a_mastinterminc.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: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Beth S. Mazor, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2011
Date of reporting period: June 30, 2011



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/11 (Unaudited)
CORPORATE BONDS AND NOTES (31.3%)(a)
Principal amount Value
Basic materials (2.5%)
Associated Materials, LLC 144A company guaranty sr. notes 9 1/8s, 2017 $215,000 $214,463
Atkore International, Inc. 144A sr. notes 9 7/8s, 2018 177,000 185,850
Catalyst Paper Corp. 144A company guaranty sr. notes 11s, 2016 (Canada) 105,000 89,775
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 270,000 284,850
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 189,163
Chemtura Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2018 72,000 75,420
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.247s, 2013 (Netherlands) 75,000 71,625
Exopack Holding Corp. 144A sr. notes 10s, 2018 150,000 148,875
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 423,000 438,863
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 284,000 289,594
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 230,000 234,100
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 205,000 210,125
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 160,000 166,400
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 287,000 312,113
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 200,000 211,000
Ineos Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 350,000 490,240
JMC Steel Group 144A sr. notes 8 1/4s, 2018 $70,000 71,050
KRATON Polymers, LLC/KRATON Polymers Capital Corp. sr. notes 6 3/4s, 2019 30,000 30,000
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany) EUR 288,800 421,573
Lyondell Chemical Co. sr. notes 11s, 2018 $705,000 789,600
Lyondell Chemical Co. 144A company guaranty sr. notes 8s, 2017 439,000 488,388
Momentive Performance Materials, Inc. notes 9s, 2021 296,000 301,920
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 128,000 119,360
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A company guaranty sr. sub. notes 8 3/8s, 2018 60,000 60,750
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 215,000 232,200
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 243,000 244,519
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 405,000 658,586
Rockwood Specialties Group, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2014 EUR 50,000 73,505
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.67s, 2015 (Germany) EUR 152,000 217,508
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $115,000 116,150
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 143,000 155,155
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 292,000 315,360
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2012 25,000 26,375
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 269,000 282,450
Styrolution Group GmbH 144A sr. notes 7 5/8s, 2016 (Germany) EUR 100,000 140,378
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) 177,000 211,515
Thompson Creek Metals Co., Inc. 144A company guaranty sr. notes 7 3/8s, 2018 (Canada) 105,000 102,900
TPC Group, LLC 144A sr. notes 8 1/4s, 2017 212,000 219,950
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 218,000 225,085
USG Corp. 144A company guaranty sr. notes 8 3/8s, 2018 70,000 68,950
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 175,000 186,375
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr. notes 8 3/4s, 2019 85,000 75,650
9,447,708
Capital goods (1.6%)
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 199,000 202,980
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 60,000 58,350
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 95,000 102,600
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 104,000 102,700
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 35,000 35,000
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 81,000 88,290
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 140,000 204,424
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $298,000 311,410
Berry Plastics Corp. company guaranty notes FRN 4.122s, 2014 200,000 186,000
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 97,000 96,273
Berry Plastics Corp. notes 9 3/4s, 2021 24,000 23,220
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 140,000 148,400
Crown Americas, LLC/Crown Americas Capital Corp. III 144A sr. notes 6 1/4s, 2021 140,000 141,400
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 50,000 74,260
Delphi Corp. 144A sr. notes 6 1/8s, 2021 $150,000 148,125
Exide Technologies 144A sr. notes 8 5/8s, 2018 95,000 98,800
Graham Packaging Co., Inc. company guaranty sr. unsec. notes 8 1/4s, 2017 100,000 111,500
Griffon Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2018 70,000 70,263
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 157,000 165,635
Kratos Defense & Security Solutions, Inc. 144A sr. notes 10s, 2017 225,000 237,375
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 30,000 32,475
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 133,000 136,658
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 115,000 121,613
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 110,000 109,038
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 358,000 558,215
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A sr. notes 8 1/2s, 2016 (Luxembourg) EUR 377,000 559,064
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 $130,000 129,025
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 100,000 98,750
Ryerson, Inc. company guaranty sr. notes 12s, 2015 334,000 354,875
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 160,000 162,000
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 150,000 157,125
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 140,000 142,450
Terex Corp. sr. unsec. sub. notes 8s, 2017 58,000 59,450
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 323,000 337,535
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 137,000 146,933
TransDigm, Inc. 144A sr. sub. notes 7 3/4s, 2018 290,000 304,500
Zinc Capital SA 144A sr. notes 8 7/8s, 2018 (Luxembourg) EUR 110,000 157,682
6,174,393
Communication services (4.2%)
AMC Networks, Inc. 144A company guaranty sr. unsec notes 7 3/4s, 2021 $85,000 88,825
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 75,000 78,375
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 200,000 216,750
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 160,875
CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016 237,462 279,612
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 180,000 177,300
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 140,000 144,200
Cequel Communications Holdings I LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 146,000 151,840
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015 88,000 89,100
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 270,000 255,825
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 760,000 814,150
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 285,000 279,300
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 354,000 381,435
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 480,000 508,800
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 70,000 73,675
CSC Holdings LLC sr. notes 6 3/4s, 2012 81,000 83,329
CSC Holdings LLC sr. unsec. unsub. notes 8 1/2s, 2014 60,000 66,450
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 326,000 338,225
EH Holding Corp. 144A sr. notes 6 1/2s, 2019 150,000 152,625
EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021 270,000 275,400
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 753,000 817,005
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 365,000 386,900
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) 212,000 210,675
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 871,812 937,198
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 253,000 271,659
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 135,000 145,125
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) EUR 130,000 191,580
Kabel Deutchland V&S 144A sr. notes 6 1/2s, 2018 (Germany) EUR 105,000 151,268
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 $220,000 226,325
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 124,000 129,270
Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 59,000 62,245
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 456,000 482,220
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 139,000 137,610
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 360,000 417,600
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 65,000 67,763
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 261,000 274,050
PAETEC Holding Corp. 144A sr. unsec. notes 9 7/8s, 2018 156,000 161,655
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 180,000 274,763
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 $181,000 183,715
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 75,000 84,094
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012 1,003,000 1,055,658
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 105,000 112,350
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 180,000 191,475
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 1,100,000 1,208,625
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 117,000 116,854
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) EUR 100,000 150,118
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 293,000 458,531
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 218,000 330,391
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) EUR 361,000 556,052
Virgin Media Finance PLC company guaranty sr. unsec. bond 8 7/8s, 2019 (United Kingdom) GBP 50,000 88,439
Wind Acquisition Finance SA sr. notes Ser. REGS, 11 3/4s, 2017 (Netherlands) EUR 285,000 463,425
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Netherlands) EUR 325,000 481,060
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $60,000 63,600
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 247,000 262,129
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 135,000 141,075
15,908,593
Conglomerates (0.1%)
SPX Corp. sr. unsec. notes 7 5/8s, 2014 115,000 127,075
SPX Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2017 70,000 74,900
201,975
Consumer cyclicals (5.5%)
Affinion Group Holdings, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 20,000 20,000
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 250,000 258,125
Affinion Group, Inc. 144A sr. notes 7 7/8s, 2018 407,000 380,545
AMC Entertainment, Inc. 144A sr. sub. notes 9 3/4s, 2020 170,000 173,825
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 181,000 189,145
Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021 170,000 175,313
ARAMARK Holdings Corp. 144A sr. notes 8 5/8s, 2016(PIK) 74,000 75,295
Aston Martin Capital, Ltd. 144A company guaranty sr. notes 9 1/4s, 2018 (Jersey) GBP 105,000 160,927
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 $255,000 265,838
Beazer Homes USA, Inc. 144A sr. notes 9 1/8s, 2019 115,000 98,900
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 285,000 285,000
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 52,000 52,390
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 104,625
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 75,000 76,500
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 180,000 180,900
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019 140,000 138,600
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 155,000 139,888
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 350,000 386,313
Carlson Wagonlit BV company guaranty sr. sec. notes FRN Ser. REGS, 7.135s, 2015 (Netherlands) EUR 275,000 382,410
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 $70,000 74,725
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 110,000 106,700
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 120,000 117,900
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021 305,000 299,663
Cinemark USA, Inc. 144A company guaranty sr. sub. notes 7 3/8s, 2021 40,000 39,800
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017(PIK) 271,000 294,035
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 99,000 89,348
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2021 183,000 176,824
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 453,000 493,770
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 155,000 163,138
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands) EUR 307,000 457,184
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019 $235,000 226,775
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016 117,000 127,530
DISH DBS Corp. company guaranty 6 5/8s, 2014 634,000 667,285
DISH DBS Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 192,000 196,800
DR Horton, Inc. sr. notes 7 7/8s, 2011 30,000 30,075
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 100,000 136,888
FelCor Escrow Holdings, LLC 144A sr. notes 6 3/4s, 2019(R) $300,000 288,000
Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015 125,000 135,020
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 385,000 383,684
General Motors Financial Co., Inc. 144A sr. notes 6 3/4s, 2018 105,000 105,263
Goodyear Tire & Rubber Co. (The) sr. unsec. notes 10 1/2s, 2016 19,000 21,375
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 210,000 218,400
Grohe Holding GmbH 144A company guaranty sr. notes FRN 5.471s, 2017 (Germany) EUR 313,000 446,941
Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico) $460,000 500,073
Gymboree Corp. 144A sr. unsec. notes 9 1/8s, 2018 85,000 79,900
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 175,000 169,750
Interactive Data Corp. 144A company guaranty sr. notes 10 1/4s, 2018 434,000 471,975
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 150,000 148,688
Isle of Capri Casinos, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2019 356,000 359,560
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 505,000 755,104
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 $165,000 171,394
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 50,000 73,309
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 $100,000 115,500
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 795,000 775,125
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 70,000 72,625
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 155,000 158,100
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 195,000 218,888
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 340,000 27,200
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 55,000 54,656
MGM Resorts International company guaranty sr. notes 9s, 2020 105,000 114,975
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 65,000 60,938
MTR Gaming Group, Inc. company guaranty sr. notes 12 5/8s, 2014 205,000 211,919
Navistar International Corp. sr. notes 8 1/4s, 2021 330,000 358,050
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 135,000 136,013
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 7 3/4s, 2018 145,000 152,250
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 155,000 143,375
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 115,000 115,000
Owens Corning company guaranty sr. unsec. notes 9s, 2019 542,000 644,980
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 50,000 54,375
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 160,000 163,200
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 100,000 106,000
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 100,000 109,375
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 55,000 59,056
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 320,000 325,600
Ply Gem Industries, Inc. 144A sr. notes 8 1/4s, 2018 65,000 61,588
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 380,000 573,830
QVC Inc. 144A sr. notes 7 1/2s, 2019 $120,000 127,200
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 50,000 49,500
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 140,000 139,825
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 152,000 133,760
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 140,000 143,150
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 75,000 75,188
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 140,000 155,400
Sears Holdings Corp. 144A sr. notes 6 5/8s, 2018 139,000 128,923
Standard Pacific Corp. company guaranty sr. unsec. notes 8 3/8s, 2021 52,000 50,960
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 36,000 36,090
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 70,000 71,400
Toys “R” Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 30,000 31,650
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 45,000 45,450
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 293,000 325,963
Travelport LLC company guaranty 11 7/8s, 2016 127,000 109,220
Travelport LLC company guaranty 9 7/8s, 2014 155,000 142,600
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 244,000 217,770
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 110,000 166,553
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 $350,000 388,500
Universal City Development Partners, Ltd. company guaranty sr. unsec. notes 8 7/8s, 2015 245,000 272,563
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 200,000 198,000
Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 (In default)(F)(NON)(PIK) 281,131 14,057
Visteon Corp. 144A sr. notes 6 3/4s, 2019 250,000 241,250
Vulcan Materials Co. sr. unsec. unsub. notes 7 1/2s, 2021 75,000 74,901
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 105,000 114,056
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 85,000 99,663
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 524,000 547,580
Yankee Acquisition Corp. company guaranty sr. notes Ser. B, 8 1/2s, 2015 125,000 128,750
YCC Holdings, LLC/Yankee Finance, Inc. 144A sr. unsec. notes 10 1/4s, 2016 135,000 135,338
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 275,000 298,375
21,047,668
Consumer staples (1.9%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,400,000 903,285
Archibald Candy Corp. company guaranty sub. notes 10s, 2011 (In default)(F)(NON) $88,274 2,825
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 105,000 112,088
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 345,000 351,038
Bumble Bee Acquisition Corp. 144A company guaranty sr. notes 9s, 2017 200,000 201,000
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 184,000 195,960
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 198,000 204,435
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 95,000 91,913
CKE Restaurants, Inc. company guaranty sr. notes 11 3/8s, 2018 215,000 234,888
Claire's Stores, Inc. 144A sr. notes 8 7/8s, 2019 140,000 130,900
Constellation Brands, Inc. company guaranty sr. unsec. notes 7 1/4s, 2017 23,000 25,013
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 111,000 121,268
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 118,000 116,820
DineEquity, Inc. 144A sr. unsec. notes 9 1/2s, 2018 115,000 124,775
Dole Food Co. 144A sr. notes 8s, 2016 87,000 91,133
Dunkin Brands, Inc. 144A company guaranty sr. unsec. notes 9 5/8s, 2018 47,000 47,411
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) EUR 339,000 521,289
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 $165,000 171,806
Foodcorp (Pty), Ltd. 144A company guaranty sr. notes 8 3/4s, 2018 (South Africa) EUR 100,000 141,579
Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014 $5,000 5,125
Hertz Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2018 65,000 66,950
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 156,000 238,239
JBS USA LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 $620,000 602,950
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 72,000 77,040
Libbey Glass, Inc. sr. notes 10s, 2015 49,000 53,165
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 145,000 151,888
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2018 70,000 73,325
Refresco Group BV 144A company guaranty sr. bonds 7 3/8s, 2018 (Netherlands) EUR 200,000 292,683
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 $315,000 312,638
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 321,000 292,913
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 55,000 59,263
Roadhouse Financing, Inc. 144A sr. notes 10 3/4s, 2017 115,000 120,750
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 95,000 94,525
Service Corporation International sr. notes 7s, 2019 80,000 84,200
Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018 265,000 290,175
Stewart Enterprises, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2019 185,000 184,769
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 70,000 70,000
West Corp. 144A sr. notes 7 7/8s, 2019 191,000 185,270
West Corp. 144A sr. unsec. notes 8 5/8s, 2018 8,000 8,080
7,053,374
Energy (5.4%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 150,000 150,375
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 159,000 159,596
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 283,000 316,827
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 164,000 187,999
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 305,000 310,338
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 200,000 199,500
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 221,000 221,276
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 65,000 65,975
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018 286,000 311,740
Brigham Exploration Co. 144A company guaranty sr. unsec. notes 6 7/8s, 2019 50,000 49,750
Carrizo Oil & Gas, Inc. company guaranty sr. unsec notes 8 5/8s, 2018 347,000 357,410
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 151,200
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 398,000 411,930
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 495,000 574,200
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. notes 5 7/8s, 2021 135,000 133,313
Complete Production Services, Inc. company guaranty 8s, 2016 388,000 405,460
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 225,563
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 125,000 136,250
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 710,000 773,900
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 30,000 29,850
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 365,000 388,725
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 118,000 128,620
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 95,000 95,950
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 405,000 393,863
Ferrellgas LP/Ferrellgas Finance Corp. 144A sr. unsec. notes 6 1/2s, 2021 98,000 92,610
Forbes Energy Services Ltd. 144A company guaranty sr. unsec. notes 9s, 2019 150,000 147,750
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 1/8s, 2018 180,000 182,700
Gazprom OAO Via Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019 (Russia) 2,055,000 2,530,363
Gazprom Via Gaz Capital SA 144A company guaranty sr. unsec. bond 8.146s, 2018 (Russia) 176,000 204,211
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) 230,000 272,679
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 195,000 195,000
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 455,000 468,650
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014 340,000 336,600
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2021 211,000 211,000
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 98,000 163,570
James River Escrow, Inc. 144A sr. notes 7 7/8s, 2019 $70,000 69,300
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 95,000 94,050
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 188,000 198,340
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2019 (Russia) 200,000 219,228
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 135,000 135,675
Milagro Oil & Gas 144A notes 10 1/2s, 2016 225,000 211,500
Nak Naftogaz Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 275,000 298,691
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 348,000 353,220
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 115,000 125,063
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 50,000 54,375
OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada) (In default)(NON) 430,000 178,450
OPTI Canada, Inc. 144A company guaranty sr. notes 9 3/4s, 2013 (Canada) 286,000 283,140
OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada) 89,000 89,445
Peabody Energy Corp. company guaranty 7 3/8s, 2016 494,000 558,220
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 19,000 20,425
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 440,000 528,000
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 641,756
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 95,000 106,875
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,665,000 1,044,788
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 395,000 305,138
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 920,000 621,276
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 160,000 118,640
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 225,000 210,375
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) 175,000 183,488
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 9 3/4s, 2019 (Trinidad) 545,000 658,088
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 240,000 266,400
Plains Exploration & Production Co. company guaranty 7 3/4s, 2015 70,000 72,538
Plains Exploration & Production Co. company guaranty 7s, 2017 85,000 87,550
Plains Exploration & Production Co. company guaranty sr. unsec. notes 10s, 2016 270,000 303,750
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) 425,000 502,563
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 150,000 155,250
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 124,000 137,330
SandRidge Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 40,000 40,500
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 578,000 589,560
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 85,000 85,213
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 60,000 59,681
20,592,624
Financials (4.9%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 135,000 135,338
Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012 25,000 25,475
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 403,000 416,098
Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012 512,000 522,240
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 72,638
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 590,425
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.454s, 2014 39,000 37,301
Ally Financial, Inc. 144A company guaranty notes 6 1/4s, 2017 140,000 139,066
Banco Do Brasil 144A sr. unsec. 9 3/4s, 2017 (Brazil) BRL 436,000 286,303
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $990,000 980,447
Bosphorus Financial Services, Ltd. 144A sr. notes FRN 2.061s, 2012 270,938 268,791
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 56,000 57,540
CIT Group, Inc. sr. bonds 7s, 2014 25,653 25,974
CIT Group, Inc. 144A bonds 7s, 2017 1,051,000 1,048,373
CIT Group, Inc. 144A bonds 7s, 2016 493,000 491,151
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 213,713
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 55,000 58,300
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 170,000 172,550
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 257,000 279,488
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 95,000 96,663
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 65,000 66,300
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 385,000 390,775
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 50,000 48,875
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 1,000,000 1,031,201
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012 INR 19,000,000 430,685
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 $252,000 261,450
MPT Operating Partnership LP/MPT Finance Corp. 144A company guaranty sr. notes 6 7/8s, 2021(R) 95,000 93,338
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 128,000 140,480
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 191,000 195,298
Omega Healthcare Investors, Inc. 144A sr. notes 6 3/4s, 2022(R) 85,000 83,831
Russian Agricultural Bank OJSC Via RSHB Capital SA sub. bonds FRB 6.97s, 2016 (Russia) 3,585,000 3,583,530
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 9s, 2014 (Russia) 1,425,000 1,629,844
Sabra Health Care LP/Sabra Capital Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018(R) 57,000 57,000
Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South Korea) 137,000 143,112
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 159,261
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) 200,000 207,510
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.136s, 2014 60,000 55,800
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 7 1/2s, 2011 (Russia) 1,090,000 1,107,985
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,385,000 1,486,105
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 130,000 136,149
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) 1,390,000 1,460,695
18,687,098
Government (0.2%)
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 22,600,000 486,606
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 9,750,000 340,839
827,445
Health care (1.6%)
Aviv Healthcare Properties LP 144A sr. notes 7 3/4s, 2019 $139,000 142,128
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 100,000 109,000
Capella Healthcare, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 160,000 168,800
CDRT Merger Sub, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 105,000 105,000
CHS/Community Health Systems, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2015 371,000 382,130
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 143,449
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $428,000 442,980
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 45,000 45,788
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 145,000 146,813
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 203,000 213,404
Endo Pharmaceuticals Holdings, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 130,000 133,250
Giant Funding Corp. 144A sr. notes 8 1/4s, 2018 (Spain) 226,000 235,605
HCA Holdings, Inc. 144A sr. unsec. notes 7 3/4s, 2021 172,000 178,450
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016(PIK) 394,000 419,118
HCA, Inc. sr. sec. notes 9 1/4s, 2016 681,000 722,711
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019 375,000 370,313
Kindred Escrow Corp. 144A sr. notes 8 1/4s, 2019 60,000 59,700
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 150,000 159,375
Select Medical Corp. company guaranty 7 5/8s, 2015 91,000 90,090
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 310,000 320,075
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 120,841 124,164
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 119,000 135,214
Tenet Healthcare Corp. sr. notes 9s, 2015 285,000 305,663
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 198,000 218,543
Tenet Healthcare Corp. sr. unsec. notes 8s, 2020 175,000 177,844
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 30,000 29,025
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 75,000 73,500
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 30,000 29,400
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 200,000 131,750
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) 305,000 322,756
6,136,038
Technology (1.3%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 60,000 61,800
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 64,000 65,280
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 190,000 183,825
Buccaneer Merger Sub, Inc. 144A sr. notes 9 1/8s, 2019 188,000 195,520
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 139,000 141,085
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 316,000 316,000
CommScope, Inc. 144A sr. notes 8 1/4s, 2019 140,000 144,200
Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 (Canada) 120,000 115,650
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 81,000 85,961
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 201,000 213,311
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015(PIK) 412,130 427,585
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 141,000 138,885
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 75,000 80,063
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 50,000 50,375
First Data Corp. 144A sr. bonds 12 5/8s, 2021 452,000 483,640
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 416,000 462,800
Freescale Semiconductor, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2020 68,000 76,840
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 470,000 486,450
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 464,000 519,680
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) 186,000 195,300
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 351,000 363,285
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 149,000 150,490
4,958,025
Transportation (0.2%)
AMGH Merger Sub., Inc. 144A company guaranty sr. notes 9 1/4s, 2018 198,000 208,395
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 285,000 301,744
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 125,000 118,125
628,264
Utilities and power (1.9%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 475,000 503,500
AES Corp. (The) 144A sr. note 7 3/8s, 2021 135,000 137,025
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 528,000 636,239
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 $165,000 169,538
Calpine Corp. 144A sr. notes 7 1/4s, 2017 425,000 431,375
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019 495,000 360,113
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 151,000 135,900
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 69,000 69,431
Edison Mission Energy sr. unsec. notes 7.2s, 2019 147,000 116,865
Edison Mission Energy sr. unsec. notes 7s, 2017 23,000 18,630
El Paso Natural Gas Co. debs. 8 5/8s, 2022 247,000 319,393
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 595,000 631,569
Energy Future/Energy Future Intermediate Holdings Finance Co., LLC sr. notes 10s, 2020 296,000 315,672
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 300,000 318,000
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 295,000 308,275
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 46,800
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 115,000 127,480
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) 400,000 473,000
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 1,085,000 1,259,967
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 593,513
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 110,000 115,487
NV Energy, Inc. sr. unsec. unsub. notes 6 3/4s, 2017 40,000 40,972
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 135,000 132,638
7,261,382
Total corporate bonds and notes (cost $115,294,314) $118,924,587

