a_masterintermediate.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: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2015
Date of reporting period: June 30, 2015



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/15 (Unaudited)
MORTGAGE-BACKED SECURITIES (46.9%)(a)
Principal amount Value
Agency collateralized mortgage obligations (16.4%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.858s, 2032 $185,432 $263,835
     IFB Ser. 3408, Class EK, 25.047s, 2037 74,989 116,746
     IFB Ser. 2979, Class AS, 23.593s, 2034 15,674 18,787
     IFB Ser. 3072, Class SM, 23.116s, 2035 121,049 181,130
     IFB Ser. 3072, Class SB, 22.97s, 2035 108,440 161,635
     IFB Ser. 3249, Class PS, 21.663s, 2036 78,383 114,555
     IFB Ser. 319, Class S2, IO, 5.815s, 2043 1,423,152 344,630
     IFB Ser. 317, Class S3, IO, 5.795s, 2043 3,169,741 782,140
     IFB Ser. 323, Class S1, IO, 5.765s, 2044 3,652,989 860,286
     IFB Ser. 308, Class S1, IO, 5.765s, 2043 2,484,797 611,235
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 2,302,146 496,803
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,249,530 278,645
     Ser. 4462, IO, 4s, 2045 1,954,772 433,784
     Ser. 4462, Class KI, IO, 4s, 2045 5,960,942 1,140,745
     Ser. 4193, Class PI, IO, 4s, 2043 2,858,707 482,404
     Ser. 304, Class C53, IO, 4s, 2032 1,543,169 262,107
     Ser. 4338, Class TI, IO, 4s, 2029 3,071,212 390,259
     Ser. 303, Class C19, IO, 3 1/2s, 2043 5,379,095 1,146,178
     Ser. 304, Class C22, IO, 3 1/2s, 2042 1,933,254 486,931
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 3,643,705 491,904
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 3,327,380 449,200
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,680,268 236,817
     Ser. 4379, Class CI, 3 1/2s, 2033 4,247,796 584,667
     Ser. 304, IO, 3 1/2s, 2027 2,979,899 335,239
     Ser. 304, Class C37, IO, 3 1/2s, 2027 2,212,805 242,612
     Ser. 4165, Class TI, IO, 3s, 2042 7,235,834 890,731
     Ser. 4183, Class MI, IO, 3s, 2042 3,076,157 393,440
     Ser. 4210, Class PI, IO, 3s, 2041 2,163,450 220,570
     Ser. 4437, Class DI, IO, 3s, 2032 3,839,629 532,441
     Ser. 304, Class C45, IO, 3s, 2027 2,764,830 289,351
     FRB Ser. T-57, Class 1AX, IO, 0.387s, 2043 2,060,364 21,329
     Ser. 3326, Class WF, zero %, 2035 1,608 1,312
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.778s, 2036 124,157 228,094
     IFB Ser. 07-53, Class SP, 23.514s, 2037 100,144 151,563
     IFB Ser. 08-24, Class SP, 22.598s, 2038 104,123 152,113
     IFB Ser. 05-75, Class GS, 19.689s, 2035 88,606 119,873
     IFB Ser. 05-83, Class QP, 16.908s, 2034 135,562 177,759
     IFB Ser. 13-41, Class SP, IO, 6.013s, 2040 1,444,318 222,006
     IFB Ser. 13-18, Class SB, IO, 5.963s, 2041 1,727,448 305,758
     IFB Ser. 13-128, Class CS, IO, 5.713s, 2043 3,191,703 760,774
     Ser. 374, Class 6, IO, 5 1/2s, 2036 206,968 40,930
     Ser. 12-132, Class PI, IO, 5s, 2042 2,896,668 592,253
     Ser. 10-13, Class EI, IO, 5s, 2038 15,693 75
     Ser. 378, Class 19, IO, 5s, 2035 624,963 129,680
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.737s, 2025 313,000 316,193
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 877,451 211,501
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 6,399,699 1,089,997
     Ser. 409, Class 81, IO, 4 1/2s, 2040 3,088,792 674,394
     Ser. 409, Class 82, IO, 4 1/2s, 2040 3,285,559 723,227
     Ser. 366, Class 22, IO, 4 1/2s, 2035 219,403 13,919
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 1,215,839 151,238
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.187s, 2025 853,000 828,762
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.187s, 2025 325,000 315,768
     Ser. 418, Class C24, IO, 4s, 2043 2,566,561 562,398
     Ser. 13-41, Class IP, IO, 4s, 2043 2,231,916 366,079
     Ser. 13-44, Class PI, IO, 4s, 2043 2,171,323 340,711
     Ser. 13-60, Class IP, IO, 4s, 2042 1,628,410 290,992
     Ser. 12-96, Class PI, IO, 4s, 2041 1,652,842 281,347
     Ser. 406, Class 2, IO, 4s, 2041 1,411,561 249,141
     Ser. 406, Class 1, IO, 4s, 2041 991,641 216,773
     Ser. 409, Class C16, IO, 4s, 2040 2,161,753 435,219
     Ser. 418, Class C15, IO, 3 1/2s, 2043 5,595,564 1,238,194
     Ser. 12-145, Class TI, IO, 3s, 2042 3,494,905 354,383
     Ser. 13-35, Class IP, IO, 3s, 2042 2,893,517 317,835
     Ser. 13-53, Class JI, IO, 3s, 2041 2,401,360 303,724
     Ser. 13-23, Class PI, IO, 3s, 2041 2,699,519 248,221
     FRB Ser. 03-W10, Class 1, IO, 0.905s, 2043 393,517 8,408
     Ser. 99-51, Class N, PO, zero %, 2029 15,484 13,936
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.963s, 2043 1,290,813 225,092
     IFB Ser. 13-182, Class LS, IO, 5.953s, 2043 1,582,617 358,323
     IFB Ser. 14-90, Class HS, IO, 5.913s, 2044 2,411,381 573,619
     IFB Ser. 12-77, Class MS, IO, 5.913s, 2042 1,510,171 367,183
     IFB Ser. 11-70, Class SM, IO, 5.705s, 2041 2,152,061 374,222
     IFB Ser. 11-70, Class SH, IO, 5.705s, 2041 2,288,753 404,468
     Ser. 14-36, Class WI, IO, 5 1/2s, 2044 2,236,890 510,190
     Ser. 14-122, Class IC, IO, 5s, 2044 1,878,435 393,025
     Ser. 13-22, Class IE, IO, 5s, 2043 2,210,624 492,237
     Ser. 13-22, Class OI, IO, 5s, 2043 2,064,577 410,388
     Ser. 13-3, Class IT, IO, 5s, 2043 1,845,280 405,017
     Ser. 13-6, Class IC, IO, 5s, 2043 1,605,450 325,441
     Ser. 12-146, IO, 5s, 2042 1,628,123 334,465
     Ser. 13-6, Class CI, IO, 5s, 2042 1,192,907 230,219
     Ser. 13-130, Class IB, IO, 5s, 2040 1,410,232 167,885
     Ser. 13-16, Class IB, IO, 5s, 2040 1,707,226 122,788
     Ser. 11-41, Class BI, IO, 5s, 2040 1,040,911 119,561
     Ser. 10-35, Class UI, IO, 5s, 2040 950,271 194,805
     Ser. 10-20, Class UI, IO, 5s, 2040 1,776,408 348,460
     Ser. 10-9, Class UI, IO, 5s, 2040 7,962,229 1,644,137
     Ser. 09-121, Class UI, IO, 5s, 2039 3,767,539 765,752
     Ser. 15-79, Class GI, IO, 5s, 2039 1,533,410 336,392
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 3,390,793 661,194
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,183,126 223,232
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 735,670 126,749
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 676,466 50,322
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 223,580 32,989
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 3,351,676 648,248
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 3,136,516 621,256
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 3,447,066 711,668
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 2,113,247 410,762
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 1,341,726 308,919
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 763,766 86,794
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 2,483,593 258,120
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 864,966 57,304
     Ser. 15-53, Class MI, IO, 4s, 2045 3,111,985 738,975
     Ser. 15-40, IO, 4s, 2045 3,499,919 877,920
     Ser. 14-174, IO, 4s, 2044 2,648,050 538,468
     Ser. 14-4, Class IC, IO, 4s, 2044 1,721,478 350,992
     Ser. 13-165, Class IL, IO, 4s, 2043 1,336,451 231,794
     Ser. 12-56, Class IB, IO, 4s, 2042 1,343,794 252,379
     Ser. 12-47, Class CI, IO, 4s, 2042 3,318,050 658,933
     Ser. 12-41, Class IP, IO, 4s, 2041 3,668,079 678,198
     Ser. 13-76, IO, 3 1/2s, 2043 6,098,632 803,678
     Ser. 13-28, IO, 3 1/2s, 2043 1,982,054 271,990
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 2,812,129 406,943
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 4,169,924 575,533
     Ser. 13-14, IO, 3 1/2s, 2042 5,756,584 756,185
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 3,040,910 445,858
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 3,331,594 716,286
     Ser. 12-113, Class ID, IO, 3 1/2s, 2042 1,769,873 382,823
     Ser. 14-44, Class IA, IO, 3 1/2s, 2028 4,411,440 496,728
     Ser. 13-H08, Class CI, IO, 1.667s, 2063 5,923,071 481,249
     Ser. 06-36, Class OD, PO, zero %, 2036 4,217 3,679
48,665,523
Commercial mortgage-backed securities (18.6%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 656,000 671,418
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.497s, 2051 70,187,388 521,001
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.47s, 2045 600,000 603,180
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 21,952 21,478
Bear Stearns Commercial Mortgage Securities Trust
     Ser. 05-PWR7, Class D, 5.304s, 2041 441,000 440,352
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 700,485
     Ser. 05-PWR9, Class C, 5.055s, 2042 401,000 400,362
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.597s, 2039 692,000 691,723
     FRB Ser. 06-PW14, Class XW, IO, 0.829s, 2038 16,931,183 76,021
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.327s, 2044 507,000 504,317
     FRB Ser. 07-CD5, Class XS, IO, 0.164s, 2044 25,278,351 78,165
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.76s, 2047 409,000 433,814
     FRB Ser. 11-C2, Class F, 5 1/4s, 2047 900,000 873,369
Citigroup Commercial Mortgage Trust
     Ser. 06-C5, Class AJ, 5.482s, 2049 610,000 608,152
