.125%, 11/15/22 100,000 103,500
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 546,000 566,584
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 315,000 344,138
Kraton Polymers LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 80,000 89,600
Louisiana-Pacific Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 265,000 260,363
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 515,000 542,038
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 187,000 189,805
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 320,000 340,800
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 935,000 972,400
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 45,000 50,063
Perstorp Holding AB 144A company guaranty sr. notes 8.75%, 5/15/17 (Sweden) 653,000 653,000
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 105,000 113,006
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 502,000 539,650
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.25%, 4/1/23 320,000 338,400
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 140,000 148,050
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/22 129,000 135,934
Smurfit Kappa Acquisitions 144A company guaranty sr. unsec. notes 4.875%, 9/15/18 (Ireland) 200,000 206,750
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 278,000 330,823
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 276,000 287,730
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 110,000 116,050
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 45,000 46,575
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.125%, 10/1/21 70,000 72,975
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 384,000 316,800
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 310,000 320,850
USG Corp. 144A company guaranty sr. unsec. notes 5.875%, 11/1/21 285,000 297,825
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 266,000 283,290
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 125,000 113,750
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 463,000 501,198
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 445,000 468,363
18,919,138
Capital goods (2.3%)
Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8.25%, 10/1/20 1,115,000 1,165,175
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 585,000 587,925
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 503,000 568,390
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.375%, 9/15/24 280,000 280,000
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.00%, 3/15/22 367,000 367,918
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 630,000 664,650
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 419,000 432,618
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 524,000 527,930
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 155,000 163,913
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 240,000 249,600
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 154,000 156,695
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 553,000 612,448
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 145,000 162,763
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7.75%, 12/15/20 (Luxembourg) 237,000 246,480
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 818,000 770,965
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 537,000 546,505
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 158,000 212,684
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 756,000 868,455
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 602,000 586,198
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 514,000 526,850
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 215,000 224,675
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 744,000 780,277
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8.25%, 2/15/21 (New Zealand) 100,000 104,475
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 329,000 351,619
Terex Corp. company guaranty sr. unsec. notes 6.00%, 5/15/21 133,000 135,328
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 761,000 808,563
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 395,000 415,738
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 540,000 569,700
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.50%, 4/29/22 330,000 349,388
13,437,925
Communication services (4.2%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 400,000 412,000
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 800,000 838,000
Altice SA 144A company guaranty sr. unsec. notes 7.625%, 2/15/25 (Luxembourg) 910,000 945,263
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 400,000 424,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 618,000 642,720
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 237,000 242,778
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 563,000 593,965
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 112,000 116,690
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 815,000 841,488
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 348,000 357,570
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 95,000 101,413
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 469,000 456,103
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 381,000 375,285
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 646,000 604,010
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 124,000 130,510
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 820,000 924,550
Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica) 480,000 424,800
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 610,000 545,188
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 305,000 307,097
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 348,000 356,317
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 520,000 540,800
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 142,000 150,875
Frontier Communications Corp. sr. unsec. notes 6.25%, 9/15/21 160,000 152,000
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 115,000 102,350
Inmarsat Finance PLC company guaranty sr. unsec. unsub. notes Ser. REGS, 4.875%, 5/15/22 (United Kingdom) 259,000 244,263
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 270,000 198,450
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 15,510 15,588
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 49,000 15,925
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) 90,000 29,700
Level 3 Communications, Inc. sr. unsec. unsub. notes 5.75%, 12/1/22 140,000 144,200
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/21 150,000 154,875
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 1/15/24 170,000 173,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 8/15/22 475,000 488,063
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 88,000 91,960
Qwest Corp. sr. unsec. unsub. notes 7.25%, 9/15/25 382,000 416,539
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 775,000 792,438
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 450,000 453,938
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 745,000 685,400
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 238,000 246,925
Sprint Communications, Inc. sr. unsec. unsub. notes 8.375%, 8/15/17 695,000 723,669
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 656,000 721,600
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 929,000 919,710
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 465,000 476,044
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LL 144A company guaranty sr. notes 3.36%, 9/20/21 290,000 291,450
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 658,000 697,480
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 320,000 343,002
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 291,000 306,278
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 455,000 480,594
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, 8/15/24 (Luxembourg) EUR 680,000 822,255
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5.625%, 4/15/23 (Germany) EUR 115,200 134,308
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5.75%, 1/15/23 (Germany) EUR 88,290 102,930
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5.125%, 1/21/23 (Germany) EUR 433,350 500,442
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) $662,000 690,963
Virgin Media Secured Finance PLC 144A sr. notes 6.00%, 4/15/21 (United Kingdom) GBP 481,500 615,565
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 $609,000 586,163
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 396,000 415,800
Wind Acquisition Finance SA 144A company guaranty sr. notes 4.00%, 7/15/20 (Luxembourg) EUR 290,000 323,919
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $659,000 583,215
Ziggo Bond Finance BV 144A sr. unsec. bonds 4.625%, 1/15/25 (Netherlands) EUR 115,000 127,751
24,600,574
Consumer cyclicals (4.9%)
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds 5.875%, 11/15/26 $120,000 120,600
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 159,000 165,161
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 355,000 355,888
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 377,000 395,850
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 503,000 462,448
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 222,000 112,665
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 344,000 368,080
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 535,000 551,050
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 225,000 227,813
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 370,000 393,125
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 562,000 618,903
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 195,000 208,163
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 105,000 109,069
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 235,000 243,711
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 165,000 169,538
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 140,000 140,175
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 298,000 287,570
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 865,000 881,003
Dakota Merger Sub, Inc. 144A sr. notes 7.75%, 9/1/23 520,000 509,600
Dakota Merger Sub, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 210,000 196,744
Dollar Tree, Inc. company guaranty sr. unsec. unsub. notes 5.75%, 3/1/23 155,000 165,075
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 440,000 467,500
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5.25%, 4/15/23 (Italy) 430,000 438,600
General Motors Co. sr. unsec. notes 5.20%, 4/1/45 80,000 81,566
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 275,000 274,189
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 400,000 426,500
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 165,000 175,313
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 541,000 420,986
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, 1/15/40 (Mexico) $195,000 223,283
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 320,000 325,400
Hilton Domestic Operating Co., Inc. 144A sr. unsec. sub. notes 4.25%, 9/1/24 65,000 65,163
Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21 364,000 384,566
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 674,000 511,398
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5.875%, 3/15/21 289,000 300,560
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8.125%, 10/1/19 168,000 182,910
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 71,000 70,290
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 280,000 272,300
L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21 457,000 524,979
L Brands, Inc. company guaranty sr. unsec. sub. notes 5.625%, 2/15/22 190,000 209,000
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 130,000 134,550
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 307,000 323,118
Lear Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 56,000 60,060
Lear Corp. company guaranty sr. unsec. unsub. notes 5.375%, 3/15/24 125,000 133,594
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 200,000 208,000
LG FinanceCo Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 353,000 355,648
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 165,000 164,588
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 126,000 130,410
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 537,000 535,658
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 410,000 455,100
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 67,000 71,188
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 337,000 375,755
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 303,000 296,183
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 260,000 243,750
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 721,000 567,337
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 220,000 181,500
Nexstar Escrow Corp. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 350,000 347,375
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 207,000 215,798
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 246,000 250,920
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 315,000 329,175
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 209,000 217,621
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 296,000 313,146
Penn National Gaming, Inc. sr. unsec. sub. notes 5.875%, 11/1/21 513,000 530,955
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 439,000 454,914
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 241,000 239,193
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 290,000 291,450
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 265,000 302,100
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 400,000 416,000
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 390,000 392,925
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 312,000 319,800
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 430,000 445,050
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12.125%, 9/1/18 555,000 575,119
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 365,000 374,581
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 1,203,000 1,112,775
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 115,000 96,456
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 345,000 366,942
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 777,000 786,713
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 263,000 279,438
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 1/15/21 676,000 696,280
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 240,000 259,800
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 25,000 26,813
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 100,000 106,745
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 501,000 517,909
Standard Industries, Inc./NJ 144A sr. unsec. notes 5.125%, 2/15/21 50,000 52,500
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6.375%, 6/1/21 417,000 418,927
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 747,000 765,675
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 165,000 171,188
Tempur Sealy International, Inc. company guaranty sr. unsec. unsub. bonds 5.50%, 6/15/26 185,000 190,550
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6.75%, 6/15/21 (United Kingdom) EUR 113,000 126,865
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 $420,000 420,000
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 229,000 229,000
28,913,871
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 795,000 830,775
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 170,000 175,525
AMN Healthcare, Inc. 144A company guaranty sr. unsec. notes 5.125%, 10/1/24 105,000 106,575
Ashtead Capital, Inc. 144A company guaranty notes 6.50%, 7/15/22 573,000 600,934
Ashtead Capital, Inc. 144A company guaranty notes 5.625%, 10/1/24 310,000 325,888
BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19 297,000 259,133
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 241,000 242,205
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 1,061,000 1,116,703
Constellation Brands, Inc. company guaranty sr. unsec. notes 4.25%, 5/1/23 115,000 121,900
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 330,000 351,450
JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%, 2/1/20 (Brazil) 150,000 154,125
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 295,000 307,538
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 295,000 306,800
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 215,000 219,300
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 202,000 206,545
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 320,000 333,200
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 540,000 545,400
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/1/24 161,000 165,830
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 473,000 499,015
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9.75%, 2/1/19(PIK) 95,880 50,337
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5.375%, 10/1/22 454,000 510,750
7,429,928
Energy (6.4%)
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 178,000 181,560
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 238,000 239,785
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 324,000 328,860
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6.00%, 4/1/21 146,000 139,065
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 295,000 237,475
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 41,000 34,338
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 634,000 427,950
CHC Helicopter SA company guaranty sr. notes 9.25%, 10/15/20 (Canada) (In default)(NON) 211,500 104,164
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 386,000 391,549
Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 448,000 459,200
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/22 204,000 209,610
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 250,000 230,000
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 81,000 67,028
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 417,000 429,510
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/24 140,000 140,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 878,000 687,035
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9.25%, 4/23/19 (Russia) 394,000 449,653
Halcon Resources Corp. 144A company guaranty notes 8.625%, 2/1/20 345,000 348,450
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 210,000 245,862
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 405,000 422,213
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 428,000 440,840
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 300,000 292,500
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656%, 6/7/22 (Russia) 1,080,000 1,212,036
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 108,000 88,560
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.50%, 3/15/21 (Canada) 208,000 179,400
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 180,000 187,650
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 240,000 246,600
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 196,000 193,060
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 324,000 320,760
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 270,000 288,120
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 414,561
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.375%, 5/23/21 (Brazil) 3,960,000 4,380,750
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 4,115,000 4,048,131
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.375%, 1/27/21 (Brazil) 960,000 950,592
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 4.875%, 3/17/20 (Brazil) 2,394,000 2,411,357
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) 1,255,000 466,195
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 2,067,000 749,140
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) 2,345,000 871,097
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6.625%, 6/15/35 (Mexico) 340,000 342,210
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 5.625%, 1/23/46 (Mexico) 525,000 453,994
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,440,000 1,615,104
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 5,265,000 5,085,990
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 425,000 431,375
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 192,000 184,320
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 58,000 55,390
Sabine Pass Liquefaction, LLC sr. notes 6.25%, 3/15/22 100,000 109,000
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 720,000 761,400
Sabine Pass Liquefaction, LLC sr. notes 5.625%, 4/15/23 210,000 223,125
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 265,000 269,638
Samson Investment Co. company guaranty sr. unsec. notes 9.75%, 2/15/20 (In default)(NON) 950,000 46,313
SandRidge Energy, Inc. company guaranty notes 8.75%, 6/1/20(F) 380,000 760
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 286,000 304,590
Seventy Seven Energy, Inc. sr. unsec. notes 6.50%, 7/15/22(F) 45,000 5
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 294,000 298,410
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 208,000 193,440
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 90,000 89,775
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 515,000 517,575
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 210,000 210,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 105,000 104,738
Tervita Corp. 144A company guaranty sr. notes 9.00%, 11/15/18 (Canada) CAD 103,000 75,255
Tervita Corp. 144A sr. notes 8.00%, 11/15/18 (Canada) $125,000 123,750
Tervita Corp. 144A sr. unsec. notes 10.875%, 2/15/18 (Canada) (In default)(NON) 105,000 6,038
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6.75%, 7/15/22 (In default)(NON) 70,000 17,850
Unit Corp. company guaranty sr. unsec. sub. notes 6.625%, 5/15/21 106,000 97,520
Whiting Petroleum Corp. company guaranty sr. unsec. sub. notes 6.50%, 10/1/18 265,000 261,025
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 7/15/22 340,000 353,016
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4.875%, 5/15/23 469,000 474,863
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 107,000 115,560
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 444,000 467,865
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 459,000 457,853
37,262,403
Financials (4.8%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 778,000 748,825
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 543,000 648,885
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 9/15/20 1,320,000 1,488,300
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 220,000 225,225
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 163,000 218,322
Banco Nacional de Costa Rica 144A sr. unsec. unsub. notes 4.875%, 11/1/18 (Costa Rica) 250,000 254,219
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 148,000 155,215
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 185,000 200,725
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 175,000 187,091
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 255,000 270,938
CIT Group, Inc. sr. unsec. unsub. notes 5.375%, 5/15/20 310,000 331,313
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 315,000 335,869
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 380,000 399,950
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 443,000 447,430
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 372,000 373,860
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 273,000 166,530
Dresdner Funding Trust I jr. unsec. sub. notes 8.151%, 6/30/31 500,000 594,375
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 379,000 450,536
E*Trade Financial Corp. sr. unsec. unsub. notes 4.625%, 9/15/23 371,000 383,058
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 360,000 356,400
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15%, 11/15/66 172,000 82,130
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 161,000 156,975
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 475,000 485,545
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 175,000 171,938
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 440,000 418,550
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 20,000 22,000
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 25,000 24,910
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 670,000 864,656
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 320,000 356,000
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 185,000 188,700
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 499,000 495,258
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 228,000 235,980
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 275,000 284,625
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6.75%, 6/15/21 560,000 562,800
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) 230,000 218,370
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 410,000 376,175
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 235,000 232,662
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7.75%, 5/29/18 (Russia) 550,000 585,992
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 5.298%, 12/27/17 (Russia) 600,000 613,500
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, 2/7/22 (Russia) 500,000 543,125
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.00%, 6/1/20 1,385,000 1,397,119
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 238,000 238,893
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 158,000 118,500
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 344,000 356,470
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152%, perpetual maturity (Jersey) EUR 400,000 469,400
USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21 $456,000 460,560
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.902%, 7/9/20 (Russia) 150,000 161,625
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.80%, 11/22/25 (Russia) 468,000 500,783
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 5.942%, 11/21/23 (Russia) 200,000 206,206
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, 5/29/18 (Russia) 2,486,000 2,621,537
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 5,600,000 5,845,000
VTB Bank PJSC via VTB Eurasia DAC 144A unsec. sub. FRN 9.50%, perpetual maturity (Russia) 450,000 479,813
28,012,863
Health care (2.3%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6.125%, 3/15/21 455,000 469,788
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5.125%, 7/1/22 195,000 191,100
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 442,000 414,375
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 395,000 420,675
Centene Corp. sr. unsec. unsub. notes 5.625%, 2/15/21 125,000 131,126
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 235,000 233,972
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 305,000 309,575
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 594,000 452,925
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 298,000 172,095
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 65,000 63,375
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 5/15/22 563,000 482,773
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) 489,000 514,673
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 295,000 252,963
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6.50%, 2/1/25 (Ireland) 200,000 168,500
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 540,000 471,150
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 323,000 330,671
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 256,000 267,520
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 809,000 896,979
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 128,000 145,760
HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 120,000 122,484
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 370,000 372,035
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7.875%, 2/15/21 157,000 169,168
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 329,000 304,325
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5.25%, 12/1/23 160,000 167,200
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 270,000 280,967
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 220,000 229,506
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 577,000 598,638
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 1,075,000 1,128,750
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 220,000 226,050
Tenet Healthcare Corp. company guaranty sr. bonds 4.50%, 4/1/21 80,000 80,000
Tenet Healthcare Corp. company guaranty sr. bonds 4.375%, 10/1/21 228,000 226,860
Tenet Healthcare Corp. company guaranty sr. FRN 4.35%, 6/15/20 390,000 392,925
Tenet Healthcare Corp. company guaranty sr. notes 6.25%, 11/1/18 833,000 876,733
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 80,000 81,800
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 393,000 413,978
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.375%, 10/15/20 53,000 45,713
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 370,000 292,300
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 413,000 325,238
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 90,000 73,800
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 195,000 153,075
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 317,000 274,205
13,225,745
Technology (1.5%)
Avaya, Inc. 144A company guaranty notes 10.50%, 3/1/21 126,000 41,580
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 1,085,000 881,563
Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc. company guaranty sr. unsec. notes 5.75%, 4/15/23 374,000 394,570
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 583,000 612,150
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company gauranty sr. unsec. notes 7.125%, 6/15/24 910,000 996,864
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 80,000 96,935
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 440,000 471,178
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 450,000 471,375
First Data Corp. 144A notes 5.75%, 1/15/24 435,000 441,525
First Data Corp. 144A sr. notes 5.375%, 8/15/23 375,000 388,125
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 226,000 226,000
Infor Software Parent LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 544,000 550,800
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 503,000 519,976
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 132,000 138,105
Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) 430,000 456,875
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 433,000 447,246
Micron Technology, Inc. 144A sr. notes 7.50%, 9/15/23 57,000 62,914
Techem Energy Metering Service GmbH & Co. KG 144A company guaranty sr. unsec. sub. notes 7.875%, 10/1/20 (Germany) EUR 380,000 433,831
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6.875%, 4/30/21 (Germany) EUR 515,000 595,214
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 $532,000 573,230
8,800,056
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 475,000 458,375
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 864,000 876,960
1,335,335
Utilities and power (1.6%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 965,000 974,650
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 160,000 160,800
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 310,000 350,300
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95%, 6/1/26 135,000 149,929
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 790,000 768,275
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 110,000 114,675
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 85,000 89,569
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 615,000 674,099
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 40,000 38,575
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 783,000 792,466
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 380,000 363,850
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8.625%, 1/15/22 577,000 719,424
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11.75%, 3/1/22 (In default)(NON) 321,338 413,722
Energy Transfer Equity LP company guaranty sr. notes 7.50%, 10/15/20 416,000 453,440
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 190,000 193,111
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 329,000 245,928
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 100,000 103,875
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 617,000 644,765
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.625%, 1/15/27 393,000 368,068
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/26 272,000 267,624
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 195,000 209,244
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 396,000 443,508
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.50%, 4/15/23 280,000 288,357
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 457,000 464,998
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. company guaranty sr. notes 11.50%, 10/1/20 205,000 2,050
9,295,302
Total corporate bonds and notes (cost $191,104,653) $191,233,140