MORTGAGE-BACKED SECURITIES (25.3%)(a)
Principal amount Value
Adjustable Rate Mortgage Trust
     FRB Ser. 07-1, Class 2A1, 5.559s, 2037 $594,154 $338,668
     FRB Ser. 07-1, Class 5A31, 0.326s, 2037 950,465 446,718
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 163,000 133,660
     Ser. 01-1, Class K, 6 1/8s, 2036 367,000 273,966
     Ser. 07-5, Class XW, IO, 0.59s, 2051 109,996,097 1,846,482
Banc of America Funding Corp.
     FRB Ser. 06-D, Class 6A1, 5.387s, 2036 2,266,655 1,393,993
     FRB Ser. 07-B, Class A1, 0.396s, 2047 938,441 581,833
Barclays Capital, LLC Trust
     FRB Ser. 07-AA2, Class 12A1, 0.396s, 2047 1,648,519 873,715
     FRB Ser. 07-AA1, Class 2A1, 0.366s, 2037 1,343,453 752,334
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 2A1, 5.161s, 2047 1,079,456 669,263
Bear Stearns Alt-A Trust
     FRB Ser. 06-3, Class 36A1, 5.986s, 2036 4,178,848 2,695,357
     FRB Ser. 06-5, Class 2A2, 5.98s, 2036 2,444,498 1,466,699
     FRB Ser. 06-3, Class 35A1, 5.634s, 2036 2,959,833 1,920,192
     FRB Ser. 06-5, Class 2A1, 5.618s, 2036 507,736 304,641
     FRB Ser. 07-1, Class 21A1, 5.168s, 2047 1,205,167 668,868
     Ser. 06-4, Class 22A1, 3.186s, 2036 709,519 322,121
Bear Stearns Asset Backed Securities Trust
     FRB Ser. 06-IM1, Class A3, 0.466s, 2036 1,272,214 343,498
     FRB Ser. 06-IM1, Class A1, 0.416s, 2036 513,706 246,579
Citigroup Mortgage Loan Trust, Inc.
     FRB Ser. 06-AR5, Class 2A5A, 5.407s, 2036 1,089,226 573,243
     FRB Ser. 07-AR5, Class 1A1A, 5.379s, 2037 551,011 314,095
     FRB Ser. 05-10, Class 1A1A, 2.995s, 2035 1,608,369 868,519
     FRB Ser. 05-10, Class 1A4A, 2.863s, 2035 1,038,396 614,730
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.116s, 2044 33,839,687 146,662
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.869s, 2014 (United Kingdom) GBP 444,023 499,420
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 226,682 273,174
Countrywide Alternative Loan Trust
     Ser. 06-41CB, Class 1A7, 6s, 2037 $494,605 316,547
     FRB Ser. 05-84, Class 4A1, 5.777s, 2036 4,603,556 2,854,205
     Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 951,878 912,911
     FRB Ser. 06-19CB, Class A19, 0.986s, 2036 769,005 399,882
     FRB Ser. 06-18CB, Class A7, 0.536s, 2036 1,615,802 807,901
     FRB Ser. 06-OC10, Class 2A2A, 0.366s, 2036 755,503 363,822
     FRB Ser. 06-HY11, Class A1, 0.306s, 2036 1,828,765 1,060,684
Countrywide Home Loans FRB Ser. 05-HYB4, Class 2A1, 2.794s, 2035 456,632 305,944
Countrywide Home Loans 144A
     Ser. 05-R3, Class AS, IO, 5.611s, 2035(F) 106,401 13,752
     FRB Ser. 05-R3, Class AF, 0.586s, 2035 104,514 86,747
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 354,000 108,413
Deutsche Alt-A Securities, Inc. Mortgage
     FRB Ser. 06-AR1, Class 3A1, 2.951s, 2036 1,550,124 1,007,581
     FRB Ser. 07-AR3, Class 2A2A, 0.366s, 2037 2,287,405 1,486,813
     FRB Ser. 06-AR6, Class A4, 0.356s, 2037 694,335 428,752
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
     FRB Ser. 06-AR1, Class 1A3, 0.516s, 2036 4,445,029 1,978,038
     FRB Ser. 06-AR6, Class A6, 0.376s, 2037 737,945 372,662
     FRB Ser. 06-AR3, Class A1, 0.376s, 2036 1,087,422 467,591
     FRB Ser. 06-AR3, Class A5, 0.356s, 2036 2,034,259 1,240,898
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031(F) 286,492 286,389
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.672s, 2014 (United Kingdom) GBP 151,685 48,746
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.852s, 2032 $309,703 502,812
     IFB Ser. 3408, Class EK, 25.04s, 2037 213,785 321,597
     IFB Ser. 2979, Class AS, 23.587s, 2034 118,018 162,617
     IFB Ser. 3072, Class SM, 23.111s, 2035 275,904 405,603
     IFB Ser. 3072, Class SB, 22.964s, 2035 247,164 361,673
     IFB Ser. 3249, Class PS, 21.658s, 2036 227,933 327,244
     IFB Ser. 3031, Class BS, 16.257s, 2035 402,785 528,719
     IFB Ser. 3727, Class PS, IO, 6.513s, 2038 3,116,886 529,559
     IFB Ser. 3287, Class SE, IO, 6.513s, 2037 1,494,203 256,360
     IFB Ser. 3398, Class SI, IO, 6.463s, 2036 2,046,027 262,996
     IFB Ser. 3485, Class SI, IO, 6.363s, 2036 474,220 78,777
     IFB Ser. 3751, Class SB, IO, 5.853s, 2039 9,133,980 1,406,085
     IFB Ser. 3852, Class TB, 5.813s, 2041 1,286,058 1,188,124
     IFB Ser. 3768, Class PS, IO, 5.813s, 2036 2,246,876 346,918
     Ser. 3645, Class ID, IO, 5s, 2040 1,305,878 214,752
     Ser. 3653, Class KI, IO, 5s, 2038 2,859,142 474,789
     Ser. 3632, Class CI, IO, 5s, 2038 1,524,335 259,366
     Ser. 3626, Class DI, IO, 5s, 2037 1,071,489 124,089
     Ser. 3623, Class CI, IO, 5s, 2036 962,202 171,631
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 651,228 96,577
     Ser. 3738, Class MI, IO, 4s, 2034 6,645,315 833,987
     Ser. 3736, Class QI, IO, 4s, 2034 8,213,168 1,050,066
     Ser. 3751, Class MI, IO, 4s, 2034 9,059,750 1,185,468
     Ser. 3707, Class HI, IO, 4s, 2023 1,322,502 133,692
     Ser. 3707, Class KI, IO, 4s, 2023 2,299,801 200,704
     Ser. T-57, Class 1AX, IO, 0.424s, 2043 1,372,003 21,953
     Ser. 3124, Class DO, PO, zero %, 2036 22,770 17,334
     FRB Ser. 3326, Class YF, zero %, 2037 71,926 56,497
     FRB Ser. 3251, Class TC, zero %, 2036 25,881 25,772
     FRB Ser. 3072, Class TJ, zero %, 2035 7,374 7,369
     FRB Ser. 3326, Class WF, zero %, 2035 16,263 13,358
     FRB Ser. 3030, Class EF, zero %, 2035(F) 21,176 18,827
     FRB Ser. 3033, Class YF, zero %, 2035(F) 1,706 1,701
     FRB Ser. 3412, Class UF, zero %, 2035(F) 8,899 8,312
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.785s, 2036 434,267 765,612
     IFB Ser. 07-53, Class SP, 23.519s, 2037 245,749 363,979
     IFB Ser. 08-24, Class SP, 22.602s, 2038 210,555 308,299
     IFB Ser. 05-75, Class GS, 19.693s, 2035 269,597 367,065
     IFB Ser. 05-83, Class QP, 16.911s, 2034 280,780 370,152
     IFB Ser. 10-135, Class SP, IO, 6.414s, 2040 4,727,752 905,497
     IFB Ser. 11-51, Class SK, IO, 6.264s, 2041 3,764,293 668,689
     IFB Ser. 10-35, Class SG, IO, 6.214s, 2040 4,590,858 901,186
     IFB Ser. 11-51, Class SM, IO, 5.664s, 2041 6,563,926 949,275
     IFB Ser. 10-46, Class WS, IO, 5.564s, 2040 5,173,085 678,191
     Ser. 374, Class 6, IO, 5 1/2s, 2036 1,164,714 255,375
     Ser. 10-21, Class IP, IO, 5s, 2039 2,610,685 461,506
     Ser. 10-92, Class CI, IO, 5s, 2039 1,525,363 292,725
     Ser. 398, Class C5, IO, 5s, 2039 1,053,861 226,580
     Ser. 10-13, Class EI, IO, 5s, 2038 723,114 95,089
     Ser. 378, Class 19, IO, 5s, 2035 3,018,893 611,803
     Ser. 366, Class 22, IO, 4 1/2s, 2035 1,089,602 115,051
     Ser. 407, Class 1, IO, 4s, 2041 2,501,400 636,356
     Ser. 407, Class 2, IO, 4s, 2041 1,002,511 255,039
     Ser. 406, Class 2, IO, 4s, 2041 4,359,030 1,046,167
     Ser. 406, Class 1, IO, 4s, 2041 2,727,393 654,574
     Ser. 03-W10, Class 1, IO, 1.509s, 2043 754,330 36,774
     Ser. 99-51, Class N, PO, zero %, 2029 35,532 32,321
     IFB Ser. 06-48, Class FG, zero %, 2036 21,724 19,902
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.108s, 2020(F) 2,931,911 86,810
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 107,303 98,719
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.891s, 2041 2,740,267 2,667,814
     IFB Ser. 11-56, Class SG, 6.891s, 2041 1,523,720 1,486,405
     IFB Ser. 10-142, Class SA, IO, 6.514s, 2039 3,248,353 559,326
     IFB Ser. 10-151, Class SL, IO, 6.514s, 2039 1,606,610 307,328
     IFB Ser. 10-85, Class AS, IO, 6.464s, 2039 3,174,241 575,331
     IFB Ser. 10-98, Class QS, IO, 6.414s, 2040 3,253,883 593,834
     IFB Ser. 10-88, Class SA, IO, 6.364s, 2040 3,233,446 625,510
     IFB Ser. 10-157, Class SN, IO, 6.364s, 2038 3,036,725 500,969
     IFB Ser. 11-79, Class AS, IO, 5.915s, 2037(F) 3,790,000 539,138
     IFB Ser. 10-113, Class DS, IO, 5.914s, 2039 2,496,813 400,189
     IFB Ser. 10-115, Class SN, IO, 5.914s, 2038 1,509,013 238,741
     IFB Ser. 10-115, Class AS, IO, 5.864s, 2040 1,597,509 287,823
     IFB Ser. 10-116, Class SL, IO, 5.864s, 2039 1,526,534 256,320
     IFB Ser. 10-168, Class SL, IO, 5.814s, 2040 2,005,920 344,597
     IFB Ser. 10-121, Class SE, IO, 5.814s, 2040 2,716,542 456,298
     IFB Ser. 10-89, Class SD, IO, 5.744s, 2040 2,358,218 412,617
     IFB Ser. 10-116, Class SA, IO, 5.714s, 2040 3,987,626 698,193
     IFB Ser. 11-70, Class SM, IO, 5.704s, 2041 2,415,000 578,344
     IFB Ser. 11-70, Class SH, IO, 5.704s, 2041 2,481,000 593,033
     Ser. 11-70, PO, zero %, 2041 5,499,771 4,017,033
     Ser. 06-36, Class OD, PO, zero %, 2036 15,201 13,671
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.33s, 2039(F) 71,121,235 1,246,157
Harborview Mortgage Loan Trust FRB Ser. 05-14, Class 5A1A, 5.559s, 2035 2,075,052 1,224,281
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1, 5.668s, 2037 2,812,061 1,743,478
IndyMac Indx Mortgage Loan Trust
     FRB Ser. 07-AR15, Class 1A1, 5.432s, 2037 1,545,294 973,535
     FRB Ser. 06-AR25, Class 5A1, 5.402s, 2036 1,737,882 1,018,322
     FRB Ser. 07-AR9, Class 2A1, 5.36s, 2037 796,130 508,528
     FRB Ser. 06-AR25, Class 3A1, 5.132s, 2036 808,245 387,958
     FRB Ser. 07-AR11, Class 1A1, 4.686s, 2037 878,412 456,774
     FRB Ser. 06-AR3, Class 2A1A, 2.817s, 2036 1,212,558 606,279
     FRB Ser. 05-AR31, Class 3A1, 2.668s, 2036 1,884,858 1,112,066
     FRB Ser. 06-AR39, Class A1, 0.366s, 2037 3,774,662 2,123,248
     FRB Ser. 06-AR35, Class 2A1A, 0.356s, 2037 1,130,524 563,751
JPMorgan Alternative Loan Trust
     FRB Ser. 07-A2, Class 12A1, 0.386s, 2037 809,778 404,889
     FRB Ser. 06-A7, Class 1A1, 0.346s, 2036 1,818,698 982,097
     FRB Ser. 06-A6, Class 1A1, 0.346s, 2036 825,807 473,429
     FRB Ser. 07-A1, Class 1A1A, 0.326s, 2037 933,805 392,198
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.198s, 2051 64,577,681 697,297
LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031(F) 253,101 256,133
LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class K, 6.529s, 2035(F) 922,000 935,461
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.316s, 2037 798,548 401,270
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.386s, 2028(F) 756,289 25,027
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 8.175s, 2037 734,214 40,675
     Ser. 07-C5, Class X, IO, 5.081s, 2049 2,246,869 157,281
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039(F) 1,730,000 1,520,518
Morgan Stanley Mortgage Loan Trust FRB Ser. 06-3AR, Class 3A1, 5.416s, 2036 485,352 310,625
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 10.236s, 2043(F) 1,215,429 1,284,285
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.989s, 2012 1,241 8
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2033 123,000 4,920
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 193,000 135,293
Structured Adjustable Rate Mortgage Loan Trust
     FRB Ser. 06-9, Class 1A1, 5.159s, 2036 648,490 395,284
     FRB Ser. 07-4, Class 1A1, 0.426s, 2037 790,127 339,755
     FRB Ser. 07-6, Class 2A1, 0.376s, 2037 950,858 575,269
Structured Asset Securities Corp.
     IFB Ser. 07-4, Class 1A3, IO, 6.025s, 2045 3,754,537 551,541
     Ser. 07-4, Class 1A4, IO, 1s, 2045 5,064,287 205,610
Ursus PLC 144A FRB Ser. 1-A, Class D, 6.938s, 2012 (Ireland) GBP 209,988 16,870
Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO, 0.545s, 2046 $17,735,014 261,414
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 3.487s, 2018 477,000 286,200
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.336s, 2036 1,704,450 801,092
Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 07-0C2, Class A3, 0.496s, 2037 1,051,678 581,079
Total mortgage-backed securities (cost $96,019,256) $96,067,183