     FRB Ser. 05-C3, Class B, 5.029s, 2043 821,503 819,877
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.604s, 2046 207,000 196,612
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.989s, 2049 962,000 966,155
     Ser. 06-C8, Class AJ, 5.377s, 2046 1,041,000 1,052,441
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.821s, 2044 145,000 153,164
     FRB Ser. 13-LC6, Class D, 4.43s, 2046 182,000 172,739
     Ser. 12-LC4, Class E, 4 1/4s, 2044 392,000 354,145
     Ser. 13-LC13, Class E, 3.719s, 2046 574,000 436,937
     Ser. 14-CR18, Class E, 3.6s, 2047 592,000 443,835
     FRB Ser. 07-C9, Class AJFL, 0 7/8s, 2049 241,000 234,091
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.918s, 2039 20,067,142 156,951
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 640,443 320,222
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.945s, 2050 356,000 309,956
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.586s, 2044 714,000 747,039
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, Class X, IO, 0.973s, 2020 2,051,231 31,343
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class D, 4.986s, 2042 803,000 805,969
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.723s, 2048 2,843,000 2,695,306
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.449s, 2044 865,000 866,349
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 242,216 250,013
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 1.058s, 2041 4,677,652 131,691
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.561s, 2046 407,000 388,262
     FRB Ser. 05-GG4, Class XC, IO, 0.781s, 2039 6,412,977 2,768
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.493s, 2046 662,000 630,208
     FRB Ser. 14-GC18, Class D, 5.113s, 2047 1,000,000 940,040
     Ser. 11-GC3, Class E, 5s, 2044 577,000 556,095
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class E, 4.47s, 2047 407,000 328,734
     FRB Ser. 14-C25, Class D, 4.098s, 2047 988,000 846,829
     Ser. 14-C25, Class E, 0.033s, 2047 788,000 561,883
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.284s, 2051 965,500 1,002,334
     FRB Ser. 06-LDP6, Class B, 5.682s, 2043 793,000 794,552
     Ser. 06-LDP8, Class B, 5.52s, 2045 199,000 199,569
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 847,000 849,466
     FRB Ser. 13-C10, Class D, 4.295s, 2047 1,632,000 1,515,093
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class C, 6.384s, 2051 410,000 393,723
     FRB Ser. 11-C3, Class F, 5.753s, 2046 410,000 413,125
     FRB Ser. 13-C13, Class D, 4.191s, 2046 345,000 322,156
     Ser. 13-C13, Class E, 3.986s, 2046 763,000 623,002
     Ser. 13-C10, Class E, 3 1/2s, 2047 808,000 651,490
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 541,000 417,165
     FRB Ser. 07-CB20, Class X1, IO, 0.451s, 2051 46,740,920 316,296
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 343,719 364,342
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.935s, 2039 1,837,000 1,843,889
     Ser. 06-C3, Class AJ, 5.72s, 2039 739,000 755,007
     Ser. 06-C6, Class E, 5.541s, 2039 750,000 743,378
     FRB Ser. 06-C6, Class C, 5.482s, 2039 984,000 960,935
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.856s, 2039 17,381,773 123,150
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.447s, 2048 443,000 387,147
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, 0.775s, 2028 7,231 1
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.475s, 2051 395,000 427,990
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.001s, 2037 49,684 3,170
     FRB Ser. 07-C5, Class X, IO, 5.894s, 2049 1,037,665 116,737
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 1,020,000 1,036,541
     Ser. 06-4, Class AJ, 5.239s, 2049 248,000 251,646
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 388,000 384,582
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.855s, 2047 433,000 400,583
     FRB Ser. 13-C11, Class D, 4.562s, 2046 237,000 223,112
     FRB Ser. 13-C10, Class E, 4.218s, 2046 523,000 426,245
     Ser. 14-C17, Class E, 3 1/2s, 2047 723,000 527,713
     Ser. 14-C19, Class D, 3 1/4s, 2047 550,000 446,535
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,135,890
     FRB Ser. 06-HQ8, Class D, 5.681s, 2044 598,000 595,674
     Ser. 07-HQ11, Class C, 5.558s, 2044 1,102,000 1,102,198
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class E, 6.46s, 2043 472,000 475,210
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,084,378 1,024,065
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 996,620 1,000,606
STRIPS III, Ltd. 144A FRB Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 193,000 38,600
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 585,741 146,435
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.495s, 2046 682,000 637,670
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.201s, 2045 1,877,000 1,884,639
     FRB Ser. 06-C25, Class AJ, 5.896s, 2043 474,000 484,618
     FRB Ser. 05-C20, Class B, 5.363s, 2042 1,054,000 1,055,617
     FRB Ser. 07-C34, IO, 0.463s, 2046 14,058,384 105,438
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.937s, 2045 462,000 434,973
     FRB Ser. 13-LC12, Class D, 4.436s, 2046 488,000 460,026
     Ser. 14-LC18, Class D, 3.957s, 2047 756,000 633,386
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 14-C19, Class E, 5.137s, 2047 1,219,000 1,026,552
     Ser. 12-C6, Class E, 5s, 2045 534,000 463,678
     FRB Ser. 13-UBS1, Class D, 4.785s, 2046 353,000 336,946
     Ser. 12-C7, Class F, 4 1/2s, 2045 2,524,000 2,262,261
     Ser. 14-C19, Class D, 4.234s, 2047 681,000 613,286
     Ser. 13-C12, Class E, 3 1/2s, 2048 510,000 404,488
55,266,421
Residential mortgage-backed securities (non-agency) (11.9%)
APS Resecuritization Trust 144A FRB Ser. 15-1, Class 2M, 0.327s, 2054 400,000 304,752
Banc of America Funding Trust FRB Ser. 14-R7, Class 3A2, 2.621s, 2036 128,000 102,400
BCAP, LLC 144A FRB Ser. 13-RR1, Class 9A4, 5.719s, 2036 250,000 252,875
BCAP, LLC Trust
     FRB Ser. 15-RR5, Class 2A3, 1.216s, 2046 620,000 480,066
     FRB Ser. 12-RR5, Class 4A8, 0.355s, 2035 375,000 341,953
BCAP, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 6.148s, 2036 575,000 547,688
     FRB Ser. 12-RR12, Class 4A7, 2.779s, 2036 540,000 500,958
     FRB Ser. 12-RR10, Class 9A2, 2.708s, 2035 980,000 931,000
     FRB Ser. 11-RR2, Class 2A7, 2.627s, 2036 2,331,692 1,608,868
     FRB Ser. 09-RR11, Class 2A2, 2.41s, 2035 850,000 773,500
     FRB Ser. 11-RR3, Class 3A6, 2.185s, 2036 1,274,957 729,913
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 04-FR3, Class M6, 5.06s, 2034 43,061 28,788
     FRB Ser. 05-AQ2, Class M1, 0.677s, 2035 500,000 427,200
Citigroup Mortgage Loan Trust FRB Ser. 07-WFH2, Class M1, 0.587s, 2037(F) 1,470,000 1,184,379
Citigroup Mortgage Loan Trust 144A
     FRB Ser. 12-4, Class 3A2, 2.65s, 2036 619,290 548,102
     FRB Ser. 09-9, Class 7A2, 2.487s, 2036 800,000 753,000
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 2A3, 1.718s, 2035 962,499 841,935
     FRB Ser. 05-38, Class A1, 1.658s, 2035 695,113 632,344
     FRB Ser. 05-27, Class 1A2, 1.558s, 2035 1,531,786 1,396,989
     FRB Ser. 05-27, Class 2A1, 1.508s, 2035 1,042,136 854,218
     FRB Ser. 05-38, Class A3, 0.537s, 2035 1,644,490 1,424,458
     FRB Ser. 05-59, Class 1A1, 0.517s, 2035 867,474 704,822
     FRB Ser. 06-OC2, Class 2A3, 0.477s, 2036 1,047,593 916,330
CSMC Trust 144A
     FRB Ser. 10-18R, Class 6A4, 2.774s, 2036 2,000,000 1,846,600
     FRB Ser. 09-13R, Class 3A2, 2.185s, 2036 1,061,065 641,944
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.687s, 2025 750,000 899,926
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA2, Class B, 7.737s, 2027 630,000 640,143
Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.387s, 2027 590,000 700,728
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 384,009 613,270
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 1,028,000 1,155,234
GSAA Trust FRB Ser. 05-4, Class M2, 0.887s, 2035 $1,000,000 792,419
JPMorgan Mortgage Acquisition Trust FRB Ser. 06-CH1, Class M3, 0.505s, 2036 850,000 592,790
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.717s, 2035 344,444 305,694
     FRB Ser. 05-5, Class M1, 0.637s, 2035 344,770 294,476
     FRB Ser. 05-3, Class A2, 0.537s, 2035 402,271 360,877
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 319,593 319,593
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR11, Class A1C3, 0.697s, 2045(F) 1,477,809 1,302,202
     FRB Ser. 05-AR19, Class A1C3, 0.687s, 2045 2,050,999 1,804,879
     FRB Ser. 05-AR13, Class A1C3, 0.677s, 2045 3,388,268 2,981,676
     FRB Ser. 05-AR8, Class 2AC2, 0.647s, 2045 984,396 884,480
     FRB Ser. 05-AR11, Class A1C4, 0.627s, 2045(F) 752,012 668,585
     FRB Ser. 05-AR13, Class A1B2, 0.617s, 2045 698,189 626,625
     FRB Ser. 05-AR17, Class A1B2, 0.597s, 2045 657,050 568,349
     FRB Ser. 05-AR19, Class A1C4, 0.587s, 2045 559,915 490,150
     FRB Ser. 05-AR8, Class 2AC3, 0.577s, 2045 346,878 309,589
     FRB Ser. 05-AR6, Class 2A1C, 0.527s, 2045 311,982 279,224
35,365,991
Total mortgage-backed securities (cost $132,562,997) $139,297,935

