| 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: | John W. Gerstmayr, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199-3600 |
| Registrant’s telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | September 30, 2012 |
| Date of reporting period: | December 31, 2011 |
Item 1. Schedule of Investments: |
| Putnam Master Intermediate Income Trust | ||||||
| The fund's portfolio | ||||||
| 12/31/11 (Unaudited) | ||||||
| CORPORATE BONDS AND NOTES (28.6%)(a) | ||||||
| Principal amount | Value | |||||
| Basic materials (2.3%) | ||||||
| Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017 | $245,000 | $213,763 | ||||
| Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 | 177,000 | 169,478 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) | 270,000 | 286,875 | ||||
| Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) | 185,000 | 191,013 | ||||
| Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.546s, 2013 (Netherlands) | 75,000 | 69,750 | ||||
| Dynacast International, LLC/Dynacast Finance, Inc. 144A notes 9 1/4s, 2019 | 60,000 | 56,550 | ||||
| Exopack Holding Corp. 144A sr. notes 10s, 2018 | 150,000 | 150,000 | ||||
| Ferro Corp. sr. unsec. notes 7 7/8s, 2018 | 283,000 | 284,415 | ||||
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) | 284,000 | 286,840 | ||||
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) | 180,000 | 172,439 | ||||
| Grohe Holding GmbH 144A company guaranty sr. notes FRN 5.426s, 2017 (Germany) | EUR | 313,000 | 357,950 | |||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 | $205,000 | 169,125 | ||||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 | 160,000 | 150,000 | ||||
| Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 | 287,000 | 304,220 | ||||
| INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) | 200,000 | 203,000 | ||||
| INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) | EUR | 238,000 | 229,379 | |||
| Lyondell Chemical Co. company guaranty sr. notes 8s, 2017 | $147,000 | 160,598 | ||||
| Lyondell Chemical Co. company guaranty notes 11s, 2018 | 466,658 | 509,823 | ||||
| LyondellBasell Industries NV 144A company guaranty sr. notes 6s, 2021 (Netherlands) | 220,000 | 228,250 | ||||
| Momentive Performance Materials, Inc. notes 9s, 2021 | 296,000 | 224,960 | ||||
| NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 (In default)(NON) | 58,000 | 42,848 | ||||
| Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A company guaranty sr. sub. notes 8 3/8s, 2018 | 60,000 | 59,700 | ||||
| Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 | 215,000 | 230,588 | ||||
| Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 | 243,000 | 241,178 | ||||
| PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) | EUR | 405,000 | 554,981 | |||
| Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 | $110,000 | 105,050 | ||||
| Rockwood Specialties Group, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2014 | EUR | 50,000 | 65,221 | |||
| SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.712s, 2015 (Germany) | EUR | 152,000 | 190,824 | |||
| Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) | $115,000 | 115,000 | ||||
| Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 | 143,000 | 156,228 | ||||
| Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 | 321,000 | 348,284 | ||||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2012 | 25,000 | 26,031 | ||||
| Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 | 269,000 | 280,433 | ||||
| Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada) | 177,000 | 203,550 | ||||
| Thompson Creek Metals Co., Inc. company guaranty sr. unsec. notes 7 3/8s, 2018 (Canada) | 105,000 | 93,450 | ||||
| TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 | 201,000 | 201,000 | ||||
| Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 | 218,000 | 220,180 | ||||
| Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 | 85,000 | 51,850 | ||||
| Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014 | 175,000 | 178,500 | ||||
| 7,783,324 | ||||||
| Capital goods (1.5%) | ||||||
| Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 | 199,000 | 203,975 | ||||
| Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 | 95,000 | 100,938 | ||||
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 | 104,000 | 102,960 | ||||
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 | 35,000 | 34,650 | ||||
| American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 | 81,000 | 87,885 | ||||
| Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) | EUR | 140,000 | 178,035 | |||
| BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 | $298,000 | 325,564 | ||||
| Berry Plastics Corp. company guaranty notes FRN 4.421s, 2014 | 200,000 | 188,000 | ||||
| Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 | 97,000 | 97,485 | ||||
| Berry Plastics Corp. notes 9 3/4s, 2021 | 24,000 | 23,940 | ||||
| Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 | 147,000 | 150,675 | ||||
| Crown Americas, LLC/Crown Americas Capital Corp. III company guaranty sr. unsec. notes 6 1/4s, 2021 | 140,000 | 146,300 | ||||
| Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) | EUR | 50,000 | 65,338 | |||
| Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 | $418,000 | 428,450 | ||||
| Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 | 24,000 | 26,070 | ||||
| Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 | 253,000 | 243,513 | ||||
| Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 | 115,000 | 119,025 | ||||
| Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) | EUR | 229,000 | 311,208 | |||
| Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A sr. notes 8 3/4s, 2016 | EUR | 377,000 | 500,398 | |||
| Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 | $130,000 | 132,275 | ||||
| Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 | 100,000 | 95,000 | ||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019 | 100,000 | 104,500 | ||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019 | 100,000 | 97,000 | ||||
| Ryerson, Inc. company guaranty sr. notes 12s, 2015 | 334,000 | 337,340 | ||||
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 | 150,000 | 159,000 | ||||
| Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 | 140,000 | 143,500 | ||||
| Terex Corp. sr. unsec. sub. notes 8s, 2017 | 58,000 | 56,840 | ||||
| Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 | 323,000 | 334,304 | ||||
| Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 | 117,000 | 126,068 | ||||
| TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 | 290,000 | 311,750 | ||||
| 5,231,986 | ||||||
| Communication services (3.8%) | ||||||
| Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 | 75,000 | 77,625 | ||||
| Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 | 200,000 | 221,500 | ||||
| Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 | 150,000 | 160,875 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 | 71,000 | 75,704 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 | 131,000 | 132,965 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 | 101,000 | 105,040 | ||||
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 | 146,000 | 154,760 | ||||
| Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015 | 88,000 | 88,330 | ||||
| Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 | 270,000 | 250,763 | ||||
| Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 | 630,000 | 603,224 | ||||
| Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 | 233,000 | 203,875 | ||||
| Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015 | 354,000 | 354,000 | ||||
| Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 | 480,000 | 495,600 | ||||
| Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 | 70,000 | 75,600 | ||||
| Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) | 326,000 | 327,630 | ||||
| Hughes Satellite Systems Corp. 144A sr. notes 6 1/2s, 2019 | 214,000 | 223,095 | ||||
| Hughes Satellite Systems Corp. 144A sr. unsec. notes 7 5/8s, 2021 | 260,000 | 273,000 | ||||
| Equinix, Inc. sr. unsec. notes 7s, 2021 | 130,000 | 137,800 | ||||
| Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 | 753,000 | 762,412 | ||||
| Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) | 365,000 | 381,425 | ||||
| Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) | 212,000 | 214,385 | ||||
| Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) | 871,812 | 841,298 | ||||
| Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) | 253,000 | 244,778 | ||||
| Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) | 135,000 | 130,275 | ||||
| Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) | EUR | 130,000 | 170,403 | |||
| Kabel Deutschland GmbH 144A sr. sec. bonds 6 1/2s, 2018 (Germany) | EUR | 105,000 | 140,191 | |||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 | $124,000 | 129,425 | ||||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 | 220,000 | 224,950 | ||||
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 | 40,000 | 39,400 | ||||
| Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 | 59,000 | 62,614 | ||||
| MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 | 407,000 | 413,104 | ||||
| Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 | 103,000 | 94,245 | ||||
| NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 | 360,000 | 408,600 | ||||
| NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 | 65,000 | 64,350 | ||||
| PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 | 261,000 | 281,880 | ||||
| PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 | 156,000 | 171,600 | ||||
| Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) | GBP | 180,000 | 220,837 | |||
| Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 | $181,000 | 181,683 | ||||
| Qwest Corp. sr. unsec. notes 7 1/2s, 2014 | 75,000 | 82,607 | ||||
| SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 | 105,000 | 114,188 | ||||
| SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 | 180,000 | 193,950 | ||||
| Sprint Nextel Corp. sr. notes 8 3/8s, 2017 | 1,100,000 | 985,874 | ||||
| Sprint Nextel Corp. sr. unsec. notes 6s, 2016 | 147,000 | 122,010 | ||||
| Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 | 170,000 | 178,288 | ||||
| Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg) | EUR | 100,000 | 127,468 | |||
| Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) | EUR | 293,000 | 391,118 | |||
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) | EUR | 218,000 | 291,593 | |||
| UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands) | EUR | 361,000 | 474,358 | |||
| Virgin Media Finance PLC company guaranty sr. unsec. bond 8 7/8s, 2019 (United Kingdom) | GBP | 50,000 | 83,099 | |||
| Wind Acquisition Finance SA 144A company guaranty sr. sec. bonds 7 3/8s, 2018 (Luxembourg) | EUR | 325,000 | 357,830 | |||
| Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 | $60,000 | 64,275 | ||||
| Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 | 247,000 | 267,377 | ||||
| Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 | 109,000 | 111,725 | ||||
| 12,985,001 | ||||||
| Conglomerates (—%) | ||||||
| SPX Corp. sr. unsec. notes 7 5/8s, 2014 | 115,000 | 126,500 | ||||
| 126,500 | ||||||
| Consumer cyclicals (5.3%) | ||||||
| Academy Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 | 25,000 | 24,500 | ||||
| Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 | 20,000 | 16,600 | ||||
| Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 | 407,000 | 343,914 | ||||
| Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 | 250,000 | 218,125 | ||||
| AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 | 170,000 | 161,500 | ||||
| American Casino & Entertainment Properties LLC sr. notes 11s, 2014 | 238,000 | 242,165 | ||||
| ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) | 74,000 | 76,220 | ||||
| Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 | 255,000 | 267,750 | ||||
| Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 | 75,000 | 56,063 | ||||
| Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 | 71,000 | 48,458 | ||||
| Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 | 285,000 | 182,756 | ||||
| Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 | 52,000 | 46,280 | ||||
| Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 | 100,000 | 107,500 | ||||