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (19.7%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.3%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $1,014,291 $1,142,860
1,142,860
U.S. Government Agency Mortgage Obligations (19.4%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4 1/2s, TBA, June 1, 2041 3,000,000 3,103,711
     3 1/2s, January 1, 2041 826,126 790,241
Federal National Mortgage Association Pass-Through Certificates
     6 1/2s, TBA, July 1, 2041 1,000,000 1,132,188
     5s, TBA, June 1, 2041 14,000,000 14,896,328
     4 1/2s, TBA, July 1, 2041 26,000,000 26,899,844
     4s, TBA, July 1, 2041 26,000,000 26,000,000
     3 1/2s, December 1, 2040 748,747 717,394
73,539,706
Total U.S. government and agency mortgage obligations (cost $74,925,193) $74,682,566

U.S. TREASURY OBLIGATIONS (0.6%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 2.375s, January 15, 2017(i) $1,109,196 $1,278,936
U.S. Treasury Notes 1.375s, February 15, 2013(i) 1,005,000 1,026,306
Total U.S. treasury obligations (cost $2,305,242) $2,305,242

ASSET-BACKED SECURITIES (13.7%)(a)
Principal amount Value
Ace Securities Corp. FRB Ser. 06-HE3, Class A2C, 0.336s, 2036 $115,000 $48,546
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.061s, 2034 46,940 14,041
Bombardier Capital Mortgage Securitization Corp. Ser. 00-A, Class A4, 8.29s, 2030 447,241 307,478
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1, Class A1A, 0.256s, 2037 422,451 160,531
Conseco Finance Securitizations Corp.
     Ser. 00-2, Class A5, 8.85s, 2030 1,144,356 921,206
     Ser. 00-5, Class A7, 8.2s, 2032 1,472,111 1,203,451
     Ser. 00-1, Class A5, 8.06s, 2031 782,761 602,726
     Ser. 00-4, Class A5, 7.97s, 2032 157,395 127,096
     Ser. 00-5, Class A6, 7.96s, 2032 678,536 549,614
     Ser. 02-1, Class M1F, 7.954s, 2033 44,000 48,545
     FRB Ser. 02-1, Class M1A, 2.241s, 2033 2,249,000 2,012,084
     FRB Ser. 01-4, Class M1, 1.941s, 2033 295,000 157,284
Countrywide Asset Backed Certificates
     FRB Ser. 06-6, Class 2A3, 0.466s, 2036 4,059,000 1,217,700
     FRB Ser. 07-7, Class 2A3, 0.416s, 2047 2,847,000 1,167,270
     FRB Ser. 07-3, Class 2A2, 0.356s, 2047 859,000 576,674
     FRB Ser. 07-6, Class 2A2, 0.356s, 2037 538,000 410,225
     FRB Ser. 06-8, Class 2A3, 0.346s, 2046(F) 660,000 297,000
     FRB Ser. 07-8, Class 2A2, 0.316s, 2037 1,864,000 1,342,080
     FRB Ser. 06-25, Class 2A2, 0.306s, 2047 850,000 782,000
     FRB Ser. 07-1, Class 2A2, 0.286s, 2037 1,467,000 1,070,910
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 457,381 9,148
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.336s, 2036 871,000 435,500
Granite Mortgages PLC
     FRB Ser. 03-2, Class 2C1, 3.562s, 2043(F) EUR 1,430,000 1,069,041
     FRB Ser. 03-2, Class 3C, 3.326s, 2043(F) GBP 688,016 514,348
Green Tree Financial Corp.
     Ser. 94-6, Class B2, 9s, 2020 $858,870 554,830
     Ser. 94-4, Class B2, 8.6s, 2019 321,202 168,118
     Ser. 93-1, Class B, 8.45s, 2018 170,257 132,905
     Ser. 99-5, Class A5, 7.86s, 2029 840,855 765,178
     Ser. 96-8, Class M1, 7.85s, 2027 387,000 389,663
     Ser. 99-5, Class A6, 7 1/2s, 2030 588,186 499,958
     Ser. 95-8, Class B1, 7.3s, 2026 362,579 361,144
     Ser. 95-4, Class B1, 7.3s, 2025 371,800 380,102
     Ser. 97-6, Class M1, 7.21s, 2029 1,087,000 939,757
     Ser. 98-2, Class A6, 6.81s, 2028 262,571 276,802
     Ser. 99-3, Class A7, 6.74s, 2031 624,238 624,238
     Ser. 99-3, Class A9, 6.53s, 2031 431,090 397,120
     Ser. 99-2, Class A7, 6.44s, 2030 34,003 35,052
     Ser. 99-1, Class A6, 6.37s, 2025 9,543 9,830
     Ser. 98-4, Class A5, 6.18s, 2030 326,801 342,176
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031 1,329,788 1,347,241
GSAA Home Equity Trust
     FRB Ser. 06-3, Class A3, 0.486s, 2036(F) 2,713,968 1,356,984
     FRB Ser. 05-15, Class 2A2, 0.436s, 2036 729,085 480,397
     FRB Ser. 05-11, Class 3A4, 0.436s, 2035 1,291,617 1,039,752
     FRB Ser. 06-19, Class A3A, 0.426s, 2036 676,912 345,225
     FRB Ser. 07-3, Class A4A, 0.406s, 2047 1,722,576 844,062
     FRB Ser. 06-1, Class A2, 0.406s, 2036 1,253,786 595,548
     FRB Ser. 07-4, Class A2, 0.386s, 2037 867,946 386,236
     FRB Ser. 06-17, Class A2, 0.366s, 2036 769,915 354,161
     FRB Ser. 06-8, Class 2A2, 0.366s, 2036 5,349,451 2,460,747
     FRB Ser. 06-11, Class 2A2, 0.346s, 2036 4,585,668 2,109,407
     FRB Ser. 06-12, Class A2A, 0.336s, 2036 1,048,969 545,464
     FRB Ser. 06-19, Class A1, 0.276s, 2036 1,593,180 712,948
     FRB Ser. 06-17, Class A1, 0.246s, 2036 1,306,495 594,455
     FRB Ser. 06-16, Class A1, 0.246s, 2036 1,705,109 767,299
     FRB Ser. 06-8, Class 2A1, 0.246s, 2036 1,575,191 724,588
     FRB Ser. 06-14, Class A1, 0.236s, 2036 917,170 421,898
     FRB Ser. 06-12, Class A1, 0.236s, 2036 2,013,292 964,568
     FRB Ser. 07-3, Class 2A1A, 0.216s, 2047 1,239,188 625,790
GSMPS Mortgage Loan Trust FRB Ser. 05-14, Class 2A2, 0.436s, 2035 980,463 549,059
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.186s, 2030 396,817 12,897
Lehman XS Trust
     FRB Ser. 05-6, Class 1A4, 0.566s, 2035 1,218,000 481,110
     FRB Ser. 06-19, Class A2, 0.356s, 2036 2,309,647 1,201,016
Long Beach Mortgage Loan Trust
     FRB Ser. 06-4, Class 2A4, 0.446s, 2036 112,228 39,089
     FRB Ser. 06-WL1, Class 2A3, 0.426s, 2046 825,169 515,731
Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 3.436s, 2032 1,328,356 1,179,912
Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.356s, 2037 1,077,052 490,059
Merrill Lynch Mortgage Investors Trust FRB Ser. 07-HE1, Class A2B, 0.356s, 2037 1,021,260 368,726
Mid-State Trust Ser. 11, Class B, 8.221s, 2038 97,324 94,552
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.386s, 2034 49,388 12,130
Novastar Home Equity Loan
     FRB Ser. 06-1, Class A2C, 0.346s, 2036 974,881 467,354
     FRB Ser. 06-2, Class A2C, 0.336s, 2036 1,275,000 681,140
Oakwood Mortgage Investors, Inc.
     Ser. 99-D, Class A1, 7.84s, 2029 693,019 658,368
     Ser. 95-B, Class B1, 7.55s, 2021 186,067 137,195
     Ser. 00-D, Class A4, 7.4s, 2030 1,579,192 1,054,111
     Ser. 02-B, Class A4, 7.09s, 2032 347,585 357,558
     Ser. 99-B, Class A4, 6.99s, 2026 663,081 656,451
     Ser. 02-A, Class A4, 6.97s, 2032 41,123 40,763
     Ser. 01-D, Class A4, 6.93s, 2031 555,570 447,755
     Ser. 01-E, Class A4, 6.81s, 2031 884,794 776,960
     Ser. 99-B, Class A3, 6.45s, 2017 157,967 152,537
     Ser. 01-C, Class A2, 5.92s, 2017 804,458 424,352
     Ser. 02-C, Class A1, 5.41s, 2032 1,115,373 1,070,758
     Ser. 01-E, Class A2, 5.05s, 2031 782,075 615,884
     Ser. 02-A, Class A2, 5.01s, 2020 180,723 168,291
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030 487,267 466,559
Residential Asset Mortgage Products, Inc. FRB Ser. 07-RZ1, Class A2, 0.346s, 2037 173,161 102,981
Residential Asset Securities Corp. Ser. 01-KS3, Class AII, 0.646s, 2031 1,174,179 915,625
SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D, 0.396s, 2036 246,000 79,459
Soundview Home Equity Loan Trust FRB Ser. 06-OPT3, Class 2A3, 0.356s, 2036 113,252 86,233
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 496,508 59,581
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 390,000 195,000
Total asset-backed securities (cost $57,792,797) $52,157,337

FOREIGN GOVERNMENT BONDS AND NOTES (8.9%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $1,520,000 $1,396,120
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 197,000 199,429
Argentina (Republic of) sr. unsec. bonds FRB 0.45s, 2013 1,431,000 335,226
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 5,501,000 5,277,769
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012 ARS 2,039,000 482,066
Argentina (Republic of) sr. unsec. unsub. bonds FRB 0.467s, 2012 $21,601,000 5,206,273
Banco Nacional de Desenvolvimento Economico e Social 144A notes 5 1/2s, 2020 (Brazil) 100,000 105,875
Brazil (Federal Republic of) notes 10s, 2017 BRL 1,500 916,996
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 990 630,460
Chile (Republic of) notes 5 1/2s, 2020 CLP 170,000,000 366,823
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 $265,000 275,600
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 690,000 774,277
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 70,000 73,500
Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021 310,000 317,363
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 7/8s, 2018 550,000 643,500
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 1,590,000 1,768,016
Industrial Bank of Korea 144A sr. notes 7 1/8s, 2014 325,000 365,396
Philippines (Republic of) sr. unsec. unsub. bonds 6 1/2s, 2020 1,350,000 1,571,130
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030 2,110,600 2,476,071
South Africa (Republic of) sr. unsec. unsub. notes 6 7/8s, 2019 430,000 512,775
Sri Lanka (Republic of) 144A notes 7.4s, 2015 200,000 217,578
Turkey (Republic of) bonds 16s, 2012 TRY 175,000 112,802
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019 $810,000 952,204
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 1,505,000 1,761,271
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 175,000 182,875
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 925,000 942,270
Ukraine (Government of) 144A bonds 7 3/4s, 2020 1,175,000 1,219,063
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 960,000 994,810
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 400,000 420,000
Venezuela (Republic of) bonds 8 1/2s, 2014 225,000 202,403
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 1,985,000 1,956,892
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 1,285,000 1,270,621
Total foreign government bonds and notes (cost $30,365,690) $33,927,454

SENIOR LOANS (2.9%)(c)
Principal amount Value
Basic materials (0.2%)
American Rock Salt Co., LLC / American Rock Capital Corp. bank term loan FRN 5 1/2s, 2017 $50,000 $49,875
Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017 90,000 89,775
Georgia-Pacific, LLC bank term loan FRN Ser. B2, 2.307s, 2012 94,324 94,186
INEOS Holdings, Ltd. bank term loan FRN Ser. B2, 7.501s, 2013 (United Kingdom) 89,760 92,705
INEOS Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 (United Kingdom) 95,240 98,365
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013 158,342 154,713
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 89,745 89,493
Univar, Inc. bank term loan FRN Ser. B, 5s, 2017 89,774 89,566
758,678
Capital goods (0.1%)
SRAM Corp. bank term loan FRN Ser. 2nd, 8 1/2s, 2018 60,000 60,000
Communication services (0.4%)
Charter Communications Operating, LLC bank term loan FRN Ser. l, 7 1/4s, 2014 6,213 6,237
Charter Communications, Inc. bank term loan FRN Ser. C, 3.56s, 2016 811,200 810,615
Insight Midwest, LP bank term loan FRN Ser. B, 1.983s, 2014 119,814 117,482
Intelsat Jackson Holdings SA bank term loan FRN 3.285s, 2014 (Luxembourg) 460,000 442,750
Level 3 Communications, Inc. bank term loan FRN 2.533s, 2014 158,000 152,733
Level 3 Financing, Inc. bank term loan FRN Ser. B, 11 1/2s, 2014 95,000 100,502
1,630,319
Consumer cyclicals (1.3%)
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 437,800 442,725
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 49,875 49,694
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.274s, 2015 265,000 237,920
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3.246s, 2015 309,439 277,464
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 246,070 248,761
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.44s, 2014 287,449 257,832
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.841s, 2016 436,042 367,366
Compucom Systems, Inc. bank term loan FRN 3.7s, 2014 105,719 102,548
Dex Media West, LLC bank term loan FRN Ser. A, 7s, 2014 137,523 114,144
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5.252s, 2018 184,538 183,780
Federal Mogul Corp. bank term loan FRN Ser. B, 2.128s, 2014 36,774 34,765
Federal Mogul Corp. bank term loan FRN Ser. C, 2.128s, 2015 18,762 17,737
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.44s, 2014 217,466 76,430
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.19s, 2014 185,167 65,078
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.2s, 2014 69,092 24,283
Golden Nugget, Inc. bank term loan FRN 2.2s, 2014(PIK) 57,592 50,297
Golden Nugget, Inc. bank term loan FRN Ser. B, 2.2s, 2014(PIK) 101,172 88,357
Goodman Global, Inc. bank term loan FRN 9s, 2017 120,000 123,050
Goodman Global, Inc. bank term loan FRN Ser. 1st, 5 3/4s, 2016 241,178 241,580
KAR Auction Services, Inc. bank term loan FRN Ser. B, 5s, 2017 70,000 70,131
Michaels Stores, Inc. bank term loan FRN Ser. B, 2.546s, 2013 107,457 105,454
National Bedding Co., LLC bank term loan FRN Ser. B, 3.756s, 2013 72,423 71,699
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 160,000 157,818
Nortek, Inc. bank term loan FRN Ser. B, 5.253s, 2017 60,000 60,000
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 516,208 351,667
Realogy Corp. bank term loan FRN Ser. B, 4.518s, 2016 422,232 375,434
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.713s, 2014 225,245 218,613
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.7s, 2014 22,763 22,093
Six Flags Theme Parks bank term loan FRN Ser. B, 5 1/4s, 2016 212,857 213,744
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)(NON) 289,000 195,436
Univision Communications, Inc. bank term loan FRN 4.441s, 2017 171,147 163,445
5,009,345
Consumer staples (0.2%)
Claire's Stores, Inc. bank term loan FRN 3.051s, 2014 238,089 216,561
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 115,000 114,623
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 245,000 245,000
Rite-Aid Corp. bank term loan FRN Ser. B, 1.943s, 2014 94,519 90,167
West Corp. bank term loan FRN Ser. B2, 2.645s, 2013 23,026 22,805
West Corp. bank term loan FRN Ser. B5, 4.52s, 2016 56,002 56,072
745,228
Energy (0.1%)
EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.193s, 2012 178,000 174,440
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 154,026 153,665
Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013 125,828 125,455
453,560
Financials (0.1%)
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 170,000 166,423
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014 71,723 71,597
238,020
Health care (0.3%)
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 149,486 149,533
Grifols SA bank term loan FRN Ser. B, 6s, 2016 (Spain) 100,000 100,354
Health Management Associates, Inc. bank term loan FRN 2.057s, 2014 642,084 620,731
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 269,325 268,921
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 139,961 139,393
1,278,932
Technology (—%)
Avaya, Inc. bank term loan FRN Ser. B1, 3.005s, 2014 — —
Avaya, Inc. bank term loan FRN Ser. B3, 4.755s, 2017 — —
—
Utilities and power (0.2%)
NRG Energy, Inc. bank term loan FRN 3.557s, 2015 171,649 171,247
NRG Energy, Inc. bank term loan FRN Ser. B, 3.452s, 2015 203,034 202,950
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.73s, 2017 640,516 498,802
872,999
60,000
Total senior loans (cost $11,739,896) $11,047,081

