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, 2015
Date of reporting period: April 30, 2015



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
4/30/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (50.6%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (50.6%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, May 1, 2045 $5,000,000 $5,660,156
     4 1/2s, TBA, June 1, 2045 34,000,000 36,959,061
     4 1/2s, TBA, May 1, 2045 51,000,000 55,502,341
     4s, TBA, June 1, 2045 15,000,000 16,010,157
     4s, TBA, May 1, 2045 40,000,000 42,750,000
     3 1/2s, TBA, May 1, 2045 59,000,000 61,820,938
     3s, TBA, May 1, 2045 134,000,000 136,365,931
355,068,584
Total U.S. government and agency mortgage obligations (cost $355,582,189) $355,068,584

U.S. TREASURY OBLIGATIONS (0.0%)(a)
Principal amount Value
U.S. Treasury Notes
     1.000%, May 31, 2018(i) $70,000 $70,365
     1.875%, November 30, 2021(i) 50,000 50,735
     1.000%, September 30, 2019(i) 46,000 45,355
    U.S. Treasury Notes 0.875%, September 15, 2016(i) 8,000 8,059
U.S. Treasury Notes 2.500%, May 15, 2024(i) 32,000 33,689
Total U.S. treasury Obligations (cost $208,203) $208,203

MORTGAGE-BACKED SECURITIES (43.6%)(a)
Principal amount Value
Agency collateralized mortgage obligations (14.3%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.874s, 2032 $511,311 $730,834
     IFB Ser. 3408, Class EK, 25.063s, 2037 153,970 243,554
     IFB Ser. 2979, Class AS, 23.608s, 2034 35,059 41,930
     IFB Ser. 3072, Class SM, 23.131s, 2035 291,353 443,989
     IFB Ser. 3072, Class SB, 22.984s, 2035 260,969 396,231
     IFB Ser. 319, Class S2, IO, 5.819s, 2043 3,148,579 786,326
     IFB Ser. 317, Class S3, IO, 5.799s, 2043 8,195,558 2,092,383
     IFB Ser. 308, Class S1, IO, 5.769s, 2043 5,276,069 1,349,513
     IFB Ser. 314, Class AS, IO, 5.709s, 2043 3,959,277 982,339
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 5,563,517 933,558
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 3,228,214 586,889
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 5,499,509 959,218
     Ser. 4193, Class PI, IO, 4s, 2043 7,575,008 1,254,385
     Ser. 304, Class C53, IO, 4s, 2032 3,708,942 604,929
     Ser. 303, Class C19, IO, 3 1/2s, 2043 12,251,938 2,426,023
     Ser. 304, Class C22, IO, 3 1/2s, 2042 4,170,487 945,372
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 8,920,333 1,180,376
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 8,082,801 1,069,551
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 3,996,836 547,327
     Ser. 304, IO, 3 1/2s, 2027 7,197,955 799,621
     Ser. 304, Class C37, IO, 3 1/2s, 2027 5,340,946 582,323
     Ser. 4165, Class TI, IO, 3s, 2042 17,561,788 2,082,828
     Ser. 4183, Class MI, IO, 3s, 2042 7,896,880 961,840
     Ser. 4210, Class PI, IO, 3s, 2041 5,456,562 532,388
     Ser. 4437, Class DI, IO, 3s, 2032 7,973,172 891,082
     Ser. 304, Class C45, IO, 3s, 2027 6,819,769 720,928
     FRB Ser. T-57, Class 1AX, IO, 0.389s, 2043 3,905,891 39,480
     Ser. 3326, Class WF, zero %, 2035 3,156 2,652
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.813s, 2036 247,714 458,764
     IFB Ser. 07-53, Class SP, 23.535s, 2037 241,056 372,922
     IFB Ser. 08-24, Class SP, 22.619s, 2038 253,029 375,133
     IFB Ser. 05-75, Class GS, 19.706s, 2035 217,021 300,007
     IFB Ser. 05-83, Class QP, 16.923s, 2034 320,200 425,155
     IFB Ser. 13-41, Class SP, IO, 6.019s, 2040 2,949,668 439,914
     IFB Ser. 12-128, Class ST, IO, 5.969s, 2042 3,935,539 946,773
     IFB Ser. 13-18, Class SB, IO, 5.969s, 2041 3,855,025 670,003
     IFB Ser. 13-124, Class SB, IO, 5.769s, 2043 4,209,284 1,070,561
     IFB Ser. 13-128, Class CS, IO, 5.719s, 2043 7,631,320 1,889,515
     IFB Ser. 13-102, Class SH, IO, 5.719s, 2043 6,160,590 1,548,711
     Ser. 374, Class 6, IO, 5 1/2s, 2036 504,165 84,125
     Ser. 12-132, Class PI, IO, 5s, 2042 7,346,307 1,370,527
     Ser. 10-13, Class EI, IO, 5s, 2038 54,586 374
     Ser. 378, Class 19, IO, 5s, 2035 1,592,416 313,489
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 2,123,436 485,757
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 16,129,213 2,538,577
     Ser. 409, Class 81, IO, 4 1/2s, 2040 7,456,874 1,421,805
     Ser. 409, Class 82, IO, 4 1/2s, 2040 9,179,007 1,751,211
     Ser. 366, Class 22, IO, 4 1/2s, 2035 538,790 35,296
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 2,739,295 334,413
     Ser. 418, Class C24, IO, 4s, 2043 6,235,111 1,205,471
     Ser. 13-41, Class IP, IO, 4s, 2043 5,523,013 891,690
     Ser. 13-44, Class PI, IO, 4s, 2043 5,245,767 803,258
     Ser. 13-60, Class IP, IO, 4s, 2042 3,887,576 652,593
     Ser. 12-96, Class PI, IO, 4s, 2041 3,516,710 543,261
     Ser. 406, Class 2, IO, 4s, 2041 3,125,347 432,235
     Ser. 406, Class 1, IO, 4s, 2041 2,194,813 361,047
     Ser. 409, Class C16, IO, 4s, 2040 5,537,099 953,811
     Ser. 418, Class C15, IO, 3 1/2s, 2043 13,498,649 2,664,718
     Ser. 12-145, Class TI, IO, 3s, 2042 8,483,809 820,384
     Ser. 13-35, Class IP, IO, 3s, 2042 7,110,272 761,854
     Ser. 13-53, Class JI, IO, 3s, 2041 5,931,430 705,840
     Ser. 13-23, Class PI, IO, 3s, 2041 7,196,969 652,765
     FRB Ser. 03-W10, Class 1, IO, 0.955s, 2043 611,914 13,935
     FRB Ser. 00-T6, IO, 0.718s, 2030 2,968,835 63,088
     Ser. 99-51, Class N, PO, zero %, 2029 31,166 28,050
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.731s, 2025 653,000 675,333
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.969s, 2043 3,205,870 552,211
     IFB Ser. 13-182, Class LS, IO, 5.959s, 2043 3,819,914 858,655
     IFB Ser. 12-77, Class MS, IO, 5.919s, 2042 3,357,548 881,323
     IFB Ser. 11-70, Class SM, IO, 5.708s, 2041 5,095,103 865,098
     IFB Ser. 11-70, Class SH, IO, 5.708s, 2041 5,363,008 927,908
     Ser. 14-36, Class WI, IO, 5 1/2s, 2044 4,979,193 1,083,821
     Ser. 14-122, Class IC, IO, 5s, 2044 4,787,998 862,462
     Ser. 14-25, Class MI, IO, 5s, 2043 3,562,073 686,590
     Ser. 13-22, Class IE, IO, 5s, 2043 5,390,014 1,107,031
     Ser. 13-22, Class OI, IO, 5s, 2043 5,052,484 932,587
     Ser. 13-3, Class IT, IO, 5s, 2043 4,506,861 891,664
     Ser. 13-6, Class IC, IO, 5s, 2043 4,138,925 769,468
     Ser. 12-146, IO, 5s, 2042 4,076,062 772,944
     Ser. 13-6, Class CI, IO, 5s, 2042 3,079,055 541,452
     Ser. 13-130, Class IB, IO, 5s, 2040 3,350,741 347,649
     Ser. 13-16, Class IB, IO, 5s, 2040 4,455,837 356,799
     Ser. 11-41, Class BI, IO, 5s, 2040 2,748,604 259,308
     Ser. 10-35, Class UI, IO, 5s, 2040 2,373,710 479,939
     Ser. 10-20, Class UI, IO, 5s, 2040 4,311,794 713,429
     Ser. 10-9, Class UI, IO, 5s, 2040 19,480,174 3,747,249
     Ser. 09-121, Class UI, IO, 5s, 2039 9,174,578 1,725,830
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 8,080,885 1,406,873
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,636,252 274,809
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 1,517,422 254,790
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 1,786,235 119,178
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 557,123 72,666
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 8,570,470 1,363,305
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 7,639,490 1,383,539
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 8,543,838 1,542,654
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 5,074,979 917,177
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 3,187,192 711,445
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,948,770 194,117
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 6,076,006 550,668
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 2,213,647 126,687
     Ser. 15-53, Class MI, IO, 4s, 2045 7,065,000 1,677,661
     Ser. 15-40, IO, 4s, 2045 8,151,968 1,968,293
     Ser. 14-174, IO, 4s, 2044 5,385,637 1,044,876
     Ser. 14-4, Class IC, IO, 4s, 2044 3,775,727 696,508
     Ser. 13-165, Class IL, IO, 4s, 2043 3,189,557 509,914
     Ser. 12-56, Class IB, IO, 4s, 2042 3,316,131 600,898
     Ser. 12-47, Class CI, IO, 4s, 2042 8,542,624 1,454,596
     Ser. 13-76, IO, 3 1/2s, 2043 14,887,629 1,711,780
     Ser. 13-28, IO, 3 1/2s, 2043 5,016,441 561,606
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 6,757,467 850,697
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 10,145,872 1,232,419
     Ser. 13-14, IO, 3 1/2s, 2042 13,757,141 1,744,818
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 7,324,051 939,383
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 7,806,719 1,629,140
     Ser. 12-113, Class ID, IO, 3 1/2s, 2042 3,729,375 782,945
     Ser. 14-44, Class IA, IO, 3 1/2s, 2028 10,669,807 1,135,481
     Ser. 06-36, Class OD, PO, zero %, 2036 9,524 8,457
100,081,031
Commercial mortgage-backed securities (17.7%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 1,658,000 1,714,559
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.526s, 2051 136,120,324 1,094,135
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.428s, 2045 1,456,000 1,483,227
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 44,901 43,715
Bear Stearns Commercial Mortgage Securities Trust
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 1,023,958
     Ser. 05-PWR7, Class B, 5.214s, 2041 1,641,000 1,645,103
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.598s, 2039 1,565,000 1,569,695
     FRB Ser. 06-PW11, Class C, 5.598s, 2039 1,554,000 1,555,834
     FRB Ser. 06-PW14, Class XW, IO, 0.829s, 2038 39,583,748 237,502
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.328s, 2044 2,160,000 2,148,569
     FRB Ser. 07-CD5, Class XS, IO, 0.3s, 2044 49,974,915 172,490
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.753s, 2047 950,000 1,045,960
     FRB Ser. 11-C2, Class F, 5 1/4s, 2047 2,000,000 1,961,593
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.963s, 2049 3,592,000 3,714,060
     Ser. 06-C5, Class AJ, 5.482s, 2049 2,069,000 2,052,460
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.605s, 2046 529,000 519,242
COMM Mortgage Trust FRB Ser. 07-C9, Class F, 5.989s, 2049 1,138,000 1,150,288
COMM Mortgage Trust 144A
     FRB Ser. 13-LC6, Class D, 4.43s, 2046 475,000 460,429
     Ser. 13-LC13, Class E, 3.719s, 2046 1,331,000 1,032,863
     FRB Ser. 07-C9, Class AJFL, 0.871s, 2049 642,000 623,510
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.918s, 2039 46,222,652 428,378
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 1,220,808 610,404
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.945s, 2050 1,071,000 962,561
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.579s, 2044 1,682,000 1,805,871
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, Class X, IO, 0.977s, 2020(F) 4,027,190 61,516
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 706,185
GCCFC Commercial Mortgage Trust
     FRB Ser. 05-GG3, Class E, 5.087s, 2042 1,127,000 1,125,411
     FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,937,000 1,942,540
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.45s, 2044(F) 2,316,000 2,339,245
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 702,793 727,391
GS Mortgage Securities Corp. II
     Ser. 05-GG4, Class B, 4.841s, 2039 782,000 780,952
     Ser. 05-GG4, Class AJ, 4.782s, 2039 322,476 322,637
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.561s, 2046 1,284,000 1,279,069
     FRB Ser. 05-GG4, Class XC, IO, 0.92s, 2039 19,156,060 17,240
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.824s, 2045 256,000 273,400
     FRB Ser. 13-GC16, Class E, 5.493s, 2046 1,693,000 1,639,144
     FRB Ser. 14-GC18, Class D, 5.113s, 2047 2,350,000 2,324,014
     Ser. 11-GC3, Class E, 5s, 2044 1,347,000 1,313,156
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C14, Class E, 4.714s, 2046 1,000,000 918,467
     FRB Ser. 14-C18, Class E, 4.47s, 2047 914,000 749,705
     FRB Ser. 14-C25, Class D, 4.098s, 2047 2,209,000 1,975,935
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.277s, 2051 2,299,000 2,411,536
     FRB Ser. 06-LDP7, Class B, 6.057s, 2045 1,231,000 825,534
     FRB Ser. 06-LDP6, Class B, 5.684s, 2043 1,841,000 1,844,603
     Ser. 06-LDP8, Class B, 5.52s, 2045 838,000 844,721
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 1,965,000 1,972,097
     FRB Ser. 13-C10, Class D, 4.297s, 2047 3,620,000 3,493,832
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class C, 6.377s, 2051 1,904,000 1,824,736
     FRB Ser. 11-C3, Class F, 5.753s, 2046 953,000 968,648
     FRB Ser. 12-C8, Class E, 4.821s, 2045 636,000 642,687
     FRB Ser. 13-C13, Class D, 4.191s, 2046 1,065,000 1,023,992
     Ser. 13-C13, Class E, 3.986s, 2046 1,537,000 1,272,244
     Ser. 13-C10, Class E, 3 1/2s, 2047 1,865,000 1,503,750
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 1,249,000 973,720
     FRB Ser. 07-CB20, Class X1, IO, 0.454s, 2051 98,817,978 681,350
LB Commercial Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 819,873 870,603
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,016,145
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 1,619,000 1,624,683
     Ser. 06-C6, Class E, 5.541s, 2039 1,750,000 1,723,103
     Ser. 06-C6, Class D, 5.502s, 2039 3,168,000 3,113,099
     Ser. 07-C1, Class AJ, 5.484s, 2040 188,000 190,638
     FRB Ser. 06-C6, Class C, 5.482s, 2039(F) 2,523,000 2,470,868
     Ser. 06-C1, Class AJ, 5.276s, 2041 944,000 960,322
     Ser. 04-C8, Class E, 4.986s, 2039 1,467,000 1,470,668
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, 0.742s, 2028(F) 29,037 2
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.475s, 2051 917,000 1,000,291
     FRB Ser. 05-CIP1, Class B, 5.476s, 2038 1,205,000 1,193,337
     Ser. 04-KEY2, Class D, 5.046s, 2039 2,993,000 2,993,000
     Ser. 05-MCP1, Class D, 5.023s, 2043 1,017,000 1,015,464
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 8.937s, 2037 78,149 4,986
     FRB Ser. 07-C5, Class X, IO, 5.926s, 2049 2,103,994 236,699
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 944,000 956,140
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 893,000 884,150
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.855s, 2047 973,000 940,672
     FRB Ser. 13-C11, Class D, 4.563s, 2046 832,000 811,699
     FRB Ser. 13-C10, Class E, 4.218s, 2046 1,496,000 1,322,255
     Ser. 14-C19, Class D, 3 1/4s, 2047 1,200,000 1,013,718
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,560,883
     FRB Ser. 06-HQ8, Class D, 5.679s, 2044 1,715,000 1,708,123
     Ser. 07-HQ11, Class C, 5.558s, 2044 2,070,000 2,066,750
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039(F) 2,168,339 2,053,254
STRIPS III, Ltd. 144A FRB Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 376,000 75,200
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,114,679 278,670
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.496s, 2046 936,000 902,931
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.201s, 2045 3,584,000 3,613,711
     FRB Ser. 06-C25, Class AJ, 5.896s, 2043 1,165,000 1,196,339
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,025,000 1,038,428
     Ser. 03-C9, Class E, 5.289s, 2035 37,380 37,417
     FRB Ser. 07-C34, IO, 0.463s, 2046 27,200,949 204,007
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 03-C8, Class H, 5.891s, 2035 260,576 253,644
     FRB Ser. 04-C15, Class G, 5.395s, 2041(F) 1,500,000 1,446,558
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.937s, 2045 1,094,000 1,042,582
     FRB Ser. 13-LC12, Class D, 4.436s, 2046 1,373,000 1,301,050
     Ser. 14-LC18, Class D, 3.957s, 2047 1,166,000 1,043,023
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.823s, 2044 245,000 267,337
     FRB Ser. 14-C19, Class E, 5.137s, 2047 1,670,000 1,438,453
     Ser. 12-C6, Class E, 5s, 2045 1,243,000 1,156,363
     Ser. 11-C4, Class F, 5s, 2044 1,993,000 1,906,079
     FRB Ser. 13-C18, Class D, 4.827s, 2046 1,333,000 1,310,584
     FRB Ser. 13-UBS1, Class D, 4.786s, 2046 596,000 594,802
     Ser. 14-C19, Class D, 4.234s, 2047 2,157,000 2,019,700
     Ser. 13-C12, Class E, 3 1/2s, 2048 1,628,000 1,298,029
124,462,322
Residential mortgage-backed securities (non-agency) (11.6%)
Banc of America Funding Trust FRB Ser. 14-R7, Class 3A2, 2.615s, 2036 315,000 265,451
Banc of America Funding Trust 144A FRB Ser. 15-R2, Class 7A2, 0.448s, 2036 900,316 684,240
BCAP, LLC 144A FRB Ser. 13-RR1, Class 9A4, 6.004s, 2036 650,000 657,475
BCAP, LLC Trust
     FRB Ser. 15-RR5, Class 2A3, 1.207s, 2046(F) 1,380,000 1,067,982
     FRB Ser. 12-RR5, Class 4A8, 0.344s, 2035 900,000 821,385
BCAP, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 6.208s, 2036 1,350,000 1,285,875
     FRB Ser. 09-RR5, Class 7A2, 5 1/2s, 2035 1,450,000 1,247,000
     FRB Ser. 12-RR12, Class 4A7, 2.712s, 2036 1,250,000 1,159,375
     FRB Ser. 12-RR10, Class 9A2, 2.705s, 2035 2,320,000 2,204,000
     FRB Ser. 11-RR2, Class 2A7, 2.644s, 2036 2,319,736 1,600,618
     FRB Ser. 15-RR2, Class 26A2, 2.615s, 2036 528,000 468,811
     FRB Ser. 09-RR11, Class 2A2, 2.41s, 2035 1,970,000 1,792,700
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 04-FR3, Class M6, 5.049s, 2034 76,336 51,453
     FRB Ser. 05-HE5, Class M3, 1.254s, 2035 2,017,000 1,653,940
     FRB Ser. 06-EC1, Class M3, 0.624s, 2035 2,220,000 1,665,000
Citigroup Mortgage Loan Trust 144A
     FRB Ser. 10-7, Class 3A5, 5.935s, 2035 1,637,894 1,705,336
     FRB Ser. 12-4, Class 3A2, 2.65s, 2036 1,655,975 1,465,620
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-WFH1, Class M1, 0.441s, 2037(F) 2,335,000 1,895,637
Countrywide Alternative Loan Trust
     FRB Ser. 05-76, Class 2A1, 1.137s, 2036 902,833 799,459
     FRB Ser. 05-38, Class A3, 0.531s, 2035 2,789,801 2,422,942
     FRB Ser. 05-59, Class 1A1, 0.506s, 2035 1,263,326 1,026,453
     FRB Ser. 05-62, Class 1A1, 0.481s, 2035 2,033,580 1,681,770
Countrywide Asset-Backed Certificates Trust
     Ser. 05-3, Class MF1, 5.279s, 2035 781,622 719,092
     Ser. 05-1, Class MF1, 5.274s, 2035(F) 1,738,482 1,671,067
     FRB Ser. 05-14, Class M3, 0.671s, 2036(F) 1,410,000 1,022,250
     FRB Ser. 05-16, Class MV2, 0.654s, 2036 950,000 712,500
     FRB Ser. 06-4, Class 2A3, 0.471s, 2036 850,000 740,905
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 06-OA5, Class 1A1, 0.381s, 2046 905,847 766,346
CSMC Trust 144A
     FRB Ser. 11-6R, Class 3A6, 2.797s, 2036 3,200,000 2,964,000
     FRB Ser. 13-2R, Class 4A2, 2.439s, 2036 2,941,292 2,345,680
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.681s, 2025 1,750,000 2,083,097
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.38s, 2027 640,000 718,981
First Franklin Mortgage Loan Trust FRB Ser. 05-FF4, Class M4, 0.831s, 2035(F) 2,442,000 1,843,710
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 746,898 1,169,876
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 2,002,000 2,298,524
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 $2,522 2,519
GreenPoint Mortgage Funding Trust FRB Ser. 05-HY1, Class M1, 0.731s, 2035 1,563,637 1,143,488
GSAA Home Equity Trust FRB Ser. 05-9, Class M1, 0.661s, 2035 3,300,000 2,695,770
JPMorgan Resecuritization Trust 144A FRB Ser. 12-1, Class 2A2, 2.501s, 2047 952,132 736,188
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.711s, 2035 824,358 721,314
     FRB Ser. 05-3, Class A2, 0.531s, 2035 969,713 871,869
Newcastle Mortgage Securities Trust FRB Ser. 06-1, Class M2, 0.551s, 2036 950,000 760,950
Nomura Resecuritization Trust 144A FRB Ser. 14-7R, Class 2A3, 0.374s, 2035 1,595,567 1,324,321
Opteum Mortgage Acceptance Corp. Trust FRB Ser. 05-4, Class 1A2, 0.571s, 2035 751,751 685,371
Residential Asset Mortgage Products Trust FRB Ser. 05-EFC2, Class M6, 0.891s, 2035 900,000 719,711
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 05-WF3, Class M3, 0.761s, 2035(F) 1,799,782 1,363,335
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR19, Class A1C3, 0.681s, 2045 4,839,429 4,270,796
     FRB Ser. 05-AR13, Class A1C3, 0.671s, 2045 7,639,730 6,722,962
     FRB Ser. 05-AR8, Class 2AC2, 0.641s, 2045 2,334,585 2,097,625
     FRB Ser. 05-AR11, Class A1B2, 0.631s, 2045 1,376,044 1,245,320
     FRB Ser. 05-AR13, Class A1B2, 0.611s, 2045 1,624,811 1,460,868
     FRB Ser. 05-AR17, Class A1B2, 0.591s, 2045 1,469,747 1,273,242
     FRB Ser. 05-AR19, Class A1C4, 0.581s, 2045 1,444,745 1,264,730
     FRB Ser. 05-AR11, Class A1B3, 0.581s, 2045 3,248,147 2,931,453
     FRB Ser. 05-AR8, Class 2AC3, 0.571s, 2045 812,047 724,752
     FRB Ser. 05-AR6, Class 2A1C, 0.521s, 2045 1,044,186 934,546
Wells Fargo Mortgage Loan Trust 144A FRB Ser. 12-RR2, Class 1A2, 0.377s, 2047 1,250,000 925,000
81,554,680
Total mortgage-backed securities (cost $294,530,424) $306,098,033