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.7%)(a)
Principal amount/units Value
Argentina (Republic of) 144A sr. unsec. bonds 7.125%, 7/6/36 (Argentina) $3,472,000 $3,586,137
Argentina (Republic of) 144A sr. unsec. notes 7.50%, 4/22/26 (Argentina) 3,375,000 3,683,531
Brazil (Federal Republic of) sr. unsec. unsub. notes 10.00%, 1/1/17 (Brazil) (units) BRL 6,400 2,058,233
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 4/7/26 (Brazil) $2,020,000 2,227,050
Buenos Aires (Province of) 144A sr. unsec. notes 9.125%, 3/16/24 (Argentina) 2,688,000 2,967,701
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 100,000 114,750
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 2,408,000 2,492,280
Costa Rica (Republic of) 144A sr. unsec. unsub. notes 7.00%, 4/4/44 (Costa Rica) 250,000 261,250
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.375%, 3/24/21 (Croatia) 620,000 688,200
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.25%, 4/27/17 (Croatia) 65,000 66,300
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.00%, 1/26/24 (Croatia) 375,000 423,281
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 1,650,000 1,674,750
Egypt (Government of) 144A sr. unsec. notes 5.875%, 6/11/25 (Egypt) 1,437,000 1,331,840
Hellenic (Republic of) sr. unsec. notes 3.375%, 7/17/17 (Greece) EUR 3,255,000 3,518,579
Hellenic (Republic of) sr. unsec. unsub. bonds 4.75%, 4/17/19 (Greece) EUR 880,000 885,995
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, 3.00%, 2/24/40 (Greece) EUR 618,000 387,738
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, 3.00%, 2/24/39 (Greece) EUR 410,000 257,687
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/38 (Greece)(STP) EUR 1,555,472 978,375
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 1,990,000 1,271,218
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)(STP) EUR 1,892,211 1,316,721
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 4,103,295 2,904,433
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 3,244,624 2,369,764
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 851,000 656,882
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 2,180,811 1,701,837
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece)(STP) EUR 113,000 90,232
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 3,517,365 2,886,354
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) $300,000 327,000
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6.625%, 2/17/37 (Indonesia) 1,555,000 1,955,413
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/8/46 (Indonesia) 200,000 242,000
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,355,000 1,368,550
Mexico (Republic of) sr. unsec. notes 5.75%, 10/12/10 (Mexico) 1,030,000 1,054,084
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 465,000 490,289
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 1,281,000 2,240,149
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, 4/4/42 (Russia) 1,400,000 1,541,750
Ukraine (Government of) 144A unsec. FRN Ser. GDP, zero %, 5/31/40 (Ukraine) 648,000 204,813
Ukraine (Government of) 144A unsec. notes 7.75%, 9/1/27 (Ukraine) 316,000 300,232
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7.00%, 3/31/38 (Venezuela) 650,000 272,188
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9.25%, 9/15/27 (Venezuela) 605,000 303,256
Total foreign government and agency bonds and notes (cost $52,843,808) $51,100,842