| Building Materials Corp. 144A sr. notes 6 7/8s, 2018 | 75,000 | 78,750 | ||||
| Building Materials Corp. 144A sr. notes 6 3/4s, 2021 | 180,000 | 189,000 | ||||
| Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec notes 10s, 2019 | 140,000 | 136,850 | ||||
| Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 | 500,000 | 342,500 | ||||
| Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 | 350,000 | 371,437 | ||||
| Carlson Wagonlit BV company guaranty sr. sec. notes FRN Ser. REGS, 7.341s, 2015 (Netherlands) | EUR | 275,000 | 292,370 | |||
| Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 | $70,000 | 76,125 | ||||
| Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 | 110,000 | 95,975 | ||||
| Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 | 120,000 | 101,100 | ||||
| Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021 | 305,000 | 276,787 | ||||
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 | 40,000 | 40,900 | ||||
| CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017(PIK) | 286,063 | 295,002 | ||||
| Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 | 135,000 | 113,738 | ||||
| Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 | 99,000 | 66,330 | ||||
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 | 453,000 | 489,240 | ||||
| Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 | 155,000 | 158,100 | ||||
| Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands) | EUR | 307,000 | 397,240 | |||
| Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019 | $235,000 | 208,563 | ||||
| DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016 | 117,000 | 124,166 | ||||
| DISH DBS Corp. company guaranty 6 5/8s, 2014 | 517,000 | 551,897 | ||||
| DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015 | 117,000 | 128,700 | ||||
| DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 | 192,000 | 206,880 | ||||
| FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) | 300,000 | 288,000 | ||||
| Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015 | 125,000 | 134,375 | ||||
| Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 | 385,000 | 385,998 | ||||
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 | 410,000 | 425,374 | ||||
| Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 | 210,000 | 198,450 | ||||
| Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) | 226,000 | 251,565 | ||||
| Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 | 175,000 | 177,625 | ||||
| Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 | 434,000 | 475,230 | ||||
| Isle of Capri Casinos, Inc. company guaranty 7s, 2014 | 150,000 | 140,250 | ||||
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 | 356,000 | 325,740 | ||||
| ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) | EUR | 346,000 | 427,931 | |||
| Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 | $165,000 | 174,900 | ||||
| Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 | EUR | 50,000 | 63,014 | |||
| Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 | $100,000 | 112,000 | ||||
| Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 | 795,000 | 781,087 | ||||
| Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 | 70,000 | 72,800 | ||||
| Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 | 155,000 | 164,300 | ||||
| Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 | 195,000 | 217,660 | ||||
| Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) | 340,000 | 15,300 | ||||
| Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) | 55,000 | 53,900 | ||||
| MGM Resorts International company guaranty sr. notes 9s, 2020 | 105,000 | 116,288 | ||||
| MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 | 65,000 | 60,125 | ||||
| MTR Gaming Group, Inc. 144A notes 11 1/2s, 2019 | 520,000 | 442,000 | ||||
| Navistar International Corp. sr. notes 8 1/4s, 2021 | 296,000 | 313,760 | ||||
| Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 | 135,000 | 128,588 | ||||
| Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 | 145,000 | 156,600 | ||||
| Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 | 155,000 | 130,975 | ||||
| Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 | 115,000 | 108,963 | ||||
| Owens Corning company guaranty sr. unsec. notes 9s, 2019 | 542,000 | 646,334 | ||||
| Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 | 50,000 | 54,375 | ||||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 | 160,000 | 164,000 | ||||
| PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 | 100,000 | 107,000 | ||||
| PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 | 100,000 | 95,000 | ||||
| Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 | 55,000 | 58,163 | ||||
| Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 | 320,000 | 316,800 | ||||
| Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) | EUR | 380,000 | 497,293 | |||
| QVC Inc. 144A sr. notes 7 1/2s, 2019 | $120,000 | 128,700 | ||||
| Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 | 50,000 | 43,500 | ||||
| Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 | 126,000 | 128,520 | ||||
| Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 | 152,000 | 116,280 | ||||
| Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 | 140,000 | 142,100 | ||||
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 75,000 | 74,250 | ||||
| Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 | 135,000 | 147,488 | ||||
| Sears Holdings Corp. company guaranty 6 5/8s, 2018 | 139,000 | 105,640 | ||||
| Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 | 36,000 | 34,380 | ||||
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 | 70,000 | 71,750 | ||||
| Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 | 45,000 | 45,450 | ||||
| Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 | 293,000 | 320,468 | ||||
| Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013 | 30,000 | 30,488 | ||||
| Travelport, LLC company guaranty 11 7/8s, 2016 | 127,000 | 36,830 | ||||
| Travelport, LLC company guaranty 9 7/8s, 2014 | 45,000 | 26,775 | ||||
| Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 | 244,000 | 134,810 | ||||
| TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 | EUR | 110,000 | 144,789 | |||
| TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 | $350,000 | 374,500 | ||||
| Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 | 200,000 | 193,000 | ||||
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 | 105,000 | 116,550 | ||||
| XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 | 65,000 | 73,775 | ||||
| XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 | 524,000 | 550,200 | ||||
| Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 | 125,000 | 126,250 | ||||
| YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) | 135,000 | 118,125 | ||||
| Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 | 275,000 | 283,250 | ||||
| 18,383,112 | ||||||
| Consumer staples (1.7%) | ||||||
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 | BRL | 1,400,000 | 752,724 | |||
| Archibald Candy Corp. company guaranty sub. notes 10s, 2012 (In default)(F)(NON) | $88,274 | 2,825 | ||||
| Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 | 105,000 | 108,675 | ||||
| Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 | 345,000 | 347,587 | ||||
| Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 | 184,000 | 200,330 | ||||
| Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 | 48,000 | 47,040 | ||||
| CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) | 100,373 | 95,605 | ||||
| Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 | 124,000 | 94,240 | ||||
| Constellation Brands, Inc. company guaranty sr. unsec. notes 7 1/4s, 2017 | 23,000 | 25,300 | ||||
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 | 111,000 | 121,961 | ||||
| Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 | 257,000 | 279,488 | ||||
| Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 | 118,000 | 116,525 | ||||
| DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | 115,000 | 123,481 | ||||
| Dole Food Co. 144A sr. notes 8s, 2016 | 87,000 | 90,698 | ||||
| EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom) | EUR | 424,000 | 419,412 | |||
| Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 | $165,000 | 171,600 | ||||
| Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) | GBP | 100,000 | 104,528 | |||
| Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014 | $5,000 | 5,025 | ||||
| Hertz Corp. company guaranty sr. unsec. notes 7 1/2s, 2018 | 65,000 | 67,925 | ||||
| Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) | EUR | 156,000 | 207,266 | |||
| JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 | $620,000 | 579,700 | ||||
| Landry's, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 | 72,000 | 75,780 | ||||
| Libbey Glass, Inc. sr. notes 10s, 2015 | 49,000 | 52,430 | ||||
| Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 | 215,000 | 220,375 | ||||
| Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 | 315,000 | 314,605 | ||||
| Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 | 321,000 | 292,913 | ||||
| Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 | 55,000 | 60,775 | ||||
| Roadhouse Financing, Inc. notes 10 3/4s, 2017 | 115,000 | 111,838 | ||||
| Service Corporation International sr. notes 7s, 2019 | 80,000 | 84,200 | ||||
| Spectrum Brands, Inc. sr. notes 9 1/2s, 2018 | 385,000 | 421,093 | ||||
| Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 | 185,000 | 185,925 | ||||
| United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 | 41,000 | 40,078 | ||||
| West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 | 8,000 | 8,080 | ||||
| West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 | 191,000 | 189,568 | ||||
| 6,019,595 | ||||||
| Energy (5.4%) | ||||||
| Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 | 150,000 | 145,125 | ||||
| Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 | 159,000 | 154,230 | ||||
| Anadarko Petroleum Corp. sr. notes 5.95s, 2016 | 283,000 | 320,440 | ||||
| Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 | 164,000 | 190,098 | ||||
| Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 | 305,000 | 311,863 | ||||
| Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 | 200,000 | 204,000 | ||||
| Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 | 221,000 | 222,105 | ||||
| ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 | 65,000 | 42,738 | ||||
| Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | 347,000 | 350,470 | ||||
| Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 | 140,000 | 151,200 | ||||
| Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 | 398,000 | 411,930 | ||||
| Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 | 495,000 | 566,774 | ||||
| Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 | 135,000 | 135,000 | ||||
| Complete Production Services, Inc. company guaranty 8s, 2016 | 388,000 | 403,520 | ||||
| Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 | 225,000 | 234,563 | ||||
| Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) | CAD | 225,000 | 199,895 | |||
| CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 | $125,000 | 138,125 | ||||
| CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 | 710,000 | 777,450 | ||||
| CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 | 30,000 | 30,300 | ||||
| Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 | 365,000 | 398,763 | ||||
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 | 118,000 | 131,865 | ||||
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 | 95,000 | 98,800 | ||||
| EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 | 405,000 | 382,724 | ||||
| Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 | 98,000 | 86,240 | ||||
| Forbes Energy Services Ltd. company guaranty sr. unsec notes 9s, 2019 | 150,000 | 140,250 | ||||
| Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 5/8s, 2018 | 180,000 | 188,550 | ||||
| Gazprom OAO Via Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019 (Russia) | 2,055,000 | 2,440,640 | ||||
| Gazprom Via Gaz Capital SA 144A company guaranty sr. unsec. bond 8.146s, 2018 (Russia) | 176,000 | 198,199 | ||||
| Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands) | 230,000 | 257,510 | ||||
| Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 | 195,000 | 195,000 | ||||
| Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 | 455,000 | 473,200 | ||||
| Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014 | 340,000 | 342,125 | ||||
| Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 | 155,000 | 155,775 | ||||
| Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) | GBP | 98,000 | 153,707 | |||
| James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 | $70,000 | 52,850 | ||||
| Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 | 76,000 | 76,000 | ||||
| Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 | 188,000 | 199,280 | ||||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) | 135,000 | 138,038 | ||||
| Milagro Oil & Gas company guaranty notes 10 1/2s, 2016 | 225,000 | 157,500 | ||||
| National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) | 275,000 | 257,439 | ||||
| Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 | 348,000 | 351,915 | ||||
| Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) | 165,000 | 178,406 | ||||
| Peabody Energy Corp. company guaranty 7 3/8s, 2016 | 494,000 | 543,400 | ||||
| Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 | 19,000 | 19,950 | ||||
| Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) | 440,000 | 527,428 | ||||
| Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) | 625,000 | 656,626 | ||||
| Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 | 95,000 | 105,688 | ||||
| Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) | 1,665,000 | 1,055,010 | ||||
| Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) | 395,000 | 309,036 | ||||
| Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) | 920,000 | 653,504 | ||||
| Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) | 160,000 | 120,640 | ||||
| Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) | 225,000 | 213,188 | ||||
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico) | 175,000 | 189,875 | ||||
| Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 | 240,000 | 260,400 | ||||
| Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines) | 425,000 | 513,187 | ||||
| Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 | 150,000 | 166,500 | ||||
| Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | 124,000 | 133,920 | ||||
| SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 | 40,000 | 39,700 | ||||
| SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 | 578,000 | 583,780 | ||||
| SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 | 85,000 | 88,400 | ||||
| Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 | 60,000 | 60,000 | ||||
| WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 | 480,000 | 482,400 | ||||
| 18,767,234 | ||||||
| Financials (4.2%) | ||||||
| ACE Cash Express, Inc. 144A sr. notes 11s, 2019 | 135,000 | 123,863 | ||||
| Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 | 140,000 | 135,044 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012 | 25,000 | 25,063 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012 | 403,000 | 408,038 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012 | 512,000 | 516,480 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 | 65,000 | 68,575 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 | 565,000 | 570,650 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.727s, 2014 | 39,000 | 33,884 | ||||
| Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil) | BRL | 436,000 | 243,099 | |||
| Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) | $990,000 | 970,172 | ||||
| Bosphorus Financial Services, Ltd. 144A sr. notes FRN 2.257s, 2012 | 95,188 | 95,091 | ||||
| CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 | 56,000 | 57,400 | ||||
| CIT Group, Inc. 144A bonds 7s, 2017 | 1,051,000 | 1,049,685 | ||||
| CIT Group, Inc. 144A bonds 7s, 2016 | 378,000 | 377,528 | ||||
| CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 | 205,000 | 212,175 | ||||
| CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 | 55,000 | 58,025 | ||||
| Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 | 170,000 | 168,300 | ||||
| HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 | 95,000 | 94,288 | ||||
| HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 | 65,000 | 65,163 | ||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 | 385,000 | 400,400 | ||||
| International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 | 21,000 | 19,373 | ||||
| JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017 | 1,000,000 | 1,123,026 | ||||
| JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012 | INR | 19,000,000 | 354,884 | |||
| Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 | $252,000 | 253,575 | ||||
| Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia) | 400,000 | 468,000 | ||||
| Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) | 1,085,000 | 1,261,170 | ||||
| MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec notes 6 7/8s, 2021(R) | 75,000 | 74,344 | ||||
| National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) | 128,000 | 136,640 | ||||
| Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 | 191,000 | 189,568 | ||||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) | 85,000 | 85,425 | ||||
| Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 9s, 2014 (Russia) | 1,425,000 | 1,539,000 | ||||
| Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South Korea) | 137,000 | 139,536 | ||||
| State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) | 155,000 | 152,216 | ||||
| Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) | 200,000 | 173,952 | ||||
| USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.332s, 2014 | 60,000 | 54,750 | ||||
| Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) | 305,000 | 310,843 | ||||
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) | 1,385,000 | 1,416,162 | ||||
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) | 130,000 | 127,400 | ||||
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia) | 927,000 | 947,802 | ||||
| 14,500,589 | ||||||
| Health care (1.4%) | ||||||
| Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 | 139,000 | 136,220 | ||||
| Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 | 100,000 | 108,000 | ||||
| Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 | 160,000 | 162,400 | ||||
| Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 | EUR | 220,000 | 290,316 | |||
| ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) | EUR | 100,000 | 124,283 | |||
| ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) | $428,000 | 381,990 | ||||
| DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 | 45,000 | 46,238 | ||||
| DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 | 145,000 | 148,444 | ||||
| Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) | 203,000 | 216,703 | ||||
| Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 | 220,000 | 219,450 | ||||
| Endo Pharmaceutical Holdings, Inc. company guaranty sr. unsec notes 7s, 2019 | 130,000 | 138,450 | ||||
| Grifols, Inc. company guaranty sr. unsec notes 8 1/4s, 2018 | 226,000 | 237,300 | ||||
| HCA, Inc. sr. notes 6 1/2s, 2020 | 688,000 | 712,080 | ||||
| HCA, Inc. sr. unsec. notes 7 1/2s, 2022 | 195,000 | 199,388 | ||||
| IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec notes 8 3/8s, 2019 | 375,000 | 327,188 | ||||
| Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 | 150,000 | 156,000 | ||||
| Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 | 310,000 | 297,600 | ||||
| Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) | 120,841 | 120,539 | ||||
| Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 | 160,000 | 166,800 | ||||
| Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 | 119,000 | 135,958 | ||||
| Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 | 198,000 | 222,255 | ||||
| Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 | 200,000 | 203,500 | ||||
| Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 | 30,000 | 29,625 | ||||
| Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 | 75,000 | 74,813 | ||||
| Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 | 30,000 | 29,963 | ||||
| Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 | 7,000 | 4,375 | ||||
| 4,889,878 | ||||||
| Technology (1.3%) | ||||||
| Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 | 261,000 | 268,178 | ||||
| Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 | 32,000 | 28,800 | ||||
| Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 | 162,000 | 145,800 | ||||
| Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 | 76,000 | 73,720 | ||||
| Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) | 139,000 | 107,725 | ||||
| Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | 316,000 | 246,480 | ||||
| Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 | 120,000 | 114,600 | ||||
| Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 | 111,000 | 119,880 | ||||
| Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 | 76,000 | 82,270 | ||||
| First Data Corp. company guaranty sr. unsec notes 12 5/8s, 2021 | 445,000 | 387,150 | ||||
| First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 | 484,401 | 461,996 | ||||
| First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 | 97,000 | 80,510 | ||||
| First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 | 75,000 | 75,000 | ||||
| First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 | 50,000 | 47,000 | ||||
| Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 | 43,000 | 44,828 | ||||
| Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 | 368,000 | 401,120 | ||||
| Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 | 470,000 | 489,975 | ||||
| NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) | 314,000 | 342,260 | ||||
| Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) | 186,000 | 197,858 | ||||
| SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 | 351,000 | 363,724 | ||||
| SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 | 149,000 | 153,098 | ||||
| Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 | 188,000 | 198,340 | ||||
| 4,430,312 | ||||||
| Transportation (0.3%) | ||||||
| Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) | CHF | 528,000 | 548,068 | |||
| AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 | $198,000 | 203,940 | ||||
| Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 | 285,000 | 299,963 | ||||
| Western Express, Inc. 144A sr. notes 12 1/2s, 2015 | 125,000 | 53,125 | ||||
| 1,105,096 | ||||||
| Utilities and power (1.4%) | ||||||
| AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 | 475,000 | 522,500 | ||||
| AES Corp. (The) 144A sr. notes 7 3/8s, 2021 | 135,000 | 145,463 | ||||
| Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 | 165,000 | 178,200 | ||||
| Calpine Corp. 144A sr. notes 7 1/4s, 2017 | 425,000 | 446,250 | ||||
| Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) | 495,000 | 324,225 | ||||
| Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 | 151,000 | 110,230 | ||||
| Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 | 69,000 | 66,930 | ||||
| Edison Mission Energy sr. unsec. notes 7.2s, 2019 | 147,000 | 91,875 | ||||
| Edison Mission Energy sr. unsec. notes 7s, 2017 | 23,000 | 14,950 | ||||
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 247,000 | 313,067 | ||||
| Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 | 595,000 | 624,750 | ||||
| Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 | 296,000 | 312,280 | ||||
| Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 | 300,000 | 327,750 | ||||
| GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 | 295,000 | 299,425 | ||||
| GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 | 45,000 | 45,563 | ||||
| Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 | 115,000 | 124,200 | ||||
| NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 | 595,000 | 580,125 | ||||
| NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 | 110,000 | 113,977 | ||||
| Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 | 135,000 | 114,581 | ||||
| 4,756,341 | ||||||
| Total corporate bonds and notes (cost $100,536,011) | $98,978,968 | |||||
| MORTGAGE-BACKED SECURITIES (22.8%)(a) | ||||||
| Principal amount | Value | |||||
| American Home Mortgage Assets | ||||||
| FRB Ser. 06-6, Class A1A, 0.484s, 2046 | $2,943,006 | $1,265,493 | ||||