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (36.6%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (36.6%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, July 1, 2045 $3,000,000 $3,369,844
     4 1/2s, TBA, July 1, 2045 4,000,000 4,324,688
     4s, TBA, July 1, 2045 2,000,000 2,118,750
     3 1/2s, TBA, July 1, 2045 38,000,000 39,154,843
     3s, TBA, July 1, 2045 60,000,000 59,756,250
108,724,375
Total U.S. government and agency mortgage obligations (cost $109,898,556) $108,724,375

U.S. TREASURY OBLIGATIONS (0.0%)(a)
Principal amount Value
U.S. Treasury Notes 1.000%, May 31, 2018(i) $111,000 $111,130
Total U.S. treasury Obligations (cost $111,130) $111,130

CORPORATE BONDS AND NOTES (32.8%)(a)
Principal amount Value
Basic materials (2.9%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $233,000 $237,660
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) 357,000 426,615
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 86,000 86,000
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 298,000 313,645
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 150,000 148,500
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 197,950
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 490,000 484,953
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 200,000 209,940
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 65,000 63,050
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 128,000 124,000
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 211,000 207,308
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 298,000 307,983
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 76,000 75,232
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 238,000 227,588
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 298,000 315,135
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 153,000 176,715
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 137,000 125,698
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 315,000 336,263
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 310,000 309,225
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 112,000 110,320
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) 200,000 203,000
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 265,000 282,888
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 90,000 82,350
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 229,000 243,885
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 162,000 174,150
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 189,000 169,628
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 189,000 2
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 106,000 104,410
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 140,000 141,413
NOVA Chemicals Corp. 144A sr. unsec. notes 5s, 2025 (Canada) 40,000 40,150
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 208,000
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 156,000 161,850
PQ Corp. 144A sr. notes 8 3/4s, 2018 135,000 137,700
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 98,000 100,205
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 233,000 234,748
SBA Communications Corp. sr. sub. unsec. notes 4 7/8s, 2022 181,000 176,249
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 45,000 45,338
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 124,000 136,710
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 110,000 110,413
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 75,000 73,969
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 54,000 53,190
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 119,000 146,965
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 30,000 31,388
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 40,000 42,100
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 50,000 50,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 20,000 19,850
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 30,000 30,060
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 131,000 127,725
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 142,000 131,350
Univar, Inc. 144A sr. unsec. notes 6 3/4s, 2023 55,000 55,550
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 125,000 131,406
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 115,000 114,569
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 55,000 51,975
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 203,000 205,538
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 240,000 241,800
8,744,304
Capital goods (2.3%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 485,000 501,975
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 419,000 473,470
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 120,000 119,100
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 215,000 214,731
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 136,000 138,720
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 255,000 247,350
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 105,394
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 80,000 78,000
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) 249,000 225,968
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 235,000 254,975
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 184,000 173,766
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 200,000 207,500
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 364,000 328,965
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 85,000 86,488
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 100,000 117,550
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 $258,000 260,552
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 286,000 308,165
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 310,000 282,875
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 135,000 137,363
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 177,000 187,178
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 160,000 159,600
Oshkosh Corp. company guaranty sr. sub. unsec. notes 5 3/8s, 2025 95,000 95,000
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 402,000 411,045
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 150,000 146,625
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 269,000 283,123
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 295,000 306,063
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 282,000 283,410
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 45,000 48,375
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 340,000 335,750
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 235,000 227,511
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 150,000 146,933
6,893,520
Communication services (3.9%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 200,000 198,500
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 480,000 465,000
Altice SA 144A company guaranty sr. unsec. notes 7 5/8s, 2025 (Luxembourg) 200,000 188,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 265,000 288,850
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 162,750
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 99,000 103,455
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 198,000 195,030
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 362,000 351,593
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 170,000 170,531
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 40,000 40,050
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 306,000 308,219
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 85,000 85,425
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 130,000 124,800
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 165,000 174,075
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 195,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 185,000 177,716
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 238,000 242,165
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 80,000 72,800
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 50,000 44,375
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 80,000 72,800
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 138,425
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 177,000 146,910
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 143,000 119,405
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 260,000 246,025
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 60,000 59,550
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 17,000 18,041
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 65,000 68,166
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 205,000 207,050
Numericable Group SA 144A sr. bonds 6 1/4s, 2024 (France) 200,000 196,000
Numericable Group SA 144A sr. notes 6s, 2022 (France) 600,000 589,500
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 112,600
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) $180,000 179,550
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 55,000 57,063
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 105,000 103,950
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 286,000 322,968
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 753,000 734,401
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 290,000 282,750
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 369,000 382,838
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 75,000 77,250
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 140,000 143,150
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 206,000 211,150
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 190,000 195,225
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 156,000 159,705
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 295,000 358,441
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 100,000 120,264
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 94,500 113,782
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 100,800 120,805
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 211,500 248,707
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $363,000 362,093
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 211,500 345,689
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $286,000 268,125
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 391,000 417,393
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 125,000 139,281
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) $200,000 202,250
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 139,000 147,688
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 109,000 99,735
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 128,000 104,160
11,461,719
Consumer cyclicals (5.3%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 110,000 111,650
AMC Entertainment, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2025 105,000 102,900
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 167,000 178,273
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 219,000 237,889
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 185,000 183,613
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 98,000 74,970
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 150,000 153,750
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 235,000 233,924
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 120,000 119,088
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 180,000 187,650
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 330,000 324,011
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 45,504
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 100,000 102,750
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 72,000 71,370
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 25,000 24,031
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 33,000 34,898
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 136,000 141,780
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 362,000 376,933
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 110,000 100,925
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 100,000 98,750
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 399,000 416,207
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 65,000 67,925
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 45,000 47,081
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 105,000 114,450
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 4,000 4,120
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 134,000 136,513
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 175,000 178,063
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 65,000 66,706
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 266,000 281,960
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 215,973
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $362,000 383,720
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 105,000 106,313
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 265,000 239,825
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 316,000 301,148
Interactive Data Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2019 42,000 42,210
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 150,000 154,125
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 26,000 25,740
JC Penney Corp, Inc. company guaranty sr. unsec. notes 5 3/4s, 2018 47,000 46,001
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 31,000 27,978
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 120,000 107,400
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 232,000 218,370
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 197,000 217,931
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 85,000 89,463
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 55,000 56,925
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 80,000 80,900
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 161,000 170,660
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 249,000 244,643
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 85,000 86,700
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 110,000 113,850
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 80,000 81,300
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 275,000 265,375
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 119,000 120,488
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 175,000 185,500
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 162,000 163,215
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 152,000 158,840
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 525,213 558,695
Navistar International Corp. sr. notes 8 1/4s, 2021 68,000 64,940
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 425,000 456,344
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 95,000 99,988
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 258,000 259,613
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 159,000 169,733
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 135,000 139,725
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 199,000 204,473
Owens Corning company guaranty sr. unsec. notes 9s, 2019 92,000 109,733
Owens Corning company guaranty sr. unsec. unsub. notes 4.2s, 2024 170,000 166,588
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 222,000 223,665
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 192,000 199,680
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 140,000 141,750
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 100,000 103,625
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 168,000 166,320
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 35,000 35,392
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 36,000 37,755
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 240,000 256,200
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 155,000 152,675
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 54,000 51,030
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 295,000 282,463
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 50,000 38,875
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 150,000 154,875
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 98,000 101,185
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 24,000 24,180
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 27,000 27,743
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 218,000 213,095
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 142,000 143,065
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 227,000 233,810
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 20,000 20,900
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 330,000 337,425
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 10,000 10,650
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 10,000 10,575
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 65,000 68,445
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 105,000 106,575
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 243,000 257,580
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 85,000 87,550
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 183,000 173,850
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 70,000 67,375
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 326,000 321,110
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 156,000 159,705
TEGNA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 233,000 231,253
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 350,000 403,530
Tri Pointe Holdings, Inc. sr. unsec. notes 5 7/8s, 2024 $318,000 311,640
Tribune Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 140,000 141,050
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 89,000 93,673
15,742,378
Consumer staples (2.0%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 199,500
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 455,000 482,300
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 170,000 167,875
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 70,000 68,250
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 75,000 73,969
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 340,000 349,350
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 238,000 244,545
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 105,000 104,213
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 402,000 425,115
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 50,000 49,250
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 255,000 249,900
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 98,120
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 247,000 242,060
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 123,000 122,385
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 145,000 147,356
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 342,000 277,020
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 200,000 197,250
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 67,000 71,020
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 350,000 368,813
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 55,000 57,063
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 150,000 160,875
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 86,000 86,860
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 140,000 140,000
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 240,000 235,200
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 190,000 195,700
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 334,000 361,555
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 137,000 134,945
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 135,000 130,781
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 120,000 122,550
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 175,000 172,375
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 195,000 205,725
5,941,920
Energy (6.6%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 155,000 9,300
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 130,000 122,850
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 105,000 101,456
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 192,000 184,320
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 205,000 190,138
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 18,000 16,920
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 334,000 287,240
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 105,000 92,400
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 114,100
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 270,000 196,425
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 240,000 217,200
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 91,000 78,943
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 234,563
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 193,000 193,000
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 87,560
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 135,000 114,750
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 31,000 29,760
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 192,000 171,840
Ecopetrol SA sr. unsec. unsub. notes 5 3/8s, 2026 (Colombia) 1,390,000 1,376,100
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 130,000 82,225
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 150,000 142,500
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 65,000 62,725
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 89,000 94,340
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 22,000 23,595
FTS International, Inc. 144A company guaranty sr. FRN 7.783s, 2020 140,000 139,312
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 2,055,000 2,283,619
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 339,000 355,103
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 170,000 114,325
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 357,000 234,728
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 150,000 162,000
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 45,000 46,913
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 70,000 65,639
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 121,000 71,390
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 163,000 104,728
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 157,000 117,750
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 169,000 136,468
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 265,000 207,363
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 80,000 4
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 225,000 45,000
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 105,000 103,950
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 86,000 85,785
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 229,000 232,435
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 200,000 121,876
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 92,000 56,120
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 85,000 28,050
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 292,000 94,900
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 925,000 933,094
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 191,500
Petrobras Global Finance BV company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 390,000 414,188
Petrobras Global Finance BV company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 601,125
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,475,000 737,500
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 854,000 564,067
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 419,000 408,106
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 3,702,000 2,535,870
Petroleos de Venezuela SA 144A company guaranty sr. unsec. unsub. notes 9s, 2021 (Venezuela) 100,000 40,750
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,535,000 1,798,406
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 185,000 181,144
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 60,000 58,650
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 105,000 101,588
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 100,000 99,656
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 100,000 104,000
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 100,000 99,625
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 75,000 77,625
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 415,000 23,863
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 205,000 186,038
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 155,000 164,688
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 20,000 12,600
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 165,000 146,850
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 105,000 107,625
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 46,000 32,778
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $55,000 50,050
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 45,000 31,455
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 30,000 23,250
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 253,000 245,410
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 315,000 309,488
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 145,000 154,063
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 249,000 245,576
19,712,336
Financials (4.1%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 336,000 330,960
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 658,225
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 940,000 929,006
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 75,000 77,625
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 137,000 138,370
CIT Group, Inc. sr. unsec. notes 5s, 2023 110,000 109,725
CIT Group, Inc. sr. unsec. notes 5s, 2022 130,000 128,700
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 140,738
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 65,000 64,513
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 217,556
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 165,000 172,013
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 95,000 96,539
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 100,000 101,500
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 111,000 56,749
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 159,000 159,398
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 121,200
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 119,000 121,975
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 160,000 158,000
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 68,000 67,660
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 205,000 209,100
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 215,000 219,031
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 15,000 16,163
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 115,000 120,463
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 55,000 54,244
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 75,000 79,219
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 215,000 229,781
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 80,000 79,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 213,000 198,356
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 98,000 91,630
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 118,000 123,015
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 100,000 103,750
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 133,000 140,648
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 50,000 49,063
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 245,000 232,750
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) 100,000 99,878
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 2,750,000 2,838,000
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 325,000 314,438
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia) 500,000 501,640
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 160,000 157,800
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 590,000 596,608
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 155,294
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 70,000 57,400
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (Ukraine) 200,000 153,000
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 264,000 267,960
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 990,033
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 135,000 125,213
12,054,729
Health care (2.5%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 195,000 200,850
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 85,000 84,363
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 50,000 50,881
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 130,000 133,900
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 30,000 30,563
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 62,000 63,550
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 35,000 36,925
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 135,000 135,000
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 240,000 210,600
Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 208,761 338,676
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 $66,000 64,886
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 208,000 216,840
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2022 278,000 281,475
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 165,000 162,938
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 200,000 203,250
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2023 200,000 204,500
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 158,000 165,505
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 50,000 50,815
HCA, Inc. sr. notes 6 1/2s, 2020 758,000 847,065
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 55,000 63,181
Hologic, Inc. 144A sr. unsec. notes 5 1/4s, 2022 105,000 107,231
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 220,000 224,664
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 180,000 191,700
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 262,000 279,030
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 143,000 139,068
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 130,000 132,967
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 50,000 53,500
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 388,000 405,460
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 278,000 291,900
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 116,000 117,740
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 50,000 50,635
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 35,000 34,650
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 98,000 95,795
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 355,000 386,950
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 231,000 246,304
Tenet Healthcare Corp. 144A company guaranty sr. FRN 3.786s, 2020 170,000 171,488
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 30,000 31,200
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 31,575
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 35,000 35,788
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 85,000 85,638
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 160,000 164,800
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 179,000 183,475
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 171,000 175,703
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 263,000 273,520
7,456,544
Technology (1.4%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 80,000 84,200
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 107,000 88,275
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 466,000 455,515
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 121,000 120,546
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 74,000 85,470
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 63,000 69,930
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 164,000 184,500
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 700,000 738,500
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 26,000 27,495
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 110,000 116,600
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 265,000 269,638
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 185,000 193,325
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 185,000 188,238
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 228,000 218,595
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 400,000 401,500
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 115,000 118,738
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 125,000 110,000
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 200,000 241,766
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 265,000 311,398
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 $217,000 234,903
4,259,132
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 205,000 194,238
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 280,000 283,500
477,738
Utilities and power (1.6%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 420,000 407,400
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 147,994
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 70,000 66,675
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 340,000 330,650
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 45,000 47,588
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 35,000 37,100
Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil) 350,000 354,795
Dynegy, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 20,000 20,950
Dynegy, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 428,000 445,334
Dynegy, Inc. 144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 10,000 10,575
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 247,000 304,660
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 138,850 158,115
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 150,000 169,125
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 100,000 105,000
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 279,000 298,879
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 80,000 80,200
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 190,000 193,325
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 45,900
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 633,675
NRG Yield Operating, LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 85,000 85,638
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 170,000 180,967
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 122,136
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 85,000 86,343
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 58,000 55,970
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 201,985
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 90,000 54,900
4,645,879
Total corporate bonds and notes (cost $100,969,203) $97,390,199

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.7%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,020,000 $1,971,520
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 4,326,000 4,382,151
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 1,750,000 1,645,000
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 420,000 438,819
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) (units) BRL 1,500 458,360
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $725,000 725,000
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 848,092 829,010
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina) 1,850,000 1,813,000
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 170,000,000 282,916
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) $200,000 211,000
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 225,000 237,094
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 265,000 285,869
Dominican (Republic of) 144A sr. unsec. notes 5 1/2s, 2025 (Dominican Republic) 725,000 726,813
Egypt (Government of) 144A sr. unsec. notes 5 7/8s, 2025 (Egypt) 200,000 195,000
Gabon (Republic of) 144A sr. unsec. bonds 6.95s, 2025 (Gabon) 900,000 892,125
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 203,000 209,090
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 691,585 631,071
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 1,479,000 904,896
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 1,793,000 1,118,818
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 7,366,492 3,471,108
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 3,898,000 1,894,718
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $560,000 526,400
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 200,000 203,540
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 200,000 195,750
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 1,725,000 825,844
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,285,000 835,250
Total foreign government and agency bonds and notes (cost $34,549,976) $25,910,162