SENIOR LOANS (2.2%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5.00%, 7/2/22 $536,306 $519,546
Asurion, LLC bank term loan FRN 8.50%, 3/3/21 329,000 329,685
Avaya, Inc. bank term loan FRN Ser. B6, 6.50%, 3/31/18 319,198 272,914
Avaya, Inc. bank term loan FRN Ser. B7, 6.25%, 5/29/20 508,000 417,512
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.25%, 3/1/17 (In default)(NON) 1,152,549 1,272,126
Caesars Growth Properties Holdings, LLC bank term loan FRN 6.25%, 5/8/21 880,747 879,922
Casella Waste Systems, Inc. bank term loan FRN Ser. B, 4.00%, 10/17/23 975,000 977,438
Chesapeake Energy Corp. bank term loan FRN 8.50%, 8/23/21 630,000 671,580
Cortes NP Acquistion Corp. bank term loan FRN Ser. B, 6.00%, 9/29/23 175,000 174,125
CPG International, Inc. bank term loan FRN Ser. B, 4.75%, 9/30/20 82,557 82,867
DPx Holdings BV bank term loan FRN Ser. B, 4.25%, 3/11/21 278,588 278,645
EP Energy, LLC bank term loan FRN 9.75%, 6/30/21 90,000 91,800
Gates Global, LLC/Gates Global Co. bank term loan FRN 4.25%, 7/6/21 201,008 197,714
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 485,995 409,208
Hanson Building Products North America bank term loan FRN 6.50%, 3/13/22 175,000 174,672
iHeartCommunications, Inc. bank term loan FRN Ser. D, 7.274%, 1/30/19 743,000 562,358
Jeld-Wen, Inc. bank term loan FRN 5.25%, 10/15/21 361,322 362,376
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4.75%, 7/1/22 237,600 238,986
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term loan FRN Ser. B , 6.00%, 1/6/22 615,000 619,100
MEG Energy Corp. bank term loan FRN Ser. B, 3.75%, 3/31/20 363,486 342,434
Navistar, Inc. bank term loan FRN Ser. B, 6.50%, 8/7/20 372,188 374,165
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4.25%, 10/25/20 389,096 357,141
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4.75%, 6/30/21 180,838 175,921
Petco Animal Supplies, Inc. bank term loan FRN Ser. B1, 5.00%, 1/26/23 337,450 340,169
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4.25%, 9/7/23 415,000 415,778
Reynolds Group Holdings, Inc. bank term loan FRN 4.25%, 2/5/23 325,000 325,628
ROC Finance, LLC bank term loan FRN 5.00%, 6/20/19 756,289 754,398
Solenis International LP bank term loan FRN 7.75%, 7/31/22 84,000 82,005
Talbots, Inc. (The) bank term loan FRN 9.50%, 3/19/21 134,913 125,019
Talbots, Inc. (The) bank term loan FRN 5.50%, 3/19/20 265,501 258,421
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.998%, 10/10/17 1,053,286 306,770
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.998%, 10/10/17 10,810 3,148
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 5.25%, 8/5/20 231,609 231,191
Total senior loans (cost $13,594,938) $12,624,762