CORPORATE BONDS AND NOTES (32.0%)(a)
Principal amount Value
Basic materials (2.7%)
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) $596,000 $717,435
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) 265,000 273,613
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 625,000 659,375
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 340,000 348,500
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 471,925
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 485,000 497,416
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 420,000 450,450
Cemex SAB de CV 144A company guaranty sr. notes 5.7s, 2025 (Mexico) 250,000 251,875
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 486,000 490,860
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 450,000 456,750
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 540,000 564,300
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 183,000 179,880
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 463,000 431,748
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 118,000 110,035
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 681,000 730,373
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 357,000 417,690
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 318,000 297,330
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 330,000 345,675
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 400,000 419,000
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 100,000 106,000
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 585,000 590,850
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 100,000 101,063
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 100,000 105,625
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 615,000 627,300
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 615,000 663,431
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 526,000 560,190
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 367,000 391,773
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 346,000 309,670
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 346,000 3
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 278,000 273,830
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 320,000 321,096
NOVA Chemicals Corp. 144A sr. unsec. notes 5s, 2025 (Canada) 95,000 100,106
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 653,000 685,650
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 305,000 319,869
PQ Corp. 144A sr. notes 8 3/4s, 2018 315,000 327,206
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 225,000 227,250
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 540,000 549,828
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 420,000 415,275
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 30,000 33,825
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 502,000 522,080
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 247,000 274,788
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 320,000 337,200
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 180,000 187,650
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 129,000 132,548
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 200,000 210,500
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 118,000 147,795
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 75,000 80,438
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 95,000 101,413
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 45,000 46,013
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 110,000 113,575
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 70,000 71,575
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 142,000 142,000
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 334,000 318,970
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 285,000 305,663
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 65,000 68,250
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 125,000 120,000
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 476,000 511,700
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 553,000 576,503
19,092,731
Capital goods (2.2%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,065,000 1,126,238
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 974,000 1,109,143
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 280,000 285,600
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 415,000 427,969
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 524,000 530,550
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 240,000 248,700
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 127,000 139,383
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) 260,000 257,725
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 553,000 604,844
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 438,000 440,190
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 145,000 166,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 465,000 489,413
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 818,000 763,808
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 195,000 201,581
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 174,391
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 $547,000 551,103
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 158,000 221,576
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 605,000 651,888
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 587,000 554,715
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 170,000 175,950
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 360,000 383,400
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 744,000 775,620
Oshkosh Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 215,000 223,063
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 350,000 362,250
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 624,000 659,880
Rexam PLC unsec. sub. FRB 6 3/4s, 2067 (United Kingdom) EUR 135,000 156,511
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 $142,000 148,390
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 845,000 898,869
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 100,000 104,500
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 662,000 671,930
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 105,000 112,875
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 95,000 96,411
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 570,000 560,025
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 540,000 541,350
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 330,000 329,381
15,145,972
Communication services (3.7%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 400,000 413,000
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 1,000,000 1,015,000
Altice SA 144A company guaranty sr. unsec. notes 7 5/8s, 2025 (Luxembourg) 550,000 558,250
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 532,180
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 459,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 50,513
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 223,000 232,756
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 618,000 614,910
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 820,000 811,800
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 393,000 425,132
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 100,082
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 697,000 735,753
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 205,000 213,713
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 170,000 192,950
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 300,000 312,375
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 260,000 268,164
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 430,000 423,550
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 384,000 430,080
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 160,000 158,800
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 117,300
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 332,000 364,370
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 190,000 187,625
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 335,516
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 278,000 254,456
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 548,000 503,475
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 140,000 143,587
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 332,000 360,220
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 44,000 47,135
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 150,000 158,813
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 475,000 485,688
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default)(NON) 73,000 67,525
Numericable Group SA 144A sr. bonds 6 1/4s, 2024 (France) 450,000 462,092
Numericable Group SA 144A sr. notes 6s, 2022 (France) 1,075,000 1,098,650
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) EUR 110,000 130,770
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $413,000 426,423
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 442,894
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 125,000 130,938
Sprint Capital Corp. company guaranty 6 7/8s, 2028 745,000 674,225
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 695,000 759,288
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 238,000 240,975
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 656,000 746,403
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 929,000 932,484
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 465,000 466,744
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 855,000 892,406
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 175,000 180,688
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 320,000 328,637
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 480,000 504,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 455,000 469,219
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 291,000 296,544
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 680,000 849,970
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 200,000 244,501
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 219,600 267,537
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 233,100 283,984
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 481,500 576,065
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $662,000 683,052
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 481,500 776,752
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $180,000 174,600
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 835,000 896,748
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 290,000 329,876
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) $225,000 230,344
Windstream Holdings Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 249,555
Windstream Holdings Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 294,000 259,455
Ziggo Bond Finance BV 144A sr. unsec. notes 4 5/8s, 2025 (Netherlands) EUR 115,000 132,569
26,112,106
Consumer cyclicals (5.4%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $778,000 785,780
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 196,000 213,150
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 255,000 264,563
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 385,000 403,288
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 512,000 565,120
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 430,000 427,850
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 222,000 185,370
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 535,000 560,413
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 225,000 233,550
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 360,000 382,500
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 680,000 697,000
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 243,813
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 100,000 103,250
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 165,000 170,561
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 140,000 141,568
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 83,000 88,810
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 298,000 314,390
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 865,000 914,738
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 254,000 244,475
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 235,000 241,463
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 979,000 1,040,188
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 155,000 162,750
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 105,000 109,988
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 705,000 778,144
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 359,000 377,848
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 8,000 8,430
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 493,000 506,558
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 80,000 84,645
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 313,000 320,043
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 400,000 407,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 145,000 150,075
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 616,000 654,500
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 518,442
Grupo Televisa SAB sr. unsec. bonds 6 5/8s, 2040 (Mexico) $195,000 236,594
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 6,600,000 375,600
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $352,000 371,360
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 245,000 248,981
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 615,000 589,631
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 741,000 732,664
Interactive Data Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2019 98,000 99,470
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 245,000 252,963
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 295,000 323,025
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 280,000 270,200
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 535,000 533,663
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 457,000 522,123
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 190,000 207,575
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 137,475
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 187,000 195,209
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 570,000 605,625
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 580,000 586,525
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 200,000 206,000
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 256,000 266,240
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 175,000 182,875
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 640,000 627,200
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 95,000 97,850
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 410,000 441,263
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 378,000 385,560
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 348,000 373,230
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 1,206,979 1,300,520
Navistar International Corp. sr. notes 8 1/4s, 2021 92,000 91,195
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 260,000 267,150
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 721,000 775,075
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 220,000 235,950
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 598,000 615,940
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 666,000 699,300
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 371,000 400,680
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 315,000 336,263
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 459,000 482,524
Owens Corning company guaranty sr. unsec. notes 9s, 2019 211,000 254,860
Owens Corning company guaranty sr. unsec. unsub. notes 4.2s, 2024 390,000 398,506
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 513,000 511,718
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 439,000 460,950
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 330,000 343,200
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 235,000 246,750
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 265,000 308,725
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 388,000 393,820
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 80,000 82,200
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 90,000 94,500
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 555,000 595,931
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 365,000 372,300
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 122,000 112,240
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 115,000 83,663
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 345,000 359,663
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 10s, 2022 680,000 630,700
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 227,000 240,053
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 57,000 57,727
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 64,000 67,520
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 366,000 372,405
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 333,000 346,320
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 505,000 527,094
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 52,750
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 770,000 795,025
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 25,000 26,750
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 31,800
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 150,000 157,875
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 562,000 598,530
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 195,000 202,313
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 85,000 80,963
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 165,000 163,350
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 747,000 750,735
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 813,000 977,974
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 $680,000 670,650
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 204,000 218,790
37,962,111
Consumer staples (1.8%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 310,000 326,663
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 828,000 886,482
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 400,000 407,876
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 795,000 820,838
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 549,000 560,035
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 241,000 246,724
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 926,000 975,773
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 118,450
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 585,000 596,700
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 229,000
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 40,000 42,400
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 35,000 36,225
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 461,000 464,458
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 285,000 287,850
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 330,000 339,900
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 800,000 698,000
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 310,000 310,000
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 150,000 159,375
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 854,550
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 135,000 140,738
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 225,000 240,750
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 202,000 207,050
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 320,000 324,400
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 540,000 540,000
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 430,000 445,588
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 481,000 532,106
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 330,000 339,075
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 310,000 315,038
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 330,000 345,923
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 405,000 409,050
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 454,000 488,050
12,689,067
Energy (5.6%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 355,000 69,225
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 300,000 298,500
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 240,000 245,100
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 324,000 327,240
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 440,000 425,700
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 41,000 39,975
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 580,000 545,200
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 245,000 231,525
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 278,688
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 4,050
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 634,500 553,792
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 145,000 173,799
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 $115,000 112,413
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 216,000 199,260
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 542,038
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 448,000 456,400
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 207,590
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) (In default)(NON) CAD 515,000 39,135
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) (In default)(NON) $94,000 9,635
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 205,000 188,088
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 72,705
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 405,000 385,763
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 302,000 213,665
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 355,000 346,125
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 146,000 143,080
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 201,000 214,869
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 50,000 53,750
Gazprom OAO Via Gaz Capital SA sr. unsec. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 780,000 797,339
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 587,782
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,068,325
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 788,000 831,340
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 390,000 319,800
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 765,000 597,465
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 340,000 368,900
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 100,000 104,500
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 160,000 155,200
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 275,000 182,875
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 650,000 500,500
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 353,000 287,695
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 407,000 355,108
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 605,000 511,225
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 184,000 10
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,110,780
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 104,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 190,350
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 240,000 249,600
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 196,000 198,940
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 324,000 329,670
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 460,000 303,600
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 211,000 135,040
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 200,000 83,000
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 678,000 281,370
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 279,491
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 400,000 397,000
Petrobras Global Finance BV company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 1,043,078
Petrobras Global Finance BV company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 40,000 37,877
Petrobras Global Finance BV company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 921,408
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 4,035,000 2,310,038
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 2,067,000 842,303
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 878,000 642,038
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 491,000 479,953
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 8,205,000 6,338,363
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 2,345,000 973,175
Petroleos de Venezuela SA 144A company guaranty sr. unsec. unsub. notes 9s, 2021 (Venezuela) 390,000 190,086
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 383,180
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,722,240
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 95,000 96,661
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 525,000 529,769
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 135,000 135,000
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 300,000 297,750
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 255,000 255,319
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 210,000 212,100
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 220,000 231,825
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 210,000 212,100
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 175,000 183,313
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 950,000 115,188
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 365,000 389,784
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 45,000 26,100
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 385,000 333,988
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 144,000 148,680
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 245,000 257,250
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 103,000 77,688
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $125,000 115,938
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 105,000 73,542
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 70,000 59,850
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 582,000 560,175
Whiting Canadian Holding Co. ULC company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 39,000 41,387
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 450,000 460,125
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 365,500
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 574,000 581,893
39,352,879
Financials (5.1%)
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 618,000 775,590
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,546,248
American International Group, Inc. jr. sub. FRB 8.175s, 2058 163,000 225,755
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 1,630,000 1,920,184
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $1,455,000 1,475,876
Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, 2018 (Costa Rica) 250,000 253,125
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 438,000 445,665
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 185,000 196,563
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 175,000 189,438
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 198,640
CIT Group, Inc. sr. unsec. notes 5s, 2023 255,000 262,013
CIT Group, Inc. sr. unsec. notes 5s, 2022 315,000 324,450
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 328,213
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 155,000 153,644
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 504,075
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 397,575
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 262,000 150,650
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 372,000 364,095
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 373,000 298,400
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 625,625
Dresdner Funding Trust I 144A bonds 8.151s, 2031 579,000 724,474
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 277,000 294,313
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 371,000 380,275
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 244,000 153,720
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB 5.13s, perpetual maturity (Jersey) EUR 486,000 563,440
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) $161,000 160,799
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 475,000 489,250
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 440,000 454,806
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 20,000 22,600
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 265,000 282,225
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 25,000 24,906
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 860,743
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 175,000 477,481
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) $320,000 365,600
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 190,275
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 505,000 545,400
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 185,000 190,550
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 486,525
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 228,000 211,470
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 263,000 276,808
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 235,000 248,513
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 305,000 323,300
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 120,000 117,600
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 520,000 494,000
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 600,000 659,250
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.092s, perpetual maturity (United Kingdom) EUR 700,000 856,263
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) $235,000 242,718
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 550,000 555,115
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 500,000 482,500
Societe Generale SA 144A jr. unsec. sub. FRB 7 7/8s, perpetual maturity (France) 405,000 421,200
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 365,000 367,738
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 1,385,000 1,416,163
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 360,000 362,592
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 158,000 112,970
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 506,967
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (Ukraine) $425,000 308,125
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 607,000 622,175
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes 5.942s, 2023 (Russia) 200,000 177,000
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 468,000 435,240
VTB Bank OJSC 144A jr. unsec. sub. FRN 9 1/2s, perpetual maturity (Russia) 1,650,000 1,452,000
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 1,065,000 1,067,450
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 3,196,000 3,203,990
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 2,406,000 2,411,534
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 800,000 733,264
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 315,000 281,925
35,651,076
Health care (2.6%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 455,000 470,356
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 195,000 194,513
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 110,000 112,200
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 406,000 444,570
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 305,000 321,013
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 70,000 72,450
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 145,000 149,531
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 85,000 90,206
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 315,000 317,756
ConvaTec Healthcare D SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 160,000 186,627
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 $563,000 500,366
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 461,601 734,242
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 $240,000 244,230
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 489,000 512,839
Endo Finance, LLC/Endo Ltd/Endo Finco Inc. 144A company guaranty sr. unsec. notes 6s, 2025 280,000 287,700
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 603,000 611,291
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 295,000 291,313
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 125,000 126,719
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 323,000 340,765
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 120,000 126,000
HCA, Inc. sr. notes 6 1/2s, 2020 1,744,000 1,992,520
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 149,760
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 386,000 400,475
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 505,000 516,363
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 420,000 451,500
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 605,000 651,888
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 277,000 290,368
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 310,000 323,950
Omnicare, Inc. sr. unsec. notes 5s, 2024 70,000 77,000
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 311,000 336,658
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 540,000 577,125
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 830,000 881,875
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 644,000 682,640
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 115,000 116,150
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 370,000 383,413
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 115,000 114,569
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 307,000 303,163
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 833,000 903,805
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 393,000 419,528
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 80,000 81,200
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 70,000 73,325
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 73,763
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 90,000 92,250
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 195,000 196,950
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 370,000 382,488
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 370,000 379,713
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 435,000 445,875
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 435,000 461,100
17,894,101
Technology (1.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 180,000 189,225
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 260,000 280,800
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 252,000 222,075
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 1,085,000 1,090,425
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 174,000 205,407
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 146,000 164,250
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 377,000 432,608
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 778,000 824,921
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 250,000 270,125
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 610,000 626,775
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 430,000 457,950
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 433,000 455,191
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 365,000 366,278
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 870,000 890,663
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 265,000 276,263
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 286,000 268,840
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 380,000 469,454
Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 515,000 623,824
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 $532,000 574,560
8,689,634
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 475,000 460,750
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 633,000 641,704
1,102,454
Utilities and power (1.5%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 965,000 950,525
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 347,200
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 160,000 156,400
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 790,000 793,990
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 110,000 117,150
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 85,000 90,844
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 615,000 688,175
Dynegy, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 40,000 42,600
Dynegy, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 783,000 818,235
Dynegy, Inc. 144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 30,000 32,250
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 577,000 720,932
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 321,338 362,308
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 346,000 389,250
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 126,000 130,410
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 120,000 126,000
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 644,000 689,080
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 441,000 454,671
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 108,938
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,469,050
NRG Yield Operating, LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 200,000 207,500
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 396,000 442,530
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 296,100
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 195,000 209,138
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 230,000 236,325
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 457,000 475,280
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 205,000 135,582
10,490,463
Total corporate bonds and notes (cost $228,195,216) $224,182,594