SENIOR LOANS (2.2%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $250,000 $249,688
Asurion, LLC bank term loan FRN 8 1/2s, 2021 139,000 140,946
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 143,420 143,520
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 103,950 100,312
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 136,799 135,895
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 222,703 214,862
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 851,175 761,345
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 1/2s, 2017 69,650 60,561
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 257,400 217,503
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021 147,138 142,907
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 104,909 103,860
Dell International, LLC bank term loan FRN Ser. B2, 4s, 2020 63,416 63,337
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 289,838 290,723
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 140,935 138,645
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 210,303 155,887
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.185s, 2021 222,188 222,049
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.935s, 2019 323,000 297,631
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 58,716 58,452
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 427,596 426,313
Jeld-Wen, Inc. bank term loan FRN Ser. B , 5s, 2022 105,000 105,000
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 75,000 74,414
Level 3 Financing, Inc. bank term loan FRN Ser. B2, 5s, 2022 130,000 128,984
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 84,150 84,097
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 111,606 111,606
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 285,533 283,651
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 79,200 77,495
Par Pharmaceutical Cos., Inc. bank term loan FRN Class B2, 4s, 2019 84,228 84,070
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 118,800 117,951
Restaurant Brands International, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 (Canada) 161,467 161,266
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 164,536 164,382
ROC Finance, LLC bank term loan FRN 5s, 2019 258,045 252,239
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 60,000 58,800
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 119,697 116,705
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.671s, 2017 496,516 284,256
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.671s, 2017 5,096 2,917
TransDigm, Inc. bank term loan FRN Ser. E, 3 1/2s, 2022 39,905 39,392
Univision Communications, Inc. bank term loan FRN 4s, 2020 303,514 301,238
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020 104,487 104,095
Visteon Corp. bank term loan FRN Class B, 3 1/2s, 2021 55,417 55,330
Total senior loans (cost $6,933,887) $6,532,324

PURCHASED SWAP OPTIONS OUTSTANDING (1.3%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     (2.0875)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.0875 $10,085,200 $343,502
     (2.685)/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.685 20,151,100 188,816
     2.474/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.474 18,160,000 134,384
     (1.548)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.548 90,800,000 121,672
     2.434/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.434 18,160,000 101,333
     2.391/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.391 36,320,000 97,338
     2.2575/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.2575 18,594,100 27,519
     2.1325/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.1325 18,594,100 7,252
     2.151/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.151 36,320,000 36
Citibank, N.A.
     2.493/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.493 17,622,400 186,269
     2.403/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.403 17,622,400 118,070
     (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 36,706,100 88,829
     2.368/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.368 18,160,000 37,228
     2.268/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.268 18,160,000 9,262
Credit Suisse International
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 3,987,800 427,971
     2.44375/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.44375 35,244,800 329,539
     2.43375/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.43375 35,244,800 278,081
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 3,987,800 271,390
     (2.70125)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.70125 35,244,800 88,817
Goldman Sachs International
     2.4575/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.4575 35,244,800 331,654
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 3,681,050 271,846
     (2.7475)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.7475 35,244,800 85,292
     (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 36,706,100 75,982
     (2.5705)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.5705 36,320,000 48,669
     2.06625/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.06625 38,844,000 2,331
JPMorgan Chase Bank N.A.
     0.98/3 month USD-LIBOR-BBA/Sep-17 Sep-15/0.98 46,204,700 66,535
Total purchased swap options outstanding (cost $3,799,788) $3,739,617

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Aug-15/$99.02 $15,200,000 $145,494
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/101.86 19,000,000 684
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/103.42 19,000,000 19
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-15/99.13 19,000,000 207,157
Total purchased options outstanding (cost $639,766) $353,354

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 177 $178,853
M/I Homes, Inc. Ser. A, $2.438 pfd. 4,100 108,568
Total preferred stocks (cost $244,090) $287,421

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $100,000 $120,500
Total convertible bonds and notes (cost $103,930) $120,500

COMMON STOCKS (0.0%)(a)
Shares Value
Connacher Oil and Gas, Ltd. (Canada)(NON) 6,021 $9,400
Connacher Oil and Gas, Ltd. (Canada)(NON) 1,436 2,373
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 9,978 399
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 9,978 399
Tribune Co. Class 1C(F) 40,066 10,017
Total common stocks (cost $332,099) $22,588

SHORT-TERM INVESTMENTS (10.4%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.10%(AFF) Shares 18,186,808 $18,186,808
SSgA Prime Money Market Fund Class N 0.04%(P) Shares 340,000 340,000
U.S. Treasury Bills 0.00%, October 15, 2015(SEGCCS) 315,000 314,981
U.S. Treasury Bills 0.01%, July 9, 2015(SEG)(SEGSF)(SEGCCS) 2,200,000 2,199,996
U.S. Treasury Bills 0.01%, November 5, 2015(SEGSF)(SEGCCS) 840,000 839,940
U.S. Treasury Bills 0.02%, August 13, 2015(SEGSF)(SEGCCS) 2,942,000 2,941,946
U.S. Treasury Bills 0.02%, August 20, 2015(SEG)(SEGSF)(SEGCCS) 1,717,000 1,716,964
U.S. Treasury Bills 0.02%, September 10, 2015(SEG) 100,000 100,003
U.S. Treasury Bills 0.02%, September 17, 2015(SEGSF) 110,000 110,000
U.S. Treasury Bills 0.03%, August 6, 2015(SEGSF) 90,000 89,998
U.S. Treasury Bills 0.03%, July 2, 2015(SEGCCS) 590,000 590,000
U.S. Treasury Bills 0.03%, November 12, 2015(SEGCCS) 25,000 24,997
U.S. Treasury Bills 0.10%, July 23, 2015(SEG)(SEGSF)(SEGCCS) 3,368,000 3,367,793
Total short-term investments (cost $30,823,464) $30,823,426

TOTAL INVESTMENTS
Total investments (cost $420,968,886)(b) $413,313,031













FORWARD CURRENCY CONTRACTS at 6/30/15 (aggregate face value $134,038,833) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/15/15 $625,195 $615,652 $9,543
British Pound Buy 9/16/15 937,838 910,471 27,367
Canadian Dollar Buy 7/15/15 44,828 103,449 (58,621)
Chilean Peso Sell 7/15/15 362,080 374,515 12,435
Euro Sell 9/16/15 1,225,181 1,205,538 (19,643)
Mexican Peso Buy 7/15/15 1,473,449 1,515,498 (42,049)
New Zealand Dollar Sell 7/15/15 1,437,613 1,496,026 58,413
Norwegian Krone Buy 9/16/15 153,713 154,576 (863)
Swedish Krona Sell 9/16/15 1,531,975 1,524,279 (7,696)
Barclays Bank PLC
Australian Dollar Buy 7/15/15 1,427,335 1,469,704 (42,369)
British Pound Buy 9/16/15 60,932 29,101 31,831
Canadian Dollar Sell 7/15/15 572,200 527,983 (44,217)
Euro Sell 9/16/15 482,908 476,610 (6,298)
Japanese Yen Buy 8/19/15 83,025 85,083 (2,058)
Mexican Peso Buy 7/15/15 1,432,450 1,482,049 (49,599)
New Zealand Dollar Sell 7/15/15 3,414,628 3,693,409 278,781
Norwegian Krone Buy 9/16/15 1,444,413 1,449,720 (5,307)
Singapore Dollar Sell 8/19/15 1,576,392 1,598,865 22,473
Swedish Krona Sell 9/16/15 3,167,021 3,131,895 (35,126)
Swiss Franc Buy 9/16/15 1,205,860 1,193,675 12,185
Citibank, N.A.
Australian Dollar Sell 7/15/15 131,994 132,066 72
Brazilian Real Buy 7/2/15 209,128 212,276 (3,148)
Brazilian Real Sell 7/2/15 209,123 197,287 (11,836)
Brazilian Real Sell 10/2/15 202,378 205,499 3,121
British Pound Buy 9/16/15 622,346 613,215 9,131
Canadian Dollar Buy 7/15/15 326,846 376,078 (49,232)
Chilean Peso Buy 7/15/15 49,051 51,543 (2,492)
Danish Krone Buy 9/16/15 52,118 52,084 34
Euro Buy 9/16/15 2,584,844 2,591,293 (6,449)
Japanese Yen Sell 8/19/15 994,555 1,015,605 21,050
Mexican Peso Buy 7/15/15 1,435,654 1,485,462 (49,808)
New Zealand Dollar Sell 7/15/15 1,043,740 1,140,367 96,627
Norwegian Krone Buy 9/16/15 779,500 783,056 (3,556)
Philippine Peso Buy 8/19/15 740,651 747,991 (7,340)
Swedish Krona Sell 9/16/15 789,717 775,619 (14,098)
Swiss Franc Buy 9/16/15 1,401,097 1,387,181 13,916
Credit Suisse International
Australian Dollar Buy 7/15/15 1,505,590 1,565,017 (59,427)
British Pound Buy 9/16/15 1,767,790 1,736,372 31,418
Canadian Dollar Sell 7/15/15 429,229 326,399 (102,830)
Euro Sell 9/16/15 160,820 135,482 (25,338)
Indian Rupee Buy 8/19/15 1,601,418 1,579,883 21,535
Japanese Yen Sell 8/19/15 53 54 1
New Zealand Dollar Sell 7/15/15 2,093,030 2,256,018 162,988
Norwegian Krone Buy 9/16/15 329,108 330,116 (1,008)
Singapore Dollar Sell 8/19/15 1,558,140 1,580,341 22,201
Swedish Krona Sell 9/16/15 3,834,637 3,825,609 (9,028)
Swiss Franc Buy 9/16/15 823,108 814,684 8,424
Deutsche Bank AG
Australian Dollar Sell 7/15/15 644,702 606,016 (38,686)
British Pound Buy 9/16/15 907,844 874,392 33,452
Canadian Dollar Sell 7/15/15 1,457,476 1,393,162 (64,314)
Euro Sell 9/16/15 605,559 595,704 (9,855)
New Zealand Dollar Buy 7/15/15 585,293 736,584 (151,291)
Norwegian Krone Sell 9/16/15 482,872 485,337 2,465
Polish Zloty Sell 9/16/15 810,403 823,985 13,582
Swedish Krona Sell 9/16/15 15,477 15,194 (283)
Swiss Franc Sell 9/16/15 155,546 154,052 (1,494)
Turkish Lira Buy 9/16/15 219,890 218,542 1,348
Goldman Sachs International
Australian Dollar Buy 7/15/15 757,112 744,385 12,727
British Pound Buy 9/16/15 807,966 784,216 23,750
Canadian Dollar Sell 7/15/15 1,313,625 1,275,726 (37,899)
Euro Buy 9/16/15 53,234 54,084 (850)
Japanese Yen Buy 8/19/15 4,419 4,512 (93)
New Zealand Dollar Sell 7/15/15 156,493 71,864 (84,629)
Norwegian Krone Sell 9/16/15 1,237,302 1,243,772 6,470
South African Rand Buy 7/15/15 19,576 19,340 236
Swedish Krona Buy 9/16/15 8,494 8,346 148
HSBC Bank USA, National Association
Australian Dollar Buy 7/15/15 54,124 53,207 917
British Pound Buy 9/16/15 779,857 756,863 22,994
Canadian Dollar Sell 7/15/15 1,393,995 1,336,566 (57,429)
Euro Sell 9/16/15 2,652,587 2,567,155 (85,432)
Japanese Yen Sell 8/19/15 1,529,710 1,515,994 (13,716)
New Zealand Dollar Buy 7/15/15 675,723 738,323 (62,600)
Swedish Krona Sell 9/16/15 150,676 147,996 (2,680)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/15/15 1,584,925 1,563,006 21,919
British Pound Sell 9/16/15 278,430 299,847 21,417
Canadian Dollar Buy 7/15/15 583,006 641,100 (58,094)
Euro Sell 9/16/15 3,313,278 3,261,289 (51,989)
Indian Rupee Buy 8/19/15 101,130 100,038 1,092
Japanese Yen Sell 8/19/15 213,174 212,624 (550)
Mexican Peso Buy 7/15/15 1,410,870 1,459,360 (48,490)
New Zealand Dollar Sell 7/15/15 2,602,785 2,776,225 173,440
Norwegian Krone Buy 9/16/15 2,558,980 2,571,606 (12,626)
Philippine Peso Buy 8/19/15 740,649 745,573 (4,924)
Singapore Dollar Sell 8/19/15 1,487,434 1,498,672 11,238
South African Rand Buy 7/15/15 406,149 406,987 (838)
South Korean Won Sell 8/19/15 49,131 50,546 1,415
Swedish Krona Sell 9/16/15 2,779,129 2,755,655 (23,474)
Swiss Franc Buy 9/16/15 188,265 186,336 1,929
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 7/15/15 1,940,429 1,978,506 (38,077)
British Pound Sell 9/16/15 274,348 304,834 30,486
Canadian Dollar Buy 7/15/15 18,091 100,022 (81,931)
Euro Sell 9/16/15 2,767,427 2,743,927 (23,500)
Japanese Yen Sell 8/19/15 1,466,931 1,506,830 39,899
New Zealand Dollar Sell 7/15/15 2,177,098 2,315,535 138,437
Norwegian Krone Buy 9/16/15 1,733,542 1,736,984 (3,442)
Singapore Dollar Sell 8/19/15 1,509,988 1,503,117 (6,871)
Swedish Krona Sell 9/16/15 3,038,831 3,002,192 (36,639)
State Street Bank and Trust Co.
Australian Dollar Buy 7/15/15 1,226,878 1,233,814 (6,936)
Brazilian Real Buy 7/2/15 1,514,039 1,507,059 6,980
Brazilian Real Sell 7/2/15 1,514,039 1,537,329 23,290
Brazilian Real Buy 10/2/15 1,465,171 1,488,945 (23,774)
British Pound Buy 9/16/15 399,665 387,934 11,731
Canadian Dollar Sell 7/15/15 915,375 857,608 (57,767)
Chilean Peso Buy 7/15/15 1,501,063 1,520,211 (19,148)
Euro Sell 9/16/15 2,183,295 2,146,938 (36,357)
Hungarian Forint Buy 9/16/15 1,465,334 1,482,186 (16,852)
Japanese Yen Sell 8/19/15 953,236 982,393 29,157
New Zealand Dollar Sell 7/15/15 709,499 690,462 (19,037)
Norwegian Krone Buy 9/16/15 27,234 27,437 (203)
Singapore Dollar Sell 8/19/15 2,786,936 2,789,057 2,121
Swedish Krona Sell 9/16/15 462,451 471,458 9,007
Swiss Franc Buy 9/16/15 1,145,036 1,133,436 11,600
Turkish Lira Sell 9/16/15 218,794 217,429 (1,365)
UBS AG
Australian Dollar Buy 7/15/15 2,051,837 2,078,147 (26,310)
British Pound Buy 9/16/15 501,740 486,921 14,819
Canadian Dollar Sell 7/15/15 1,600,045 1,573,150 (26,895)
Chilean Peso Buy 7/15/15 1,846 1,923 (77)
Euro Sell 9/16/15 2,568,772 2,562,892 (5,880)
Israeli Shekel Buy 7/15/15 1,562,665 1,544,720 17,945
Israeli Shekel Sell 7/15/15 1,570,641 1,527,930 (42,711)
Japanese Yen Buy 8/19/15 819,346 836,785 (17,439)
New Zealand Dollar Buy 7/15/15 526,202 658,517 (132,315)
Norwegian Krone Buy 9/16/15 19,403 19,485 (82)
Swedish Krona Buy 9/16/15 14,112 13,840 272
WestPac Banking Corp.
Australian Dollar Buy 7/15/15 103,004 133,681 (30,677)
Canadian Dollar Sell 7/15/15 757,516 747,307 (10,209)
Euro Sell 9/16/15 1,998,703 1,966,605 (32,098)
New Zealand Dollar Buy 7/15/15 1,339,534 1,464,035 (124,501)
South Korean Won Buy 8/19/15 46,938 48,376 (1,438)
Total $(764,374)