COMMON STOCKS (0.1%)(a)
Shares Value
Halcon Resources Corp.(NON) 24,782 $221,799
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 22,950 230
Milagro Oil & Gas, Inc. (Units)(F) 169 106,614
Prairie Provident Resources, Inc. (Canada)(NON) 7,064 4,477
SandRidge Energy, Inc.(NON) 3,641 83,852
Seventy Seven Energy, Inc.(NON) 71 1,704
TCEH Corp.(NON) 3,510 53,352
Tribune Media Co. Class 1C(F) 92,963 23,241
Total common stocks (cost $746,929) $495,269

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3.00%, 11/15/16(R) $230,000 $231,006
Navistar International Corp. cv. sr. unsec. sub. bonds 4.50%, 10/15/18 156,000 147,128
SandRidge Energy, Inc. cv. company guaranty sr. unsec. sub. notes zero %, 10/4/20 85,843 105,158
Total convertible bonds and notes (cost $447,216) $483,292

PREFERRED STOCKS (0.1%)(a)
Shares Value
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP 16,265 $415,245
Total preferred stocks (cost $412,195) $415,245

PURCHASED SWAP OPTIONS OUTSTANDING (0.0%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Goldman Sachs International
     1.023/3 month USD-LIBOR-BBA/Nov-18 Nov-16/1.023 $103,536,800 $37,273
Total purchased swap options outstanding (cost $165,659) $37,273

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Nov-16/$100.46 $31,000,000 $19,220
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/100.77 27,000,000 418,446
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/100.58 27,000,000 380,295
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/100.02 27,000,000 277,641
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.83 27,000,000 247,725
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Nov-16/103.48 142,000,000 61,060
Total purchased options outstanding (cost $1,729,062) $1,404,387

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 6,732 $17,032
Seventy Seven Energy, Inc. 8/1/21 23.82 388 2,716
Total warrants (cost $1,552) $19,748

SHORT-TERM INVESTMENTS (5.9%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.50%(AFF) Shares 17,082,230 $17,082,230
State Street Institutional Liquid Reserves Fund Trust Class 0.38%(P) 284,000 284,000
U.S. Treasury Bills 0.260%, 12/15/16(SEGCCS) $195,000 194,957
U.S. Treasury Bills 0.233%, 12/1/16(SEG)SEGSF)(SEGCCS) 2,143,000 2,142,691
U.S. Treasury Bills 0.277%, 11/25/16(SEG)(SEGSF)(SEGCCS) 3,440,000 3,439,611
U.S. Treasury Bills 0.257%, 11/17/16(SEG)(SEGSF)(SEGCCS) 1,277,000 1,276,899
U.S. Treasury Bills 0.289%, 11/10/16(SEG)(SEGSF)(SEGCCS) 9,467,000 9,466,707
U.S. Treasury Bills 0.244%, 11/3/16(SEGSF)(SEGCCS) 653,000 652,996
Total short-term investments (cost $34,539,308) $34,540,091