| FRB Ser. 06-4, Class 1A11, 0.484s, 2046 | 2,719,635 | 1,155,845 | ||||
| American Home Mortgage Investment Trust FRB Ser. 06-2, Class 1A2, 0.454s, 2046 | 5,877,547 | 1,998,366 | ||||
| Banc of America Commercial Mortgage, Inc. 144A | ||||||
| Ser. 01-1, Class J, 6 1/8s, 2036 | 163,000 | 122,250 | ||||
| Ser. 01-1, Class K, 6 1/8s, 2036 | 367,000 | 66,060 | ||||
| Ser. 07-5, Class XW, IO, 0.421s, 2051 | 105,820,287 | 1,753,336 | ||||
| Banc of America Funding Corp. FRB Ser. 07-B, Class A1, 0.495s, 2047 | 890,344 | 454,075 | ||||
| Barclays Capital, LLC Trust | ||||||
| FRB Ser. 07-AA2, Class 12A1, 0.504s, 2047 | 1,572,771 | 707,747 | ||||
| FRB Ser. 07-AA1, Class 2A1, 0.474s, 2037 | 1,279,995 | 614,398 | ||||
| Bear Stearns Asset Backed Securities Trust | ||||||
| FRB Ser. 06-IM1, Class A3, 0.574s, 2036 | 1,235,811 | 259,520 | ||||
| FRB Ser. 06-IM1, Class A1, 0.524s, 2036 | 1,269,661 | 609,437 | ||||
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR5, Class 1A1A, 3.779s, 2037 | 504,228 | 230,587 | ||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.064s, 2044 | 32,988,410 | 124,650 | ||||
| Cornerstone Titan PLC 144A | ||||||
| FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom) | GBP | 444,023 | 482,698 | |||
| FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) | GBP | 226,682 | 264,028 | |||
| Countrywide Alternative Loan Trust | ||||||
| FRB Ser. 05-84, Class 4A1, 5.68s, 2036 | $4,381,329 | 2,486,404 | ||||
| FRB Ser. 06-OA10, Class 3A1, 0.484s, 2046 | 2,850,666 | 1,231,773 | ||||
| FRB Ser. 06-HY11, Class A1, 0.414s, 2036 | 1,737,498 | 851,374 | ||||
| Countrywide Home Loans 144A | ||||||
| Ser. 05-R3, Class AS, IO, 5.581s, 2035 | 98,540 | 16,205 | ||||
| FRB Ser. 05-R3, Class AF, 0.694s, 2035 | 96,832 | 77,950 | ||||
| CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 | 354,000 | 116,749 | ||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | ||||||
| FRB Ser. 06-AR1, Class 1A3, 0.624s, 2036 | 4,227,971 | 1,395,230 | ||||
| FRB Ser. 06-AR6, Class A6, 0.484s, 2037 | 701,242 | 308,546 | ||||
| FRB Ser. 06-AR3, Class A1, 0.484s, 2036 | 986,713 | 389,752 | ||||
| FRB Ser. 06-AR3, Class A5, 0.464s, 2036 | 2,278,563 | 1,389,923 | ||||
| DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 | 286,492 | 274,316 | ||||
| European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.835s, 2014 (United Kingdom) | GBP | 23,751 | 22,131 | |||
| Federal Home Loan Mortgage Corp. | ||||||
| IFB Ser. 3182, Class SP, 27.487s, 2032 | $308,138 | 489,238 | ||||
| IFB Ser. 3408, Class EK, 24.673s, 2037 | 191,794 | 299,130 | ||||
| IFB Ser. 2979, Class AS, 23.253s, 2034 | 102,628 | 137,422 | ||||
| IFB Ser. 3072, Class SM, 22.776s, 2035 | 257,089 | 387,829 | ||||
| IFB Ser. 3072, Class SB, 22.63s, 2035 | 230,309 | 345,947 | ||||
| IFB Ser. 3249, Class PS, 21.357s, 2036 | 211,531 | 306,320 | ||||
| IFB Ser. 3031, Class BS, 16.029s, 2035 | 374,223 | 541,606 | ||||
| IFB Ser. 3951, Class CS, IO, 6.472s, 2026 | 5,370,408 | 930,799 | ||||
| IFB Ser. 3727, Class PS, IO, 6.422s, 2038 | 2,940,795 | 354,054 | ||||
| IFB Ser. 3287, Class SE, IO, 6.422s, 2037 | 1,334,496 | 171,403 | ||||
| IFB Ser. 3835, Class SC, IO, 6.372s, 2038 | 2,756,091 | 489,234 | ||||
| IFB Ser. 3677, Class SA, IO, 6.272s, 2040 | 7,945,141 | 881,752 | ||||
| IFB Ser. 3485, Class SI, IO, 6.272s, 2036 | 419,254 | 59,668 | ||||
| IFB Ser. 3708, Class SA, IO, 6.172s, 2040 | 7,093,471 | 916,689 | ||||
| IFB Ser. 3852, Class TB, 5.722s, 2041 | 1,265,738 | 1,313,861 | ||||
| IFB Ser. 3768, Class PS, IO, 5.722s, 2036 | 7,965,045 | 1,004,688 | ||||
| Ser. 3645, Class ID, IO, 5s, 2040 | 1,141,963 | 118,159 | ||||
| Ser. 3653, Class KI, IO, 5s, 2038 | 2,476,961 | 237,838 | ||||
| Ser. 3632, Class CI, IO, 5s, 2038 | 1,285,386 | 126,058 | ||||
| Ser. 3626, Class DI, IO, 5s, 2037 | 875,362 | 45,957 | ||||
| Ser. 3623, Class CI, IO, 5s, 2036 | 798,250 | 73,711 | ||||
| Ser. 3747, Class HI, IO, 4 1/2s, 2037 | 619,924 | 74,005 | ||||
| Ser. 3738, Class MI, IO, 4s, 2034 | 6,293,810 | 561,452 | ||||
| Ser. 3736, Class QI, IO, 4s, 2034 | 7,806,868 | 565,998 | ||||
| Ser. 3751, Class MI, IO, 4s, 2034 | 8,551,274 | 518,635 | ||||
| Ser. 3707, Class HI, IO, 4s, 2023 | 1,048,476 | 42,306 | ||||
| Ser. 3707, Class KI, IO, 4s, 2023 | 1,720,797 | 47,115 | ||||
| Ser. T-57, Class 1AX, IO, 0.43s, 2043 | 3,015,749 | 33,927 | ||||
| Ser. 3124, Class DO, PO, zero %, 2036 | 18,368 | 15,740 | ||||
| FRB Ser. 3326, Class YF, zero %, 2037 | 52,929 | 48,661 | ||||
| FRB Ser. 3326, Class WF, zero %, 2035 | 12,827 | 11,788 | ||||
| FRB Ser. 3030, Class EF, zero %, 2035 | 16,318 | 16,131 | ||||
| FRB Ser. 3412, Class UF, zero %, 2035 | 3,478 | 3,462 | ||||
| Federal National Mortgage Association | ||||||
| IFB Ser. 06-62, Class PS, 38.138s, 2036 | 398,028 | 683,742 | ||||
| IFB Ser. 07-53, Class SP, 23.123s, 2037 | 224,312 | 341,699 | ||||
| IFB Ser. 08-24, Class SP, 22.207s, 2038 | 195,683 | 312,320 | ||||
| IFB Ser. 05-75, Class GS, 19.369s, 2035 | 247,915 | 349,639 | ||||
| IFB Ser. 05-83, Class QP, 16.631s, 2034 | 261,106 | 350,922 | ||||
| IFB Ser. 10-135, Class SP, IO, 6.306s, 2040 | 4,414,412 | 856,325 | ||||
| IFB Ser. 11-51, Class SJ, IO, 6.256s, 2041 | 3,562,182 | 570,412 | ||||
| IFB Ser. 404, Class S13, IO, 6.106s, 2040 | 5,842,453 | 828,197 | ||||
| IFB Ser. 10-35, Class SG, IO, 6.106s, 2040 | 4,179,348 | 755,877 | ||||
| IFB Ser. 11-51, Class SM, IO, 5.556s, 2041 | 6,008,604 | 803,110 | ||||
| Ser. 374, Class 6, IO, 5 1/2s, 2036 | 1,005,961 | 130,161 | ||||
| IFB Ser. 10-46, Class WS, IO, 5.456s, 2040 | 4,475,194 | 508,516 | ||||
| Ser. 10-21, Class IP, IO, 5s, 2039 | 2,335,019 | 325,357 | ||||
| Ser. 10-92, Class CI, IO, 5s, 2039 | 1,308,959 | 158,299 | ||||
| Ser. 398, Class C5, IO, 5s, 2039(F) | 890,496 | 118,991 | ||||
| Ser. 10-13, Class EI, IO, 5s, 2038 | 575,121 | 34,579 | ||||
| Ser. 378, Class 19, IO, 5s, 2035 | 2,505,734 | 311,518 | ||||
| Ser. 366, Class 22, IO, 4 1/2s, 2035 | 922,449 | 76,563 | ||||
| Ser. 406, Class 2, IO, 4s, 2041 | 4,025,820 | 547,828 | ||||
| Ser. 406, Class 1, IO, 4s, 2041 | 2,538,427 | 345,425 | ||||
| Ser. 03-W10, Class 1, IO, 1.444s, 2043 | 716,988 | 32,264 | ||||
| Ser. 99-51, Class N, PO, zero %, 2029 | 32,908 | 31,006 | ||||
| IFB Ser. 06-48, Class FG, zero %, 2036 | 12,541 | 12,246 | ||||
| FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.094s, 2020 | 2,792,079 | 69,802 | ||||
| GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036 | 65,687 | 56,491 | ||||
| Government National Mortgage Association | ||||||
| IFB Ser. 11-56, Class SG, 6.784s, 2041 | 1,480,999 | 1,616,792 | ||||
| IFB Ser. 11-56, Class MS, 6.782s, 2041 | 3,081,368 | 3,345,596 | ||||
| IFB Ser. 10-142, Class SA, IO, 6.415s, 2039 | 3,071,755 | 429,086 | ||||
| IFB Ser. 10-151, Class SL, IO, 6.415s, 2039 | 1,541,003 | 281,002 | ||||
| IFB Ser. 11-37, Class SB, IO, 6.415s, 2038 | 4,143,137 | 562,982 | ||||
| IFB Ser. 10-85, Class AS, IO, 6.365s, 2039 | 3,013,181 | 477,872 | ||||
| IFB Ser. 10-85, Class SD, IO, 6.365s, 2038 | 508,561 | 83,592 | ||||
| IFB Ser. 11-37, Class SD, IO, 6.365s, 2038 | 5,330,902 | 719,352 | ||||
| IFB Ser. 10-163, Class SI, IO, 6.347s, 2037 | 4,168,236 | 648,815 | ||||
| IFB Ser. 11-11, Class PS, IO, 6.315s, 2040 | 415,054 | 67,720 | ||||
| IFB Ser. 10-98, Class QS, IO, 6.315s, 2040 | 3,090,497 | 500,042 | ||||
| IFB Ser. 10-47, Class HS, IO, 6.315s, 2039 | 1,884,451 | 325,482 | ||||
| IFB Ser. 10-31, Class HS, IO, 6.315s, 2039 | 682,792 | 108,441 | ||||
| IFB Ser. 10-157, Class SN, IO, 6.267s, 2038 | 2,795,635 | 449,566 | ||||
| IFB Ser. 10-62, Class PS, IO, 6.215s, 2040 | 2,538,103 | 421,579 | ||||
| IFB Ser. 10-53, Class SA, IO, 6.215s, 2039 | 1,766,700 | 280,340 | ||||
| IFB Ser. 10-120, Class SB, IO, 5.915s, 2035 | 1,067,320 | 114,502 | ||||
| IFB Ser. 10-20, Class SC, IO, 5.865s, 2040 | 268,873 | 44,590 | ||||
| IFB Ser. 11-79, Class AS, IO, 5.825s, 2037 | 3,444,809 | 351,543 | ||||
| IFB Ser. 10-113, Class DS, IO, 5.815s, 2039 | 2,368,368 | 349,855 | ||||
| IFB Ser. 10-115, Class SN, IO, 5.815s, 2038 | 1,446,737 | 221,828 | ||||
| IFB Ser. 10-115, Class AS, IO, 5.765s, 2040 | 1,492,967 | 249,624 | ||||
| IFB Ser. 10-116, Class SL, IO, 5.765s, 2039 | 1,466,280 | 251,320 | ||||
| IFB Ser. 10-168, Class SL, IO, 5.715s, 2040 | 1,846,005 | 297,428 | ||||
| IFB Ser. 10-121, Class SE, IO, 5.715s, 2040 | 2,482,490 | 372,870 | ||||
| IFB Ser. 11-70, Class SM, IO, 5.607s, 2041 | 2,415,000 | 666,250 | ||||
| IFB Ser. 11-70, Class SH, IO, 5.607s, 2041 | 2,481,000 | 687,659 | ||||
| Ser. 11-116, Class IB, IO, 5s, 2040 | 5,060,512 | 517,943 | ||||
| Ser. 11-81, Class MI, IO, 5s, 2040 | 1,198,862 | 204,310 | ||||
| Ser. 10-68, Class MI, IO, 5s, 2039 | 1,069,475 | 163,266 | ||||
| IFB Ser. 11-12, Class IB, IO, 4.53s, 2040 | 1,700,774 | 194,960 | ||||
| Ser. 11-140, Class BI, IO, 4 1/2s, 2040 | 1,732,246 | 226,543 | ||||
| Ser. 11-18, Class PI, IO, 4 1/2s, 2040 | 440,289 | 72,923 | ||||
| Ser. 10-168, Class PI, IO, 4 1/2s, 2039 | 1,717,131 | 248,950 | ||||
| Ser. 10-158, Class IP, IO, 4 1/2s, 2039 | 5,120,583 | 781,196 | ||||
| Ser. 10-103, Class IN, IO, 4 1/2s, 2039 | 210,473 | 26,465 | ||||
| Ser. 10-107, Class PI, IO, 4 1/2s, 2036 | 830,763 | 86,175 | ||||
| Ser. 11-70, PO, zero %, 2041 | 5,498,743 | 4,439,520 | ||||
| Ser. 06-36, Class OD, PO, zero %, 2036 | 12,275 | 11,307 | ||||
| Greenpoint Mortgage Funding Trust FRB Ser. 06-AR1, Class GA1B, 0.464s, 2036 | 5,227,249 | 2,626,693 | ||||
| GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.303s, 2039 | 68,604,263 | 1,223,925 | ||||
| Harborview Mortgage Loan Trust | ||||||
| FRB Ser. 05-7, Class 1A1, 3.126s, 2045 | 765,478 | 363,602 | ||||
| FRB Ser. 05-16, Class 3A1A, 0.535s, 2036 | 3,108,583 | 1,667,133 | ||||
| FRB Ser. 06-8, Class 2A1A, 0.477s, 2036 | 2,409,632 | 1,415,659 | ||||
| IndyMac Indx Mortgage Loan Trust | ||||||
| FRB Ser. 06-AR25, Class 3A1, 2.841s, 2036 | 721,870 | 295,967 | ||||
| FRB Ser. 06-AR39, Class A1, 0.474s, 2037 | 3,610,098 | 1,683,208 | ||||
| FRB Ser. 06-AR35, Class 2A1A, 0.464s, 2037 | 1,068,875 | 468,002 | ||||
| JPMorgan Alternative Loan Trust | ||||||
| FRB Ser. 07-A2, Class 12A1, 0.494s, 2037 | 749,663 | 301,740 | ||||
| FRB Ser. 06-A7, Class 1A1, 0.454s, 2036 | 1,747,809 | 803,992 | ||||
| FRB Ser. 06-A6, Class 1A1, 0.454s, 2036 | 778,410 | 410,246 | ||||
| FRB Ser. 07-A1, Class 1A1A, 0.434s, 2037 | 853,566 | 298,748 | ||||
| JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.15s, 2051 | 64,047,135 | 634,579 | ||||
| LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 | 253,101 | 220,831 | ||||
| LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class K, 6.529s, 2035(F) | 922,000 | 881,947 | ||||
| Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.424s, 2037 | 700,551 | 339,767 | ||||
| Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.392s, 2028 | 511,148 | 11,501 | ||||
| Mezz Cap Commercial Mortgage Trust 144A | ||||||
| Ser. 04-C1, Class X, IO, 8.383s, 2037 | 705,975 | 42,358 | ||||
| Ser. 07-C5, Class X, IO, 4.764s, 2049 | 2,174,682 | 157,664 | ||||
| Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 | 1,730,000 | 1,438,063 | ||||
| Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 10.236s, 2043 | 1,215,429 | 1,215,672 | ||||
| Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.726s, 2012 | 874 | — | ||||
| PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2033 | 123,000 | 6,150 | ||||
| STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 | 193,000 | 193,000 | ||||
| Structured Adjustable Rate Mortgage Loan Trust FRB Ser. 07-4, Class 1A1, 0.534s, 2037 | 720,986 | 277,580 | ||||
| Structured Asset Securities Corp. | ||||||
| IFB Ser. 07-4, Class 1A3, IO, 5.993s, 2045 | 3,433,072 | 480,630 | ||||
| Ser. 07-4, Class 1A4, IO, 1s, 2045 | 4,630,680 | 188,121 | ||||
| Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO, 0.378s, 2046 | 17,697,499 | 274,311 | ||||
| Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.444s, 2036 | 1,631,856 | 599,707 | ||||
| WAMU Mortgage Pass-Through Certificates FRB Ser. 05-AR11, Class A1C4, 0.734s, 2045 | 1,073,665 | 574,411 | ||||
| Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 07-0C2, Class A3, 0.604s, 2037 | 984,770 | 482,537 | ||||
| Total mortgage-backed securities (cost $80,785,207) | $78,927,745 | |||||