FUTURES CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bund 10 yr (Long) 82 $13,895,485             Sep-15 $90,498
Euro-Buxl 30 yr (Short) 5 $828,556             Sep-15 13,810
U.S. Treasury Bond 30 yr (Short) 6 905,063             Sep-15 (15,324)
U.S. Treasury Bond Ultra 30 yr (Long) 24 3,697,500             Sep-15 (108,106)
U.S. Treasury Note 10 yr (Short) 108 13,626,563             Sep-15 81,559
Total $62,437












WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/15 (premiums $4,524,945) (Unaudited)


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

Bank of America N.A.
(2.281)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.281 $18,160,000 $726
1.798/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.798 90,800,000 53,572
1.278/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.278 22,700,000 67,192
(2.3825)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.3825 18,594,100 80,327
2.955/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.955 40,302,200 141,058
1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66 20,170,400 153,900
(2.541)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.541 18,160,000 183,416
(2.604)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.604 18,160,000 280,209

Citibank, N.A.
2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587 36,706,100 34,504
2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387 36,706,100 50,654
(2.468)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.468 18,160,000 104,783
(2.583)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.583 17,622,400 274,557

Credit Suisse International
2.5675/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.5675 17,622,400 99,919
(2.5675)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.5675 17,622,400 257,992
(2.60)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.60 17,622,400 305,396
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 3,987,800 619,202

Goldman Sachs International
(1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885 3,681,050 11,227
2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625 73,412,200 71,210
2.6025/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.6025 17,622,400 97,276
(2.6025)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.6025 17,622,400 301,519

JPMorgan Chase Bank N.A.
(0.83)/3 month USD-LIBOR-BBA/Sep-17 Sep-15/0.83 46,204,700 22,178
(0.905)/3 month USD-LIBOR-BBA/Sep-17 Sep-15/0.905 46,204,700 40,660
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 6,568,000 888,453
Total $4,139,930












WRITTEN OPTIONS OUTSTANDING at 6/30/15 (premiums $649,688) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/$102.64 $38,000,000 $38
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-15/97.13 38,000,000 134,520
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-15/96.13 19,000,000 39,159
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-15/99.86 10,000,000 57,220
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-15/102.48 19,000,000 146,699
Total $377,636













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Bank of America N.A.
     (2.594)/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-15/2.594 $35,244,800 $(158,602) $26,786
     2.454/3 month USD-LIBOR-BBA/Jul-25 (Written) Jul-15/2.454 17,622,400 156,399 (29,429)

JPMorgan Chase Bank N.A.
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 5,037,775 (134,045) 36,675
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 5,037,775 (141,058) 13,552
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 9,176,100 (60,672) (40,834)
     2.2325/3 month USD-LIBOR-BBA/Aug-25 (Purchased) Aug-15/2.2325 18,160,000 (99,880) (48,306)
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 5,037,775 (123,441) (53,048)
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 5,037,775 (128,005) (65,491)
     2.3675/3 month USD-LIBOR-BBA/Aug-25 (Purchased) Aug-15/2.3675 18,160,000 (179,784) (67,918)
     1.963/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-15/1.963 19,422,000 (85,457) (85,457)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 18,352,200 (128,924) (87,907)
     2.079/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-15/2.079 19,422,000 (143,723) (143,723)
     (2.195)/3 month USD-LIBOR-BBA/Jul-25 (Written) Jul-15/2.195 19,422,000 226,266 226,266
     (2.5025)/3 month USD-LIBOR-BBA/Aug-25 (Written) Aug-15/2.5025 18,160,000 279,664 67,737
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 36,704,400 117,454 54,543
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 22,065,500 146,184 45,808
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 22,065,500 141,058 28,994
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 18,352,200 56,194 25,143
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 22,065,500 127,038 23,389
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 22,065,500 125,773 6,399
Total $(7,561) $(66,821)












TBA SALE COMMITMENTS OUTSTANDING at 6/30/15 (proceeds receivable $2,060,313) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3 1/2s, July 1, 2045 $2,000,000       7/14/15 $2,060,781
Total $2,060,781















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Deutsche Bank AG
BRL 24,803,354 $—      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% $(76,905)
ILS 1,152,000 —      6/26/25 2.39% 3 month TELBOR03 780
ILS 1,152,000 —      6/29/25 2.404% 3 month TELBOR03 500
ILS 3,456,000 —      7/1/25 2.4517% 3 month TELBOR03 (2,276)
ILS 4,608,000 —      7/2/25 2.45625% 3 month TELBOR03 3,423
PLN 9,968,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (262,984)
PLN 4,970,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (133,327)
PLN 4,165,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (106,875)
PLN 1,239,000 —      6/26/25 6 month PLN-WIBOR-WIBO 2.89% (2,616)
PLN 1,239,000 —      6/29/25 6 month PLN-WIBOR-WIBO 2.88% (2,946)
PLN 3,717,000 —      6/30/25 6 month PLN-WIBOR-WIBO 2.87% (9,718)
PLN 3,717,000 —      7/1/25 6 month PLN-WIBOR-WIBO 3.0266% 3,608
PLN 3,717,000 —      7/2/25 6 month PLN-WIBOR-WIBO 3.00% 1,284
ZAR 18,686,000 —      1/26/25 3 month ZAR-JIBAR-SAFEX 7.09% (116,940)
ZAR 12,457,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.08% (78,376)

Goldman Sachs International
KRW 1,462,000,000 —      11/6/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 13,374