PURCHASED OPTIONS OUTSTANDING (1.5%)(a)
Expiration date/ Contract
strike price amount Value
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. Jan-12/1.70175 CHF 15,780,000 $1,056
Option on an interest rate swap with UBS AG for the right to pay a fixed rate of 1.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. Jan-12/1.722 CHF 15,780,000 986
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013. Dec-11/1.578 CHF 15,780,000 602
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013. Dec-11/1.602 CHF 15,780,000 510
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing January 5, 2042. Jan-12/4.6 $8,372,569 195,751
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.60% versus the three month USD-LIBOR-BBA maturing January 5, 2042. Jan-12/3.6 8,372,569 134,045
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing December 16, 2041. Dec-11/4.12 $8,285,038 439,438
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing December 16, 2041. Dec-11/4.12 8,285,038 364,790
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.1175% versus the three month USD-LIBOR-BBA maturing December 9, 2041. Dec-11/4.1175 5,369,350 275,513
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.1175% versus the three month USD-LIBOR-BBA maturing December 9, 2041. Dec-11/4.1175 5,369,350 231,526
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing December 8, 2041. Dec-11/4.11 3,782,612 197,982
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing December 8, 2041. Dec-11/4.11 3,782,612 160,421
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.355% versus the three month USD-LIBOR-BBA maturing December 6, 2041. Dec-11/4.355 6,331,167 202,597
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 3.855% versus the three month USD-LIBOR-BBA maturing December 6, 2041. Dec-11/3.855 6,331,167 156,127
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.31% versus the three month USD-LIBOR-BBA maturing November 30, 2016. Nov-11/2.31 8,783,082 115,585
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.31% versus the three month USD-LIBOR-BBA maturing November 30, 2016. Nov-11/2.31 8,783,082 105,133
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.0325% versus the three month USD-LIBOR-BBA maturing November 4, 2041. Nov-11/4.0325 5,529,675 290,695
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.0325% versus the three month USD-LIBOR-BBA maturing November 4, 2041. Nov-11/4.0325 5,529,675 180,433
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 3.99% versus the three month USD-LIBOR-BBA maturing September 29, 2041. Sep-11/3.99 13,164,852 636,389
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.99% versus the three month USD-LIBOR-BBA maturing September 29, 2041. Sep-11/3.99 13,164,852 325,172
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 4.0275% versus the three month USD-LIBOR-BBA maturing September 8, 2041. Sep-11/4.0275 7,114,000 270,357
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 4.0275% versus the three month USD-LIBOR-BBA maturing September 8, 2041. Sep-11/4.0275 7,114,000 170,680
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.14% versus the three month USD-LIBOR-BBA maturing September 8, 2016. Sep-11/2.14 15,550,000 121,601
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.64% versus the three month USD-LIBOR-BBA maturing September 8, 2016. Sep-11/2.64 15,550,000 30,323
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.09% versus the three month USD-LIBOR-BBA maturing August 25, 2041. Aug-11/4.09 9,348,258 263,527
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.09% versus the three month USD-LIBOR-BBA maturing August 25, 2041. Aug-11/4.09 9,348,258 240,811
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.065% versus the three month USD-LIBOR-BBA maturing August 8, 2016. Aug-11/2.065 14,440,000 76,243
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.565% versus the three month USD-LIBOR-BBA maturing August 8, 2016. Aug-11/2.565 14,440,000 9,675
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 4.555% versus the three month USD-LIBOR-BBA maturing August 5, 2041. Aug-11/4.555 4,769,200 399,134
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 4.555% versus the three month USD-LIBOR-BBA maturing August 5, 2041. Aug-11/4.555 4,769,200 7,535
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.0025% versus the three month USD-LIBOR-BBA maturing July 7, 2016. Jul-11/2.0025 12,770,000 19,921
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.5025% versus the three month USD-LIBOR-BBA maturing July 7, 2016. Jul-11/2.5025 12,770,000 1
Total purchased options outstanding (cost $6,091,828) $5,624,559

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 $157,000 $269,059
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 195,000 232,538
Total convertible bonds and notes (cost $352,000) $501,597

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 3,856 $187,739
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default)(NON) 667 634
Lucent Technologies Capital Trust I 7.75% cv. pfd. 176 172,700
Total convertible preferred stocks (cost $994,199) $361,073

PREFERRED STOCKS (—%)(a)
Shares Value
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. 198 $186,083
Total preferred stocks (cost $66,176) $186,083

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $46.86 20 $280
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 0.001 508 31,440
Total warrants (cost $19,277) $31,720

COMMON STOCKS (—%)(a)
Shares Value
Bohai Bay Litigation, LLC (Escrow)(F) 991 $3,091
Trump Entertainment Resorts, Inc.(F) 94 470
Total common stocks (cost $1,974) $3,561

SHORT-TERM INVESTMENTS (33.3%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.04%(e) 1,012,103 $1,012,103
Interest in $150,000,000 joint tri-party repurchase agreement dated June 30, 2011 with Credit Suisse First Boston due July 1, 2011 - maturity value of $10,993,003 for an effective yield of 0.01% (collateralized by U.S. Treasury Notes with a coupon rate of 0.875% and a due date of February 29, 2012, valued at $153,000,255) $10,993,000 10,993,000
Interest in $100,000,000 joint tri-party repurchase agreement dated June 30, 2011 with Barclays Capital, Inc. due July 1, 2011 - maturity value of $10,000,003 for an effective yield of 0.01% (collateralized by U.S. Treasury Bonds with a coupon rate of 6.50% and a due date of November 15, 2016, valued at $102,000,057) 10,000,000 10,000,000
U.S. Treasury Bills for an effective yield of 0.100%, April 5, 2012(SEGSF) 3,000,000 2,997,180
U.S. Treasury Bills for an effective yield of 0.100%, December 1, 2011(SEG)(SEGSF) 5,990,000 5,987,430
U.S. Treasury Bills for an effective yield of 0.094%, November 17, 2011(SEG)(SEGSF) 32,724,000 32,711,990
U.S. Treasury Bills for effective yields ranging from 0.23% to 0.26%, October 20, 2011(SEG)(SEGSF) 25,491,000 25,475,196
U.S. Treasury Bills for effective yields ranging from 0.19% to 0.24%, August 25, 2011(SEGSF) 14,162,000 14,157,620
U.S. Treasury Bills for effective yields ranging from 0.22% to 0.24%, July 28, 2011(SEGSF) 6,328,000 6,326,901
Federal Home Loan discount notes for an effective yield of 0.01%, July 27, 2011 6,000,000 5,999,957
Federal Home Loan discount notes for an effective yield of 0.04%, July 15, 2011 6,000,000 5,999,907
Federal Home Loan Mortgage Corp. for an effective yield of 0.04%, July 11, 2011 5,000,000 4,999,942
Total short-term investments (cost $126,657,775) $126,661,226