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.8%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) (In default)(NON) $1,500,181 $1,496,430
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 2,540,000 2,435,860
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 9,081,000 8,918,268
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) 6,348,428 5,745,327
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 7,048,045 7,189,006
Bahamas (Commonwealth of) 144A sr. unsec. notes 5 3/4s, 2024 (Bahamas) 200,000 216,025
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) (units) BRL 3,500 1,142,790
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) $525,000 525,000
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 100,000 104,000
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 347,500,000 605,104
Costa Rica (Republic of) 144A unsec. notes 7s, 2044 (Costa Rica) $250,000 259,375
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) 375,000 409,688
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 265,000 280,238
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 620,000 683,550
Dominican (Republic of) 144A sr. unsec. notes 5 1/2s, 2025 1,650,000 1,703,625
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 468,000 486,767
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 1,677,959 1,625,523
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 5,687,000 4,643,004
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 5,419,000 4,426,271
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2038 (Greece)(STP) EUR 1,146,472 685,187
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2037 (Greece)(STP) EUR 134,941 80,911
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2036 (Greece)(STP) EUR 1,176,344 702,776
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2035 (Greece)(STP) EUR 866,021 516,380
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2034 (Greece)(STP) EUR 584,559 348,507
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2033 (Greece)(STP) EUR 542,459 323,962
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2032 (Greece)(STP) EUR 591,295 354,542
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2031 (Greece)(STP) EUR 400,059 240,042
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2030 (Greece)(STP) EUR 2,313,586 1,386,451
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2029 (Greece)(STP) EUR 461,295 277,624
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2028 (Greece)(STP) EUR 2,546,624 1,532,193
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2027 (Greece)(STP) EUR 1,271,042 772,823
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2026 (Greece)(STP) EUR 2,705,993 1,675,144
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2025 (Greece)(STP) EUR 5,744,811 3,692,365
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 1,315,156 858,759
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 2,857,365 1,873,701
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $1,355,000 1,326,274
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 1,884,271
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) 1,275,000 1,098,094
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 400,000 421,500
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 600,000 574,500
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 465,000 452,129
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 3,240,000 1,474,200
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,120,000 1,192,800
Venezuela (Bolivarian Republic of) sr. unsec. bonds 9 1/4s, 2028 (Venezuela) 100,000 43,500
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 261,300
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9 1/4s, 2027 (Venezuela) 605,000 298,870
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 1,570,435
Total foreign government and agency bonds and notes (cost $78,278,783) $68,815,091