TOTAL INVESTMENTS
Total investments (cost $948,811,733)(b) $927,384,506













FORWARD CURRENCY CONTRACTS at 10/31/16 (aggregate face value $362,831,843) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 1/18/17 $3,371,971 $3,395,310 $(23,339)
British Pound Sell 12/21/16 4,082,556 4,290,270 207,714
Canadian Dollar Buy 1/18/17 1,044 1,062 (18)
Euro Sell 12/21/16 677,285 638,512 (38,773)
Hong Kong Dollar Sell 11/16/16 2,960,563 2,961,598 1,035
Japanese Yen Buy 11/16/16 2,690,090 2,799,291 (109,201)
Japanese Yen Sell 11/16/16 2,690,090 2,709,351 19,261
New Zealand Dollar Buy 1/18/17 3,649,437 3,646,362 3,075
Norwegian Krone Sell 12/21/16 2,519,435 2,530,976 11,541
Swedish Krona Buy 12/21/16 2,908,951 2,806,361 102,590
Barclays Bank PLC
Australian Dollar Buy 1/18/17 1,693,312 1,705,171 (11,859)
British Pound Sell 12/21/16 2,317,431 2,510,851 193,420
Euro Sell 12/21/16 941,554 961,718 20,164
Japanese Yen Sell 11/16/16 448,747 484,561 35,814
Swedish Krona Buy 12/21/16 2,884,645 2,955,395 (70,750)
Swedish Krona Sell 12/21/16 2,884,645 2,954,572 69,927
Swiss Franc Sell 12/21/16 116,748 116,891 143
Citibank, N.A.
Australian Dollar Buy 1/18/17 82,835 94,223 (11,388)
Brazilian Real Sell 1/3/17 2,005,259 1,948,053 (57,206)
British Pound Sell 12/21/16 792,493 858,450 65,957
Canadian Dollar Buy 1/18/17 2,821,102 2,838,087 (16,985)
Euro Sell 12/21/16 2,171,252 2,120,569 (50,683)
Mexican Peso Sell 1/18/17 446,250 435,134 (11,116)
New Zealand Dollar Buy 1/18/17 3,326,804 3,311,231 15,573
Swedish Krona Buy 12/21/16 2,764,897 2,790,786 (25,889)
Swedish Krona Sell 12/21/16 2,764,897 2,912,647 147,750
Credit Suisse International
Canadian Dollar Buy 1/18/17 8,867,505 9,031,385 (163,880)
Canadian Dollar Sell 1/18/17 8,867,505 9,013,049 145,544
Euro Buy 12/21/16 327,091 334,317 (7,226)
Euro Sell 12/21/16 327,091 328,020 929
Hong Kong Dollar Sell 11/16/16 2,236,528 2,237,472 944
Japanese Yen Buy 11/16/16 3,029,007 3,049,797 (20,790)
Japanese Yen Sell 11/16/16 3,029,007 3,114,053 85,046
Swedish Krona Buy 12/21/16 7,451,023 7,736,609 (285,586)
Swedish Krona Sell 12/21/16 7,451,023 7,848,890 397,867
Goldman Sachs International
Australian Dollar Buy 1/18/17 4,953,367 4,988,682 (35,315)
British Pound Buy 12/21/16 123,892 131,025 (7,133)
British Pound Sell 12/21/16 2,888,119 3,115,248 227,129
Canadian Dollar Buy 1/18/17 2,334,543 2,384,846 (50,303)
Canadian Dollar Sell 1/18/17 979,758 999,250 19,492
Euro Buy 12/21/16 6,921,821 7,034,898 (113,077)
Euro Sell 12/21/16 6,921,821 7,071,881 150,060
Indian Rupee Buy 11/16/16 2,911,398 2,903,740 7,658
Indian Rupee Sell 11/16/16 2,911,398 2,910,949 (449)
Indonesian Rupiah Buy 11/16/16 2,956,054 2,915,158 40,896
Indonesian Rupiah Sell 11/16/16 2,956,054 2,938,591 (17,463)
Japanese Yen Buy 11/16/16 2,840,044 2,933,804 (93,760)
Japanese Yen Sell 11/16/16 6,141,182 6,315,691 174,509
Russian Ruble Buy 12/21/16 2,932,849 2,819,177 113,672
Russian Ruble Sell 12/21/16 2,912,785 2,944,670 31,885
Swedish Krona Buy 12/21/16 5,716,780 5,880,315 (163,535)
Swedish Krona Sell 12/21/16 5,710,609 5,945,311 234,702
HSBC Bank USA, National Association
Australian Dollar Buy 1/18/17 124,671 125,562 (891)
Euro Buy 12/21/16 4,403,565 4,416,230 (12,665)
Euro Sell 12/21/16 4,403,565 4,477,717 74,152
Hong Kong Dollar Sell 11/16/16 2,956,746 2,957,985 1,239
Swedish Krona Buy 12/21/16 2,894,445 2,961,205 (66,760)
Swedish Krona Sell 12/21/16 2,894,445 2,964,473 70,028
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/18/17 4,339,198 4,369,489 (30,291)
Australian Dollar Sell 1/18/17 261,111 261,097 (14)
British Pound Buy 12/21/16 683,428 736,869 (53,441)
British Pound Sell 12/21/16 3,787,225 4,105,018 317,793
Canadian Dollar Buy 1/18/17 23,798 24,272 (474)
Canadian Dollar Sell 1/18/17 23,724 24,021 297
Euro Buy 12/21/16 12,797,237 13,099,241 (302,004)
Euro Sell 12/21/16 15,914,334 16,167,852 253,518
Hong Kong Dollar Sell 11/16/16 3,024,702 3,026,088 1,386
Indian Rupee Buy 11/16/16 2,954,618 2,923,542 31,076
Indian Rupee Sell 11/16/16 2,954,618 2,955,942 1,324
Indonesian Rupiah Buy 11/16/16 2,934,726 2,852,873 81,853
Indonesian Rupiah Sell 11/16/16 2,934,726 2,954,910 20,184
Japanese Yen Sell 11/16/16 1,857,664 1,910,234 52,570
New Zealand Dollar Buy 1/18/17 10,637,658 10,732,050 (94,392)
New Zealand Dollar Sell 1/18/17 2,969,370 2,970,804 1,434
Norwegian Krone Buy 12/21/16 3,252,847 3,214,195 38,652
Norwegian Krone Sell 12/21/16 11,669,904 11,763,125 93,221
Russian Ruble Buy 12/21/16 2,898,587 2,784,700 113,887
Russian Ruble Sell 12/21/16 2,869,540 2,871,889 2,349
Swedish Krona Buy 12/21/16 12,760,224 13,037,525 (277,301)
Swedish Krona Sell 12/21/16 11,468,210 12,032,492 564,282
Swiss Franc Buy 12/21/16 26,856 26,740 116
Swiss Franc Sell 12/21/16 81,277 82,440 1,163
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/18/17 2,913,299 2,935,961 (22,662)
British Pound Sell 12/21/16 2,184,225 2,368,552 184,327
Canadian Dollar Buy 1/18/17 931,863 952,428 (20,565)
Canadian Dollar Sell 1/18/17 931,863 950,414 18,551
Euro Sell 12/21/16 4,116,632 4,105,720 (10,912)
Japanese Yen Buy 11/16/16 2,943,043 3,060,571 (117,528)
Japanese Yen Sell 11/16/16 2,943,043 3,069,288 126,245
New Zealand Dollar Sell 1/18/17 2,924,299 2,869,434 (54,865)
Swedish Krona Buy 12/21/16 5,700,286 5,898,096 (197,810)
Swedish Krona Sell 12/21/16 5,700,286 5,795,225 94,939
State Street Bank and Trust Co.
Australian Dollar Buy 1/18/17 1,965,585 1,979,681 (14,096)
British Pound Sell 12/21/16 1,522,488 1,585,010 62,522
Canadian Dollar Buy 1/18/17 4,124,188 4,213,021 (88,833)
Canadian Dollar Sell 1/18/17 4,124,188 4,206,289 82,101
Euro Sell 12/21/16 2,946,455 2,917,927 (28,528)
Japanese Yen Sell 11/16/16 2,764,693 2,843,389 78,696
UBS AG
British Pound Sell 12/21/16 2,186,799 2,373,385 186,586
Euro Sell 12/21/16 198,916 256,785 57,869
Japanese Yen Buy 11/16/16 2,917,968 2,960,395 (42,427)
Japanese Yen Sell 11/16/16 2,917,968 2,936,200 18,232
Swedish Krona Buy 12/21/16 2,826,985 2,957,507 (130,522)
Swedish Krona Sell 12/21/16 2,826,985 2,895,520 68,535
WestPac Banking Corp.
Australian Dollar Buy 1/18/17 4,117,189 4,146,066 (28,877)
Canadian Dollar Sell 1/18/17 20,143 20,139 (4)
Total $2,241,838