TOTAL INVESTMENTS
Total investments (cost $522,625,617)(b) $522,481,269













FORWARD CURRENCY CONTRACTS at 6/30/11 (aggregate face value $232,960,949) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Australian Dollar Buy 8/17/11 $1,940,585 $1,892,698 $47,887
Brazilian Real Buy 8/17/11 376,431 376,109 322
British Pound Sell 8/17/11 1,197,355 1,192,479 (4,876)
Canadian Dollar Sell 8/17/11 923,477 902,030 (21,447)
Chilean Peso Buy 8/17/11 613,653 609,318 4,335
Czech Koruna Buy 8/17/11 243,878 243,877 1
Euro Sell 8/17/11 1,144,160 1,121,102 (23,058)
Japanese Yen Sell 8/17/11 678,677 675,003 (3,674)
Mexican Peso Buy 8/17/11 397,344 395,404 1,940
Norwegian Krone Sell 8/17/11 314,449 309,778 (4,671)
Russian Ruble Buy 8/17/11 580,587 580,587 —
Singapore Dollar Buy 8/17/11 1,118,727 1,118,727 —
South African Rand Buy 7/21/11 565,946 566,297 (351)
South Korean Won Buy 8/17/11 1,097,507 1,081,180 16,327
Swedish Krona Buy 8/17/11 3,006,663 2,947,323 59,340
Swiss Franc Sell 8/17/11 1,460,683 1,460,297 (386)
Taiwan Dollar Sell 8/17/11 649,046 649,046 —
Turkish Lira Sell 8/17/11 22,705 22,705 —
Barclays Bank PLC
Australian Dollar Sell 8/17/11 2,185,559 2,131,872 (53,687)
Brazilian Real Buy 8/17/11 2,069,261 2,053,970 15,291
British Pound Sell 8/17/11 650,226 646,524 (3,702)
Canadian Dollar Sell 8/17/11 965,359 942,854 (22,505)
Chilean Peso Buy 8/17/11 570,303 562,332 7,971
Czech Koruna Buy 8/17/11 314,113 314,113 —
Euro Sell 8/17/11 4,574,754 4,487,277 (87,477)
Hungarian Forint Sell 8/17/11 852,277 852,277 —
Indian Rupee Sell 8/17/11 1,151,797 1,145,221 (6,576)
Japanese Yen Sell 8/17/11 1,054,854 1,049,131 (5,723)
Malaysian Ringgit Buy 8/17/11 594,269 594,269 —
Mexican Peso Buy 8/17/11 255,276 254,395 881
New Zealand Dollar Sell 7/21/11 440,011 433,691 (6,320)
Norwegian Krone Buy 8/17/11 440,736 434,133 6,603
Philippines Peso Buy 8/17/11 494,702 494,702 —
Polish Zloty Sell 8/17/11 321,642 321,642 —
Russian Ruble Buy 8/17/11 580,587 580,587 —
Singapore Dollar Buy 8/17/11 545,706 545,706 —
South Korean Won Buy 8/17/11 631,450 621,597 9,853
Swedish Krona Buy 8/17/11 777,776 761,777 15,999
Swiss Franc Sell 8/17/11 45,237 45,419 182
Taiwan Dollar Sell 8/17/11 667,418 667,418 —
Thai Baht Buy 8/17/11 480,448 480,448 —
Turkish Lira Buy 8/17/11 94,208 94,208 —
Citibank, N.A.
Australian Dollar Buy 8/17/11 680,400 663,514 16,886
Brazilian Real Sell 8/17/11 739,226 738,593 (633)
British Pound Sell 8/17/11 3,575,041 3,557,245 (17,796)
Canadian Dollar Sell 8/17/11 631,236 616,433 (14,803)
Chilean Peso Buy 8/17/11 346,253 339,900 6,353
Czech Koruna Buy 8/17/11 309,929 309,929 —
Danish Krone Buy 7/21/11 261,965 263,889 (1,924)
Euro Sell 8/17/11 1,108,631 1,087,562 (21,069)
Hungarian Forint Buy 8/17/11 575,951 575,951 —
Japanese Yen Sell 8/17/11 4,084,977 4,063,217 (21,760)
Mexican Peso Buy 8/17/11 817,978 815,703 2,275
New Zealand Dollar Buy 7/21/11 15,706 15,481 225
Norwegian Krone Sell 8/17/11 1,513,297 1,491,267 (22,030)
Polish Zloty Buy 8/17/11 1,066,433 1,066,433 —
Singapore Dollar Sell 8/17/11 127,691 127,691 —
South African Rand Buy 7/21/11 529,249 533,829 (4,580)
South Korean Won Buy 8/17/11 597,263 589,014 8,249
Swedish Krona Buy 8/17/11 358,442 351,624 6,818
Swiss Franc Buy 8/17/11 1,375,090 1,380,774 (5,684)
Taiwan Dollar Sell 8/17/11 592,995 592,995 —
Turkish Lira Buy 8/17/11 252,055 252,055 —
Credit Suisse AG
Australian Dollar Sell 8/17/11 21,446 20,896 (550)
Brazilian Real Buy 8/17/11 612,247 611,375 872
British Pound Sell 8/17/11 2,075,779 2,064,341 (11,438)
Canadian Dollar Sell 8/17/11 953,800 930,716 (23,084)
Czech Koruna Buy 8/17/11 15,861 15,832 29
Euro Sell 8/17/11 4,458,452 4,441,940 (16,512)
Indian Rupee Sell 8/17/11 658,277 654,519 (3,758)
Japanese Yen Buy 8/17/11 1,090,707 1,085,448 5,259
Malaysian Ringgit Buy 8/17/11 1,080,338 1,080,338 —
Mexican Peso Buy 8/17/11 651,532 649,625 1,907
Norwegian Krone Sell 8/17/11 445,591 439,068 (6,523)
Polish Zloty Sell 8/17/11 25,767 25,767 —
Russian Ruble Buy 8/17/11 580,401 580,401 —
South African Rand Buy 7/21/11 769,335 771,043 (1,708)
South Korean Won Buy 8/17/11 597,858 588,719 9,139
Swedish Krona Buy 8/17/11 1,718,456 1,719,893 (1,437)
Swiss Franc Buy 8/17/11 1,140,928 1,144,720 (3,792)
Taiwan Dollar Sell 8/17/11 658,260 658,260 —
Turkish Lira Sell 8/17/11 187,831 187,831 —
Deutsche Bank AG
Australian Dollar Buy 8/17/11 151,722 147,537 4,185
Brazilian Real Buy 8/17/11 483,937 480,933 3,004
British Pound Sell 8/17/11 1,737,738 1,728,146 (9,592)
Canadian Dollar Buy 8/17/11 382,640 382,052 588
Chilean Peso Buy 8/17/11 199,485 197,739 1,746
Czech Koruna Buy 8/17/11 594,173 594,173 —
Euro Sell 8/17/11 1,173,162 1,151,005 (22,157)
Hungarian Forint Buy 8/17/11 195,156 193,448 1,708
Malaysian Ringgit Buy 8/17/11 977,147 981,532 (4,385)
Mexican Peso Buy 8/17/11 413,200 411,025 2,175
New Zealand Dollar Sell 7/21/11 437,366 431,476 (5,890)
Norwegian Krone Buy 8/17/11 173,707 171,190 2,517
Philippines Peso Buy 8/17/11 495,878 495,878 —
Polish Zloty Buy 8/17/11 1,056,340 1,056,340 —
Singapore Dollar Buy 8/17/11 171,687 171,687 —
South Korean Won Buy 8/17/11 1,278,725 1,259,121 19,604
Swedish Krona Sell 8/17/11 829,018 812,556 (16,462)
Swiss Franc Buy 8/17/11 955,337 958,827 (3,490)
Taiwan Dollar Sell 8/17/11 230,394 230,394 —
Turkish Lira Buy 8/17/11 271,072 271,072 —
Goldman Sachs International
Australian Dollar Buy 8/17/11 3,030,697 2,955,640 75,057
British Pound Sell 8/17/11 622,926 619,853 (3,073)
Canadian Dollar Sell 8/17/11 2,513,749 2,454,599 (59,150)
Chilean Peso Buy 8/17/11 561,537 557,156 4,381
Euro Sell 8/17/11 4,089,392 4,012,634 (76,758)
Hungarian Forint Sell 8/17/11 401,845 401,845 —
Japanese Yen Sell 8/17/11 1,092,792 1,086,997 (5,795)
Norwegian Krone Buy 8/17/11 303,794 302,288 1,506
Polish Zloty Buy 8/17/11 451,126 451,126 —
South African Rand Buy 7/21/11 669,470 674,030 (4,560)
Swedish Krona Buy 8/17/11 735,096 720,420 14,676
Swiss Franc Buy 8/17/11 1,955,315 1,962,530 (7,215)
HSBC Bank USA, National Association
Australian Dollar Buy 8/17/11 859,556 839,102 20,454
British Pound Sell 8/17/11 2,609,811 2,595,275 (14,536)
Euro Sell 8/17/11 6,056,506 5,944,037 (112,469)
Indian Rupee Sell 8/17/11 174,001 173,505 (496)
Japanese Yen Sell 8/17/11 2,177,336 2,165,470 (11,866)
Norwegian Krone Sell 8/17/11 1,779,195 1,755,570 (23,625)
Philippines Peso Buy 8/17/11 495,935 495,935 —
Singapore Dollar Buy 8/17/11 590,731 590,408 323
South Korean Won Buy 8/17/11 479,555 473,093 6,462
Swiss Franc Buy 8/17/11 986,884 990,779 (3,895)
Taiwan Dollar Sell 8/17/11 655,794 655,794 —
JPMorgan Chase Bank, N.A.
Australian Dollar Buy 8/17/11 188,425 183,765 4,660
Brazilian Real Buy 8/17/11 1,619,256 1,608,481 10,775
British Pound Sell 8/17/11 3,016,672 3,000,239 (16,433)
Canadian Dollar Sell 8/17/11 183,493 179,177 (4,316)
Chilean Peso Buy 8/17/11 619,085 614,582 4,503
Czech Koruna Buy 8/17/11 834,595 831,008 3,587
Euro Sell 8/17/11 4,668,142 4,580,522 (87,620)
Hungarian Forint Buy 8/17/11 223,474 221,499 1,975
Japanese Yen Sell 8/17/11 2,486,794 2,473,180 (13,614)
Malaysian Ringgit Buy 8/17/11 694,514 694,514 —
Mexican Peso Buy 8/17/11 688,201 685,014 3,187
New Zealand Dollar Sell 7/21/11 465,058 458,266 (6,792)
Norwegian Krone Buy 8/17/11 489,509 482,352 7,157
Polish Zloty Sell 8/17/11 2,937,400 2,937,400 —
Russian Ruble Buy 8/17/11 580,050 579,957 93
Singapore Dollar Buy 8/17/11 760,780 760,063 717
South African Rand Buy 7/21/11 388,718 391,325 (2,607)
South Korean Won Buy 8/17/11 998,652 982,798 15,854
Swedish Krona Sell 8/17/11 200,972 196,993 (3,979)
Swiss Franc Sell 8/17/11 1,645,322 1,651,176 5,854
Taiwan Dollar Sell 8/17/11 994,614 993,584 (1,030)
Thai Baht Buy 8/17/11 483,495 483,495 —
Turkish Lira Sell 8/17/11 183,172 183,723 551
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 8/17/11 2,954,089 2,913,580 40,509
Brazilian Real Buy 8/17/11 1,038,468 1,032,932 5,536
British Pound Sell 8/17/11 2,157,358 2,145,386 (11,972)
Canadian Dollar Sell 8/17/11 1,434,769 1,400,994 (33,775)
Chilean Peso Buy 8/17/11 599,570 593,381 6,189
Czech Koruna Buy 8/17/11 213,651 213,651 —
Euro Sell 8/17/11 3,217,858 3,158,502 (59,356)
Hungarian Forint Sell 8/17/11 454,886 455,282 396
Indian Rupee Sell 8/17/11 972,022 966,259 (5,763)
Japanese Yen Sell 8/17/11 1,854,703 1,847,381 (7,322)
Malaysian Ringgit Buy 8/17/11 808,913 808,913 —
Mexican Peso Buy 8/17/11 283,525 282,176 1,349
New Zealand Dollar Sell 7/21/11 42,816 36,970 (5,846)
Norwegian Krone Buy 8/17/11 1,007,314 992,217 15,097
Polish Zloty Buy 8/17/11 529,701 529,701 —
Russian Ruble Buy 8/17/11 581,105 581,105 —
Singapore Dollar Buy 8/17/11 596,548 596,548 —
South African Rand Buy 7/21/11 509,491 503,830 5,661
South Korean Won Buy 8/17/11 1,013,339 997,482 15,857
Swedish Krona Sell 8/17/11 610,387 598,113 (12,274)
Swiss Franc Buy 8/17/11 577,607 579,897 (2,290)
Taiwan Dollar Sell 8/17/11 1,130,828 1,130,828 —
Turkish Lira Buy 8/17/11 250,613 250,613 —
State Street Bank and Trust Co.
Australian Dollar Buy 8/17/11 1,862,377 1,850,073 12,304
Brazilian Real Buy 8/17/11 407,763 405,538 2,225
British Pound Buy 8/17/11 1,614,887 1,606,907 7,980
Canadian Dollar Sell 8/17/11 1,620,128 1,582,291 (37,837)
Euro Sell 8/17/11 8,089,455 7,935,943 (153,512)
Hungarian Forint Sell 8/17/11 269,098 269,098 —
Japanese Yen Sell 8/17/11 2,460,311 2,447,561 (12,750)
Malaysian Ringgit Buy 8/17/11 1,482,300 1,482,300 —
Mexican Peso Buy 8/17/11 421,893 419,921 1,972
Norwegian Krone Sell 8/17/11 1,918,047 1,889,168 (28,879)
Philippines Peso Buy 8/17/11 495,969 495,969 —
Polish Zloty Sell 8/17/11 717,347 717,347 —
Russian Ruble Buy 8/17/11 582,164 582,164 —
Singapore Dollar Buy 8/17/11 405,403 405,403 —
South African Rand Buy 7/21/11 592,756 587,572 5,184
Swedish Krona Buy 8/17/11 1,076,335 1,055,302 21,033
Swiss Franc Buy 8/17/11 3,838,608 3,853,831 (15,223)
Taiwan Dollar Sell 8/17/11 1,001,799 1,001,799 —
Thai Baht Buy 8/17/11 484,907 484,907 —
UBS AG
Australian Dollar Buy 8/17/11 3,154,144 3,110,764 43,380
Brazilian Real Buy 8/17/11 540,133 539,756 377
British Pound Sell 8/17/11 2,494,756 2,483,656 (11,100)
Canadian Dollar Buy 8/17/11 696,236 680,136 16,100
Czech Koruna Buy 8/17/11 296,072 296,072 —
Euro Sell 8/17/11 4,135,796 4,092,496 (43,300)
Hungarian Forint Buy 8/17/11 220,832 220,832 —
Indian Rupee Sell 8/17/11 1,424,601 1,416,780 (7,821)
Japanese Yen Sell 8/17/11 3,390,017 3,372,642 (17,375)
Mexican Peso Buy 8/17/11 572,017 570,241 1,776
New Zealand Dollar Sell 7/21/11 645,426 635,442 (9,984)