SENIOR LOANS (2.1%)(a)(c)
Principal amount Value
Asurion, LLC bank term loan FRN 8 1/2s, 2021 $329,000 $332,907
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 335,526 337,437
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 238,200 234,032
Avaya, Inc. bank term loan FRN Ser. B3, 4.681s, 2017 237,190 235,869
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 482,851 482,776
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 280,000 277,130
BC ULC bank term loan FRN Ser. B, 4 1/2s, 2021 (Canada) 218,057 220,472
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 1,955,958 1,800,878
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 13s, 2017 164,175 150,973
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 595,500 532,973
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021 338,580 335,476
Dell International, LLC bank term loan FRN Ser. B, 4 1/2s, 2020 414,645 415,912
Dollar Tree Stores, Inc. bank term loan FRN Ser. B, 4 1/4s, 2022 135,000 136,688
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 674,725 679,469
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 328,350 328,409
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 493,569 427,430
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.178s, 2021 524,700 526,012
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/4s, 2020 226,018 226,160
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.928s, 2019 743,000 709,379
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 994,527 988,623
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 175,000 175,510
Level 3 Financing, Inc. bank term loan FRN Ser. B5, 4 1/2s, 2022 305,000 306,080
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 198,500 198,748
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 256,972 258,579
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 670,251 671,622
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 183,613 182,990
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 122,000 113,257
Par Pharmaceutical Cos., Inc. bank term loan FRN Class B2, 4s, 2019 198,687 198,687
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 282,863 282,863
PetSmart, Inc. bank term loan FRN Ser. B, 5s, 2022 535,000 541,420
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 388,152 389,244
ROC Finance, LLC bank term loan FRN 5s, 2019 296,241 293,648
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 135,000 132,300
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 270,000 267,975
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.668s, 2017 1,053,286 646,718
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.668s, 2017 10,810 6,637
Univision Communications, Inc. bank term loan FRN 4s, 2020 385,027 385,027
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020 238,821 239,328
Visteon Corp. bank term loan FRN Class B, 3 1/2s, 2021 223,313 223,033
Total senior loans (cost $15,462,227) $14,892,671

PURCHASED SWAP OPTIONS OUTSTANDING (0.9%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     (2.0875)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.0875 $23,300,200 $418,006
     (2.2125)/3 month USD-LIBOR-BBA/Jun-25 Jun-15/2.2125 41,385,000 403,918
     (2.325)/3 month USD-LIBOR-BBA/Jun-25 Jun-15/2.325 41,385,000 241,688
     (2.685)/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.685 46,367,100 230,444
     1.9875/3 month USD-LIBOR-BBA/Jun-25 Jun-15/1.9875 41,385,000 221,824
     1.875/3 month USD-LIBOR-BBA/Jun-25 Jun-15/1.875 41,385,000 131,190
     1.875/3 month USD-LIBOR-BBA/May-25 May-15/1.875 32,781,000 33
Barclays Bank PLC
     (2.1625)/3 month USD-LIBOR-BBA/May-25 May-15/2.1625 46,367,100 300,459
Citibank, N.A.
     2.20/3 month USD-LIBOR-BBA/May-25 May-15/2.20 49,393,200 382,797
     2.043/3 month USD-LIBOR-BBA/May-25 May-15/2.043 23,183,550 63,987
     1.4015/3 month USD-LIBOR-BBA/May-20 May-15/1.4015 92,734,200 58,423
     1.3735/3 month USD-LIBOR-BBA/May-20 May-15/1.3735 46,367,100 21,793
     1.294/3 month USD-LIBOR-BBA/May-20 May-15/1.294 92,734,200 17,620
     1.266/3 month USD-LIBOR-BBA/May-20 May-15/1.266 46,367,100 6,491
Credit Suisse International
     2.25/3 month USD-LIBOR-BBA/May-25 May-15/2.25 76,653,000 865,412
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 9,241,300 677,849
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 9,241,300 414,842
     (2.3085)/3 month USD-LIBOR-BBA/May-25 May-15/2.3085 46,367,100 96,444
     1.765/3 month USD-LIBOR-BBA/May-25 May-15/1.765 89,440,000 28,621
Goldman Sachs International
     (2.1065)/3 month USD-LIBOR-BBA/May-25 May-15/2.1065 92,734,200 727,963
     2.655/3 month USD-LIBOR-BBA/May-45 May-15/2.655 11,591,775 371,516
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 8,552,050 342,168
     1.8755/3 month USD-LIBOR-BBA/May-25 May-15/1.8755 92,734,200 44,512
     1.955/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.955 32,456,970 32
Total purchased swap options outstanding (cost $6,632,410) $6,068,032

PURCHASED OPTIONS OUTSTANDING (0.0%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/$101.86 $45,000,000 $268,650
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/103.42 45,000,000 72,450
Total purchased options outstanding (cost $474,609) $341,100

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 408 $415,701
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP 16,265 427,444
M/I Homes, Inc. Ser. A, $2.438 pfd. 8,790 225,903
Total preferred stocks (cost $968,655) $1,069,048

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $230,000 $281,750
Total convertible bonds and notes (cost $240,135) $281,750

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

SHORT-TERM INVESTMENTS (13.0%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.07%(AFF) Shares 58,816,803 $58,816,803
SSgA Prime Money Market Fund Class N 0.03%(P) Shares 1,927,000 1,927,000
U.S. Treasury Bills with an effective yield of 0.02%, August 27, 2015 $50,000 49,997
U.S. Treasury Bills with an effective yield of 0.03%, August 6, 2015 250,000 249,992
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.11%, July 23, 2015(SEG)(SEGSF)(SEGCCS) 8,454,000 8,453,755
U.S. Treasury Bills with an effective yield of zero%, July 9, 2015(SEGSF)(SEGCCS) 3,800,000 3,800,000
U.S. Treasury Bills with an effective yield of 0.09%, June 11, 2015(SEG)(SEGSF)(SEGCCS) 1,345,000 1,344,867
U.S. Treasury Bills with an effective yield of 0.01%, May 14, 2015(SEGSF)(SEGCCS) 300,000 299,999
U.S. Treasury Bills with an effective yield of 0.01%, May 21, 2015(SEGSF)(SEGCCS) 3,280,000 3,279,979
U.S. Treasury Bills with an effective yield of 0.01%, May 7, 2015(SEG)(SEGSF)(SEGCCS) 13,175,000 13,174,967
Total short-term investments (cost $91,396,082) $91,397,359