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.7%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Government Guaranteed Mortgage Obligations (0.3%) | ||||||
| Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 | $890,835 | $1,010,228 | ||||
| 1,010,228 | ||||||
| U.S. Government Agency Mortgage Obligations (9.4%) | ||||||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, January 1, 2041 | 796,551 | 818,674 | ||||
| Federal National Mortgage Association Pass-Through Certificates | ||||||
| 3 1/2s, December 1, 2040 | 728,966 | 750,464 | ||||
| 3 1/2s, TBA, January 1, 2042 | 28,000,000 | 28,800,626 | ||||
| 3 1/2s, TBA, December 1, 2041 | 2,000,000 | 2,058,750 | ||||
| 32,428,514 | ||||||
| Total U.S. government and agency mortgage obligations (cost $32,980,086) | $33,438,742 | |||||
| U.S. TREASURY OBLIGATIONS (1.1%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Treasury Bonds 3.125% 11/15/41(i) | $1,502,000 | $1,579,698 | ||||
| U.S. Treasury Notes 3.750% 11/15/18(i) | 72,000 | 84,093 | ||||
| U.S. Treasury Notes 1.000% 3/31/12(i) | 2,255,000 | 2,265,923 | ||||
| Total U.S. treasury Obligations (cost $3,929,715) | $3,929,715 | |||||
| ASSET-BACKED SECURITIES (8.7%)(a) | ||||||
| Principal amount | Value | |||||
| Ace Securities Corp. FRB Ser. 06-HE3, Class A2C, 0.444s, 2036 | $115,000 | $46,226 | ||||
| Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9, Class 1A2, 0.444s, 2036 | 3,781,000 | 1,550,210 | ||||
| Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.169s, 2034 | 44,757 | 14,122 | ||||
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1, Class A1A, 0.364s, 2037 | 405,559 | 141,946 | ||||
| Conseco Finance Securitizations Corp. FRB Ser. 01-4, Class M1, 2.02s, 2033 | 295,000 | 162,643 | ||||
| Countrywide Asset Backed Certificates | ||||||
| FRB Ser. 07-7, Class 2A3, 0.524s, 2047 | 2,847,000 | 1,007,126 | ||||
| FRB Ser. 07-3, Class 2A2, 0.464s, 2047 | 1,302,000 | 918,209 | ||||
| FRB Ser. 07-6, Class 2A2, 0.464s, 2037 | 538,000 | 429,055 | ||||
| FRB Ser. 06-8, Class 2A3, 0.454s, 2046 | 660,000 | 376,200 | ||||
| FRB Ser. 07-8, Class 2A2, 0.424s, 2037 | 1,864,000 | 1,344,876 | ||||
| FRB Ser. 06-25, Class 2A2, 0.414s, 2047 | 758,478 | 659,876 | ||||
| FRB Ser. 07-1, Class 2A2, 0.394s, 2037 | 1,467,000 | 1,073,111 | ||||
| Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 | 475,859 | 19,034 | ||||
| First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.444s, 2036 | 871,000 | 418,080 | ||||
| Granite Mortgages PLC | ||||||
| FRB Ser. 03-2, Class 2C1, 4.13s, 2043 | EUR | 1,028,000 | 852,312 | |||
| FRB Ser. 03-2, Class 3C, 3.52s, 2043 | GBP | 384,009 | 382,032 | |||
| Green Tree Financial Corp. | ||||||
| Ser. 94-6, Class B2, 9s, 2020 | $858,870 | 429,435 | ||||
| Ser. 94-4, Class B2, 8.6s, 2019 | 311,877 | 149,181 | ||||
| Ser. 93-1, Class B, 8.45s, 2018 | 134,051 | 98,385 | ||||
| Ser. 97-6, Class M1, 7.21s, 2029 | 1,087,000 | 948,468 | ||||
| GSAA Home Equity Trust | ||||||
| FRB Ser. 06-3, Class A3, 0.594s, 2036 | 2,560,741 | 1,152,334 | ||||
| FRB Ser. 05-15, Class 2A2, 0.544s, 2036 | 1,174,195 | 602,831 | ||||
| FRB Ser. 05-14, Class 2A2, 0.544s, 2035 | 865,213 | 406,650 | ||||
| FRB Ser. 05-11, Class 3A4, 0.544s, 2035 | 1,159,128 | 869,346 | ||||
| FRB Ser. 07-3, Class A4A, 0.514s, 2047 | 1,632,539 | 604,039 | ||||
| FRB Ser. 06-1, Class A2, 0.514s, 2036 | 1,199,435 | 497,766 | ||||
| FRB Ser. 07-4, Class A2, 0.494s, 2037 | 831,032 | 295,017 | ||||
| FRB Ser. 06-8, Class 2A2, 0.474s, 2036 | 5,130,158 | 1,923,809 | ||||
| FRB Ser. 06-11, Class 2A2, 0.454s, 2036 | 1,436,090 | 567,705 | ||||
| FRB Ser. 06-12, Class A2A, 0.444s, 2036 | 991,423 | 436,226 | ||||
| FRB Ser. 06-8, Class 2A1, 0.354s, 2036 | 1,510,619 | 543,823 | ||||
| FRB Ser. 06-12, Class A1, 0.344s, 2036 | 1,915,290 | 761,328 | ||||
| FRB Ser. 07-3, Class 2A1A, 0.194s, 2047 | 1,171,891 | 480,475 | ||||
| Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.294s, 2030 | 401,321 | 11,036 | ||||
| JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-WMC3, Class A5, 0.534s, 2036 | 4,264,009 | 1,279,203 | ||||
| Lehman XS Trust FRB Ser. 05-6, Class 1A4, 0.674s, 2035 | 1,218,000 | 395,850 | ||||
| Long Beach Mortgage Loan Trust FRB Ser. 06-5, Class 2A3, 0.444s, 2036 | 2,157,281 | 733,475 | ||||
| Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.464s, 2037 | 969,845 | 389,150 | ||||
| Mid-State Trust Ser. 11, Class B, 8.221s, 2038 | 94,843 | 95,058 | ||||
| Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.494s, 2034 | 46,693 | 11,743 | ||||
| Oakwood Mortgage Investors, Inc. | ||||||
| Ser. 99-D, Class A1, 7.84s, 2029 | 661,673 | 575,656 | ||||
| Ser. 95-B, Class B1, 7.55s, 2021 | 164,459 | 124,385 | ||||
| Ser. 00-D, Class A4, 7.4s, 2030 | 1,538,670 | 942,435 | ||||
| Ser. 01-D, Class A4, 6.93s, 2031 | 534,034 | 389,845 | ||||
| Ser. 01-E, Class A4, 6.81s, 2031 | 847,128 | 669,231 | ||||
| Ser. 01-C, Class A2, 5.92s, 2017 | 792,005 | 363,332 | ||||
| Residential Asset Mortgage Products, Inc. FRB Ser. 07-RZ1, Class A2, 0.454s, 2037 | 163,829 | 102,529 | ||||
| Residential Asset Securities Corp. Ser. 01-KS3, Class AII, 0.754s, 2031 | 1,174,179 | 879,453 | ||||
| SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D, 0.504s, 2036 | 246,000 | 69,940 | ||||
| Structured Asset Securities Corp. | ||||||
| FRB Ser. 06-BC5, Class A4, 0.464s, 2036 | 2,548,000 | 697,515 | ||||
| FRB Ser. 06-BC2, Class A3, 0.444s, 2036 | 3,834,008 | 2,070,364 | ||||
| TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 | 506,438 | 60,773 | ||||
| TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 | 390,000 | 195,000 | ||||
| Total asset-backed securities (cost $36,211,612) | $30,217,849 | |||||
| FOREIGN GOVERNMENT BONDS AND NOTES (6.8%)(a) | ||||||
| Principal amount/Units | Value | |||||
| Argentina (Republic of) sr. unsec. bonds 7s, 2017 | $1,520,000 | $1,280,934 | ||||
| Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 | 197,000 | 192,552 | ||||
| Argentina (Republic of) sr. unsec. bonds FRB 0.629s, 2013 | 1,431,000 | 341,422 | ||||
| Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 | 5,501,000 | 5,102,178 | ||||
| Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012 | ARS | 2,039,000 | 467,980 | |||
| Brazil (Federal Republic of) unsec. notes 10s, 2017 | BRL | 1,500 | 811,376 | |||
| Brazil (Federal Republic of) unsub. notes 10s, 2014 | BRL | 990 | 550,985 | |||
| Chile (Republic of) notes 5 1/2s, 2020 | CLP | 170,000,000 | 339,683 | |||
| Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 | $265,000 | 241,813 | ||||
| Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 | INR | 22,600,000 | 409,959 | |||
| Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 | $690,000 | 752,818 | ||||
| Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021 | 4,000 | 3,680 | ||||
| Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014 | 1,590,000 | 1,721,143 | ||||
| International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 | RUB | 9,750,000 | 284,453 | |||
| Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030 | $2,037,400 | 2,367,561 | ||||
| Sri Lanka (Republic of) 144A notes 7.4s, 2015 | 200,000 | 209,532 | ||||
| Turkey (Republic of) bonds 16s, 2012 | TRY | 175,000 | 93,234 | |||
| Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 | $1,205,000 | 1,357,372 | ||||
| Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 | 175,000 | 145,250 | ||||
| Ukraine (Government of) sr. unsec. bonds 6.385s, 2012 | 925,000 | 913,549 | ||||
| Ukraine (Government of) 144A bonds 7 3/4s, 2020 | 695,000 | 601,175 | ||||
| Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021 | 760,000 | 667,538 | ||||
| Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 | 1,400,000 | 1,344,000 | ||||
| Venezuela (Republic of) bonds 8 1/2s, 2014 | 225,000 | 209,297 | ||||
| Venezuela (Republic of) unsec. notes 10 3/4s, 2013 | 1,985,000 | 2,005,148 | ||||
| Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 | 1,285,000 | 1,259,107 | ||||
| Total foreign government bonds and notes (cost $23,636,945) | $23,673,739 | |||||
| PURCHASED OPTIONS OUTSTANDING (6.2%)(a) | ||||||
| Expiration date/ | Contract | |||||
| strike price | amount | Value | ||||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.765% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.765 | 6,075,000 | 37,483 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.861 | 2,578,000 | 24,568 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.861 | 2,578,000 | 24,568 | |||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.861 | 2,578,000 | 24,568 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.861 | 2,578,000 | 24,568 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.861% versus the three month USD-LIBOR-BBA April 2022. | Apr-12/1.861 | 2,578,000 | 24,568 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.9275 | 12,195,000 | 136,950 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.9275 | 12,195,000 | 136,950 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.9275 | 12,195,000 | 136,950 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.9275 | 12,195,000 | 136,950 | |||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.9275 | 12,195,000 | 136,950 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.9275 | 12,195,000 | 136,950 | |||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.985% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.985 | 2,770,000 | 37,007 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.998 | 12,195,000 | 169,998 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/1.998 | 12,195,000 | 169,998 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 2.015% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/2.015 | 2,430,000 | 34,433 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/2.15 | 800,000 | 16,936 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.15% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/2.15 | 800,000 | 14,144 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/2.3475 | 3,552,000 | 115,511 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3475% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/2.3475 | 3,552,000 | 38,788 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.35% versus the three month USD-LIBOR-BBA maturing April 2022. | Apr-12/2.35 | 2,531,000 | 83,599 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/1.9475 | 18,875,000 | 331,256 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/2.042 | 2,633,000 | 55,293 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/2.144 | 6,702,000 | 170,700 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/2.235 | 800,000 | 24,152 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/2.235 | 800,000 | 21,392 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/2.73 | 5,475,900 | 330,361 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/2.73 | 5,475,900 | 68,131 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/3.37 | 14,787,763 | 1,641,442 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022. | Aug-12/3.37 | 14,787,763 | 48,800 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022. | Dec-12/2.13375 | 2,633,000 | 74,435 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022. | Dec-12/2.27 | 4,714,000 | 162,963 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. | Dec-12/2.325 | $800,000 | $29,952 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022. | Dec-12/2.325 | 800,000 | 26,976 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022. | Dec-12/2.3675 | 4,714,000 | 186,203 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. | Dec-12/2.8825 | 2,260,000 | 245,798 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042. | Dec-12/2.8825 | 2,260,000 | 166,191 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. | Feb-12/0.555 | 23,593,538 | 87,768 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014. | Feb-12/0.555 | 23,593,538 | 1,416 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. | Feb-12/0.62 | 26,034,000 | 69,771 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.62% versus the three month USD-LIBOR-BBA maturing February 2014. | Feb-12/0.62 | 26,034,000 | 6,769 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.1% versus the three month USD-LIBOR-BBA maturing February 2017. | Feb-12/1.10 | 110,567,000 | 54,178 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. | Feb-12/1.81 | 14,770,875 | 390,985 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017. | Feb-12/1.81 | 14,770,875 | 443 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. | Feb-12/2.0525 | 7,744,000 | 112,056 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022. | Feb-12/2.0525 | 7,744,000 | 96,955 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. | Feb-12/2.24 | 3,664,000 | 79,802 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 2.24% versus the three month USD-LIBOR-BBA maturing February 2022. | Feb-12/2.24 | 3,664,000 | 21,105 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3% versus the three month USD-LIBOR-BBA maturing February 2022. | Feb-12/2.30 | 3,552,000 | 93,489 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3% versus the three month USD-LIBOR-BBA maturing February 2022. | Feb-12/2.30 | 3,552,000 | 17,618 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.545% versus the three month USD-LIBOR-BBA maturing January 2014. | Jan-12/0.545 | 23,593,538 | 86,116 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.545% versus the three month USD-LIBOR-BBA maturing January 2014. | Jan-12/0.545 | 23,593,538 | 24 | |||