Norwegian Krone Buy 8/17/11 4,815,704 4,779,233 36,471
Polish Zloty Sell 8/17/11 239,189 239,189 —
Russian Ruble Buy 8/17/11 581,233 581,233 —
Singapore Dollar Buy 8/17/11 419,631 419,631 —
South African Rand Buy 7/21/11 1,211,570 1,209,747 1,823
South Korean Won Buy 8/17/11 946,365 931,084 15,281
Swedish Krona Buy 8/17/11 593,043 581,266 11,777
Swiss Franc Sell 8/17/11 1,659,250 1,665,930 6,680
Taiwan Dollar Sell 8/17/11 939,942 940,882 940
Thai Baht Buy 8/17/11 480,760 480,760 —
Turkish Lira Buy 8/17/11 11,177 11,212 (35)
Westpac Banking Corp.
Australian Dollar Buy 8/17/11 702,806 684,738 18,068
British Pound Buy 8/17/11 188,211 187,283 928
Canadian Dollar Sell 8/17/11 158,924 155,212 (3,712)
Euro Sell 8/17/11 4,240,641 4,161,118 (79,523)
Japanese Yen Sell 8/17/11 667,311 663,863 (3,448)
New Zealand Dollar Buy 7/21/11 6,365 6,275 90
Norwegian Krone Sell 8/17/11 1,428,871 1,408,283 (20,588)
Swedish Krona Sell 8/17/11 777,776 762,650 (15,126)
Swiss Franc Buy 8/17/11 42,856 43,024 (168)
Total $(787,092)












FUTURES CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Short) 109 $83,147,144             Sep-11 $74,920
Canadian Government Bond 10 yr (Short) 140 18,015,256             Sep-11 247,367
Euro-Bobl 5 yr (Short) 6 1,015,645             Sep-11 (1,329)
Euro-Bund 10 yr (Long) 87 15,851,136             Sep-11 (20,885)
Euro-Dollar 90 day (Short) 1140 283,247,250             Jun-12 (746,566)
Euro-Schatz 2 yr (Short) 48 7,496,153             Sep-11 (1,919)
Euro-Swiss Franc 3 Month (Short) 38 11,276,763             Dec-11 (44,717)
Euro-Swiss Franc 3 Month (Short) 38 11,256,412             Jun-12 (73,994)
Euro-Swiss Franc 3 Month (Short) 38 11,230,408             Dec-12 (88,068)
Euro-Swiss Franc 3 Month (Short) 38 11,267,718             Mar-12 (58,820)
Euro-Swiss Franc 3 Month (Short) 38 11,283,547             Sep-11 (27,758)
Japanese Government Bond 10 yr (Short) 10 17,527,029             Sep-11 (33,609)
Japanese Government Bond 10 yr Mini (Long) 3 876,849             Sep-11 1,178
U.K. Gilt 10 yr (Long) 147 28,379,382             Sep-11 (411,626)
U.S. Treasury Bond 20 yr (Short) 78 9,596,438             Sep-11 (34,117)
U.S. Treasury Bond 30 yr (Long) 10 1,262,500             Sep-11 (35,519)
U.S. Treasury Note 2 yr (Short) 332 72,822,125             Sep-11 50,400
U.S. Treasury Note 10 yr (Long) 365 44,649,766             Sep-11 (672,506)
Total $(1,877,568)












WRITTEN OPTIONS OUTSTANDING at 6/30/11 (premiums received $38,664,776) (Unaudited)


Contract       Expiration date/
amount       strike price Value
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013. CHF 15,780,000       Dec-11/0.578 $ 19,453
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013. CHF 15,780,000       Dec-11/0.602 23,252
Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 0.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. CHF 15,780,000       Jan-12/0.70175 36,094
Option on an interest rate swap with UBS AG for the obligation to pay a fixed rate of 0.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014. CHF 15,780,000       Jan-12/0.722 40,101
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 12, 2022. $ 6,409,500       Apr-12/4.8675 37,992
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 12, 2022. 6,409,500       Apr-12/4.8675 712,929
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. 7,124,000       Aug-11/4.475 285
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. 7,124,000       Aug-11/4.475 718,313
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 11,060,000       Aug-11/4.49 1,132,433
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 11,060,000       Aug-11/4.49 332
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 5,530,000       Aug-11/4.55 111
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. 5,530,000       Aug-11/4.55 595,249
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. 11,515,000       Aug-11/4.70 18
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. 11,515,000       Aug-11/4.70 1,404,139
Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. 10,823,000       Aug-11/4.765 51
Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. 10,823,000       Aug-11/4.765 1,370,300
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 10, 2045. 5,571,800       Aug-15/4.375 813,037
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 10, 2045. 5,571,800       Aug-15/4.375 505,919
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 7, 2045. 5,571,800       Aug-15/4.46 536,063
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 7, 2045. 5,571,800       Aug-15/4.46 772,642
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing December 9, 2016. 13,669,005       Dec-11/2.225 134,230
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing December 9, 2016. 13,669,005       Dec-11/2.225 212,502
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing December 8, 2016. 9,568,359       Dec-11/2.24 97,406
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing December 8, 2016. 9,568,359       Dec-11/2.24 148,405
Option on an interest rate swap with Barclay's Bank PLC for the obligation to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing December 16, 2016. 20,435,264       Dec-11/2.28 226,423
Option on an interest rate swap with Barclay's Bank PLC for the obligation to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing December 16, 2016. 20,435,264       Dec-11/2.28 312,864
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 12, 2025. 5,766,760       Feb-15/5.27 268,893
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 12, 2025. 5,766,760       Feb-15/5.27 516,586
Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 13, 2025. 1,584,020       Feb-15/5.36 70,317
Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 13, 2025. 1,584,020       Feb-15/5.36 148,961
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 3.55% versus the three month USD-LIBOR-BBA maturing July 21, 2021. 7,206,408       Jul-11/3.55 9,368
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 3.55% versus the three month USD-LIBOR-BBA maturing July 21, 2021. 7,206,408       Jul-11/3.55 176,629
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 20,362,000       Jul-11/4.46 5
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 20,362,000       Jul-11/4.46 2,098,508
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 19,096,000       Jul-11/4.52 2
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 19,096,000       Jul-11/4.52 2,068,861
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 20,362,000       Jul-11/4.525 2,214,978
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 20,362,000       Jul-11/4.525 2
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 9,548,000       Jul-11/4.5475 1
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. 9,548,000       Jul-11/4.5475 1,057,441
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. 30,543,000       Jul-11/4.745 1
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. 30,543,000       Jul-11/4.745 3,893,011
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 556,661       Jun-16/4.12 15,274
Option on an interest rate swap with Barclay's Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 547,769       Jun-16/4.39 17,857
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 544,291       Jun-16/4.575 19,633
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 544,291       Jun-16/4.575 23,475
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.61% versus the three month USD-LIBOR-BBA maturing June 24, 2021. 1,659,222       Jun-16/4.61 60,794
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.61% versus the three month USD-LIBOR-BBA maturing June 24, 2021. 1,659,222       Jun-16/4.61 70,799
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 10, 2026. 6,121,390       Jun-16/4.815 393,116
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 10, 2026. 6,121,390       Jun-16/4.815 441,842
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing July 1, 2026. 3,945,779       Jun-16/4.86 259,396
Option on an interest rate swap with Barclay's Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 547,769       Jun-16/4.89 20,487
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 6, 2021. 556,661       Jun-16/5.12 18,706
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.86% versus the three month USD-LIBOR-BBA maturing July 1, 2026. 3,945,779       Jun-16/5.86 171,642
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 14, 2022. 25,011,500       May-12/5.51 3,958,820
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 14, 2022. 25,011,500       May-12/5.51 60,028
Option on an interest rate swap with Barclay's Bank PLC for the obligation to pay a fixed rate of 2.065% versus the three month USD-LIBOR-BBA maturing September 8, 2016. 13,001,017       Sep-11/2.065 78,656
Option on an interest rate swap with Barclay's Bank PLC for the obligation to receive a fixed rate of 2.065% versus the three month USD-LIBOR-BBA maturing September 8, 2016. 13,001,017       Sep-11/2.065 136,901
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. 1,469,000       Sep-13/4.82 96,978
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. 1,469,000       Sep-13/4.82 20,057
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 11, 2025. 41,033,400       Sep-15/4.04 1,643,318
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 11, 2025. 41,033,400       Sep-15/4.04 4,010,194
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 10,187,746       May-16/4.600 372,973
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 10,187,746       May-16/4.600 433,489
Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 10,238,704       May-16/4.360 326,717
Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 10,238,704       May-16/4.860 387,330
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 10,398,887       May-16/4.110 283,456
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing June 1, 2021. 10,398,887       May-16/5.110 350,721
Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 23, 2021. 18,914,561       May-16/4.765 745,612
Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 23, 2021. 18,914,561       May-16/4.765 761,689
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 17, 2021. 24,507,428       May-16/4.705 955,545
Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 17, 2021. 24,507,428       May-16/4.705 990,097
Total $39,499,709