TOTAL INVESTMENTS
Total investments (cost $1,072,118,805)(b) $1,068,447,542













FORWARD CURRENCY CONTRACTS at 4/30/15 (aggregate face value $418,907,634) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/15/15 $1,125,127 $1,083,711 $41,416
British Pound Buy 6/17/15 2,198,529 2,218,887 (20,358)
Canadian Dollar Sell 7/15/15 5,263,896 5,015,621 (248,275)
Chilean Peso Sell 7/15/15 717,578 713,955 (3,623)
Euro Sell 6/17/15 3,785,671 3,982,814 197,143
Mexican Peso Buy 7/15/15 3,465,749 3,493,812 (28,063)
Norwegian Krone Buy 6/17/15 366,089 304,379 61,710
Barclays Bank PLC
Australian Dollar Buy 7/15/15 3,464,766 3,418,654 46,112
British Pound Buy 6/17/15 1,902,825 1,790,900 111,925
Canadian Dollar Buy 7/15/15 293,359 362,667 (69,308)
Euro Sell 6/17/15 6,058,691 5,899,323 (159,368)
Japanese Yen Sell 5/20/15 1,663,437 1,690,257 26,820
Mexican Peso Buy 7/15/15 3,365,661 3,412,995 (47,334)
New Zealand Dollar Sell 7/15/15 3,313,675 3,316,063 2,388
Norwegian Krone Buy 6/17/15 3,615,347 3,504,413 110,934
Singapore Dollar Sell 5/20/15 3,702,677 3,542,316 (160,361)
Swedish Krona Sell 6/17/15 2,048,316 1,854,163 (194,153)
Swiss Franc Buy 6/17/15 2,805,568 2,744,870 60,698
Citibank, N.A.
Australian Dollar Buy 7/15/15 3,258,958 3,135,861 123,097
Australian Dollar Sell 7/15/15 1,835,248 1,771,042 (64,206)
Brazilian Real Sell 7/2/15 1,113,774 1,038,353 (75,421)
British Pound Buy 6/17/15 1,773,770 1,776,650 (2,880)
British Pound Sell 6/17/15 1,809,524 1,758,523 (51,001)
Canadian Dollar Sell 7/15/15 3,799,918 3,624,816 (175,102)
Chilean Peso Buy 7/15/15 3,596,896 3,569,214 27,682
Chilean Peso Sell 7/15/15 3,480,998 3,452,039 (28,959)
Danish Krone Buy 6/17/15 3,632,266 3,486,245 146,021
Danish Krone Sell 6/17/15 3,504,815 3,510,159 5,344
Euro Buy 6/17/15 3,614,678 3,564,477 50,201
Euro Sell 6/17/15 7,023,197 6,734,758 (288,439)
Japanese Yen Sell 5/20/15 1,434,868 1,456,863 21,995
Mexican Peso Buy 7/15/15 3,037,359 3,080,279 (42,920)
New Zealand Dollar Buy 7/15/15 24,407 24,009 398
New Zealand Dollar Sell 7/15/15 1,601,012 1,562,168 (38,844)
Norwegian Krone Buy 6/17/15 3,815,867 3,500,740 315,127
Norwegian Krone Sell 6/17/15 1,468,731 1,433,662 (35,069)
Philippine Peso Buy 5/20/15 1,728,950 1,746,250 (17,300)
Swedish Krona Sell 6/17/15 1,808,248 1,726,935 (81,313)
Swiss Franc Buy 6/17/15 3,436,805 3,330,926 105,879
Credit Suisse International
Australian Dollar Buy 7/15/15 1,771,164 1,861,829 (90,665)
British Pound Buy 6/17/15 554,735 671,732 (116,997)
Canadian Dollar Sell 7/15/15 4,610,194 4,272,766 (337,428)
Chinese Yuan (Onshore) Buy 5/20/15 3,526,643 3,558,255 (31,612)
Euro Sell 6/17/15 1,647,131 1,421,142 (225,989)
Indian Rupee Buy 5/20/15 3,752,731 3,802,273 (49,542)
Japanese Yen Sell 5/20/15 169,991 172,777 2,786
New Zealand Dollar Sell 7/15/15 1,894,427 1,958,637 64,210
Norwegian Krone Sell 6/17/15 1,301,571 1,270,281 (31,290)
Singapore Dollar Sell 5/20/15 3,659,386 3,551,193 (108,193)
Swedish Krona Buy 6/17/15 1,767,666 1,651,494 116,172
Swiss Franc Buy 6/17/15 3,272,662 3,160,361 112,301
Deutsche Bank AG
Australian Dollar Sell 7/15/15 372,756 293,898 (78,858)
British Pound Buy 6/17/15 2,968,406 2,973,453 (5,047)
Canadian Dollar Sell 7/15/15 6,976,769 6,651,941 (324,828)
Euro Sell 6/17/15 3,523,788 3,402,338 (121,450)
New Zealand Dollar Buy 7/15/15 5,334,079 5,206,296 127,783
Norwegian Krone Sell 6/17/15 1,171,937 1,143,838 (28,099)
Polish Zloty Sell 6/17/15 1,988,194 1,889,216 (98,978)
Swedish Krona Sell 6/17/15 27,551 27,501 (50)
Swiss Franc Sell 6/17/15 1,857,961 1,816,531 (41,430)
Turkish Lira Buy 6/17/15 745,911 838,232 (92,321)
Goldman Sachs International
Australian Dollar Buy 7/15/15 1,772,110 1,704,203 67,907
British Pound Buy 6/17/15 1,768,092 1,771,162 (3,070)
Canadian Dollar Sell 7/15/15 4,912,743 4,683,691 (229,052)
Euro Sell 6/17/15 3,119,561 3,225,279 105,718
Japanese Yen Buy 5/20/15 10,623 10,658 (35)
New Zealand Dollar Buy 7/15/15 3,420,323 3,338,082 82,241
Norwegian Krone Sell 6/17/15 1,635,347 1,594,894 (40,453)
South African Rand Buy 7/15/15 39,008 38,139 869
Swedish Krona Sell 6/17/15 15,853 15,822 (31)
HSBC Bank USA, National Association
Australian Dollar Buy 7/15/15 554,129 532,825 21,304
British Pound Buy 6/17/15 1,764,409 1,767,530 (3,121)
Canadian Dollar Sell 7/15/15 4,300,110 4,103,557 (196,553)
Chinese Yuan (Onshore) Buy 5/20/15 149,263 106,353 42,910
Euro Sell 6/17/15 4,994,870 5,163,669 168,799
Japanese Yen Sell 5/20/15 642,074 652,349 10,275
New Taiwan Dollar Buy 5/20/15 3,676,436 3,642,699 33,737
New Taiwan Dollar Sell 5/20/15 3,676,436 3,562,140 (114,296)
New Zealand Dollar Buy 7/15/15 1,749,652 1,707,173 42,479
Swedish Krona Buy 6/17/15 946,759 945,229 1,530
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/15/15 3,684,526 3,591,407 93,119
British Pound Buy 6/17/15 4,590,103 4,498,195 91,908
British Pound Sell 6/17/15 5,455,581 5,355,752 (99,829)
Canadian Dollar Buy 7/15/15 3,521,629 3,489,639 31,990
Canadian Dollar Sell 7/15/15 7,552,309 7,278,114 (274,195)
Euro Buy 6/17/15 2,528,050 2,462,099 65,951
Euro Sell 6/17/15 7,898,162 7,758,005 (140,157)
Indian Rupee Buy 5/20/15 7,080,500 7,154,223 (73,723)
Indian Rupee Sell 5/20/15 6,807,309 6,876,957 69,648
Japanese Yen Buy 5/20/15 3,009,122 3,010,393 (1,271)
Japanese Yen Sell 5/20/15 1,707,068 1,734,459 27,391
Malaysian Ringgit Buy 5/20/15 7,222,387 7,031,977 190,410
Malaysian Ringgit Sell 5/20/15 7,222,387 7,068,726 (153,661)
Mexican Peso Buy 7/15/15 3,322,721 3,368,616 (45,895)
New Zealand Dollar Buy 7/15/15 1,770,118 1,762,147 7,971
New Zealand Dollar Sell 7/15/15 4,732,619 4,650,672 (81,947)
Norwegian Krone Buy 6/17/15 5,496,964 5,271,300 225,664
Norwegian Krone Sell 6/17/15 1,131,586 1,104,261 (27,325)
Philippine Peso Buy 5/20/15 1,728,948 1,746,643 (17,695)
Singapore Dollar Buy 5/20/15 3,636,494 3,528,036 108,458
Singapore Dollar Sell 5/20/15 3,606,954 3,538,987 (67,967)
South African Rand Buy 7/15/15 962,579 952,149 10,430
South Korean Won Buy 5/20/15 3,550,537 3,488,525 62,012
South Korean Won Sell 5/20/15 3,671,228 3,532,380 (138,848)
Swedish Krona Buy 6/17/15 4,227,120 4,176,583 50,537
Swedish Krona Sell 6/17/15 5,436,850 5,251,161 (185,689)
Swiss Franc Buy 6/17/15 3,829,717 3,702,274 127,443
Swiss Franc Sell 6/17/15 3,474,485 3,395,292 (79,193)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 7/15/15 1,500,169 1,443,463 56,706
British Pound Sell 6/17/15 1,204,610 1,050,672 (153,938)
Canadian Dollar Sell 7/15/15 3,526,017 3,299,292 (226,725)
Euro Sell 6/17/15 1,912,609 2,214,733 302,124
New Zealand Dollar Sell 7/15/15 114,607 98,819 (15,788)
Norwegian Krone Buy 6/17/15 2,996,927 2,728,064 268,863
Singapore Dollar Buy 5/20/15 19,190 19,629 (439)
Swedish Krona Sell 6/17/15 1,055,690 1,006,515 (49,175)
State Street Bank and Trust Co.
Australian Dollar Sell 7/15/15 746,222 717,475 (28,747)
Brazilian Real Buy 7/2/15 3,533,671 3,476,004 57,667
British Pound Buy 6/17/15 344,503 431,501 (86,998)
Canadian Dollar Sell 7/15/15 2,213,314 2,006,166 (207,148)
Chilean Peso Buy 7/15/15 4,422 4,395 27
Euro Sell 6/17/15 5,253,046 5,252,782 (264)
Hungarian Forint Buy 6/17/15 3,509,685 3,477,592 32,093
Japanese Yen Buy 5/20/15 1,249,070 1,224,529 24,541
Malaysian Ringgit Buy 5/20/15 7,148,587 6,993,905 154,682
Malaysian Ringgit Sell 5/20/15 7,148,587 7,009,478 (139,109)
New Zealand Dollar Buy 7/15/15 2,066,186 2,016,842 49,344
Norwegian Krone Buy 6/17/15 53,522 52,224 1,298
Singapore Dollar Sell 5/20/15 334,691 255,760 (78,931)
Swedish Krona Buy 6/17/15 1,864,310 1,751,425 112,885
Swiss Franc Buy 6/17/15 2,649,154 2,594,029 55,125
Turkish Lira Sell 6/17/15 478,915 361,101 (117,814)
UBS AG
Australian Dollar Buy 7/15/15 1,767,538 1,776,941 (9,403)
Australian Dollar Sell 7/15/15 1,644,179 1,582,155 (62,024)
British Pound Buy 6/17/15 1,209,981 1,212,092 (2,111)
British Pound Sell 6/17/15 80,563 77,900 (2,663)
Canadian Dollar Sell 7/15/15 4,090,710 3,901,302 (189,408)
Chilean Peso Buy 7/15/15 4,422 4,433 (11)
Euro Buy 6/17/15 709,589 672,408 37,181
Euro Sell 6/17/15 8,615,952 8,465,537 (150,415)
Japanese Yen Buy 5/20/15 2,987,322 2,990,283 (2,961)
Japanese Yen Sell 5/20/15 1,134,777 1,153,976 19,199
New Taiwan Dollar Buy 5/20/15 3,676,436 3,642,435 34,001
New Taiwan Dollar Sell 5/20/15 3,676,436 3,547,030 (129,406)
New Zealand Dollar Buy 7/15/15 5,205,070 5,079,918 125,152
Norwegian Krone Buy 6/17/15 3,713,133 3,439,122 274,011
Norwegian Krone Sell 6/17/15 3,666,230 3,539,108 (127,122)
Swedish Krona Buy 6/17/15 3,566,942 3,552,433 14,509
Swedish Krona Sell 6/17/15 3,534,576 3,404,803 (129,773)
WestPac Banking Corp.
Australian Dollar Sell 7/15/15 289,519 204,068 (85,451)
Canadian Dollar Sell 7/15/15 3,050,003 2,908,993 (141,010)
Euro Sell 6/17/15 4,116,873 4,175,711 58,838
New Zealand Dollar Buy 7/15/15 3,504,838 3,420,692 84,146
South Korean Won Buy 5/20/15 97,461 95,720 1,741
Total $(2,342,938)












FUTURES CONTRACTS OUTSTANDING at 4/30/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bund 10 yr (Long) 690 $121,405,898             Jun-15 $(2,767,847)
U.S. Treasury Bond Ultra 30 yr (Long) 57 9,376,500             Jun-15 (348,895)
U.S. Treasury Note 10 yr (Short) 207 26,573,625             Jun-15 (148,153)
Total $(3,264,895)












WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/15 (premiums $10,150,854) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
   2.275/3 month USD-LIBOR-BBA/May-25 May-15/2.275 $65,562,000 $8,523
   2.10/3 month USD-LIBOR-BBA/Jun-25 Jun-15/2.10 41,385,000 150,641
   2.955/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.955 92,734,200 184,541
   1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66 46,600,400 333,659
   (2.10)/3 month USD-LIBOR-BBA/Jun-25 Jun-15/2.10 41,385,000 362,119

Barclays Bank PLC
   2.3775/3 month USD-LIBOR-BBA/May-25 May-15/2.3775 46,367,100 51,004
   2.265/3 month USD-LIBOR-BBA/May-25 May-15/2.265 46,367,100 140,029

Citibank, N.A.
   (1.481)/3 month USD-LIBOR-BBA/May-20 May-15/1.481 46,367,100 61,668
   (2.223)/3 month USD-LIBOR-BBA/May-25 May-15/2.223 11,591,775 123,916
   (1.509)/3 month USD-LIBOR-BBA/May-20 May-15/1.509 92,734,200 156,721

Credit Suisse International
   (1.865)/3 month USD-LIBOR-BBA/May-25 May-15/1.865 44,720,000 36,670
   2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 9,241,300 1,032,503

Goldman Sachs International
   (2.35)/3 month USD-LIBOR-BBA/May-45 May-15/2.35 11,591,775 41,962
   (1.991)/3 month USD-LIBOR-BBA/May-25 May-15/1.991 46,367,100 77,897
   (1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885 8,552,050 111,861
   (2.5025)/3 month USD-LIBOR-BBA/May-45 May-15/2.5025 11,591,775 144,781
   1.991/3 month USD-LIBOR-BBA/May-25 May-15/1.991 46,367,100 715,444

JPMorgan Chase Bank N.A.
   (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 26,070,000 3,891,834
Total $7,625,773












WRITTEN OPTIONS OUTSTANDING at 4/30/15 (premiums $452,500) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/$102.64 $90,000,000 $281,700
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-15/99.86 22,000,000 71,940
Total $353,640