| Option on an interest rate swap with UBS AG for the right to pay a fixed rate of 1.722% versus the six month CHF-LIBOR-BBA maturing January 2014. | Jan-12/1.722 | CHF | 15,780,000 | 840 | ||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/1.9475 | 12,272,000 | 37,184 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.953% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/1.953 | 12,272,000 | 39,148 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.96325% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/1.96325 | 12,272,000 | 40,375 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.03 | 7,744,000 | 77,208 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.03 | 7,744,000 | 61,565 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.215 | 3,664,000 | 62,508 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.215 | 3,664,000 | 4,067 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.27 | 2,531,000 | 57,631 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.2775% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.2775 | $3,552,000 | 80,772 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.2775% versus the three month USD-LIBOR-BBA maturing January 2022. | Jan-12/2.2775 | 3,552,000 | 5,541 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.785% versus the three month USD-LIBOR-BBA maturing January 2042. | Jan-12/2.785 | 2,260,000 | 94,310 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.785% versus the three month USD-LIBOR-BBA maturing January 2042. | Jan-12/2.785 | 2,260,000 | 8,588 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.60% versus the three month USD-LIBOR-BBA maturing January 2042. | Jan-12/3.60 | 8,372,569 | 1,770,798 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing January 2042. | Jan-12/4.60 | 8,372,569 | 8 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/1.6714 | 2,578,000 | 21,810 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/1.6714 | 2,578,000 | 21,810 | |||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/1.6714 | 2,578,000 | 21,810 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/1.6714 | 2,578,000 | 21,810 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/1.6714 | 2,578,000 | 21,810 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.055 | 2,770,000 | 56,813 | |||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.1075 | 12,272,000 | 281,274 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.1075 | 12,272,000 | 281,274 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.11875 | 12,272,000 | 287,165 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.122 | 6,702,000 | 156,425 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.1825 | 2,531,000 | 68,185 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.215 | 800,000 | 22,616 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/2.215 | 800,000 | 19,776 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.36 | 12,323,136 | 1,358,256 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.36 | 12,323,136 | 40,543 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.49 | 12,356,514 | 1,502,923 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.49 | 12,356,514 | 28,173 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.51 | 4,929,254 | 606,693 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.51 | 4,929,254 | 11,584 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.52 | 12,323,136 | 1,526,960 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing August 2022. | Jul-12/3.52 | 12,323,136 | 29,699 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.5375 | 12,323,136 | 1,548,402 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.5375 | 12,323,136 | 26,988 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.54 | 6,931,154 | 872,979 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022. | Jul-12/3.54 | 6,931,154 | 14,763 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/1.683 | 2,578,000 | 19,696 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/1.683 | 2,578,000 | 19,696 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/1.683 | 2,578,000 | 19,696 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/1.683 | 2,578,000 | 19,696 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022. | Jun-12/1.683 | 2,578,000 | 19,696 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/2.03 | 2,770,000 | 50,303 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/2.096 | 6,702,000 | 140,876 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/2.195 | 800,000 | 20,896 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022. | Jun-12/2.195 | 800,000 | 18,024 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. | Jun-12/2.83 | 2,260,000 | 187,422 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042. | Jun-12/2.83 | 2,260,000 | 107,775 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to pay a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. | Mar-12/0.52 | 27,505,000 | 134,224 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014. | Mar-12/0.52 | 27,505,000 | 4,676 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. | Mar-12/1.86 | 10,702,406 | 296,992 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017. | Mar-12/1.86 | 10,702,406 | 2,676 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/1.869 | 2,578,000 | 19,670 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/1.869 | 2,578,000 | 19,670 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/1.869 | 2,578,000 | 19,670 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/1.869 | 2,578,000 | 19,670 | |||
| Option on an interest rate swap with Barclays Bank PLC for the right to receive a fixed rate of 1.869% versus the three month USD-LIBOR-BBA March 2022. | Mar-12/1.869 | 2,578,000 | 19,670 | |||
| Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.96% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/1.96 | 2,770,000 | 27,728 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/2.075 | 7,744,000 | 137,843 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/2.075 | 7,744,000 | 122,975 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/2.3225 | 3,552,000 | 104,642 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3225% versus the three month USD-LIBOR-BBA maturing March 2022. | Mar-12/2.3225 | 3,552,000 | 28,167 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. | Mar-12/2.8025 | 2,260,000 | 143,081 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8025% versus the three month USD-LIBOR-BBA maturing March 2042. | Mar-12/2.8025 | 2,260,000 | 56,884 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022. | May-12/2.005 | 2,770,000 | 43,544 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.074% versus the three month USD-LIBOR-BBA maturing May 2022. | May-12/2.074 | 6,702,000 | 125,193 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. | May-12/2.17 | 800,000 | 18,904 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022. | May-12/2.17 | 800,000 | 16,144 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022. | Nov-12/2.1125 | 2,633,000 | 70,064 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022. | Nov-12/2.2475 | 4,714,000 | 155,373 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. | Nov-12/2.305 | 800,000 | 28,640 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022. | Nov-12/2.305 | 800,000 | 25,624 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022. | Nov-12/2.34375 | 4,714,000 | 178,331 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022. | Oct-12/2.085 | 2,633,000 | 65,035 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022. | Oct-12/2.193 | 6,702,000 | 198,111 | |||
| Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022. | Oct-12/2.225 | 4,714,000 | 147,265 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. | Oct-12/2.28 | 800,000 | 27,176 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022. | Oct-12/2.28 | 800,000 | 24,256 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022. | Oct-12/2.3175 | 4,714,000 | 169,233 | |||
| Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022. | Sep-12/2.064 | 2,633,000 | 60,559 | |||
| Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022. | Sep-12/2.169 | 6,702,000 | 184,439 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. | Sep-12/2.26 | 800,000 | 25,856 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022. | Sep-12/2.26 | 800,000 | 22,952 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. | Sep-12/2.855 | 2,260,000 | 219,265 | |||
| Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042. | Sep-12/2.855 | 2,260,000 | 141,270 | |||
| Total purchased options outstanding (cost $17,091,412) | $21,285,309 | |||||
| SENIOR LOANS (2.4%)(a)(c) | ||||||
| Principal amount | Value | |||||
| Basic materials (0.1%) | ||||||
| Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017 | $89,550 | $86,864 | ||||
| INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 | 55,030 | 56,131 | ||||
| INEOS U.S. Finance, LLC bank term loan FRN Ser. B2, 7.501s, 2013 | 51,876 | 52,913 | ||||
| Momentive Performance Materials, Inc. bank term loan FRN 3.813s, 2013 | 157,513 | 151,606 | ||||
| Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 | 89,325 | 86,701 | ||||
| 434,215 | ||||||
| Capital goods (—%) | ||||||
| SRAM Corp. bank term loan FRN 8 1/2s, 2018 | 60,000 | 59,700 | ||||
| 59,700 | ||||||
| Communication services (0.4%) | ||||||
| Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.62s, 2016 | 807,082 | 799,818 | ||||
| Charter Communications Operating, LLC bank term loan FRN Ser. l, 7 1/4s, 2014 | 6,181 | 6,150 | ||||
| Insight Midwest Holdings, LLC bank term loan FRN Ser. B, 2.02s, 2014 | 111,769 | 110,260 | ||||
| Intelsat SA bank term loan FRN 3.391s, 2014 (Luxembourg) | 460,000 | 436,770 | ||||
| Level 3 Communications, Inc. bank term loan FRN 2.648s, 2014 | 15,000 | 14,306 | ||||
| 1,367,304 | ||||||
| Consumer cyclicals (1.0%) | ||||||
| Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016 | 76,507 | 76,411 | ||||
| Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017 | 49,375 | 48,367 | ||||
| Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.418s, 2015 | 265,000 | 229,519 | ||||
| Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3 3/8s, 2015 | 309,439 | 268,328 | ||||
| CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017 | 244,795 | 241,939 | ||||
| Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.51s, 2014 | 285,956 | 243,658 | ||||
| Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.91s, 2016 | 436,042 | 321,339 | ||||
| Compucom Systems, Inc. bank term loan FRN 3.76s, 2014 | 105,033 | 99,781 | ||||
| Federal Mogul Corp. bank term loan FRN Ser. B, 2.209s, 2014 | 36,584 | 33,764 | ||||
| Federal Mogul Corp. bank term loan FRN Ser. C, 2.216s, 2015 | 18,665 | 17,226 | ||||
| GateHouse Media, Inc. bank term loan FRN Ser. B, 2.51s, 2014 | 217,466 | 47,661 | ||||
| GateHouse Media, Inc. bank term loan FRN Ser. B, 2.26s, 2014 | 185,167 | 40,583 | ||||
| GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.26s, 2014 | 69,092 | 15,143 | ||||
| Golden Nugget, Inc. bank term loan FRN Ser. B, 3.26s, 2014(PIK) | 101,429 | 86,299 | ||||
| Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.26s, 2014(PIK) | 57,737 | 49,125 | ||||