FUTURES CONTRACTS OUTSTANDING at 10/31/16 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
U.S. Treasury Bond 30 yr (Short) 22 $3,579,813             Dec-16 $159,550
U.S. Treasury Bond Ultra 30 yr (Long) 44 7,741,250             Dec-16 (492,009)
U.S. Treasury Note 10 yr (Short) 205 $26,573,125             Dec-16 249,435
U.S. Treasury Note Ultra 10 yr (Short) 101 14,293,078             Dec-16 69,502
Total $(13,522)












WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/16 (premiums $5,222,352) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value

Goldman Sachs International
(0.6665)/3 month USD-LIBOR-BBA/Dec-17 Dec-16/0.6665 $103,536,800 $1,035
(1.15)/3 month USD-LIBOR-BBA/Nov-18 Nov-16/1.15 103,536,800 11,389
1.1665/3 month USD-LIBOR-BBA/Dec-17 Dec-16/1.1665 103,536,800 120,103

JPMorgan Chase Bank N.A.
(0.634)/3 month USD-LIBOR-BBA/Dec-17 Dec-16/0.634 103,536,800 104
1.134/3 month USD-LIBOR-BBA/Dec-17 Dec-16/1.134 103,536,800 139,775
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 26,070,000 1,970,630
Total $2,243,036












WRITTEN OPTIONS OUTSTANDING at 10/31/16 (premiums $1,729,063) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/$100.02 $27,000,000 $277,641
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.83 27,000,000 247,725
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.27 27,000,000 171,585
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.27 27,000,000 171,585
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.08 27,000,000 150,606
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/99.08 27,000,000 150,606
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/98.52 27,000,000 99,873
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Jan-17/98.33 27,000,000 86,589
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Nov-16/100.46 31,000,000 213,900
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Nov-16/103.48 142,000,000 782,420
Total $2,352,530












TBA SALE COMMITMENTS OUTSTANDING at 10/31/16 (proceeds receivable $145,215,469) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4.50%, 11/1/46 $2,000,000       11/14/16 $2,185,938
Federal National Mortgage Association, 3.50%, 11/1/46 114,000,000       11/14/16 119,683,390
Federal National Mortgage Association, 3.00%, 11/1/46 3,000,000       11/14/16 3,088,594
Federal National Mortgage Association, 2.50%, 11/1/46 20,000,000       11/14/16 19,962,699
Total $144,920,621