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/15 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Barclays Bank PLC
     1.932/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-15/1.932 $42,167,700 $(177,104) $2,614
     2.047/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-15/2.047 42,167,700 (307,824) (7,928)
     (2.162)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-15/2.162 42,167,700 493,362 13,958

Goldman Sachs International
     (2.155)/3 month USD-LIBOR-BBA/May-25 (Purchased) May-15/2.155 32,456,970 (92,757) (9,413)

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 11,591,775 (284,033) 11,580
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 11,591,775 (294,535) (27,229)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 11,591,775 (308,434) (29,559)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 21,148,700 (139,835) (34,472)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 11,591,775 (324,570) (71,788)
     1.825/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-15/1.825 44,720,000 (192,296) (81,390)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 42,297,400 (297,139) (86,202)
     1.9425/3 month USD-LIBOR-BBA/Jun-25 (Purchased) Jun-15/1.9425 44,720,000 (330,928) (135,949)
     (2.06)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-15/2.06 44,720,000 518,752 188,271
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 50,772,000 336,365 107,637
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 50,772,000 324,570 71,081
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 84,594,800 270,703 36,545
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 42,297,400 129,515 13,112
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 50,772,000 292,310 (25,386)
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 50,772,000 289,400 (69,557)
Total $(94,478) $(134,075)












TBA SALE COMMITMENTS OUTSTANDING at 4/30/15 (proceeds receivable $73,669,844) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, May 1, 2045 $51,000,000       5/13/15 $55,502,341
Federal National Mortgage Association, 4s, May 1, 2045 17,000,000       5/13/15 18,168,750
Total $73,671,091















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/15 (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)
Deutsche Bank AG
BRL 16,789,737 $—      1/4/21 0.00% Brazil Cetip Interbank Deposit Rate Over $(41,772)
BRL 57,159,012 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (43,634)
BRL 26,953,161 —      1/04/21 Brazil Cetip Interbank Deposit Rate Over 0.00% (150,164)
BRL 15,839,005 —      1/04/21 Brazil Cetip Interbank Deposit Rate Over 0.00% (85,778)
PLN 23,326,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (918,041)
PLN 11,630,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (463,192)
PLN 9,735,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (384,027)
ZAR 43,715,000 —      1/26/25 3 month ZAR-JIBAR-SAFEX 7.09% (194,243)
ZAR 29,143,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.08% (130,649)

Goldman Sachs International
KRW 3,385,000,000 —      11/06/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 21,889

JPMorgan Chase Bank N.A.
BRL 57,734,478 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (211,607)
BRL 17,333,568 —      1/4/21 0.00% Brazil Cetip Interbank Deposit Rate Over 142,600
BRL 7,556,852 —      1/4/21 0.00% Brazil Cetip Interbank Deposit Rate Over (61,885)
BRL 25,281,804 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% 40,613
PLN 2,655,000 —      3/12/25 2.42% 6 month PLN-WIBOR-WIBO (3,061)
ZAR 30,236,000 —      1/22/25 3 month ZAR-JIBAR-SAFEX 7.14% (124,950)
ZAR 90,708,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.0633% (415,367)
ZAR 16,647,000 —      3/10/25 3 month ZAR-JIBAR-SAFEX 7.91% 7,291
Total$—     $(3,015,977)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$46,600,400 $418,788      2/19/25 3 month USD-LIBOR-BBA 1.9575% $(95,459)
46,600,400 (135,756)     2/19/25 2.1575% 3 month USD-LIBOR-BBA (485,293)
46,600,400 (247,597)     2/19/25 2.0575% 3 month USD-LIBOR-BBA (165,242)
9,273,420 (212,992)     4/28/45 2.31% 3 month USD-LIBOR-BBA 235,672
17,104,100 49,376      1/6/25 2.28% 3 month USD-LIBOR-BBA (335,566)
17,104,100 211,865      1/6/25 2.53% 3 month USD-LIBOR-BBA (570,279)
23,300,200 (316,025)     4/15/25 3 month USD-LIBOR-BBA 2.172% (197,265)
23,300,200 204,734      4/15/25 2.052% 3 month USD-LIBOR-BBA 344,334
34,272,000 (E) (276)     12/16/18 2.3795% 3 month USD-LIBOR-BBA (876,268)
11,424,000 (E) (92)     12/16/18 2.337% 3 month USD-LIBOR-BBA (277,798)
20,350,000 (E) (164)     12/16/18 2.0025% 3 month USD-LIBOR-BBA (294,425)
42,294,000 (E) (22,435)     12/16/18 1.9525% 3 month USD-LIBOR-BBA (571,750)
6,170,000 (E) 81,040      6/17/45 3 month USD-LIBOR-BBA 2.50% 21,037
119,586,700 (E) 1,097,344      6/17/25 2.20% 3 month USD-LIBOR-BBA 687,759
106,544,000 (E) (609,484)     6/17/17 3 month USD-LIBOR-BBA 1.15% (94,025)
43,789,000 (E) 574,440      6/17/20 2.15% 3 month USD-LIBOR-BBA (504,390)
32,507,000 (E) (262)     12/16/18 1.813% 3 month USD-LIBOR-BBA (288,924)
772,441,900 (E) 1,612,022      6/17/17 1.10% 3 month USD-LIBOR-BBA (1,356,473)
28,460,000 (E) (204,044)     6/17/20 3 month USD-LIBOR-BBA 1.80% 13,703
27,598,000 (222)     4/20/20 1.4895% 3 month USD-LIBOR-BBA 109,588
39,446,000 (148)     4/23/17 0.794% 3 month USD-LIBOR-BBA 11,890
14,667,000 (55)     4/27/17 3 month USD-LIBOR-BBA 0.8095% (1,622)
9,922,000 (337)     5/01/45 3 month USD-LIBOR-BBA 2.5385% 16,381
11,213,000 (381)     5/01/45 3 month USD-LIBOR-BBA 2.5395% 20,980
8,948,000 (E) (113,548)     6/17/45 2.38% 3 month USD-LIBOR-BBA 209,090
15,982,600 (E) (655,719)     6/17/20 3 month USD-LIBOR-BBA 2.40% (68,023)
42,216,000 (340)     4/14/20 1.54% 3 month USD-LIBOR-BBA 49,373
36,312,000 (479)     4/14/25 2.0285% 3 month USD-LIBOR-BBA 293,899
14,677,000 (499)     4/14/45 3 month USD-LIBOR-BBA 2.404% (394,277)
106,927,000 (401)     4/14/17 3 month USD-LIBOR-BBA 0.809% 25,713
106,927,000 (401)     4/14/17 3 month USD-LIBOR-BBA 0.814% 36,444
42,216,000 (340)     4/14/20 1.552% 3 month USD-LIBOR-BBA 24,733
47,495,000 (E) (382)     12/16/18 3 month USD-LIBOR-BBA 1.41% (142,155)
20,598,800 (E) (114)     4/20/19 3 month USD-LIBOR-BBA 1.8325% (52,270)
5,244,900 (E) (74)     4/20/27 2.3675% 3 month USD-LIBOR-BBA 86,441
21,047,000 (278)     4/20/25 3 month USD-LIBOR-BBA 2.002% (231,402)
9,982,200 (E) (55)     4/20/19 3 month USD-LIBOR-BBA 1.85% (21,926)
2,411,000 (E) (34)     4/20/27 2.415% 3 month USD-LIBOR-BBA 29,602
6,561,000 (223)     4/20/45 3 month USD-LIBOR-BBA 2.416% (161,281)
45,420,000 (170)     4/20/17 3 month USD-LIBOR-BBA 0.7615% (37,432)
38,420,800 (309)     4/23/20 1.50% 3 month USD-LIBOR-BBA 139,937
7,330,000 (27)     4/27/17 3 month USD-LIBOR-BBA 0.8035% (1,680)
14,667,000 (118)     4/27/20 3 month USD-LIBOR-BBA 1.53766% (30,228)
3,113,000 (106)     4/27/45 2.393% 3 month USD-LIBOR-BBA 93,436
24,360,000 (828)     4/27/45 2.4005% 3 month USD-LIBOR-BBA 690,948
53,667,000 (201)     4/28/17 0.776% 3 month USD-LIBOR-BBA 43,354
820,000 (28)     4/28/45 2.394% 3 month USD-LIBOR-BBA 24,484
36,996,000 (298)     4/28/20 3 month USD-LIBOR-BBA 1.488% (167,899)
2,373,000 (31)     4/28/25 2.005% 3 month USD-LIBOR-BBA 26,561
23,209,000 (306)     5/01/25 2.14% 3 month USD-LIBOR-BBA (24,490)
23,209,000 (306)     5/01/25 2.13894% 3 month USD-LIBOR-BBA (22,216)
9,922,000 (337)     5/01/45 3 month USD-LIBOR-BBA 2.54461% 29,716
83,221,000 (670)     5/01/20 1.593% 3 month USD-LIBOR-BBA (33,126)
55,677,000 (209)     5/01/17 3 month USD-LIBOR-BBA 0.81738% (6,723)
55,677,000 (209)     5/01/17 3 month USD-LIBOR-BBA 0.817% (7,168)
AUD 4,266,000 (43)     3/23/25 6 month AUD-BBR-BBSW 2.765% (59,823)
AUD 5,646,000 (58)     3/30/25 2.77% 6 month AUD-BBR-BBSW 76,890
CAD 4,687,000 (49)     3/20/25 1.7775% 3 month CAD-BA-CDOR 85,615
CAD 23,257,000 (246)     3/26/25 3 month CAD-BA-CDOR 1.865% (274,515)
CAD 2,907,000 (30)     4/01/25 3 month CAD-BA-CDOR 1.77% (56,442)
CAD 3,552,000 (38)     4/08/25 1.83% 3 month CAD-BA-CDOR 53,431
CAD 134,497,000 (E) (401)     6/17/17 0.92% 3 month CAD-BA-CDOR 343,283
CAD 55,288,000 (E) (412)     6/17/20 3 month CAD-BA-CDOR 1.24% (462,879)
CAD 2,117,000 (23)     4/17/25 1.89% 3 month CAD-BA-CDOR 22,832
CAD 8,466,000 (92)     4/17/25 1.91875% 3 month CAD-BA-CDOR 72,502
CAD 7,516,000 (81)     4/17/25 1.89375% 3 month CAD-BA-CDOR 78,884
CHF 2,858,000 (38)     3/20/25 6 month CHF-LIBOR-BBA 0.1775% (9,530)
CHF 1,932,000 (26)     3/23/25 6 month CHF-LIBOR-BBA 0.1675% (8,944)
CHF 1,417,000 (19)     3/26/25 6 month CHF-LIBOR-BBA 0.1525% (9,018)
CHF 8,234,000 (112)     4/2/25 6 month CHF-LIBOR-BBA 0.182% (27,951)
CHF 2,984,000 (41)     4/10/25 0.16875% 6 month CHF-LIBOR-BBA 11,425
CHF 32,650,000 (131)     5/05/17 6 month CHF-LIBOR-BBA 0.60875% (14,091)
CHF 6,450,000 (91)     5/05/25 6 month CHF-LIBOR-BBA 0.22% (125)
EUR 4,263,000 (E) 123,474      6/17/20 0.75% 6 month EUR-EURIBOR-Telerate 19,607
EUR 8,114,000 (E) 761,780      6/17/25 1.50% 6 month EUR-EURIBOR-Telerate 28,643
EUR 4,489,000 (E) (1,390,481)     6/17/45 6 month EUR-EURIBOR-Telerate 2.00% (91,772)
EUR 29,001,000 (E) (267,946)     6/17/17 6 month EUR-EURIBOR-Telerate 0.50% (4,115)
EUR 12,890,000 (E) 2,950,210      6/17/35 2.00% 6 month EUR-EURIBOR-Telerate 177,543
GBP 39,851,000 (E) (2,041,019)     6/17/20 6 month GBP-LIBOR-BBA 2.25% 8,953
GBP 36,505,000 (E) 4,738,592      6/17/25 2.75% 6 month GBP-LIBOR-BBA 465,181
GBP 8,674,000 (E) (2,522,451)     6/17/45 6 month GBP-LIBOR-BBA 3.00% (135,837)
JPY 75,973,000 (25)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 75,949
JPY 148,765,000 (50)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 147,522
JPY 4,165,600,000 (163)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 171,562
JPY 911,400,000 (159)     3/14/44 1.795% 6 month JPY-LIBOR-BBA (904,716)
JPY 73,652,000 (13)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 73,838
JPY 85,000,000 (26)     11/07/44 6 month JPY-LIBOR-BBA 1.5025% 33,369
JPY 502,000,000 (151)     11/07/44 6 month JPY-LIBOR-BBA 1.495% 188,741
JPY 2,619,000,000 (186)     11/07/19 0.2475% 6 month JPY-LIBOR-BBA (31,471)
JPY 1,546,600,000 (110)     11/07/19 0.25% 6 month JPY-LIBOR-BBA (20,204)
JPY 26,010,000 (8)     11/07/44 6 month JPY-LIBOR-BBA 1.4975% 9,923
JPY 89,088,000 (10)     5/01/25 0.51% 6 month JPY-LIBOR-BBA 3,051
NOK 8,537,000 (14)     3/24/25 6 month NOK-NIBOR-NIBR 1.765% (32,867)
NOK 8,417,000 (14)     3/24/25 6 month NOK-NIBOR-NIBR 1.7625% (32,657)
NOK 15,900,000 (26)     4/7/25 1.865% 6 month NOK-NIBOR-NIBR 42,787
NOK 12,762,000 (21)     4/08/25 1.835% 6 month NOK-NIBOR-NIBR 38,986
NOK 16,975,000 (28)     4/10/25 1.825% 6 month NOK-NIBOR-NIBR 53,764
NZD 10,839,000 (110)     4/23/25 3 month NZD-BBR-FRA 3.7275% (90,032)
NZD 4,058,000 (40)     4/08/25 3 month NZD-BBR-FRA 3.675% (47,048)
NZD 24,489,000 (246)     4/09/25 3.675% 3 month NZD-BBR-FRA 283,111
NZD 3,793,000 (38)     4/10/25 3.7275% 3 month NZD-BBR-FRA 31,242
NZD 10,976,000 (112)     4/22/25 3 month NZD-BBR-FRA 3.705% (106,696)
SEK 64,131,000 (98)     4/1/25 0.967% 3 month SEK-STIBOR-SIDE 49,812
SEK 115,234,000 (176)     4/2/25 0.975% 3 month SEK-STIBOR-SIDE 79,401
SEK 13,007,000 (20)     4/09/25 3 month SEK-STIBOR-SIDE 0.9575% (12,161)
SEK 13,680,000 (21)     4/10/25 3 month SEK-STIBOR-SIDE 0.93% (17,191)
SEK 10,373,000 (16)     4/13/25 3 month SEK-STIBOR-SIDE 0.915% (15,034)
$32,097,100 (424)     1/9/25 3 month USD-LIBOR-BBA 2.07% 88,861
9,320,100 18,517      2/19/25 3 month USD-LIBOR-BBA 2.15% 81,947
4,660,050 10,657      2/19/25 3 month USD-LIBOR-BBA 2.15% 42,372
9,273,420 (49,273)     4/28/25 3 month USD-LIBOR-BBA 2.045% (118,932)
Total$4,050,123     $(3,895,024)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 4/30/15 (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
$598,978 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $581
1,099,783 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 12,784
1,083,280 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,050
999,209 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,437
2,488,453 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 28,537
3,005,452 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (15,613)
415,538 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 510
1,122,706 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,615
5,239,296 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,535
1,045,232 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 8,512
2,624,020 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,631)
3,289,155 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,731
1,005,624 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,235
128,274 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 938
458,438 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 659
562,924 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 634
3,368,119 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,844
1,907,375 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,908)
2,450,750 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,010
463,725 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 450
3,578,110 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (261)
14,141,609 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 20,339
3,104,283 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,465
524,953 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 509
1,702,333 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,651
1,234,091 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,197
6,858,346 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (35,628)
1,238,856 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (3,595)
1,028,578 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,232)
514,289 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,116)
514,289 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,116)
1,032,097 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,240)
2,680,666 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,817)
1,032,097 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,240)
1,189,942 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,646
1,695,774 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 15,572
1,020,825 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 9,374
1,008,190 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,450
1,294,586 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 11,888
2,178,343 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,316)
1,898,867 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 13,885
272,482 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,992
2,060,675 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (4,472)
209,896 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,090)
4,498,310 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (48,329)
7,046,875 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 82,252
802,361 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,154
2,823,100 12,351      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 7,058