JPMorgan Chase Bank N.A.
BRL 25,053,070 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (143,110)
BRL 10,892,123 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (2,032)
PLN 1,415,000 —      3/12/25 2.42% 6 month PLN-WIBOR-WIBO 16,514
ZAR 12,924,000 —      1/22/25 3 month ZAR-JIBAR-SAFEX 7.14% (76,925)
ZAR 38,772,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.0633% (247,556)
ZAR 8,367,000 —      3/10/25 3 month ZAR-JIBAR-SAFEX 7.91% (16,832)
Total$—     $(1,239,935)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$14,817,000 (E) $(119)     12/16/18 2.3795% 3 month USD-LIBOR-BBA $(359,920)
4,939,000 (E) (40)     12/16/18 2.337% 3 month USD-LIBOR-BBA (113,790)
8,788,000 (E) (71)     12/16/18 2.0025% 3 month USD-LIBOR-BBA (115,870)
17,960,000 (E) (9,380)     12/16/18 1.9525% 3 month USD-LIBOR-BBA (219,601)
14,584,000 (E) (117)     12/16/18 1.813% 3 month USD-LIBOR-BBA (110,883)
49,409,000 221,142      6/17/20 1.80% 3 month USD-LIBOR-BBA 101,124
20,593,000 (E) (166)     12/16/18 3 month USD-LIBOR-BBA 1.41% (88,221)
13,268,600 (E) 56,155      4/20/19 3 month USD-LIBOR-BBA 1.85% (6,698)
3,321,800 (E) (112,200)     4/20/27 2.415% 3 month USD-LIBOR-BBA 35,640
18,056,200 (130,243)     7/1/25 2.2125% 3 month USD-LIBOR-BBA 249,461
18,056,200 (79,686)     7/1/25 2.325% 3 month USD-LIBOR-BBA 114,725
18,056,200 209,214      7/1/25 3 month USD-LIBOR-BBA 2.10% (355,783)
19,262,400 (E) (188,732)     9/16/25 3 month USD-LIBOR-BBA 2.60% (30,491)
124,466,000 (E) 298,352      9/16/20 2.00% 3 month USD-LIBOR-BBA (445,954)
6,843,000 (90)     6/30/25 3 month USD-LIBOR-BBA 2.54249% 63,240
302,317,000 (E) 338,851      9/16/17 1.25% 3 month USD-LIBOR-BBA (860,440)
11,467,000 (E) (465,733)     9/16/45 3 month USD-LIBOR-BBA 3.10% (109,177)
95,080,000 84,331      6/18/17 0.955% 3 month USD-LIBOR-BBA (53,896)
45,884,000 (172)     6/30/17 0.93813% 3 month USD-LIBOR-BBA (41,432)
6,843,114 (90)     6/30/25 3 month USD-LIBOR-BBA 2.54563% 65,206
45,884,000 (172)     6/30/17 0.93999% 3 month USD-LIBOR-BBA (43,133)
4,957,000 (65)     7/2/25 2.46033% 3 month USD-LIBOR-BBA (6,519)
AUD 1,846,000 (19)     3/23/25 6 month AUD-BBR-BBSW 2.765% (67,552)
AUD 2,447,000 (25)     3/30/25 2.77% 6 month AUD-BBR-BBSW 88,730
AUD 1,866,000 (20)     5/19/25 6 month AUD-BBR-BBSW 3.1575% (21,793)
AUD 1,188,000 (12)     5/22/25 3.215% 6 month AUD-BBR-BBSW 9,400
AUD 1,448,000 (15)     6/1/25 3.045% 6 month AUD-BBR-BBSW 28,534
AUD 1,360,000 (14)     6/5/25 3.325% 6 month AUD-BBR-BBSW 1,363
AUD 1,500,000 (15)     6/11/25 3.385% 6 month AUD-BBR-BBSW (4,102)
AUD 2,784,000 (28)     6/16/25 3.373% 6 month AUD-BBR-BBSW (4,918)
AUD 1,415,000 (14)     6/19/25 3.26% 6 month AUD-BBR-BBSW 8,343
AUD 1,451,000 (15)     7/1/25 3.305% 6 month AUD-BBR-BBSW 4,426
CAD 2,006,000 (21)     3/20/25 1.7775% 3 month CAD-BA-CDOR 49,023
CAD 10,079,000 (106)     3/26/25 3 month CAD-BA-CDOR 1.865% (183,591)
CAD 1,241,000 (13)     4/1/25 3 month CAD-BA-CDOR 1.77% (31,807)
CAD 1,541,000 (16)     4/8/25 1.83% 3 month CAD-BA-CDOR 33,042
CAD 20,912,000 (62)     6/17/17 0.92% 3 month CAD-BA-CDOR (3,555)
CAD 23,960,000 (178)     6/17/20 3 month CAD-BA-CDOR 1.24% (90,048)
CAD 919,000 (10)     4/17/25 1.89% 3 month CAD-BA-CDOR 15,966
CAD 3,674,000 (40)     4/17/25 1.91875% 3 month CAD-BA-CDOR 55,922
CAD 3,262,000 (35)     4/17/25 1.89375% 3 month CAD-BA-CDOR 55,756
CAD 8,225,000 (97)     6/17/25 2.253% 3 month CAD-BA-CDOR (54,871)
CAD 1,353,000 (15)     5/19/25 3 month CAD-BA-CDOR 2.195% 5,092
CAD 3,928,000 (42)     5/21/25 3 month CAD-BA-CDOR 2.1875% 12,279
CAD 1,484,000 (16)     6/9/25 2.3075% 3 month CAD-BA-CDOR (16,548)
CAD 1,611,000 (17)     5/26/25 2.1925% 3 month CAD-BA-CDOR (5,257)
CAD 1,269,000 (13)     5/28/25 2.093% 3 month CAD-BA-CDOR 5,401
CAD 1,515,000 (16)     6/1/25 2.03% 3 month CAD-BA-CDOR 13,916
CAD 1,567,000 (17)     6/12/25 2.28625% 3 month CAD-BA-CDOR (14,742)
CAD 1,536,000 (16)     6/15/25 2.21375% 3 month CAD-BA-CDOR (5,872)
CAD 1,380,000 (15)     6/24/25 3 month CAD-BA-CDOR 2.247% 8,061
CAD 2,437,000 (26)     6/29/25 3 month CAD-BA-CDOR 2.255% 15,052
CAD 1,490,000 (16)     6/29/25 3 month CAD-BA-CDOR 2.27% 10,870
CHF 1,245,000 (16)     3/20/25 6 month CHF-LIBOR-BBA 0.1775% (22,586)
CHF 840,000 (11)     3/23/25 6 month CHF-LIBOR-BBA 0.1675% (16,371)
CHF 610,000 (8)     3/26/25 6 month CHF-LIBOR-BBA 0.1525% (12,961)
CHF 3,573,000 (49)     4/2/25 6 month CHF-LIBOR-BBA 0.182% (65,575)
CHF 1,299,000 (18)     4/10/25 0.16875% 6 month CHF-LIBOR-BBA 26,255
CHF 14,160,000 (57)     5/5/17 6 month CHF-LIBOR-BBA 0.60875% (50,109)
CHF 2,800,000 (39)     5/5/25 6 month CHF-LIBOR-BBA 0.22% (45,608)
CHF 2,800,000 (40)     5/19/25 0.29% 6 month CHF-LIBOR-BBA 26,840
CHF 14,160,000 (58)     5/19/17 0.63% 6 month CHF-LIBOR-BBA 42,255
CHF 1,443,000 (20)     5/26/25 0.28% 6 month CHF-LIBOR-BBA 16,020
CHF 1,401,000 (20)     5/26/25 0.2725% 6 month CHF-LIBOR-BBA 16,682
CHF 700,000 (10)     5/28/25 6 month CHF-LIBOR-BBA 0.2425% (10,659)
CHF 800,000 (11)     6/2/25 6 month CHF-LIBOR-BBA 0.2475% (11,964)
CHF 794,000 (11)     6/11/25 6 month CHF-LIBOR-BBA 0.46% 5,788
CHF 736,000 (10)     6/17/25 0.40% 6 month CHF-LIBOR-BBA (409)
CHF 680,000 (10)     6/24/25 6 month CHF-LIBOR-BBA 0.45% 3,789
CHF 782,000 (11)     6/26/25 6 month CHF-LIBOR-BBA 0.39% (803)
CHF 682,000 (10)     7/2/25 0.40875% 6 month CHF-LIBOR-BBA (462)
EUR 2,520,000 (E) 9,713      9/16/45 6 month EUR-EURIBOR-Telerate 1.75% 34,888
EUR 2,587,000 (E) 3,951      9/16/17 0.25% 6 month EUR-EURIBOR-Telerate (1,779)
EUR 25,108,000 (E) 228,467      9/16/20 6 month EUR-EURIBOR-Telerate 0.50% 151,462
EUR 16,798,000 (E) (35,319)     9/16/25 1.25% 6 month EUR-EURIBOR-Telerate (120,829)
EUR 9,960,000 (E) (5,060)     9/16/35 1.75% 6 month EUR-EURIBOR-Telerate (165,279)
GBP 2,000 (E) 228      9/16/45 2.75% 6 month GBP-LIBOR-BBA (42)
GBP 8,000 (E) 137      9/16/20 2.00% 6 month GBP-LIBOR-BBA 5
GBP 2,145,000 (E) 20,743      9/16/25 2.25% 6 month GBP-LIBOR-BBA 2,648
JPY 32,455,000 (11)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 22,934
JPY 63,551,000 (21)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 44,416
JPY 1,780,000,000 (70)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 65,041
JPY 389,500,000 (68)     3/14/44 1.795% 6 month JPY-LIBOR-BBA (272,772)
JPY 31,464,000 (6)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 22,320
JPY 36,000,000 (11)     11/7/44 6 month JPY-LIBOR-BBA 1.5025% 2,238
JPY 215,000,000 (65)     11/7/44 6 month JPY-LIBOR-BBA 1.495% 9,999
JPY 1,119,000,000 (80)     11/7/19 0.2475% 6 month JPY-LIBOR-BBA (1,312)
JPY 661,000,000 (47)     11/7/19 0.25% 6 month JPY-LIBOR-BBA (1,379)
JPY 11,030,000 (3)     11/7/44 6 month JPY-LIBOR-BBA 1.4975% 571
JPY 511,900,000 (30)     2/19/20 6 month JPY-LIBOR-BBA 1.3975% 227,884
JPY 38,691,000 (4)     5/1/25 0.51% 6 month JPY-LIBOR-BBA 3,356
JPY 1,250,832,000 (75)     5/20/25 0.583% 6 month JPY-LIBOR-BBA 41,039
JPY 1,004,624,000 (60)     5/26/25 6 month JPY-LIBOR-BBA 0.595% (25,353)
JPY 370,258,000 (40)     5/26/25 0.614% 6 month JPY-LIBOR-BBA 3,609
JPY 312,363,000 (18)     6/4/25 6 month JPY-LIBOR-BBA 0.619% (2,451)
JPY 305,264,000 (32)     6/8/25 0.6725% 6 month JPY-LIBOR-BBA (10,437)
JPY 333,749,000 (35)     6/10/25 0.674% 6 month JPY-LIBOR-BBA (11,687)
JPY 333,817,000 (35)     6/12/25 0.6775% 6 month JPY-LIBOR-BBA (12,458)
JPY 938,231,000 (55)     6/17/25 6 month JPY-LIBOR-BBA 0.689% 42,295
JPY 283,180,000 (17)     6/25/25 0.622% 6 month JPY-LIBOR-BBA 3,131
JPY 1,004,624,000 (59)     7/2/25 6 month JPY-LIBOR-BBA 0.6325% (1,253)
NOK 6,372,000 (11)     6/25/25 2.3775% 6 month NOK-NIBOR-NIBR 705
NOK 6,081,000 (10)     6/29/25 6 month NOK-NIBOR-NIBR 2.37% (1,342)
NOK 6,084,000 (10)     7/2/25 6 month NOK-NIBOR-NIBR 2.375% (997)
NZD 4,701,000 (47)     4/23/25 3 month NZD-BBR-FRA 3.7275% (42,692)
NZD 1,778,000 (17)     4/8/25 3 month NZD-BBR-FRA 3.675% (21,116)
NZD 10,639,000 (107)     4/9/25 3.675% 3 month NZD-BBR-FRA 126,133
NZD 1,645,000 (16)     4/10/25 3.7275% 3 month NZD-BBR-FRA 14,600
NZD 4,760,000 (48)     4/22/25 3 month NZD-BBR-FRA 3.705% (49,238)
NZD 1,213,000 (12)     5/22/25 3 month NZD-BBR-FRA 4.0075% 7,877
NZD 3,799,000 (36)     5/25/25 3.985% 3 month NZD-BBR-FRA (19,549)
NZD 1,231,000 (12)     6/12/25 4.1425% 3 month NZD-BBR-FRA (17,223)
NZD 1,009,000 (9)     6/26/25 3 month NZD-BBR-FRA 3.975% 4,305
NZD 1,243,000 (11)     7/2/25 3.9025% 3 month NZD-BBR-FRA (187)
NZD 994,000 (10)     5/29/25 3 month NZD-BBR-FRA 3.99% 5,338
NZD 1,058,000 (10)     6/16/25 3 month NZD-BBR-FRA 4.045% 8,871
NZD 1,497,000 (14)     6/17/25 3 month NZD-BBR-FRA 4.025% 10,848
NZD 2,464,000 (23)     6/17/25 3 month NZD-BBR-FRA 4.02% 17,159
NZD 1,307,000 (12)     6/22/25 3 month NZD-BBR-FRA 3.895% (197)
NZD 959,000 (9)     6/25/25 3.955% 3 month NZD-BBR-FRA (3,031)
NZD 1,046,000 (9)     7/2/25 3.905% 3 month NZD-BBR-FRA (305)
NZD 2,486,000 (22)     7/2/25 3.9525% 3 month NZD-BBR-FRA (7,391)
SEK 12,370,000 (20)     5/19/25 3 month SEK-STIBOR-SIDE 1.3225% (35,934)
SEK 18,921,000 (31)     6/23/25 1.5525% 3 month SEK-STIBOR-SIDE 11,576
Total$441,108     $(2,456,755)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$246,460 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $276
442,880 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 233
446,872 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 501
413,702 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 593
1,245,187 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,100)
174,168 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 322
356,947 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 512
2,141,684 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,071
455,386 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 221
1,087,481 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,454)
1,361,397 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,952
414,230 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 766
50,273 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 108
183,828 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 264
229,643 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 258
1,070,842 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,536
907,462 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,716)
1,033,637 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,911
190,869 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 214
1,466,009 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 1,032
5,867,859 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,414
1,281,084 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,837
215,921 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 242
700,012 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 785
507,473 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 569
2,751,794 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,270)
510,850 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (2,517)
408,955 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 73
204,512 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 36
204,512 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 36
410,383 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 73
1,065,853 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 190
410,383 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 73
659,598 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 695
397,292 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 419
404,064 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 579
503,614 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 531
874,268 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,580)
753,269 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,622
108,053 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 233
819,338 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 146
113,975 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (467)
1,814,364 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,194
321,610 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 461
1,443,681 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (534)
1,161,927 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,759)
2,893,773 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,070)
817,799 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,620