| Goodman Global, Inc. bank term loan FRN 9s, 2017 | 147,273 | 147,365 | ||||
| Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016 | 177,585 | 177,058 | ||||
| Michaels Stores, Inc. bank term loan FRN Ser. B, 2.727s, 2013 | 107,457 | 105,442 | ||||
| National Bedding Co., LLC bank term loan FRN Ser. B, 4 1/8s, 2013 | 72,003 | 70,833 | ||||
| Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 | 160,000 | 154,167 | ||||
| Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017 | 40,700 | 39,632 | ||||
| R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014 | 504,305 | 177,011 | ||||
| Realogy Corp. bank term loan FRN Ser. B, 4.691s, 2016 | 422,232 | 376,088 | ||||
| ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.835s, 2014 | 224,075 | 213,213 | ||||
| ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.76s, 2014 | 22,644 | 21,547 | ||||
| Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)(NON) | 289,000 | 168,102 | ||||
| Univision Communications, Inc. bank term loan FRN 4.51s, 2017 | 171,147 | 152,427 | ||||
| 3,622,028 | ||||||
| Consumer staples (0.2%) | ||||||
| Claire's Stores, Inc. bank term loan FRN 3.039s, 2014 | 238,089 | 205,426 | ||||
| Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 | 114,713 | 108,690 | ||||
| Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017 | 244,388 | 241,129 | ||||
| Rite Aid Corp. bank term loan FRN Ser. B, 2.028s, 2014 | 94,519 | 89,281 | ||||
| West Corp. bank term loan FRN Ser. B2, 2.779s, 2013 | 23,026 | 22,824 | ||||
| West Corp. bank term loan FRN Ser. B5, 4.613s, 2016 | 56,002 | 55,535 | ||||
| 722,885 | ||||||
| Energy (0.2%) | ||||||
| Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016 | 141,526 | 139,470 | ||||
| Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013 | 124,504 | 121,680 | ||||
| Samson Investment Co. bank term loan FRN 8s, 2018(F) | 500,000 | 496,250 | ||||
| 757,400 | ||||||
| Financials (0.1%) | ||||||
| AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 | 170,000 | 147,369 | ||||
| HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014 | 71,358 | 70,644 | ||||
| 218,013 | ||||||
| Health care (0.3%) | ||||||
| Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015 | 223,542 | 221,027 | ||||
| Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 | 183,613 | 178,716 | ||||
| Grifols SA bank term loan FRN Ser. B, 6s, 2017 (Spain) | 99,500 | 99,003 | ||||
| IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 | 267,975 | 258,261 | ||||
| Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 | 134,761 | 128,192 | ||||
| 885,199 | ||||||
| Utilities and power (0.1%) | ||||||
| Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.776s, 2017 | 640,516 | 404,770 | ||||
| 404,770 | ||||||
| Total senior loans (cost $9,721,587) | $8,471,514 | |||||
| CONVERTIBLE BONDS AND NOTES (0.1%)(a) | ||||||
| Principal amount | Value | |||||
| Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 | $157,000 | $225,099 | ||||
| Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 | 195,000 | 212,306 | ||||
| Total convertible bonds and notes (cost $352,000) | $437,405 | |||||
| CONVERTIBLE PREFERRED STOCKS (0.1%)(a) | ||||||
| Shares | Value | |||||
| General Motors Co. Ser. B, $2.375 cv. pfd. | 3,856 | $132,550 | ||||
| Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default)(NON) | 667 | 334 | ||||
| Lucent Technologies Capital Trust I 7.75% cv. pfd. | 176 | 107,580 | ||||
| Total convertible preferred stocks (cost $994,199) | $240,464 | |||||
| PREFERRED STOCKS (0.0%)(a) | ||||||
| Shares | Value | |||||
| Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. | 198 | $141,935 | ||||
| Total preferred stocks (cost $66,176) | $141,935 | |||||
| WARRANTS (0.0%)(a)(NON) | ||||||
| Expiration date | Strike Price | Warrants | Value | |||
| Charter Communications, Inc. Class A | 11/30/14 | 0.01 | 20 | $348 | ||
| Smurfit Kappa Group PLC 144A (Ireland)(F) | 10/1/13 | EUR 0.001 | $508 | 15,940 | ||
| Total warrants (cost $19,277) | $16,288 | |||||
| COMMON STOCKS (0.0%)(a) | ||||||
| Shares | Value | |||||
| Bohai Bay Litigation, LLC (Escrow)(F) | 991 | $3,091 | ||||
| Trump Entertainment Resorts, Inc.(F)(NON) | 94 | 400 | ||||
| Vertis Holdings, Inc.(F)(NON) | 734 | 7 | ||||
| Total common stocks (cost $5,152) | $3,498 | |||||
| SHORT-TERM INVESTMENTS (51.2%)(a) | ||||||
| Principal amount/shares | Value | |||||
| Putnam Money Market Liquidity Fund 0.05%(e) | 71,815,577 | $71,815,577 | ||||
| Straight-A Funding, LLC commercial paper with an effective yield of 0.246%, February 1, 2012 | 10,000,000 | $9,997,308 | ||||
| U.S. Treasury Bills with an effective yield of 0.104%, December 13, 2012(SEGSF) | $5,000,000 | 4,994,855 | ||||
| U.S. Treasury Bills with effective yields ranging from 0.084% to 0.102%, November 15, 2012(SEGSF) | 5,534,000 | 5,529,739 | ||||
| U.S. Treasury Bills with an effective yield of 0.087%, October 18, 2012(SEGSF)(SEG) | 29,895,000 | 29,874,612 | ||||
| U.S. Treasury Bills with effective yields ranging from 0.058% to 0.096%, August 23, 2012(SEGSF) | 27,424,000 | 27,411,577 | ||||
| U.S. Treasury Bills with effective yields ranging from 0.059% to 0.102%, July 26, 2012(SEGSF)(SEG) | 9,163,000 | 9,160,132 | ||||
| U.S. Treasury Bills with effective yields ranging from 0.070% to 0.070%, June 28, 2012(SEGSF)(SEG) | 3,087,000 | 3,086,089 | ||||
| U.S. Treasury Bills with an effective yield of 0.079%, May 3, 2012(SEGSF)(SEG) | 5,279,000 | 5,278,557 | ||||
| U.S. Treasury Bills with an effective yield of 0.073%, April 5, 2012(SEGSF) | 3,000,000 | 2,999,844 | ||||
| U.S. Treasury Bills with an effective yield of 0.006%, March 1, 2012(SEGSF) | 7,000,000 | 6,999,797 | ||||
| Total short-term investments (cost $177,139,766) | $177,148,087 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $483,469,145)(b) | $476,911,258 | |||||
| FORWARD CURRENCY CONTRACTS at 12/31/11 (aggregate face value $197,036,809) (Unaudited) | |||||||
| Unrealized | |||||||
| Contract | Delivery | Aggregate | appreciation/ | ||||
| Counterparty | Currency | type | date | Value | face value | (depreciation) | |
| Bank of America, N.A. | |||||||
| Australian Dollar | Buy | 1/18/12 | $1,808,095 | $1,803,940 | $4,155 | ||
| Brazilian Real | Buy | 1/18/12 | 312,653 | 323,617 | (10,964) | ||
| British Pound | Sell | 1/18/12 | 365,532 | 369,943 | 4,411 | ||
| Canadian Dollar | Sell | 1/18/12 | 868,321 | 868,622 | 301 | ||
| Chilean Peso | Buy | 1/18/12 | 47,282 | 47,696 | (414) | ||
| Czech Koruna | Buy | 1/18/12 | 216,800 | 227,210 | (10,410) | ||
| Euro | Buy | 1/18/12 | 1,145,639 | 1,234,603 | (88,964) | ||
| Hungarian Forint | Buy | 1/18/12 | 14,887 | 16,025 | (1,138) | ||
| Japanese Yen | Sell | 1/18/12 | 1,344,719 | 1,332,914 | (11,805) | ||
| Mexican Peso | Sell | 1/18/12 | 158,836 | 163,451 | 4,615 | ||
| Norwegian Krone | Sell | 1/18/12 | 283,596 | 292,205 | 8,609 | ||
| Russian Ruble | Buy | 1/18/12 | 4,008 | 4,165 | (157) | ||
| Singapore Dollar | Buy | 1/18/12 | — | 9,055 | (9,055) | ||
| South African Rand | Sell | 1/18/12 | 15,412 | 15,525 | 113 | ||
| South Korean Won | Sell | 1/18/12 | 24,921 | 25,465 | 544 | ||
| Swedish Krona | Buy | 1/18/12 | 1,040,708 | 1,057,987 | (17,279) | ||
| Swiss Franc | Buy | 1/18/12 | 1,791,222 | 1,838,138 | (46,916) | ||
| Taiwan Dollar | Sell | 1/18/12 | 614,626 | 616,362 | 1,736 | ||
| Turkish Lira | Sell | 1/18/12 | 528,834 | 547,142 | 18,308 | ||
| Barclays Bank PLC | |||||||
| Australian Dollar | Sell | 1/18/12 | 2,521,488 | 2,558,227 | 36,739 | ||
| Brazilian Real | Buy | 1/18/12 | 302,340 | 311,307 | (8,967) | ||
| British Pound | Buy | 1/18/12 | 2,725,498 | 2,756,336 | (30,838) | ||
| Canadian Dollar | Sell | 1/18/12 | 1,800,718 | 1,801,467 | 749 | ||
| Chilean Peso | Buy | 1/18/12 | 1,394 | 1,404 | (10) | ||
| Czech Koruna | Buy | 1/18/12 | 250,366 | 262,866 | (12,500) | ||
| Euro | Sell | 1/18/12 | 3,529,204 | 3,612,637 | 83,433 | ||
| Hungarian Forint | Sell | 1/18/12 | 217,847 | 260,169 | 42,322 | ||
| Indian Rupee | Buy | 1/18/12 | 138,108 | 142,705 | (4,597) | ||
| Indonesian Rupiah | Sell | 1/18/12 | 256,528 | 257,089 | 561 | ||
| Japanese Yen | Buy | 1/18/12 | 903,893 | 896,177 | 7,716 | ||
| Malaysian Ringgit | Buy | 1/18/12 | 50,489 | 51,215 | (726) | ||
| Malaysian Ringgit | Sell | 1/18/12 | 50,489 | 50,385 | (104) | ||
| Mexican Peso | Buy | 1/18/12 | 596,757 | 613,684 | (16,927) | ||
| New Zealand Dollar | Buy | 1/18/12 | 108,646 | 108,786 | (140) | ||
| New Zealand Dollar | Sell | 1/18/12 | 108,646 | 107,418 | (1,228) | ||
| Norwegian Krone | Buy | 1/18/12 | 1,097,367 | 1,130,476 | (33,109) | ||
| Polish Zloty | Sell | 1/18/12 | 717,084 | 733,165 | 16,081 | ||
| Russian Ruble | Buy | 1/18/12 | 4,008 | 4,154 | (146) | ||
| Singapore Dollar | Buy | 1/18/12 | 11,873 | 12,031 | (159) | ||
| Singapore Dollar | Sell | 1/18/12 | 11,873 | 11,838 | (35) | ||
| South Korean Won | Sell | 1/18/12 | 171,134 | 174,744 | 3,610 | ||
| Swedish Krona | Sell | 1/18/12 | 3,586,532 | 3,646,108 | 59,576 | ||
| Swiss Franc | Sell | 1/18/12 | 1,205,968 | 1,237,423 | 31,455 | ||
| Taiwan Dollar | Sell | 1/18/12 | 561,950 | 563,818 | 1,868 | ||
| Thai Baht | Buy | 1/18/12 | 55,090 | 54,715 | 375 | ||
| Thai Baht | Sell | 1/18/12 | 55,090 | 56,322 | 1,232 | ||
| Turkish Lira | Sell | 1/18/12 | 163,633 | 169,327 | 5,694 | ||
| Citibank, N.A. | |||||||
| Australian Dollar | Buy | 1/18/12 | 1,397,582 | 1,394,193 | 3,389 | ||
| Brazilian Real | Sell | 1/18/12 | 1,470,128 | 1,515,395 | 45,267 | ||
| British Pound | Sell | 1/18/12 | 1,522,068 | 1,540,561 | 18,493 | ||
| Canadian Dollar | Sell | 1/18/12 | 582,380 | 583,931 | 1,551 | ||
| Chilean Peso | Sell | 1/18/12 | 186,592 | 187,629 | 1,037 | ||
| Czech Koruna | Sell | 1/18/12 | 227,380 | 238,817 | 11,437 | ||
| Danish Krone | Buy | 1/18/12 | 234,406 | 244,160 | (9,754) | ||
| Euro | Sell | 1/18/12 | 300,939 | 314,273 | 13,334 | ||
| Hungarian Forint | Sell | 1/18/12 | 632,093 | 681,027 | 48,934 | ||
| Japanese Yen | Sell | 1/18/12 | 2,479,377 | 2,458,784 | (20,593) | ||
| Mexican Peso | Buy | 1/18/12 | 195,729 | 201,444 | (5,715) | ||
| New Zealand Dollar | Buy | 1/18/12 | 14,776 | 14,788 | (11) | ||
| New Zealand Dollar | Sell | 1/18/12 | 14,776 | 14,611 | (165) | ||
| Norwegian Krone | Buy | 1/18/12 | 352,786 | 363,488 | (10,702) | ||
| Polish Zloty | Buy | 1/18/12 | 853,027 | 879,949 | (26,922) | ||
| Singapore Dollar | Buy | 1/18/12 | 625,624 | 623,800 | 1,824 | ||
| Singapore Dollar | Sell | 1/18/12 | 625,624 | 633,984 | 8,360 | ||
| South African Rand | Sell | 1/18/12 | 531,728 | 535,933 | 4,205 | ||
| South Korean Won | Buy | 1/18/12 | 32,463 | 33,230 | (767) | ||
| Swedish Krona | Sell | 1/18/12 | 114,871 | 116,795 | 1,924 | ||
| Swiss Franc | Buy | 1/18/12 | 1,230,034 | 1,262,680 | (32,646) | ||
| Taiwan Dollar | Buy | 1/18/12 | 228,551 | 229,539 | (988) | ||
| Turkish Lira | Buy | 1/18/12 | 216,195 | 224,009 | (7,814) | ||
| Credit Suisse AG | |||||||
| Australian Dollar | Buy | 1/18/12 | 3,402,048 | 3,384,436 | 17,612 | ||
| Brazilian Real | Sell | 1/18/12 | 442,663 | 455,666 | 13,003 | ||
| British Pound | Buy | 1/18/12 | 231,835 | 234,649 | (2,814) | ||
| Canadian Dollar | Sell | 1/18/12 | 905,560 | 862,539 | (43,021) | ||
| Chilean Peso | Buy | 1/18/12 | 7,783 | 7,828 | (45) | ||
| Czech Koruna | Sell | 1/18/12 | 696,161 | 730,897 | 34,736 | ||
| Euro | Sell | 1/18/12 | 3,547,843 | 3,613,776 | 65,933 | ||
| Hungarian Forint | Buy | 1/18/12 | 208,375 | 196,757 | 11,618 | ||
| Indian Rupee | Buy | 1/18/12 | 132,758 | 137,097 | (4,339) | ||
| Japanese Yen | Buy | 1/18/12 | 3,123,714 | 3,096,850 | 26,864 | ||
| Malaysian Ringgit | Buy | 1/18/12 | 299,183 | 298,450 | 733 | ||
| Malaysian Ringgit | Sell | 1/18/12 | 299,183 | 303,000 | 3,817 | ||
| Mexican Peso | Buy | 1/18/12 | 399,074 | 410,633 | (11,559) | ||
| Norwegian Krone | Buy | 1/18/12 | 1,125,227 | 1,159,628 | (34,401) | ||
| Polish Zloty | Sell | 1/18/12 | 947,265 | 970,114 | 22,849 | ||
| Russian Ruble | Sell | 1/18/12 | 2,721 | 2,819 | 98 | ||
| South African Rand | Sell | 1/18/12 | 349,166 | 351,604 | 2,438 | ||
| South Korean Won | Sell | 1/18/12 | 543,167 | 554,430 | 11,263 | ||
| Swedish Krona | Sell | 1/18/12 | 2,756,776 | 2,802,424 | 45,648 | ||
| Swiss Franc | Sell | 1/18/12 | 778,848 | 798,559 | 19,711 | ||
| Taiwan Dollar | Sell | 1/18/12 | 606,476 | 608,089 | 1,613 | ||