Citibank, N.A.
1,973,718 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,839
4,490,825 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,459
4,158,130 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,980

Credit Suisse International
1,496,942 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,153
1,442,086 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,491)
2,706,448 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 24,853
2,753,999 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (29,588)
3,022,700 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (32,475)
2,890,238 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 26,541
6,428,045 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 73,716
3,770,050 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 43,235
3,587,868 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 45,804
1,878,126 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 23,977
939,495 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 11,994
3,245,920 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 41,438
1,802,571 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 21,040
3,482,224 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 40,645
3,384,612 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 39,506

Deutsche Bank AG
1,442,086 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,491)

Goldman Sachs International
1,525,411 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 12,423
597,384 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 4,368
2,728,745 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 31,718
2,728,745 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 31,718
913,417 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,745)
343,144 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,783)
732,314 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 5,964
110,140 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 897
1,843,781 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 20,283
736,781 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 6,000
1,473,489 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 12,000
42,974 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 314
643,892 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,345)
1,251,370 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,501)
772,598 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,014)
59,198 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (308)
157,908 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (820)
6,211,064 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 72,195
5,375,130 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 62,479
4,380,165 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 50,231
4,311,567 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (46,323)
7,305,005 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 85,265
7,792,000 —      2/24/25 (2.01%) USA Non Revised Consumer Price Index- Urban (CPI-U) 3,436
4,540,315 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 57,963
3,596,503 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 45,914
1,897,987 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 24,230
1,759,000 —      3/12/25 (1.925%) USA Non Revised Consumer Price Index- Urban (CPI-U) 19,490
GBP 4,513,000 —      2/20/25 (2.895%) GBP Non-revised UK Retail Price Index (85,762)
GBP 1,018,000 —      3/10/25 (2.8675%) GBP Non-revised UK Retail Price Index (31,518)

JPMorgan Chase Bank N.A.
$8,133,693 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 93,276
4,719,249 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 54,120
6,053,164 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 69,417
4,380,558 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 50,236
4,311,567 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (46,323)
Total$12,351     $1,022,520











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 4/30/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
      CMBX NA BBB- Index BBB-/P $38,247 $671,000 5/11/63 300 bp $45,896
      CMBX NA BBB- Index BBB-/P 40,127 650,000 5/11/63 300 bp 47,537
      CMBX NA BBB- Index BBB-/P 19,586 325,000 5/11/63 300 bp 23,291
      CMBX NA BBB- Index BBB-/P 9,980 146,000 5/11/63 300 bp 11,644

Barclays Bank PLC
      CMBX NA BBB- Index BBB-/P 77,713 701,000 5/11/63 300 bp 85,705

Credit Suisse International
      CMBX NA BBB- Index BBB-/P 66,890 1,630,000 5/11/63 300 bp 85,472
      CMBX NA BBB- Index BBB-/P 24,251 797,000 5/11/63 300 bp 33,336
      CMBX NA BBB- Index BBB-/P 61,004 796,000 5/11/63 300 bp 70,078
      CMBX NA BBB- Index BBB-/P 51,903 789,000 5/11/63 300 bp 60,898
      CMBX NA BBB- Index BBB-/P 61,012 788,000 5/11/63 300 bp 69,995
      CMBX NA BBB- Index BBB-/P 62,716 786,000 5/11/63 300 bp 71,676
      CMBX NA BBB- Index BBB-/P 85,870 760,000 5/11/63 300 bp 94,534
      CMBX NA BBB- Index BBB-/P 11,523 750,000 5/11/63 300 bp 20,073
      CMBX NA BBB- Index BBB-/P 48,442 665,000 5/11/63 300 bp 56,023
      CMBX NA BBB- Index BBB-/P 7,303 629,000 5/11/63 300 bp 14,473
      CMBX NA BBB- Index BBB-/P 48,395 608,000 5/11/63 300 bp 55,326
      CMBX NA BBB- Index BBB-/P (2,348) 551,000 5/11/63 300 bp 3,934
      CMBX NA BBB- Index BBB-/P 6,563 343,000 5/11/63 300 bp 10,473
      CMBX NA BBB- Index BBB-/P (194) 296,000 5/11/63 300 bp 3,181
      CMBX NA BBB- Index BBB-/P 833 255,000 5/11/63 300 bp 3,740
      CMBX NA BBB- Index BBB-/P 584 255,000 5/11/63 300 bp 3,491
      CMBX NA BBB- Index BBB-/P 329 253,000 5/11/63 300 bp 3,213
      CMBX NA BBB- Index BBB-/P 394 172,000 5/11/63 300 bp 2,355
      CMBX NA BBB- Index BBB-/P 561 123,000 5/11/63 300 bp 1,963
      CMBX NA BBB- Index BBB-/P (1,971) 118,000 5/11/63 300 bp (625)
      CMBX NA BBB- Index BBB-/P 672 115,000 5/11/63 300 bp 1,983
      CMBX NA BBB- Index BBB-/P (1,693) 108,000 5/11/63 300 bp (480)
      CMBX NA BBB- Index BBB-/P (1,136) 89,000 5/11/63 300 bp (144)
      CMBX NA BBB- Index BBB-/P 595 83,000 5/11/63 300 bp 1,541
      CMBX NA BBB- Index BBB-/P 1,092 62,000 5/11/63 300 bp 1,799
      CMBX NA BBB- Index BBB-/P 1,065 43,000 1/17/47 300 bp 704
      CMBX NA BBB- Index BBB-/P 583 66,000 1/17/47 300 bp (5)
      CMBX NA BBB- Index BBB-/P 568 89,000 1/17/47 300 bp (201)
      CMBX NA BBB- Index BBB-/P 443 89,000 1/17/47 300 bp (327)
      CMBX NA BBB- Index BBB-/P 345 108,000 1/17/47 300 bp (580)
      CMBX NA BBB- Index BBB-/P 345 108,000 1/17/47 300 bp (580)
      CMBX NA BBB- Index BBB-/P 2,032 115,000 1/17/47 300 bp 1,066
      CMBX NA BBB- Index BBB-/P 3,715 152,000 1/17/47 300 bp 2,438
      CMBX NA BBB- Index BBB-/P 3,784 160,000 1/17/47 300 bp 2,440
      CMBX NA BBB- Index BBB-/P 612 191,000 1/17/47 300 bp (993)
      CMBX NA BBB- Index BBB-/P 409 191,000 1/17/47 300 bp (1,196)
      CMBX NA BBB- Index BBB-/P 341 191,000 1/17/47 300 bp (1,263)
      CMBX NA BBB- Index BBB-/P 384 216,000 1/17/47 300 bp (1,466)
      CMBX NA BBB- Index BBB-/P 812 324,000 1/17/47 300 bp (1,910)
      CMBX NA BBB- Index BBB-/P 1,175 411,000 1/17/47 300 bp (2,278)
      CMBX NA BBB- Index BBB-/P 1,321 411,000 1/17/47 300 bp (2,132)
      CMBX NA BBB- Index BBB-/P 4,694 440,000 1/17/47 300 bp 998
      CMBX NA BBB- Index BBB-/P 6,221 458,000 1/17/47 300 bp 2,373
      CMBX NA BBB- Index BBB-/P 4,132 528,000 1/17/47 300 bp (303)
      CMBX NA BBB- Index BBB-/P 3,758 528,000 1/17/47 300 bp (677)
      CMBX NA BBB- Index BBB-/P 3,585 717,000 1/17/47 300 bp (2,438)
      CMBX NA BBB- Index BBB-/P 3,585 717,000 1/17/47 300 bp (2,438)
      CMBX NA BBB- Index BBB-/P 3,410 797,000 1/17/47 300 bp (3,285)
      CMBX NA BBB- Index BBB-/P 10 973,000 1/17/47 300 bp (8,163)
      CMBX NA BBB- Index BBB-/P 4,285 1,202,000 1/17/47 300 bp (5,811)
      CMBX NA BB Index — 1,975 132,000 5/11/63 (500 bp) 703
      CMBX NA BB Index — 862 159,000 5/11/63 (500 bp) (669)
      CMBX NA BB Index — (659) 181,000 5/11/63 (500 bp) (2,403)
      CMBX NA BB Index — 5,159 258,000 5/11/63 (500 bp) 2,674
      CMBX NA BB Index — (2,119) 276,000 5/11/63 (500 bp) (4,778)
      CMBX NA BB Index — (2,644) 276,000 5/11/63 (500 bp) (5,303)
      CMBX NA BB Index — (2,536) 278,000 5/11/63 (500 bp) (5,214)
      CMBX NA BB Index — 5,310 300,000 5/11/63 (500 bp) 2,420
      CMBX NA BB Index — 5,272 510,000 5/11/63 (500 bp) 359
      CMBX NA BB Index — 13,547 513,000 5/11/63 (500 bp) 8,605
      CMBX NA BB Index — 7,965 515,000 5/11/63 (500 bp) 3,004
      CMBX NA BB Index — (10,758) 616,000 5/11/63 (500 bp) (16,692)
      CMBX NA BB Index — (4,352) 833,000 5/11/63 (500 bp) (12,376)
      CMBX NA BB Index — (11,870) 612,000 5/11/63 (500 bp) (17,766)
      CMBX NA BBB- Index BBB-/P (15,354) 1,246,000 5/11/63 300 bp (1,149)
      CMBX NA BBB- Index BBB-/P (18,666) 1,238,000 5/11/63 300 bp (4,553)
      CMBX NA BBB- Index BBB-/P (23,329) 1,205,000 5/11/63 300 bp (9,592)
      CMBX NA BBB- Index BBB-/P 1,509 1,137,000 5/11/63 300 bp 14,471
      CMBX NA BBB- Index BBB-/P (8,056) 802,000 5/11/63 300 bp 1,086
      CMBX NA BBB- Index BBB-/P 3,668 792,000 5/11/63 300 bp 12,697
      CMBX NA BBB- Index BBB-/P 438 658,000 5/11/63 300 bp 7,939
      CMBX NA BBB- Index BBB-/P 2,956 638,000 5/11/63 300 bp 10,229
      CMBX NA BBB- Index BBB-/P 14,943 628,000 5/11/63 300 bp 22,102
      CMBX NA BBB- Index BBB-/P 3,733 615,000 5/11/63 300 bp 10,744
      CMBX NA BBB- Index BBB-/P 2,109 609,000 5/11/63 300 bp 9,052
      CMBX NA BBB- Index BBB-/P 422 608,000 5/11/63 300 bp 7,353
      CMBX NA BBB- Index BBB-/P (10,948) 606,000 5/11/63 300 bp (4,039)
      CMBX NA BBB- Index BBB-/P 1,476 547,000 5/11/63 300 bp 7,711
      CMBX NA BBB- Index BBB-/P (1,788) 536,000 5/11/63 300 bp 4,323
      CMBX NA BBB- Index BBB-/P (1,792) 536,000 5/11/63 300 bp 4,319
      CMBX NA BBB- Index BBB-/P (5,339) 533,000 5/11/63 300 bp 737
      CMBX NA BBB- Index BBB-/P (4,981) 532,000 5/11/63 300 bp 1,084
      CMBX NA BBB- Index BBB-/P 6,197 520,000 5/11/63 300 bp 12,125
      CMBX NA BBB- Index BBB-/P 5,170 520,000 5/11/63 300 bp 11,098
      CMBX NA BBB- Index BBB-/P 24,887 520,000 5/11/63 300 bp 30,815
      CMBX NA BBB- Index BBB-/P (4,326) 517,000 5/11/63 300 bp 1,567
      CMBX NA BBB- Index BBB-/P (1,672) 494,000 5/11/63 300 bp 3,960
      CMBX NA BBB- Index BBB-/P (2,594) 272,000 5/11/63 300 bp 507
      CMBX NA BBB- Index BBB-/P (1,615) 268,000 5/11/63 300 bp 1,440