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/16 (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)
JPMorgan Chase Bank N.A.
MXN 84,723,000 $—      1/1/26 1 month MXN-TIIE-BANXICO 6.16% $(98,109)
MXN 51,234,000 —      1/2/26 1 month MXN-TIIE-BANXICO 6.14% (63,440)
MXN 90,430,000 —      10/6/21 1 month MXN-TIIE-BANXICO 5.93% (37,795)
MXN 36,547,000 —      10/8/21 1 month MXN-TIIE-BANXICO 5.895% (18,477)
MXN 37,884,000 —      10/26/21 1 month MXN-TIIE-BANXICO 6.09% (3,131)
Total$—     $(220,952)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/16 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$87,303,000 (E) $(57,527)     12/21/21 1.25% 3 month USD-LIBOR-BBA $414,259
5,924,000 (E) (66)     9/13/26 1.295% 1 Day Interbank Offered Rate- ICE Benchmark Administration Fixing for US Dollar 103,693
415,310,000 (E) (682,413)     12/21/18 1.015% 3 month USD-LIBOR-BBA 146,546
63,025,300 (E) 179,352      12/21/26 1.60% 3 month USD-LIBOR-BBA 820,067
15,006,800 (E) (15,231)     12/21/46 3 month USD-LIBOR-BBA 1.90% (568,082)
6,991,000 (93)     9/21/26 3 month USD-LIBOR-BBA 1.525% (98,147)
103,446,000 (E) (272,764)     12/21/21 3 month USD-LIBOR-BBA 1.30% (579,481)
40,642,000 (E) (17,051)     12/21/26 1.55% 3 month USD-LIBOR-BBA 587,539
8,463,000 (E) (218,223)     12/21/46 3 month USD-LIBOR-BBA 2.00% (328,140)
5,734,000 (76)     9/26/26 1.486% 3 month USD-LIBOR-BBA 102,637
51,054,400 (677)     9/27/26 3 month USD-LIBOR-BBA 1.467% (1,007,099)
5,924,000 (E) (43)     9/27/26 1.353% 1 Day Interbank Offered Rate- ICE Benchmark Administration Fixing for US Dollar 88,811
5,924,000 (E) (43)     9/28/26 1.32% 1 Day Interbank Offered Rate- ICE Benchmark Administration Fixing for US Dollar 97,804
20,565,800 (273)     10/6/26 1.52% 3 month USD-LIBOR-BBA 308,742
20,565,800 (273)     10/6/26 1.52236% 3 month USD-LIBOR-BBA 304,164
709,700 (E) (24)     4/24/47 3 month USD-LIBOR-BBA 1.92% (25,431)
24,933,600 (E) (42,384)     11/23/26 1.58% 3 month USD-LIBOR-BBA 233,855
AUD 22,834,000 (E) (212,671)     12/28/21 1.86% 6 month AUD-BBR-BBSW 59,475
AUD 10,829,000 (E) (77,720)     12/28/26 2.20% 6 month AUD-BBR-BBSW 127,365
CAD 6,728,000 (E) (58)     9/8/26 3 month CAD-BA-CDOR 1.58% (68,748)
CAD 6,728,000 (E) (58)     9/8/26 3 month CAD-BA-CDOR 1.6275% (57,597)
CAD 52,751,000 (E) (64,917)     12/21/21 1.05% 3 month CAD-BA-CDOR (37,701)
CAD 25,366,000 (E) 22,169      12/21/26 1.45% 3 month CAD-BA-CDOR 87,603
CAD 11,379,000 (E) (98)     10/19/26 1.8475% 3 month CAD-BA-CDOR 19,253
CHF 6,312,000 (E) (2,373)     12/21/26 6 month CHF-LIBOR-BBA 0.18% 60,865
CHF 14,831,000 (E) 10,737      12/21/21 6 month CHF-LIBOR-BBA 0.50% 46,228
EUR 25,922,000 (E) (138,490)     12/21/21 6 month EUR-EURIBOR-REUTERS 0.10% 48,010
EUR 14,331,000 (E) 4,558      12/21/26 6 month EUR-EURIBOR-REUTERS 0.40% (198,871)
GBP 7,360,000 (E) (110)     9/8/26 1.075% 6 month GBP-LIBOR-BBA 196,035
GBP 36,551,000 (E) 109,245      12/21/21 0.65% 6 month GBP-LIBOR-BBA 553,677
GBP 10,283,000 (E) 61,501      12/21/26 0.90% 6 month GBP-LIBOR-BBA 427,903
GBP 6,941,000 (E) (96)     10/19/26 6 month GBP-LIBOR-BBA 1.386% (65,182)
NOK 71,981,000 (E) 16,095      12/21/26 1.55% 6 month NOK-NIBOR-NIBR 109,209
NOK 106,600,000 (E) 5,370      12/21/21 1.25% 6 month NOK-NIBOR-NIBR 75,801
NZD 16,289,000 (E) 68,867      12/21/21 2.30% 3 month NZD-BBR-FRA 145,279
NZD 7,643,000 (E) 56,483      12/21/26 2.65% 3 month NZD-BBR-FRA 152,561
SEK 454,000 (E) (270)     12/21/21 3 month SEK-STIBOR-SIDE 0.10% (44)
SEK 72,645,000 (E) 4,366      12/21/26 3 month SEK-STIBOR-SIDE 0.80% (14,381)
ZAR 44,908,000 (41)     10/11/26 8.32625% 3 month ZAR-JIBAR-SAFEX (44,778)
ZAR 17,828,000 (17)     10/13/26 8.33% 3 month ZAR-JIBAR-SAFEX (17,995)
ZAR 17,828,000 (17)     10/31/26 8.14% 3 month ZAR-JIBAR-SAFEX 16
Total$(1,265,354)     $2,205,720
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/16 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$795,272 $—      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $4,246
283,438 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 66
676,426 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,353
685,934 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 159
86,144 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (142)
363,764 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (467)
1,671,651 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 388
1,352,574 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (6,949)
801,731 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (3,393)
1,095,815 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,685
659,661 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,218
836,566 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,813
1,275,208 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,105)
182,989 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (302)
3,036,981 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (12,581)
1,196,923 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 6,450
4,213,883 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (24,471)
5,645,720 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (17,160)
2,651,855 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (89)
22,639,658 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 31,064
13,167,013 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (69,408)
EUR 6,626,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco (12,380)
EUR 3,313,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco (3,440)
EUR 4,713,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco (2,287)
Citibank, N.A.
$1,332,532 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,828
3,031,928 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,160
463,127 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 635
Credit Suisse International
1,010,643 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,387
968,451 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,105)
1,748,915 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 5,881
1,859,330 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (7,702)
2,040,740 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,454)
1,867,681 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 6,280
1,082,918 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,289
86,791 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 504
83,823 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 452
735,479 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3,963
1,408,843 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 7,592
388,237 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,092
222,092 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,197
6,203,269 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 37,011
2,224,446 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,272
2,206,602 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 12,938
3,772,037 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,905)
Deutsche Bank AG
968,451 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,105)
Goldman Sachs International
987,175 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,974
401,181 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (662)
1,973,202 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,532
1,973,202 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,532
613,417 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,234)
230,443 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,215)
473,920 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 948
71,278 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 143
1,257,639 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,717
476,811 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 953
953,575 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,907
28,860 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (48)
432,413 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,279)
840,373 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,430)
518,848 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,735)
39,755 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (210)
106,045 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (559)
4,491,325 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 23,973
3,886,847 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 20,746
3,137,729 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 18,221
2,910,903 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (12,058)
3,554,365 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 19,154
2,815,506 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 15,173
1,485,830 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 8,007
2,207,364 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,170
2,411,931 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (12,998)
7,732,417 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 46,135
2,783,939 —      1/12/44 (3.00%) 1 month USD-LIBOR Synthetic TRS Index 3.00% 30 year Fannie Mae pools (12,096)
9,790,502 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (56,855)
EUR 23,854,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (132,893)
EUR 7,876,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (43,878)
EUR 6,626,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 15,835
EUR 6,626,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 1,200
EUR 6,626,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco (46,901)
EUR 3,884,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco 1,948
JPMorgan Chase Bank N.A.
$5,826,566 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 33,836
3,380,631 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 19,632
1,123,777 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,526
3,138,010 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 18,223
2,910,903 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (12,058)
EUR 3,313,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco (36,761)
EUR 3,313,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco (33,430)
EUR 4,155,000 —      1/27/21 (0.755%) Eurostat Eurozone HICP excluding tobacco 894
EUR 3,418,000 —      1/26/21 (0.75%) Eurostat Eurozone HICP excluding tobacco 1,715
JPMorgan Securities LLC
$3,494,102 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 19,752
804,165 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (4,334)
Total$—     $(147,310)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/16 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $9,980 $146,000 5/11/63 300 bp $(1,893)
  CMBX NA BBB- Index BBB-/P 19,586 325,000 5/11/63 300 bp (6,842)
  CMBX NA BBB- Index BBB-/P 40,127 650,000 5/11/63 300 bp (12,728)
  CMBX NA BBB- Index BBB-/P 38,247 671,000 5/11/63 300 bp (16,317)
Credit Suisse International
  CMBX NA BB Index — (156,621) 1,116,000 1/17/47 (500 bp) 15,721
  CMBX NA BB Index — (104,332) 5,911,000 5/11/63 (500 bp) 802,580
  CMBX NA BB Index — (192,855) 1,178,000 1/17/47 (500 bp) (10,939)
  CMBX NA BB Index — (3,146) 324,000 1/17/47 (500 bp) 46,889
  CMBX NA BBB- Index BBB-/P 12,042 246,000 5/11/63 300 bp (7,962)
  CMBX NA BBB- Index BBB-/P 123,134 2,510,000 5/11/63 300 bp (80,971)
  CMBX NA BBB- Index BBB-/P 143,170 2,180,000 1/17/47 300 bp (40,858)
  CMBX NA BBB- Index BBB-/P 3,368,966 45,579,000 1/17/47 300 bp (478,662)
Goldman Sachs International
  CMBX NA BB Index — (266,285) 2,603,000 5/11/63 (500 bp) 133,088
  CMBX NA BB Index — (71,729) 474,000 1/17/47 (500 bp) 1,470
  CMBX NA BB Index — (135,933) 804,000 1/17/47 (500 bp) (11,773)
  CMBX NA BBB- Index BBB-/P 31,646 638,000 5/11/63 300 bp (20,234)
  CMBX NA BBB- Index BBB-/P 31,103 638,000 5/11/63 300 bp (20,777)
  CMBX NA BBB- Index BBB-/P 34,009 652,000 5/11/63 300 bp (19,010)
  CMBX NA BBB- Index BBB-/P 93,617 1,935,000 5/11/63 300 bp (63,731)
  CMBX NA BBB- Index BBB-/P 68,127 865,000 1/17/47 300 bp (4,893)
  CMBX NA BBB- Index BBB-/P 174,322 2,501,000 1/17/47 300 bp (36,805)
  CMBX NA BBB- Index BBB-/P 537,139 7,267,000 1/17/47 300 bp (76,317)
JPMorgan Securities LLC
  CMBX NA BBB- Index BBB-/P 117,048 2,116,000 5/11/63 300 bp (55,019)
  CMBX NA BBB- Index BBB-/P 238,942 3,047,000 5/11/63 300 bp (8,830)
  CMBX NA BBB- Index BBB-/P 3,348 132,000 1/17/47 300 bp (7,795)
  CMBX NA BBB- Index BBB-/P 22,785 432,000 1/17/47 300 bp (13,683)
  CMBX NA BBB- Index BBB-/P 25,838 467,000 1/17/47 300 bp (13,584)
  CMBX NA BBB- Index BBB-/P 62,851 770,000 1/17/47 300 bp (2,214)
  CMBX NA BBB- Index BBB-/P 24,807 949,000 1/17/47 300 bp (55,304)
Total$4,289,933$(67,393)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at October 31, 2016. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PJSC Public Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2016 through October 31, 2016 (the reporting period). Within the following notes to the portfolio, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $585,971,965.
(b) The aggregate identified cost on a tax basis is $966,241,480, resulting in gross unrealized appreciation and depreciation of $4,833,509 and $43,690,483, respectively, or net unrealized depreciation of $38,856,974.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund * $10,615,872 $53,648,926 $47,182,568 $22,787 $17,082,230
Totals $10,615,872 $53,648,926 $47,182,568 $22,787 $17,082,230
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $318,397,882 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 87.6%
Greece 2.1
Russia 1.9
Brazil 1.8
Argentina 1.4
Mexico 1.1
Canada 0.9
Luxembourg 0.5
Indonesia 0.5
Other 2.2
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled 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 scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain 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. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $231,004 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $6,177,822 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $5,386,779 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $23,241
    Energy 311,832 — 106,844
    Utilities and power 53,352 — —
Total common stocks 365,184 — 130,085
Convertible bonds and notes — 483,292 —
Corporate bonds and notes — 191,232,375 765
Foreign government and agency bonds and notes — 51,100,842 —
Mortgage-backed securities — 296,065,319 —
Preferred stocks 415,245 — —
Purchased options outstanding — 1,404,387 —
Purchased swap options outstanding — 37,273 —
Senior loans — 12,624,762 —
U.S. government and agency mortgage obligations — 338,851,663 —
U.S. treasury obligations — 113,475 —
Warrants 17,032 2,716 —
Short-term investments 17,366,230 17,173,861 —
Totals by level $18,163,691 $909,089,965 $130,850