Citibank, N.A.
832,758 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,194
1,784,737 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,559
1,558,075 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,234

Credit Suisse International
713,895 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,024
550,937 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,256)
1,109,884 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,170
1,131,523 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 1,992
1,254,313 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 2,208
1,154,879 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,217
391,845 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 145
1,651,587 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 4,820
793,434 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,315
396,717 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,158
1,371,700 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 4,003
810,057 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,605
1,285,113 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,546
1,472,320 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,917

Deutsche Bank AG
550,937 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,256)

Goldman Sachs International
628,589 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 305
248,542 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 535
1,099,385 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 578
1,099,385 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 578
378,563 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,550)
142,211 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (582)
1,053,683 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (1,803)
33,918 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 16
289,134 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 140
731,815 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 43
303,938 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 148
607,877 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 295
18,663 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 40
82,216 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 30
267,205 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,093)
518,570 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,124)
320,577 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,313)
24,654 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (101)
65,699 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (269)
2,564,917 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,348
2,234,296 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,174
528,369 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 195
1,802,941 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,174
3,385,000 —      2/24/25 (2.01%) USA Non Revised Consumer Price Index- Urban (CPI-U) 7,928
2,191,190 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 6,394
1,731,435 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 5,053
800,999 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,337
754,000 —      3/12/25 (1.925%) USA Non Revised Consumer Price Index- Urban (CPI-U) 9,108
GBP 1,961,000 —      2/20/25 (2.895%) GBP Non-revised UK Retail Price Index (64,059)
GBP 436,000 —      3/10/25 (2.8675%) GBP Non-revised UK Retail Price Index (19,545)

JPMorgan Chase Bank N.A.
$3,391,594 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,254
1,939,616 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 717
2,971,086 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,098
1,841,183 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 681
1,802,941 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 3,174
EUR 5,518,000 —      5/25/20 (1.115%) Eurostat Eurozone HICP excluding tobacco 45,283
EUR 5,432,000 —      5/25/25 1.445% Eurostat Eurozone HICP excluding tobacco (63,417)
Total$—     $(37,504)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
          CMBX NA BBB- Index BBB-/P $4,375 $64,000 5/11/63 300 bp $3,965
      CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp 7,595
      CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp 15,604
      CMBX NA BBB- Index BBB-/P 16,587 291,000 5/11/63 300 bp 14,725

Barclays Bank PLC
      CMBX NA BBB- Index BBB-/P 33,591 303,000 5/11/63 300 bp 31,651
      CMBX NA BBB- Index — (774) 74,000 1/17/47 (300 bp) 1,268

Credit Suisse International
      CMBX NA BBB- Index BBB-/P 115 16,000 5/11/63 300 bp 12
      CMBX NA BBB- Index BBB-/P (574) 45,000 5/11/63 300 bp (862)
      CMBX NA BBB- Index BBB-/P (768) 46,000 5/11/63 300 bp (1,063)
      CMBX NA BBB- Index BBB-/P (878) 56,000 5/11/63 300 bp (1,236)
      CMBX NA BBB- Index BBB-/P 428 94,000 5/11/63 300 bp (173)
      CMBX NA BBB- Index BBB-/P 567 97,000 5/11/63 300 bp (54)
      CMBX NA BBB- Index BBB-/P 282 123,000 5/11/63 300 bp (505)
      CMBX NA BBB- Index BBB-/P 2,851 149,000 5/11/63 300 bp 1,897
      CMBX NA BBB- Index BBB-/P 536 164,000 5/11/63 300 bp (514)
      CMBX NA BBB- Index BBB-/P 375 164,000 5/11/63 300 bp (674)
      CMBX NA BBB- Index BBB-/P 269 207,000 5/11/63 300 bp (1,056)
      CMBX NA BBB- Index BBB-/P 20,934 263,000 5/11/63 300 bp 19,251
      CMBX NA BBB- Index BBB-/P 3,135 270,000 5/11/63 300 bp 1,407
      CMBX NA BBB- Index BBB-/P (183) 280,000 5/11/63 300 bp (1,975)
      CMBX NA BBB- Index BBB-/P 20,979 288,000 5/11/63 300 bp 19,136
      CMBX NA BBB- Index BBB-/P 23,988 313,000 5/11/63 300 bp 21,985
      CMBX NA BBB- Index BBB-/P 4,963 323,000 5/11/63 300 bp 2,895
      CMBX NA BBB- Index BBB-/P 37,060 328,000 5/11/63 300 bp 34,961
      CMBX NA BBB- Index BBB-/P 27,130 340,000 5/11/63 300 bp 24,954
      CMBX NA BBB- Index BBB-/P 26,325 340,000 5/11/63 300 bp 24,149
      CMBX NA BBB- Index BBB-/P 22,366 340,000 5/11/63 300 bp 20,190
      CMBX NA BBB- Index BBB-/P 10,467 344,000 5/11/63 300 bp 8,265
      CMBX NA BBB- Index BBB-/P (2,041) 479,000 5/11/63 300 bp (5,107)
      CMBX NA BBB- Index BBB-/P 28,890 704,000 5/11/63 300 bp 24,385
      CMBX NA BBB- Index BBB-/P 194 22,000 1/17/47 300 bp (413)
      CMBX NA BBB- Index BBB-/P 742 42,000 1/17/47 300 bp (417)
      CMBX NA BBB- Index BBB-/P 1,027 42,000 1/17/47 300 bp (133)
      CMBX NA BBB- Index BBB-/P 287 45,000 1/17/47 300 bp (955)
      CMBX NA BBB- Index BBB-/P 224 45,000 1/17/47 300 bp (1,018)
      CMBX NA BBB- Index BBB-/P 179 56,000 1/17/47 300 bp (1,367)
      CMBX NA BBB- Index BBB-/P 179 56,000 1/17/47 300 bp (1,367)
      CMBX NA BBB- Index BBB-/P 1,684 68,000 1/17/47 300 bp (193)
      CMBX NA BBB- Index BBB-/P 2,290 94,000 1/17/47 300 bp (304)
      CMBX NA BBB- Index BBB-/P 317 99,000 1/17/47 300 bp (2,415)
      CMBX NA BBB- Index BBB-/P 212 99,000 1/17/47 300 bp (2,521)
      CMBX NA BBB- Index BBB-/P 177 99,000 1/17/47 300 bp (2,556)
      CMBX NA BBB- Index BBB-/P 199 112,000 1/17/47 300 bp (2,892)
      CMBX NA BBB- Index BBB-/P 366 146,000 1/17/47 300 bp (3,664)
      CMBX NA BBB- Index BBB-/P 5,724 146,000 1/17/47 300 bp 1,694
      CMBX NA BBB- Index BBB-/P 1,782 167,000 1/17/47 300 bp (2,828)
      CMBX NA BBB- Index BBB-/P 523 183,000 1/17/47 300 bp (4,528)
      CMBX NA BBB- Index BBB-/P 588 183,000 1/17/47 300 bp (4,463)
      CMBX NA BBB- Index BBB-/P 2,608 192,000 1/17/47 300 bp (2,691)
      CMBX NA BBB- Index BBB-/P 4,564 193,000 1/17/47 300 bp (762)
      CMBX NA BBB- Index BBB-/P 1,792 229,000 1/17/47 300 bp (4,528)
      CMBX NA BBB- Index BBB-/P 1,630 229,000 1/17/47 300 bp (4,690)
      CMBX NA BBB- Index BBB-/P 1,615 323,000 1/17/47 300 bp (7,300)
      CMBX NA BBB- Index BBB-/P 1,615 323,000 1/17/47 300 bp (7,300)
      CMBX NA BBB- Index BBB-/P 1,476 345,000 1/17/47 300 bp (8,046)
      CMBX NA BBB- Index BBB-/P 4 437,000 1/17/47 300 bp (12,057)
      CMBX NA BBB- Index BBB-/P 1,900 533,000 1/17/47 300 bp (12,811)
      CMBX NA BB Index — (1,881) 360,000 5/11/63 (500 bp) 159
      CMBX NA BB Index — (4,646) 266,000 5/11/63 (500 bp) (3,138)
      CMBX NA BB Index — 2,409 233,000 5/11/63 (500 bp) 3,729
      CMBX NA BB Index — 5,994 227,000 5/11/63 (500 bp) 7,281
      CMBX NA BB Index — 3,449 223,000 5/11/63 (500 bp) 4,712
      CMBX NA BB Index — (1,095) 120,000 5/11/63 (500 bp) (415)
      CMBX NA BB Index — (914) 119,000 5/11/63 (500 bp) (239)
      CMBX NA BB Index — (1,140) 119,000 5/11/63 (500 bp) (466)
      CMBX NA BB Index — 2,240 112,000 5/11/63 (500 bp) 2,874
      CMBX NA BB Index — (386) 106,000 5/11/63 (500 bp) 215
      CMBX NA BB Index — 542 100,000 5/11/63 (500 bp) 1,109
      CMBX NA BB Index — (416) 66,000 5/11/63 (500 bp) (5)
      CMBX NA BB Index — (522) 65,000 5/11/63 (500 bp) (99)
      CMBX NA BB Index — 972 65,000 5/11/63 (500 bp) 1,341
      CMBX NA BB Index — 690 39,000 5/11/63 (500 bp) 911
      CMBX NA BB Index — (1,359) 140,000 1/17/47 (500 bp) 2,038
      CMBX NA BB Index — (5,120) 264,000 5/11/63 (500 bp) (3,624)
      CMBX NA BBB- Index BBB-/P (699) 116,000 5/11/63 300 bp (1,442)
      CMBX NA BBB- Index BBB-/P (1,125) 118,000 5/11/63 300 bp (1,881)
      CMBX NA BBB- Index BBB-/P (643) 190,000 5/11/63 300 bp (1,859)
      CMBX NA BBB- Index BBB-/P 1,473 200,000 5/11/63 300 bp 93
      CMBX NA BBB- Index BBB-/P (1,866) 223,000 5/11/63 300 bp (3,293)
      CMBX NA BBB- Index BBB-/P 2,669 224,000 5/11/63 300 bp 1,236
      CMBX NA BBB- Index BBB-/P 2,227 224,000 5/11/63 300 bp 793
      CMBX NA BBB- Index BBB-/P 10,720 224,000 5/11/63 300 bp 9,287
      CMBX NA BBB- Index BBB-/P (2,153) 230,000 5/11/63 300 bp (3,625)
      CMBX NA BBB- Index BBB-/P (2,304) 230,000 5/11/63 300 bp (3,776)
      CMBX NA BBB- Index BBB-/P (771) 231,000 5/11/63 300 bp (2,249)
      CMBX NA BBB- Index BBB-/P (776) 232,000 5/11/63 300 bp (2,260)
      CMBX NA BBB- Index BBB-/P 639 237,000 5/11/63 300 bp (877)
      CMBX NA BBB- Index BBB-/P 1,536 253,000 5/11/63 300 bp (84)
      CMBX NA BBB- Index BBB-/P 172 258,000 5/11/63 300 bp (1,479)
      CMBX NA BBB- Index BBB-/P (4,715) 261,000 5/11/63 300 bp (6,385)
      CMBX NA BBB- Index BBB-/P 181 261,000 5/11/63 300 bp (1,489)
      CMBX NA BBB- Index BBB-/P 907 262,000 5/11/63 300 bp (769)
      CMBX NA BBB- Index BBB-/P 6,353 267,000 5/11/63 300 bp 4,644
      CMBX NA BBB- Index BBB-/P 1,274 275,000 5/11/63 300 bp (486)
      CMBX NA BBB- Index BBB-/P 1,584 342,000 5/11/63 300 bp (605)
      CMBX NA BBB- Index BBB-/P (3,476) 346,000 5/11/63 300 bp (5,690)
      CMBX NA BBB- Index BBB-/P 652 491,000 5/11/63 300 bp (2,491)
      CMBX NA BBB- Index BBB-/P (10,067) 520,000 5/11/63 300 bp (13,395)
      CMBX NA BBB- Index BBB-/P (8,066) 535,000 5/11/63 300 bp (11,490)
      CMBX NA BBB- Index BBB-/P (6,630) 538,000 5/11/63 300 bp (10,073)
      CMBX NA BBB- Index BBB-/P 857 122,000 1/17/47 300 bp (2,510)
      CMBX NA BBB- Index BBB-/P 1,004 204,000 1/17/47 300 bp (4,626)
      CMBX NA BBB- Index BBB-/P 3,473 277,000 1/17/47 300 bp (4,172)