Goldman Sachs International
      CMBX NA BBB- Index BBB-/P (5,851) 846,000 5/11/63 300 bp 3,793
      CMBX NA BBB- Index BBB-/P 321 123,000 5/11/63 300 bp 1,723
      CMBX NA BBB- Index BBB-/P (488) 107,000 5/11/63 300 bp 731
      CMBX NA BBB- Index BBB-/P 1,834 68,000 1/17/47 300 bp 1,262
      CMBX NA BBB- Index BBB-/P 950 122,000 1/17/47 300 bp (116)
      CMBX NA BBB- Index BBB-/P 1,683 169,000 1/17/47 300 bp 263
      CMBX NA BBB- Index BBB-/P 678 190,000 1/17/47 300 bp (918)
      CMBX NA BBB- Index BBB-/P 681 191,000 1/17/47 300 bp (923)
      CMBX NA BBB- Index BBB-/P 2,780 328,000 1/17/47 300 bp (139)
      CMBX NA BBB- Index BBB-/P 1,714 401,000 1/17/47 300 bp (1,654)
      CMBX NA BBB- Index BBB-/P 1,430 401,000 1/17/47 300 bp (1,939)
      CMBX NA BBB- Index BBB-/P 1,430 401,000 1/17/47 300 bp (1,939)
      CMBX NA BBB- Index BBB-/P 704 652,000 1/17/47 300 bp (4,773)
      CMBX NA BBB- Index BBB-/P 2,977 759,000 1/17/47 300 bp (3,398)
      CMBX NA BB Index — 100 82,000 5/11/63 (500 bp) (690)
      CMBX NA BB Index — 861 84,000 5/11/63 (500 bp) 52
      CMBX NA BB Index — 1,936 115,000 5/11/63 (500 bp) 828
      CMBX NA BB Index — 5,834 258,000 5/11/63 (500 bp) 3,348
      CMBX NA BB Index — (2,651) 276,000 5/11/63 (500 bp) (5,309)
      CMBX NA BB Index — (5,185) 489,000 5/11/63 (500 bp) (9,896)
      CMBX NA BB Index — (299) 150,000 1/17/47 (500 bp) 1,016
      CMBX NA BBB- Index BBB-/P (10,098) 606,000 5/11/63 300 bp (3,189)
      CMBX NA BBB- Index BBB-/P 6,683 585,000 5/11/63 300 bp 13,352
      CMBX NA BBB- Index BBB-/P (2,151) 536,000 5/11/63 300 bp 3,960
      CMBX NA BBB- Index BBB-/P (4,959) 530,000 5/11/63 300 bp 1,083
      CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp 727
      CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp 727
      CMBX NA BBB- Index BBB-/P 3,144 527,000 5/11/63 300 bp 9,152
      CMBX NA BBB- Index BBB-/P (4,153) 517,000 5/11/63 300 bp 1,741
      CMBX NA BBB- Index BBB-/P (2,972) 272,000 5/11/63 300 bp 134
      CMBX NA BBB- Index BBB-/P (206) 77,000 5/11/63 300 bp 671
Total$729,154$974,624
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at April 30, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
bp Basis Points
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
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
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2014 through April 30, 2015 (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 $701,449,947.
(b) The aggregate identified cost on a tax basis is $1,083,888,639, resulting in gross unrealized appreciation and depreciation of $22,636,991 and $38,078,088, respectively, or net unrealized depreciation of $15,441,097.
(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. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $15,660,350 $282,079,482 $238,923,029 $16,129 $58,816,803
* 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 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 $495,348,435 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 86.2%
Argentina 2.5
Greece 2.3
Russia 1.5
Venezuela 1.3
Canada 0.9
United Kingdom 0.9
Luxembourg 0.7
Brazil 0.6
Mexico 0.5
Other 2.6
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 and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, 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 for hedging 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 for gaining 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 $697,383 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 $8,355,427 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $7,416,000 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $23,241
    Energy — — 1,836
Total common stocks — — 25,077
Convertible bonds and notes — 281,750 —
Corporate bonds and notes — 224,182,581 13
Foreign government and agency bonds and notes — 68,815,091 —
Mortgage-backed securities — 296,045,931 10,052,102
Preferred stocks 427,444 641,604 —
Purchased options outstanding — 341,100 —
Purchased swap options outstanding — 6,068,032 —
Senior loans — 14,892,671 —
U.S. government and agency mortgage obligations — 355,068,584 —
U.S. treasury obligations — 208,203 —
Short-term investments 60,743,803 30,653,556 —
Totals by level $61,171,247 $997,199,103 $10,077,192



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(2,342,938) $—
Futures contracts (3,264,895) — —
Written options outstanding — (353,640) —
Written swap options outstanding — (7,625,773) —
Forward premium swap option contracts — (134,075) —
TBA sale commitments — (73,671,091) —
Interest rate swap contracts — (10,961,124) —
Total return swap contracts — 1,010,169 —
Credit default contracts — 245,470 —
Totals by level $(3,264,895) $(93,833,002) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
The following is a reconciliation of Level 3 assets as of the close of the reporting period:

Investments in securities: Balance as of July 31, 2014 Accrued discounts/premiums Realized gain/(loss) Change in net unrealized appreciation/(depreciation) # Purchases Sales Net transfers in and/or out of Level 3 † Balance as of April 30, 2015
Common stocks*:
    Consumer cyclicals $23,241 — — — — — — 23,241
    Energy $1,836 — — — — — — 1,836
Total common stocks $25,077 — — — — — — $25,077
Corporate bonds and notes $10 — — — 3 — — $13
Mortgage-backed securities $— — — — — — 10,052,102 $10,052,102

Totals: $25,087 $— $— $— $3 $— $10,052,102 $10,077,192


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
† Transfers during the reporting period are accounted for using the end of period market value and include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period.
# Includes $— related to Level 3 securities still held at period end.
During the reporting period, transfers between level 1 and level 2 within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
Level 3 securities, which are fair valued, are not material to the fund.

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 $419,396 $173,926
Foreign exchange contracts 5,382,976 7,725,914
Interest rate contracts 20,953,610 35,873,816
Total $26,755,982 $43,773,656


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$166,300,000
Purchased swap option contracts (contract amount)$921,400,000
Written TBA commitment option contracts (contract amount)$302,500,000
Written swap option contracts (contract amount)$810,300,000
Futures contracts (number of contracts)900
Forward currency contracts (contract amount)$808,600,000
OTC interest rate swap contracts (notional)$249,500,000
Centrally cleared interest rate swap contracts (notional)$2,842,000,000
OTC total return swap contracts (notional)$346,900,000
OTC credit default contracts (notional)$45,400,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#   $— $— $— $— $— $—  $21,889 $—  $190,504 $— $— $— $— $—    212,393
  Centrally cleared interest rate swap contracts§    —  —  6,044,896  —  —  — — — — — — — — —    6,044,896
  OTC Total return swap contracts*#    —  258,436  —  15,278  394,902  —  546,888 —  267,049 — — — — —    1,482,553
  OTC Credit default contracts*#    20,428  7,992  —  —  323,696  —  67,280 — — — — — — —    419,396
  Futures contracts§    —  —  —  —  —  — — — —  2,146 — — — —    2,146
  Forward currency contracts#    300,269  358,877  —  795,744  295,469  127,783  256,735  321,034  1,162,932 —  627,693  487,662  504,053  144,725    5,382,976
  Forward premium swap option contracts#    —  16,572  —  —  —  — — —  428,226 — — — — —    444,798
  Purchased swap options#    1,647,103  300,459  —  551,111  2,083,168  —  1,486,191 — — — — — — —    6,068,032
  Purchased options#    —  —  —  —  —  — — —  341,100 — — — — —    341,100
                                     
  Total Assets  $1,967,800  $942,336  $6,044,896  $1,362,133  $3,097,235  $127,783  $2,378,983  $321,034  $2,389,811  $2,146  $627,693  $487,662  $504,053  $144,725  $20,398,290
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    —  —  —  —  —  2,411,500 — —  816,870 — — — — —    3,228,370
  Centrally cleared interest rate swap contracts§    —  —  5,127,237  —  —  —   — — — — — — —    5,127,237
  OTC Total return swap contracts*#    —  163,897  —  —  69,554  7,491  185,119 —  46,323 — — — — —    472,384
  OTC Credit default contracts*#    —  —  —  —  130,229  —  43,697 — — — — — — —    173,926
  Futures contracts§    —  —  —  —  —  — — — —  818,536 — — — —    818,536
  Forward currency contracts#    300,319  630,524  —  901,454  991,716  791,061  272,641  313,970  1,387,395 —  446,065  659,011  805,297  226,461    7,725,914
  Forward premium swap option contracts#    —  7,928  —  —  —  —  9,413 —  561,532 — — — — —    578,873
  Written swap options#    1,039,483  191,033  —  342,305  1,069,173  —  1,091,945 —  3,891,834 — — — — —    7,625,773
  Written options#    —  —  —  —  —  — — —  353,640 — — — — —    353,640
                                     
  Total Liabilities  $1,339,802  $993,382  $5,127,237  $1,243,759  $2,260,672  $3,210,052  $1,602,815  $313,970  $7,057,594  $818,536  $446,065  $659,011  $805,297  $226,461  $26,104,653
                                     
  Total Financial and Derivative Net Assets    $627,998  $(51,046)  $917,659  $118,374  $836,563  $(3,082,269)  $776,168  $7,064  $(4,667,783)  $(816,390)  $181,628  $(171,349)  $(301,244)  $(81,736)    $(5,706,363)
  Total collateral received (pledged)##†    $290,000 $— $—  $118,374  $836,563  $(2,796,000)  $697,383  $7,064  $(4,620,000) $—  $181,628 $— $— $—    
  Net amount    $337,998  $(51,046)  $917,659 $— $—  $(286,269)  $78,785 $—  $(47,783)  $(816,390) $—  $(171,349)  $(301,244)  $(81,736)    
                                     
* 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: June 26, 2015

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: June 26, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: June 26, 2015