TBA SALE COMMITMENTS OUTSTANDING at 6/30/11 (proceeds receivable $42,273,242) (Unaudited)


Principal       Settlement
Agency amount       date Value
FHLMC, 4 1/2s, June 1, 2041 $3,000,000       6-13-11 $3,103,711
FNMA, 6 1/2s, July 1, 2041 1,000,000       7-14-11 1,132,188
FNMA, 5s, June 1, 2041 14,000,000       6-13-11 14,896,328
FNMA, 4 1/2s, July 1, 2041 1,000,000       7-14-11 1,034,608
FNMA, 4s, July 1, 2041 22,000,000       7-14-11 22,000,000
Total $42,166,835















INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty / premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America, N.A.
$100,775,800 $(150,873)     2/7/15 1.891% 3 month USD-LIBOR-BBA $(2,600,640)
AUD 2,550,000 —      4/18/21 6.1% 6 month AUD-BBR-BBSW (60,598)
CAD 4,160,000 —      6/28/21 3.25% 3 month CAD-BA-CDOR 55,612
EUR 15,700,000 —      6/14/13 1 year EUR-EONIA-OIS-COMPOUND 1.711561% 11,141
GBP 10,253,000 —      6/29/20 6 month GBP-LIBOR-BBA 3.355% (56,619)
GBP 3,160,000 —      6/30/21 6 month GBP-LIBOR-BBA 3.4725% —
GBP 15,410,000 —      2/3/13 1.875% 6 month GBP-LIBOR-BBA (295,351)
GBP 6,890,000 —      2/3/16 3.0625% 6 month GBP-LIBOR-BBA (420,103)
GBP 10,010,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.87% (6,434)
Barclays Bank PLC
$76,870,400 (24,662)     2/17/16 3 month USD-LIBOR-BBA 2.56% 3,093,453
34,055,800 6,422      6/17/13 0.64% 3 month USD-LIBOR-BBA 23,312
77,983,700 (143,148)     6/17/16 3 month USD-LIBOR-BBA 1.93% (339,255)
118,524,100 (286,387)     6/17/20 3 month USD-LIBOR-BBA 3.04% (650,619)
32,420,500 (66,477)     6/17/21 3 month USD-LIBOR-BBA 3.2% (179,003)
19,398,800 71,980      6/17/41 4.04% 3 month USD-LIBOR-BBA 145,194
1,800,000 —      6/20/16 1.8125% 3 month USD-LIBOR-BBA 15,267
4,700,000 —      6/20/41 3.91625% 3 month USD-LIBOR-BBA 122,899
904,000 —      6/20/21 3 month USD-LIBOR-BBA 3.104% (11,144)
2,314,000 —      6/20/21 3 month USD-LIBOR-BBA 3.093% (30,777)
4,066,900 —      3/10/18 3.06% 3 month USD-LIBOR-BBA (160,395)
9,239,000 —      6/23/20 2.955% 3 month USD-LIBOR-BBA 98,376
3,000,000 —      6/24/20 2.92375% 3 month USD-LIBOR-BBA 39,868
67,590,000 —      6/27/20 2.89485% 3 month USD-LIBOR-BBA 1,085,207
25,910,000 —      6/27/41 3 month USD-LIBOR-BBA 3.88882% (822,521)
22,798,000 —      6/28/13 0.628% 3 month USD-LIBOR-BBA 24,825
7,487,000 —      6/28/21 3 month USD-LIBOR-BBA 3.042% (139,835)
5,241,000 —      6/28/41 3.885% 3 month USD-LIBOR-BBA 170,473
3,230,000 —      6/28/41 3 month USD-LIBOR-BBA 3.88% (107,938)
9,320,000 —      6/28/20 2.855% 3 month USD-LIBOR-BBA 180,366
24,610,000 —      6/29/20 2.841084% 3 month USD-LIBOR-BBA 502,187
10,140,000 —      6/29/14 3 month USD-LIBOR-BBA 3.85488% (381,969)
1,140,000 —      6/29/13 3 month USD-LIBOR-BBA 0.6425% (898)
4,300,000 —      6/30/13 3 month USD-LIBOR-BBA 0.66% (1,952)
4,900,000 —      6/30/20 0.66% 3 month USD-LIBOR-BBA 84,117
6,000,000 —      6/30/14 3 month USD-LIBOR-BBA 3.92% (157,128)
1,027,000 —      7/1/21 3.198% 3 month USD-LIBOR-BBA 5,515
7,342,100 —      7/5/41 4.08% 3 month USD-LIBOR-BBA —
858,000 (1,133)     3/30/31 4.17% 3 month USD-LIBOR-BBA (39,107)
77,187,400 17,858      4/1/13 1% 3 month USD-LIBOR-BBA (661,218)
90,781,500 (4,080)     5/4/13 0.78% 3 month USD-LIBOR-BBA (324,008)
AUD 5,580,000 —      6/29/21 5.735% 6 month AUD-BBR-BBSW 47,625
AUD 11,160,000 —      6/30/16 5.42% 6 month AUD-BBR-BBSW 38,321
AUD 17,800,000 —      3/21/16 5.57% 6 month AUD-BBR-BBSW (111,558)
AUD 13,530,000 —      3/21/21 6 month AUD-BBR-BBSW 5.88% 94,003
AUD 4,030,000 —      4/21/21 6.0675% 6 month AUD-BBR-BBSW (85,124)
EUR 27,700,000 —      6/15/13 1 year EUR-EONIA-OIS-COMPOUND 1.67% (6,452)
EUR 34,625,000 —      6/15/13 1.95% 3 month EUR-EURIBOR-REUTERS 49,662
EUR 10,343,000 —      2/9/21 3.53% 6 month EUR-EURIBOR-REUTERS (318,461)
GBP 6,680,000 —      6/13/21 6 month GBP-LIBOR-BBA 3.406% (108,608)
GBP 6,680,000 —      6/13/21 6 month GBP-LIBOR-BBA 3.406% (108,608)
GBP 18,860,000 —      4/6/16 6 month GBP-LIBOR-BBA 3.05% 982,065
GBP 6,410,000 —      4/6/31 4.2375% 6 month GBP-LIBOR-BBA (355,020)
GBP 9,720,000 —      1/18/21 3.7875% 6 month GBP-LIBOR-BBA (588,556)
GBP 9,240,000 (E) —      2/3/31 6 month GBP-LIBOR-BBA 4.86% (14,104)
GBP 21,570,000 —      2/3/13 1.895% 6 month GBP-LIBOR-BBA (427,118)
GBP 13,970,000 —      5/17/13 1.555% 6 month GBP-LIBOR-BBA (71,077)
GBP 13,970,000 —      5/18/13 1.555% 6 month GBP-LIBOR-BBA (70,124)
Citibank, N.A.
$133,116,500 25,501      7/9/20 3 month USD-LIBOR-BBA 3.01% 851,639
361,200 —      6/29/21 3 month USD-LIBOR-BBA 3.05375% (6,359)
GBP 18,860,000 —      4/5/16 6 month GBP-LIBOR-BBA 3.075% 1,020,660
GBP 6,410,000 —      4/5/31 4.21075% 6 month GBP-LIBOR-BBA (316,820)
GBP 36,760,000 —      8/3/15 2.9225% 6 month GBP-LIBOR-BBA (2,083,421)
GBP 10,910,000 —      8/3/20 6 month GBP-LIBOR-BBA 3.885% 858,785
GBP 45,950,000 —      8/3/12 6 month GBP-LIBOR-BBA 1.61% 486,681
SEK 13,860,000 —      6/10/21 3.62% 3 month SEK-STIBOR-SIDE (18,045)
SEK 21,380,000 —      3/24/21 3 month SEK-STIBOR-SIDE 3.8025% 118,523
SEK 14,350,000 —      4/15/21 3.93% 3 month SEK-STIBOR-SIDE (87,490)
SEK 16,690,000 —      5/23/21 3.6575% 3 month SEK-STIBOR-SIDE (37,152)
SEK 13,860,000 —      6/9/21 3.6225% 3 month SEK-STIBOR-SIDE (18,562)
SEK 15,400,000 —      2/4/21 3.79% 3 month SEK-STIBOR-SIDE (85,902)
Credit Suisse International
$72,325,400 (35,213)     5/27/16 3 month USD-LIBOR-BBA 2.02% 246,881
18,646,000 —      6/30/21 3 month USD-LIBOR-BBA 3.159% (157,355)
51,053,600 (68,044)     3/14/16 3 month USD-LIBOR-BBA 2.35% 1,354,686
26,200,000 (E) —      3/21/13 1.15625% 3 month USD-LIBOR-BBA (104,276)
1,430,000 —      7/5/21 3.265% 3 month USD-LIBOR-BBA —
54,425,800 (11,135)     2/24/15 2.04% 3 month USD-LIBOR-BBA (1,585,394)
19,816,600 5,798      2/24/26 4.16% 3 month USD-LIBOR-BBA (1,275,221)
79,731,700 6,147      4/19/13 0.89% 3 month USD-LIBOR-BBA (488,066)
91,258,500 6,507      5/27/13 0.72% 3 month USD-LIBOR-BBA (149,976)
CHF 5,620,000 —      6/14/21 6 month CHF-LIBOR-BBA 2.075% (19,229)
CHF 2,830,000 —      5/13/21 2.225% 6 month CHF-LIBOR-BBA (44,246)
CHF 2,830,000 —      5/16/21 2.185% 6 month CHF-LIBOR-BBA (31,171)
CHF 48,900,000 —      5/19/13 0.7125% 6 month CHF-LIBOR-BBA (266,712)
CHF 5,620,000 —      5/20/21 2.24% 6 month CHF-LIBOR-BBA (93,859)
EUR 2,430,000 —      4/19/21 3.691% 6 month EUR-EURIBOR-REUTERS (102,712)
GBP 11,060,000 —      2/3/16 3.065% 6 month GBP-LIBOR-BBA (676,319)
GBP 6,110,000 —      2/3/21 6 month GBP-LIBOR-BBA 3.93% 475,792
MXN 33,670,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% (56,207)
SEK 15,400,000 —      2/7/21 3.82% 3 month SEK-STIBOR-SIDE (92,152)
SEK 14,280,000 —      3/29/21 3 month SEK-STIBOR-SIDE 3.81125% 80,115
SEK 11,080,000 —      4/4/21 3.815% 3 month SEK-STIBOR-SIDE (51,306)
SEK 26,530,000 —      3/4/21 3 month SEK-STIBOR-SIDE 3.78% 142,098
Deutsche Bank AG
$127,189,000 (157,194)     2/3/14 2.25% 3 month USD-LIBOR-BBA (5,540,161)
13,241,400 (31,659)     3/10/18 3.41% 3 month USD-LIBOR-BBA (859,223)
165,330,400 (117,153)     3/16/14 2.25% 3 month USD-LIBOR-BBA (6,771,753)
1,986,000 —      6/16/20 3.013% 3 month USD-LIBOR-BBA 10,202
232,878 —      6/24/20 2.92% 3 month USD-LIBOR-BBA 3,165
204,552 —      7/1/20 3.035% 3 month USD-LIBOR-BBA 1,058
16,464,000 —      7/1/16 3 month USD-LIBOR-BBA 1.955% (45,111)
164,977,800 29,087      12/31/14 1.91% 3 month USD-LIBOR-BBA (3,149,413)
106,000,000 —      3/4/14 2.54% 3 month USD-LIBOR-BBA (5,248,060)
EUR 23,640,000 —      12/23/20 3.325% 6 month EUR-EURIBOR-REUTERS (446,750)
KRW 3,478,000,000 —      5/9/16 4.115% 3 month KRW-CD-KSDA-BLOOMBERG (31,636)
KRW 3,478,000,000 —      4/22/16 4.135% 3 month KRW-CD-KSDA-BLOOMBERG (35,910)
KRW 3,449,000,000 —      4/29/16 4.14% 3 month KRW-CD-KSDA-BLOOMBERG (35,862)
MXN 33,670,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% (44,362)
Goldman Sachs International
$64,530,000 —      6/8/18 2.52375% 3 month USD-LIBOR-BBA 422,571
1,374,000 —      6/20/21 3 month USD-LIBOR-BBA 3.075% (20,453)
23,353,000 —      7/1/14 3 month USD-LIBOR-BBA 1.105% (12,377)
1,037,000 —      7/1/41 3 month USD-LIBOR-BBA 4.02625% (8,140)
2,053,000 —      7/1/21 3.232% 3 month USD-LIBOR-BBA 4,866
27,439,000 —      7/1/16 3 month USD-LIBOR-BBA 1.9625% (65,030)
84,265,200 —      7/5/14 3 month USD-LIBOR-BBA 1.13% —
34,873,600 —      7/5/21 3.2525% 3 month USD-LIBOR-BBA —
3,480,700 —      7/5/41 3 month USD-LIBOR-BBA 4.055% —
17,618,500 (E) —      3/19/13 1.09375% 3 month USD-LIBOR-BBA (59,903)
7,773,400 (22,219)     5/9/20 3 month USD-LIBOR-BBA 3.15% 57,498
40,244,400 (117,123)     5/9/21 3 month USD-LIBOR-BBA 3.3% 279,756
CHF 23,870,000 —      12/15/12 0.538% 6 month CHF-LIBOR-BBA (143,502)
CHF 5,630,000 —      5/5/21 6 month CHF-LIBOR-BBA 2.3725% 182,279
EUR 12,660,000 —      6/9/21 6 month EUR-EURIBOR-REUTERS 3.409% 23,522
EUR 23,000,000 —      2/25/13 2.11% 6 month EUR-EURIBOR-REUTERS (97,605)
EUR 34,625,000 —      6/17/13 1 year EUR-EONIA-OIS-COMPOUND 1.665% (39,587)
EUR 34,625,000 —      6/17/13 1.92% 3 month EUR-EURIBOR-REUTERS 51,267
EUR 32,390,000 —      6/20/13 1.91% 3 month EUR-EURIBOR-REUTERS 61,057
EUR 32,390,000 —      6/20/13 1 year EUR-EONIA-OIS-COMPOUND 1.615% (102,242)
EUR 11,970,000 —      6/21/13 1 year EUR-EONIA-OIS-COMPOUND 1.632% (22,198)
EUR 20,760,000 —      5/26/13 2.224% 6 month EUR-EURIBOR-REUTERS (57,924)
GBP 4,690,000 —      1/21/21 3.81% 6 month GBP-LIBOR-BBA (296,703)
KRW 3,333,000,000 —      4/21/16 4.12% 3 month KRW-CD-KSDA-BLOOMBERG (32,317)
SEK 15,800,000 —      12/10/20 3.5775% 3 month SEK-STIBOR-SIDE (63,325)
SEK 26,530,000 —      3/2/21 3 month SEK-STIBOR-SIDE 3.7575% 133,845
JPMorgan Chase Bank, N.A.
$7,705,600 24,411      3/11/26 4.12% 3 month USD-LIBOR-BBA (422,391)
52,500,000 (E) —      3/21/13 1.1685% 3 month USD-LIBOR-BBA (215,645)
19,900,000 (E) —      3/22/13 1.185% 3 month USD-LIBOR-BBA (84,400)
72,889,500 13,012      3/31/16 3 month USD-LIBOR-BBA 2.42% 2,166,399
72,200,000 —      5/9/13 0.7475% 3 month USD-LIBOR-BBA (201,713)
CAD 3,470,000 —      9/21/20 3.105% 3 month CAD-BA-CDOR 35,829
EUR 27,700,000 —      6/13/13 1 year EUR-EONIA-OIS-COMPOUND 1.74% 12,242
EUR 27,700,000 —      6/13/13 1.9865% 3 month EUR-EURIBOR-REUTERS 8,168
EUR 15,680,000 —      6/15/21 6 month EUR-EURIBOR-REUTERS 3.2715% (245,197)
EUR 5,420,000 —      6/15/13 2.085% 6 month EUR-EURIBOR-REUTERS 9,669
EUR 20,420,000 —      5/31/15 6 month EUR-EURIBOR-REUTERS 2.0975% (522,581)
EUR 2,450,000 —      2/4/20 3.405% 6 month EUR-EURIBOR-REUTERS (63,023)
JPY 2,402,400,000 —      2/19/15 6 month JPY-LIBOR-BBA 0.705% 316,545
JPY 511,900,000 —      2/19/20 6 month JPY-LIBOR-BBA 1.3975% 247,805
JPY 598,000,000 —      2/22/21 1.36375% 6 month JPY-LIBOR-BBA (206,140)
JPY 1,307,380,000 —      5/25/15 0.674375% 6 month JPY-LIBOR-BBA (138,938)
JPY 1,303,760,000 —      9/16/15 6 month JPY-LIBOR-BBA 0.59125% 83,202
JPY 358,600,000 (E) —      7/28/29 6 month JPY-LIBOR-BBA 2.67% 35,740
JPY 482,100,000 (E) —      7/28/39 2.40% 6 month JPY-LIBOR-BBA 30,435
MXN 4,810,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% (5,481)
MXN 24,320,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% (82,687)
MXN 37,740,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% (108,169)
UBS, AG
AUD 3,160,000 (E) —      4/11/21 6 month AUD-BBR-BBSW 6.65% 39,503
AUD 3,160,000 —      4/12/21 6 month AUD-BBR-BBSW 6.61% 35,061
CHF 28,420,000 —      5/23/13 0.7625% 6 month CHF-LIBOR-BBA (186,648)
Total $(26,515,802)
(E)   See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates.










TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America, N.A.
$638,085 $—      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools $(1,540)
660,851 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 4,929
638,511 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (1,541)
660,851 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 4,929
Barclays Bank PLC
2,860,223 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Fannie Mae pools (3,666)
772,239 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (700)
487,289 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 3,201
3,485,167 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 25,994
1,106,402 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 8,252
1,224,025 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,318)
1,810,613 9,053      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 21,561
4,513,823 23,274      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 54,456
2,703,210 16,473      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 35,146
965,461 (905)     1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (26)
958,442 2,246      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (1,850)
481,338 4,137      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2,969
2,057,310 (2,572)     1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (13,103)
4,879,619 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 3,958
2,056,563 643      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,885)
2,857,209 16,072      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 0
3,464,269 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 22,760
4,924,986 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 36,733
1,844,960 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 14,045
1,726,487 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 11,343
989,391 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 7,532
5,320,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (28,222)
1,133,996 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (2,737)
4,952,670 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 3,275
638,085 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (1,540)
638,085 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (1,540)
660,851 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 4,929
1,532,852 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (3,700)
1,587,723 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 10,431
256,256 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (619)
10,974,488 —      1/12/40 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools (72,102)
754,756 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (5,746)
743,831 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 5,548
5,881,296 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,889)
3,526,429 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (16,605)
15,559,905 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 116,055
2,937,199 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 21,907
5,920,000 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 44,155
3,039,101 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 19,967
2,224,766 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 16,594
822,326 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 6,133
7,314,174 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (23,387)
3,654,866 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 27,260
21,920,048 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 28,092
8,816,083 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 65,755
22,347,833 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (67,975)
11,112,616 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 82,884
5,473,321 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,014
600,308 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (1,826)
588,817 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 755
676,550 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (613)
2,193,368 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,987)
1,590,080 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,440)
2,135,220 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,732
1,054,395 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools 2,545
3,739,576 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic TRS Index 6.50% 30 year Fannie Mae pools 3,033
Citibank, N.A.
621,058 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (1,499)
669,619 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 4,399
2,998,812 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 9,121
3,894,221 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,991
GBP 7,270,000 —      5/18/13 (3.38%) GBP Non-revised UK Retail Price Index 334,611
Credit Suisse International
$7,482,022 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (22,758)
1,784,294 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,287
1,819,115 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic MBX Index 4.50% 30 year Fannie Mae pools 5,533
2,476,335 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,638)
660,851 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 4,929
638,085 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (1,540)
Deutsche Bank AG
2,056,563 3,213      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (7,314)
2,476,335 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,638)
Goldman Sachs International
1,066,034 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools 7,951
3,635,000 —      7/28/11 (0.685%) USA Non Revised Consumer Price Index- Urban (CPI-U) 102,914
3,635,000 —      7/29/11 (0.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) 100,662
3,635,000 —      7/30/11 (0.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) 102,227
3,040,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) (11,950)
2,280,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) (11,117)
1,891,270 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools 4,565
1,260,402 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,401)
855,569 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (6,513)
463,985 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic TRS Index 5.50% 30 year Fannie Mae pools (1,120)
2,894,878 —      1/12/40 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (21,592)
4,253,335 —      1/12/39 5.50% (1 month USD-LIBOR) Synthetic TRS Index 5.50% 30 year Fannie Mae pools 10,267
7,482,022 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (22,758)
Total $1,023,934










CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/11 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Credit Suisse International
  Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 — $(18,605) $2,090,000 12/20/19 (100 bp) $199,650
  Ukraine (Government of), 7.65%, 6/11/13 B2 — 1,105,000 10/20/11 194 bp 3,017
Deutsche Bank AG
  Federal Republic of Brazil, 12 1/4%, 3/6/30 Baa2 — 775,000 10/20/17 105 bp (7,580)
  United Mexican States, 7.5%, 4/8/33 Baa1 — 1,495,000 3/20/14 56 bp (5,006)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 B2 — EUR 425,000 9/20/13 715 bp 75,129
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 477 bp 39,282
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 535 bp 46,667
Goldman Sachs International
  Lighthouse International Co, SA, 8%, 4/30/14 Ca — EUR 420,000 3/20/13 680 bp (324,493)
JPMorgan Chase Bank, N.A.
  DJ CDX NA HY Series 16 Version 1 Index B+ (53,254) $2,582,000 6/20/16 500 bp (8,462)
  Republic of Argentina, 8.28%, 12/31/33 B3 — 705,000 6/20/14 235 bp (56,497)
Morgan Stanley Capital Services, Inc.
  Dominican Republic, 8 5/8%, 4/20/27 — — 1,190,000 11/20/11 (170 bp) 3,746
  Republic of Venezuela, 9 1/4%, 9/15/27 B2 — 510,000 10/20/12 339 bp (22,947)
Total $(57,494)
*   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 June 30, 2011.  










Key to holding's currency abbreviations
ARS Argentine Peso
BRL Brazilian Real
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
RUB Russian Ruble
TRY Turkish Lira
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds
FRN Floating Rate Notes
IFB Inverse Floating Rate Bonds
IO Interest Only
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2010 through June 30, 2011 (the reporting period).
(a) Percentages indicated are based on net assets of $380,025,579.
(b) The aggregate identified cost on a tax basis is $527,230,863, resulting in gross unrealized appreciation and depreciation of $13,547,989 and $18,297,583, respectively, or net unrealized depreciation of $4,749,594.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) 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 derivatives 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.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $32,711 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $241,811,989 and $244,799,796, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs.
(i) Security purchased with cash or security received, that was pledged to the fund for collateral on certain derivatives contracts.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $296,461,200 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
IFB are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at the close of the reporting period.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):
Argentina 85.6%
Russia 2.9
Argentina 2.5
Venezuela 1.1
Indonesia 0.9
Netherlands 0.8
Brazil 0.8
Ukraine 0.8
Luxembourg 0.7
United Kingdom 0.6
Germany 0.5
Turkey 0.5
Other 2.3
Total 100.0%
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (Putnam Management), the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Futures contracts: The fund uses futures contracts to hedge interest rate risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. The fund had an average number of contracts of approximately 2,000 on futures contracts for the reporting period.
Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. The fund had an average contract amount of approximately 283,200,000 on purchased options contracts for the reporting period. The fund had an average contract amount of approximately 712,400,000 on written options contracts for the reporting period.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Outstanding contracts on forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Total return swap contracts: The fund enters into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors/industries and to gain exposure to rates of inflation in specific regions/countries. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. The fund had an average notional amount of approximately $142,500,000 on total return swap contracts for the reporting period.
Interest rate swap contracts: The fund enters into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. Outstanding notional amount on interest rate swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Credit default contracts: The fund enters into credit default contracts to gain exposure on individual names and/or baskets of securities. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $685,745 at the close of the reporting period. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $61,899,898 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $63,730,300.
TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
Dollar rolls: To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Consumer cyclicals $— $— $470
    Energy — — 3,091
Total common stocks — — 3,561
Asset-backed securities $— $50,573,948 $1,583,389
Convertible bonds and notes — 501,597 —
Convertible preferred stocks — 361,073 —
Corporate bonds and notes — 118,907,705 16,882
Foreign government bonds and notes — 33,927,454 —
Mortgage-backed securities — 94,156,299 1,910,884
Preferred stocks — 186,083 —
Purchased options outstanding — 5,624,559 —
Senior loans — 11,047,081 —
U.S. Government and Agency Mortgage Obligations — 74,682,566 —
U.S. Treasury Obligations — 2,305,242 —
Warrants — 280 31,440
Short-term investments 1,012,103 125,649,123 —
Totals by level $1,012,103 $517,923,010 $3,546,156



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


Forward currency contracts $— $(787,092) $—
Futures contracts (1,877,568) — —
Written options — (39,499,709) —
TBA sale commitments — (42,166,835) —
Interest rate swap contracts — (25,486,025) —
Total return swap contracts — 952,300 —
Credit default contracts — 14,365 —
Totals by level $(1,877,568) $(106,972,996) $—


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $430,888 $416,523
Foreign exchange contracts 757,226 1,544,318
Equity contracts 31,720 —
Interest rate contracts 24,275,241 84,561,684
Total $25,495,075 $86,522,525


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 Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 26, 2011

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 26, 2011

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 26, 2011