Goldman Sachs International
      CMBX NA BBB- Index BBB-/P (429) 94,000 5/11/63 300 bp (1,031)
      CMBX NA BBB- Index BBB-/P 245 94,000 5/11/63 300 bp (357)
      CMBX NA BBB- Index BBB-/P (2,303) 333,000 5/11/63 300 bp (4,434)
      CMBX NA BBB- Index BBB-/P 234 30,000 1/17/47 300 bp (594)
      CMBX NA BBB- Index BBB-/P 627 63,000 1/17/47 300 bp (1,111)
      CMBX NA BBB- Index BBB-/P 303 85,000 1/17/47 300 bp (2,043)
      CMBX NA BBB- Index BBB-/P 303 85,000 1/17/47 300 bp (2,043)
      CMBX NA BBB- Index BBB-/P 2,777 103,000 1/17/47 300 bp (65)
      CMBX NA BBB- Index BBB-/P 941 111,000 1/17/47 300 bp (2,123)
      CMBX NA BBB- Index BBB-/P 761 178,000 1/17/47 300 bp (4,152)
      CMBX NA BBB- Index BBB-/P 635 178,000 1/17/47 300 bp (4,278)
      CMBX NA BBB- Index BBB-/P 635 178,000 1/17/47 300 bp (4,278)
      CMBX NA BBB- Index BBB-/P 1,145 292,000 1/17/47 300 bp (6,914)
      CMBX NA BBB- Index BBB-/P 316 293,000 1/17/47 300 bp (7,770)
      CMBX NA BB Index — (2,362) 223,000 5/11/63 (500 bp) (1,101)
      CMBX NA BB Index — (1,143) 119,000 5/11/63 (500 bp) (469)
      CMBX NA BB Index — 2,532 112,000 5/11/63 (500 bp) 3,167
      CMBX NA BB Index — 1,027 61,000 5/11/63 (500 bp) 1,372
      CMBX NA BB Index — 523 51,000 5/11/63 (500 bp) 812
      CMBX NA BB Index — 62 51,000 5/11/63 (500 bp) 351
      CMBX NA BB Index — (1,448) 140,000 1/17/47 (500 bp) 1,949
      CMBX NA BB Index — (146) 73,000 1/17/47 (500 bp) 1,626
      CMBX NA BBB- Index BBB-/P (51) 19,000 5/11/63 300 bp (172)
      CMBX NA BBB- Index BBB-/P (1,286) 118,000 5/11/63 300 bp (2,042)
      CMBX NA BBB- Index BBB-/P (1,791) 223,000 5/11/63 300 bp (3,220)
      CMBX NA BBB- Index BBB-/P 1,354 227,000 5/11/63 300 bp (99)
      CMBX NA BBB- Index BBB-/P (2,143) 229,000 5/11/63 300 bp (3,608)
      CMBX NA BBB- Index BBB-/P (2,297) 229,000 5/11/63 300 bp (3,762)
      CMBX NA BBB- Index BBB-/P (2,297) 229,000 5/11/63 300 bp (3,762)
      CMBX NA BBB- Index BBB-/P (931) 232,000 5/11/63 300 bp (2,416)
      CMBX NA BBB- Index BBB-/P 2,787 244,000 5/11/63 300 bp 1,226
      CMBX NA BBB- Index BBB-/P (4,349) 261,000 5/11/63 300 bp (6,019)
      CMBX NA BBB- Index BBB-/P 5,988 200,000 1/17/47 300 bp 368
      CMBX NA BBB- Index BBB-/P 2,025 263,000 1/17/47 300 bp (5,234)
Total$334,290$57,755
*   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, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
ILS Israeli Shekel
JPY Japanese Yen
KRW South Korean Won
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2014 through June 30, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $296,715,020.
(b) The aggregate identified cost on a tax basis is $426,478,837, resulting in gross unrealized appreciation and depreciation of $8,267,742 and $21,433,548, respectively, or net unrealized depreciation of $13,165,806.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $11,528,830 $107,488,824 $100,830,846 $10,537 $18,186,808
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $166,516,836 to cover certain derivative contracts and delayed delivery securities.
Debt obligations are considered secured unless otherwise indicated.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 85.2%
Argentina 2.8
Greece 1.8
Russia 1.7
Venezuela 1.2
Canada 1.1
Brazil 0.9
Luxembourg 0.8
United Kingdom 0.7
Mexico 0.6
Other 3.2
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts 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”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to a basket of securities, to gain exposure to specific sectors or industries and to gain exposure to rates of inflation in specific regions or 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. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $201,370 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $3,169,657 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,938,941 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals — — 10,017
    Energy 11,773 — 798
Total common stocks 11,773 — 10,815
Convertible bonds and notes $— $120,500 $—
Corporate bonds and notes — 97,390,193 6
Foreign government and agency bonds and notes 25,910,162
Mortgage-backed securities — 136,111,530 3,186,405
Preferred stocks — 287,421 —
Purchased options outstanding — 353,354 —
Purchased swap options outstanding — 3,739,617 —
Senior loans — 6,532,324 —
U.S. government and agency mortgage obligations — 108,724,375 —
U.S. treasury obligations — 111,130 —
Short-term investments 18,526,808 12,296,618 —
Totals by level $18,538,581 $391,577,224 $3,197,226



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(764,374) $—
Futures contracts 62,437 — —
Written options outstanding — (377,636) —
Written swap options outstanding — (4,139,930) —
Forward premium swap option contracts — (66,821) —
TBA sale commitments — (2,060,781) —
Interest rate swap contracts — (4,137,798) —
Total return swap contracts — (37,504) —
Credit default contracts — (276,535) —
Totals by level $62,437 $(11,861,379) $—


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

 Investments in securities:Balance as of September 30, 2014Accrued discounts/premiumsRealized gain/(loss)Change in net unrealized appreciation/(depreciation)#PurchasesSalesNet transfers in and/or out of Level 3†Balance as of June 30, 2015
Common stocks*:
  Consumer cyclicals $10,017——————10,017
  Energy $798——————798
Total common stocks $10,815 — —————$10,815
Corporate bonds and notes $4 — ——2——$6
Mortgage-backed securities $——————3,186,405$3,186,405
Totals: $10,819 $— $—$—$2$—$3,186,405$3,197,226


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

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts$28,270$304,805
Foreign exchange contracts1,529,8292,294,203
Interest rate contracts7,680,73512,285,016
Total $9,238,834 $14,884,024


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$52,700,000
Purchased swap option contracts (contract amount)$559,800,000
Written TBA commitment option contracts (contract amount)$98,200,000
Written swap option contracts (contract amount)$325,400,000
Futures contracts (number of contracts)400
Forward currency contracts (contract amount)$302,900,000
OTC interest rate swap contracts (notional)$107,000,000
Centrally cleared interest rate swap contracts (notional)$1,276,700,000
OTC total return swap contracts (notional)$137,900,000
OTC credit default contracts (notional)$22,000,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#   $— $— $— $— $—  $9,595  $13,374 $—  $16,514 $— $— $— $— $—    39,483
  Centrally cleared interest rate swap contracts§    —  —  656,523  —  —  — — — — — — — — —    656,523
  OTC Total return swap contracts*#    —  35,598  —  5,987  27,120  —  39,419 —  52,207 — — — — —    160,331
  OTC Credit default contracts*#    —  2,042  —  —  17,566  —  8,662 — — — — — — —    28,270
  Futures contracts§    —  —  —  —  —  — — — —  21,345 — — — —    21,345
  Forward currency contracts#    107,758  345,270  —  143,951  246,567  50,847  43,331  23,911  232,450 —  208,822  93,886  33,036 —    1,529,829
  Forward premium swap option contracts#    26,786  —  —  —  —  — — —  528,506 — — — — —    555,292
  Purchased swap options#    1,021,852  —  —  439,658  1,395,798  —  815,774 —  66,535 — — — — —    3,739,617
  Purchased options#    —  —  —  —  —  — — —  353,354 — — — — —    353,354
                                     
  Total Assets  $1,156,396  $382,910  $656,523  $589,596  $1,687,051  $60,442  $920,560  $23,911  $1,249,566  $21,345  $208,822  $93,886  $33,036 $—  $7,084,044
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    —  —  —  —  —  792,963 — —  486,455 — — — — —    1,279,418
  Centrally cleared interest rate swap contracts§    —  —  583,884  —  —  —   — — — — — — —    583,884
  OTC Total return swap contracts*#    —  37,467  —  —  2,256  2,256  92,439 —  63,417 — — — — —    197,835
  OTC Credit default contracts*#    4,979  1,940  —  —  224,754  —  73,132 — — — — — — —    304,805
  Futures contracts§    —  —  —  —  —  — — — — — — — — —    —
  Forward currency contracts#    128,872  184,974  —  147,959  197,631  265,923  123,471  221,857  200,985 —  190,460  181,439  251,709  198,923    2,294,203
  Forward premium swap option contracts#    29,429  —  —  —  —  — — —  592,684 — — — — —    622,113
  Written swap options#    960,400  —  —  464,498  1,282,509  —  481,232 —  951,291 — — — — —    4,139,930
  Written options#    —  —  —  —  —  — — —  377,636 — — — — —    377,636
                                     
  Total Liabilities  $1,123,680  $224,381  $583,884  $612,457  $1,707,150  $1,061,142  $770,274  $221,857  $2,672,468 $—  $190,460  $181,439  $251,709  $198,923  $9,799,824
                                     
  Total Financial and Derivative Net Assets    $32,716  $158,529  $72,639  $(22,861)  $(20,099)  $(1,000,700)  $150,286  $(197,946)  $(1,422,902)  $21,345  $18,362  $(87,553)  $(218,673)  $(198,923)    $(2,715,780)
  Total collateral received (pledged)##†    $32,716  $111,130 $— $— $—  $(1,000,700)  $150,286  $(197,946)  $(1,422,902) $— $— $—  $(218,673) $—    
  Net amount   $—  $47,399  $72,639  $(22,861)  $(20,099) $— $— $— $—  $21,345  $18,362  $(87,553) $—  $(198,923)    
                                     
* Excludes premiums, if any.
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.
                                     
# Covered by master netting agreement.
                                     
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                     
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.

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



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

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

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

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 28, 2015

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 28, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 28, 2015