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $2,241,838 $—
Futures contracts (13,522) — —
Written options outstanding — (2,352,530) —
Written swap options outstanding — (2,243,036) —
TBA sale commitments — (144,920,621) —
Interest rate swap contracts — 3,250,122 —
Total return swap contracts — (147,310) —
Credit default contracts — (4,357,326) —
Totals by level $(13,522) $(148,528,863) $—


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

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $1,907,937 $6,265,263
Foreign exchange contracts 5,223,424 2,981,586
Equity contracts 19,748 —
Interest rate contracts 8,442,564 8,507,180
Total $15,593,673 $17,754,029


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$278,500,000
Purchased swap option contracts (contract amount)$121,100,000
Written TBA commitment option contracts (contract amount)$394,000,000
Written swap option contracts (contract amount)$533,100,000
Futures contracts (number of contracts)400
Forward currency contracts (contract amount)$486,700,000
OTC interest rate swap contracts (notional)$13,700,000
Centrally cleared interest rate swap contracts (notional) $1,210,500,000
OTC total return swap contracts (notional)$269,600,000
OTC credit default contracts (notional)$84,600,000
Warrants (number of warrants)5,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  OTC Interest rate swap contracts*#   $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—    — 
  Centrally cleared interest rate swap contracts§   —  —  1,011,812  —  —  —  —  —  —  —  —  —  —  —  —    1,011,812 
  OTC Total return swap contracts*#   —  52,442  —  6,623  98,858  —  217,268  —  80,826  19,752  —  —  —  —  —    475,769 
  OTC Credit default contracts*#   —  —  —  —  1,311,205  —  596,732  —  —  —  —  —  —  —  —    1,907,937 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Forward currency contracts#   345,216  319,468  —  229,280  630,330  —  1,000,003  145,419  1,575,105  —  —  424,062  223,319  331,222  —    5,223,424 
  Purchased swap options#   —  —  —  —  —  —  37,273  —  —  —  —  —  —  —  —    37,273 
  Purchased options#   —  —  —  —  —  —  —  —  1,404,387  —  —  —  —  —  —    1,404,387 
                                       
  Total Assets   $345,216  $371,910  $1,011,812  $235,903  $2,040,393  $—  $1,851,276  $145,419  $3,060,318  $19,752  $—  $424,062  $223,319  $331,222  $—    $10,060,602 
                                       
  Liabilities:                                    
  OTC Interest rate swap contracts*#   —  —  —  —  —  —  —  —  220,952  —  —  —  —  —  —    220,952 
  Centrally cleared interest rate swap contracts§   —  —  1,192,106  —  —  —    —  —  —  —  —  —  —  —    1,192,106 
  OTC Total return swap contracts*#   —  155,174  —  —  43,166  5,105  333,051  —  82,249  4,334  —  —  —  —  —    623,079 
  OTC Credit default contracts*#   145,720  —  —  —  4,255,765  —  1,211,730  —  —  652,048  —  —  —  —  —    6,265,263 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  13,370  —  —  —  —    13,370 
  Forward currency contracts#   171,331  82,609  —  173,267  477,482  —  481,035  80,316  757,917  —  —  424,342  131,457  172,949  28,881    2,981,586 
  Written swap options#   —  —  —  —  —  —  132,527  —  2,110,509  —  —  —  —  —  —    2,243,036 
  Written options#   —  —  —  —  —  —  —  —  2,352,530  —  —  —  —  —  —    2,352,530 
                                       
  Total Liabilities   $317,051  $237,783  $1,192,106  $173,267  $4,776,413  $5,105  $2,158,343  $80,316  $5,524,157  $656,382  $13,370  $424,342  $131,457  $172,949  $28,881    $15,891,922 
                                       
  Total Financial and Derivative Net Assets   $28,165  $134,127  $(180,294) $62,636  $(2,736,020) $(5,105) $(307,067) $65,103  $(2,463,839) $(636,630) $(13,370) $(280) $91,862  $158,273  $(28,881)   $(5,831,320)
  Total collateral received (pledged)##†   $28,165  $113,475  $—  $62,636  $(2,640,978) $(5,105) $(307,067) $—  $(2,063,845) $(339,989) $—  $49,000  $91,862  $158,273  $—     
  Net amount   $—  $20,652  $(180,294) $—  $(95,042) $—  $—  $65,103  $(399,994) $(296,641) $(13,370) $(49,280) $—  $—  $(28,881)    
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

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

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

Putnam Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 27, 2016

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: December 27, 2016

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: December 27, 2016