| Turkish Lira | Sell | 1/18/12 | 160,844 | 166,639 | 5,795 | ||
| Deutsche Bank AG | |||||||
| Australian Dollar | Buy | 1/18/12 | 95,174 | 94,784 | 390 | ||
| Brazilian Real | Buy | 1/18/12 | 407,716 | 422,715 | (14,999) | ||
| British Pound | Sell | 1/18/12 | 762,897 | 772,078 | 9,181 | ||
| Canadian Dollar | Sell | 1/18/12 | 607,010 | 607,245 | 235 | ||
| Chilean Peso | Buy | 1/18/12 | 190,731 | 192,404 | (1,673) | ||
| Czech Koruna | Buy | 1/18/12 | 14,720 | 15,422 | (702) | ||
| Euro | Buy | 1/18/12 | 1,196,378 | 1,256,824 | (60,446) | ||
| Hungarian Forint | Sell | 1/18/12 | 1,013,073 | 1,088,768 | 75,695 | ||
| Malaysian Ringgit | Buy | 1/18/12 | 107,912 | 107,928 | (16) | ||
| Malaysian Ringgit | Sell | 1/18/12 | 107,912 | 109,473 | 1,562 | ||
| Mexican Peso | Sell | 1/18/12 | 408 | 567 | 159 | ||
| New Zealand Dollar | Buy | 1/18/12 | 411,486 | 405,860 | 5,626 | ||
| New Zealand Dollar | Sell | 1/18/12 | 411,486 | 411,878 | 392 | ||
| Norwegian Krone | Buy | 1/18/12 | 85,318 | 87,916 | (2,598) | ||
| Polish Zloty | Buy | 1/18/12 | 341,726 | 352,558 | (10,832) | ||
| Singapore Dollar | Buy | 1/18/12 | 356,563 | 354,884 | 1,679 | ||
| Singapore Dollar | Sell | 1/18/12 | 356,563 | 361,300 | 4,737 | ||
| South Korean Won | Buy | 1/18/12 | 675,939 | 690,964 | (15,025) | ||
| Swedish Krona | Sell | 1/18/12 | 2,520,050 | 2,562,977 | 42,927 | ||
| Swiss Franc | Buy | 1/18/12 | 597,287 | 612,965 | (15,678) | ||
| Taiwan Dollar | Buy | 1/18/12 | 572,505 | 574,599 | (2,094) | ||
| Turkish Lira | Sell | 1/18/12 | 279,702 | 288,521 | 8,819 | ||
| Goldman Sachs International | |||||||
| Australian Dollar | Buy | 1/18/12 | 946,018 | 943,789 | 2,229 | ||
| British Pound | Buy | 1/18/12 | 1,090,386 | 1,103,613 | (13,227) | ||
| Canadian Dollar | Sell | 1/18/12 | 646,064 | 646,612 | 548 | ||
| Chilean Peso | Sell | 1/18/12 | 496,512 | 499,996 | 3,484 | ||
| Euro | Sell | 1/18/12 | 609,773 | 635,453 | 25,680 | ||
| Hungarian Forint | Sell | 1/18/12 | 399,710 | 429,383 | 29,673 | ||
| Japanese Yen | Buy | 1/18/12 | 647,667 | 648,278 | (611) | ||
| Norwegian Krone | Buy | 1/18/12 | 1,049,101 | 1,079,724 | (30,623) | ||
| Polish Zloty | Buy | 1/18/12 | 208,271 | 214,465 | (6,194) | ||
| South African Rand | Sell | 1/18/12 | 42,084 | 42,390 | 306 | ||
| Swedish Krona | Buy | 1/18/12 | 1,566,450 | 1,599,013 | (32,563) | ||
| Swiss Franc | Buy | 1/18/12 | 92,218 | 94,556 | (2,338) | ||
| HSBC Bank USA, National Association | |||||||
| Australian Dollar | Sell | 1/18/12 | 237,308 | 236,523 | (785) | ||
| British Pound | Sell | 1/18/12 | 1,864,378 | 1,887,006 | 22,628 | ||
| Canadian Dollar | Sell | 1/18/12 | 2,621,840 | 2,625,353 | 3,513 | ||
| Euro | Buy | 1/18/12 | 2,535,912 | 2,642,020 | (106,108) | ||
| Indian Rupee | Sell | 1/18/12 | 215,523 | 223,754 | 8,231 | ||
| Japanese Yen | Sell | 1/18/12 | 355,985 | 352,924 | (3,061) | ||
| New Zealand Dollar | Buy | 1/18/12 | 11,743 | 11,611 | 133 | ||
| New Zealand Dollar | Sell | 1/18/12 | 11,743 | 11,755 | 11 | ||
| Norwegian Krone | Sell | 1/18/12 | 3,541,954 | 3,650,744 | 108,790 | ||
| Singapore Dollar | Buy | 1/18/12 | 558,937 | 566,437 | (7,500) | ||
| Singapore Dollar | Sell | 1/18/12 | 558,937 | 557,268 | (1,669) | ||
| South Korean Won | Sell | 1/18/12 | 602,494 | 614,769 | 12,275 | ||
| Swedish Krona | Sell | 1/18/12 | 2,592,042 | 2,637,014 | 44,972 | ||
| Swiss Franc | Buy | 1/18/12 | 882,779 | 904,903 | (22,124) | ||
| Taiwan Dollar | Sell | 1/18/12 | 94,261 | 94,601 | 340 | ||
| JPMorgan Chase Bank, N.A. | |||||||
| Australian Dollar | Buy | 1/18/12 | 2,218,505 | 2,187,334 | 31,171 | ||
| Brazilian Real | Sell | 1/18/12 | 305,279 | 315,217 | 9,938 | ||
| British Pound | Sell | 1/18/12 | 2,364,158 | 2,393,111 | 28,953 | ||
| Canadian Dollar | Buy | 1/18/12 | 181,534 | 181,759 | (225) | ||
| Chilean Peso | Buy | 1/18/12 | 58,381 | 58,876 | (495) | ||
| Czech Koruna | Sell | 1/18/12 | 266,929 | 280,427 | 13,498 | ||
| Euro | Sell | 1/18/12 | 4,846,475 | 4,955,428 | 108,953 | ||
| Hungarian Forint | Sell | 1/18/12 | 241,621 | 273,128 | 31,507 | ||
| Japanese Yen | Sell | 1/18/12 | 707,938 | 701,832 | (6,106) | ||
| Malaysian Ringgit | Buy | 1/18/12 | 380,621 | 380,870 | (248) | ||
| Malaysian Ringgit | Sell | 1/18/12 | 380,621 | 386,192 | 5,571 | ||
| Mexican Peso | Sell | 1/18/12 | 482,637 | 496,641 | 14,004 | ||
| New Zealand Dollar | Buy | 1/18/12 | 75,593 | 75,711 | (117) | ||
| New Zealand Dollar | Sell | 1/18/12 | 75,593 | 74,737 | (856) | ||
| Norwegian Krone | Buy | 1/18/12 | 350,681 | 361,321 | (10,640) | ||
| Polish Zloty | Sell | 1/18/12 | 2,096,202 | 2,164,943 | 68,741 | ||
| Russian Ruble | Sell | 1/18/12 | 313,523 | 324,871 | 11,348 | ||
| Singapore Dollar | Buy | 1/18/12 | 85,190 | 84,936 | 254 | ||
| Singapore Dollar | Sell | 1/18/12 | 85,190 | 86,320 | 1,130 | ||
| South African Rand | Sell | 1/18/12 | 573,354 | 577,817 | 4,463 | ||
| South Korean Won | Sell | 1/18/12 | 353,633 | 361,766 | 8,133 | ||
| Swedish Krona | Sell | 1/18/12 | 3,200,245 | 3,254,278 | 54,033 | ||
| Swiss Franc | Sell | 1/18/12 | 975,743 | 1,001,552 | 25,809 | ||
| Taiwan Dollar | Sell | 1/18/12 | 886,245 | 889,162 | 2,917 | ||
| Thai Baht | Buy | 1/18/12 | 51,430 | 51,108 | 322 | ||
| Thai Baht | Sell | 1/18/12 | 51,430 | 52,582 | 1,152 | ||
| Turkish Lira | Sell | 1/18/12 | 157,793 | 163,362 | 5,569 | ||
| Royal Bank of Scotland PLC (The) | |||||||
| Australian Dollar | Buy | 1/18/12 | 2,102,908 | 2,085,754 | 17,154 | ||
| Brazilian Real | Sell | 1/18/12 | 554,184 | 572,541 | 18,357 | ||
| British Pound | Buy | 1/18/12 | 3,725,820 | 3,768,458 | (42,638) | ||
| Canadian Dollar | Sell | 1/18/12 | 1,357,873 | 1,358,325 | 452 | ||
| Chilean Peso | Buy | 1/18/12 | 24,139 | 24,306 | (167) | ||
| Czech Koruna | Sell | 1/18/12 | 741,750 | 778,561 | 36,811 | ||
| Euro | Sell | 1/18/12 | 3,884,635 | 4,090,137 | 205,497 | ||
| Hungarian Forint | Sell | 1/18/12 | 1,135,465 | 1,221,156 | 85,691 | ||
| Indian Rupee | Sell | 1/18/12 | 65,933 | 69,230 | 3,297 | ||
| Japanese Yen | Sell | 1/18/12 | 373,720 | 370,616 | (3,104) | ||
| Malaysian Ringgit | Buy | 1/18/12 | 254,620 | 258,239 | (3,619) | ||
| Malaysian Ringgit | Sell | 1/18/12 | 254,620 | 254,417 | (203) | ||
| Mexican Peso | Buy | 1/18/12 | 38,575 | 39,998 | (1,423) | ||
| New Zealand Dollar | Buy | 1/18/12 | 39,197 | 38,755 | 441 | ||
| New Zealand Dollar | Sell | 1/18/12 | 39,197 | 39,199 | 2 | ||
| Norwegian Krone | Buy | 1/18/12 | 2,418,916 | 2,489,889 | (70,973) | ||
| Polish Zloty | Sell | 1/18/12 | 48,450 | 50,084 | 1,634 | ||
| Russian Ruble | Sell | 1/18/12 | 2,718 | 2,822 | 104 | ||
| Singapore Dollar | Buy | 1/18/12 | 60,211 | 61,017 | (806) | ||
| Singapore Dollar | Sell | 1/18/12 | 60,211 | 60,033 | (178) | ||
| South African Rand | Sell | 1/18/12 | 78,791 | 79,390 | 599 | ||
| South Korean Won | Sell | 1/18/12 | 85,145 | 86,903 | 1,758 | ||
| Swedish Krona | Sell | 1/18/12 | 1,485,687 | 1,511,814 | 26,127 | ||
| Swiss Franc | Sell | 1/18/12 | 1,720,515 | 1,766,700 | 46,185 | ||
| Taiwan Dollar | Buy | 1/18/12 | 53,795 | 54,029 | (234) | ||
| Turkish Lira | Sell | 1/18/12 | 530,991 | 550,573 | 19,582 | ||
| State Street Bank and Trust Co. | |||||||
| Australian Dollar | Buy | 1/18/12 | 3,780,803 | 3,777,747 | 3,056 | ||
| Brazilian Real | Sell | 1/18/12 | 110,292 | 113,563 | 3,271 | ||
| British Pound | Sell | 1/18/12 | 1,936,824 | 1,943,273 | 6,449 | ||
| Canadian Dollar | Sell | 1/18/12 | 1,847,132 | 1,822,097 | (25,035) | ||
| Czech Koruna | Sell | 1/18/12 | 458,622 | 480,974 | 22,352 | ||
| Euro | Sell | 1/18/12 | 2,300,726 | 2,387,014 | 86,288 | ||
| Hungarian Forint | Sell | 1/18/12 | 545,714 | 585,606 | 39,892 | ||
| Indonesian Rupiah | Sell | 1/18/12 | 527,346 | 529,493 | 2,147 | ||
| Japanese Yen | Sell | 1/18/12 | 3,161,465 | 3,140,367 | (21,098) | ||
| Malaysian Ringgit | Buy | 1/18/12 | 345,512 | 350,603 | (5,091) | ||
| Malaysian Ringgit | Sell | 1/18/12 | 345,512 | 344,369 | (1,143) | ||
| Mexican Peso | Sell | 1/18/12 | 601,202 | 618,392 | 17,190 | ||
| Norwegian Krone | Buy | 1/18/12 | 621,492 | 640,250 | (18,758) | ||
| Polish Zloty | Sell | 1/18/12 | 573,788 | 591,924 | 18,136 | ||
| Russian Ruble | Buy | 1/18/12 | 4,014 | 4,174 | (160) | ||
| Singapore Dollar | Buy | 1/18/12 | 117,492 | 117,142 | 350 | ||
| Singapore Dollar | Sell | 1/18/12 | 117,492 | 119,016 | 1,524 | ||
| South African Rand | Sell | 1/18/12 | 285,145 | 287,149 | 2,004 | ||
| South Korean Won | Sell | 1/18/12 | 773,581 | 787,877 | 14,296 | ||
| Swedish Krona | Buy | 1/18/12 | 398,063 | 424,675 | (26,612) | ||
| Swiss Franc | Buy | 1/18/12 | 1,419,369 | 1,455,528 | (36,159) | ||
| Taiwan Dollar | Sell | 1/18/12 | 125,331 | 125,735 | 404 | ||
| Thai Baht | Buy | 1/18/12 | 472,224 | 483,884 | (11,660) | ||
| Thai Baht | Sell | 1/18/12 | 472,224 | 471,093 | (1,131) | ||
| Turkish Lira | Sell | 1/18/12 | 12,365 | 12,800 | 435 | ||
| UBS AG | |||||||
| Australian Dollar | Buy | 1/18/12 | 1,877,024 | 1,857,662 | 19,362 | ||
| Brazilian Real | Sell | 1/18/12 | 489,793 | 506,073 | 16,280 | ||
| British Pound | Sell | 1/18/12 | 202,487 | 207,296 | 4,809 | ||
| Canadian Dollar | Sell | 1/18/12 | 2,062,225 | 2,054,801 | (7,424) | ||
| Czech Koruna | Sell | 1/18/12 | 956,140 | 1,003,006 | 46,866 | ||
| Euro | Buy | 1/18/12 | 3,365,208 | 3,412,418 | (47,210) | ||
| Hungarian Forint | Buy | 1/18/12 | 1,184,883 | 1,254,989 | (70,106) | ||
| Indian Rupee | Sell | 1/18/12 | 446,242 | 461,993 | 15,751 | ||
| Japanese Yen | Sell | 1/18/12 | 4,242,496 | 4,203,877 | (38,619) | ||
| Mexican Peso | Sell | 1/18/12 | 5,318 | 5,474 | 156 | ||
| New Zealand Dollar | Buy | 1/18/12 | 212,315 | 212,640 | (325) | ||
| New Zealand Dollar | Sell | 1/18/12 | 212,315 | 209,926 | (2,389) | ||
| Norwegian Krone | Buy | 1/18/12 | 624,350 | 617,003 | 7,347 | ||
| Polish Zloty | Buy | 1/18/12 | 61,995 | 63,942 | (1,947) | ||
| Russian Ruble | Sell | 1/18/12 | 2,727 | 2,837 | 110 | ||
| Singapore Dollar | Buy | 1/18/12 | 103,924 | 103,621 | 303 | ||
| Singapore Dollar | Sell | 1/18/12 | 103,924 | 105,298 | 1,374 | ||
| South African Rand | Sell | 1/18/12 | 344,989 | 347,800 | 2,811 | ||
| South Korean Won | Sell | 1/18/12 | 143,874 | 147,048 | 3,174 | ||
| Swedish Krona | Buy | 1/18/12 | 519,207 | 527,598 | (8,391) | ||
| Swiss Franc | Sell | 1/18/12 | 1,484,220 | 1,522,231 | 38,011 | ||
| Taiwan Dollar | Sell | 1/18/12 | 357,314 | 358,609 | 1,295 | ||
| Thai Baht | Buy | 1/18/12 | 55,090 | 54,750 | 340 | ||
| Thai Baht | Sell | 1/18/12 | 55,090 | 56,377 | 1,287 | ||
| Turkish Lira | Buy | 1/18/12 | 3,841 | 3,976 | (135) | ||
| Westpac Banking Corp. | |||||||
| Australian Dollar | Sell | 1/18/12 | 1,255,842 | 1,177,447 | (78,395) | ||
| British Pound | Buy | 1/18/12 | 3,170,224 | 3,208,456 | (38,232) | ||
| Canadian Dollar | Sell | 1/18/12 | 164,558 | 164,809 | 251 | ||
| Euro | Buy | 1/18/12 | 1,063,317 | 1,108,031 | (44,714) | ||
| Japanese Yen | Buy | 1/18/12 | 1,297,558 | 1,286,839 | 10,719 | ||
| New Zealand Dollar | Buy | 1/18/12 | 5,988 | 5,995 | (7) | ||
| New Zealand Dollar | Sell | 1/18/12 | 5,988 | 5,921 | (68) | ||
| Norwegian Krone | Buy | 1/18/12 | 338,230 | 348,539 | (10,309) | ||
| Swedish Krona | Sell | 1/18/12 | 804,054 | 817,768 | 13,714 | ||
| Swiss Franc | Sell | 1/18/12 | 31,414 | 32,243 | 829 | ||
|
| |||||||
| Total | $978,785 | ||||||
| FUTURES CONTRACTS OUTSTANDING at 12/31/11 (Unaudited) | ||||||
| Unrealized | ||||||
| Number of | Expiration | appreciation/ | ||||
| contracts | Value | date | (depreciation) | |||
|
| ||||||
| Australian Government Treasury Bond 10 yr (Long) | 4 | $486,423 | Mar-12 | $4,661 | ||
| Canadian Government Bond 10 yr (Long) | 39 | 5,123,691 | Mar-12 | 55,337 | ||
| Euro-Bobl 5 yr (Short) | 5 | 809,618 | Mar-12 | (12,894) | ||
| Euro-Bund 10 yr (Long) | 60 | 10,797,155 | Mar-12 | 333,088 | ||
| Euro-Schatz 2 yr (Long) | 21 | 2,998,959 | Mar-12 | 8,629 | ||
| Euro-Swiss Franc 3 Month (Short) | 38 | 10,124,029 | Dec-12 | (156,658) | ||
| Euro-Swiss Franc 3 Month (Short) | 38 | 10,123,017 | Jun-12 | (119,795) | ||
| Euro-Swiss Franc 3 Month (Short) | 38 | 10,116,949 | Mar-12 | (90,039) | ||
| Japanese Government Bond 10 yr (Short) | 6 | 11,101,208 | Mar-12 | (53,043) | ||
| Japanese Government Bond 10 yr Mini (Long) | 4 | 740,600 | Mar-12 | 3,981 | ||
| U.K. Gilt 10 yr (Long) | 4 | 726,493 | Mar-12 | 12,351 | ||
| U.S. Treasury Bond 30 yr (Long) | 42 | 6,727,875 | Mar-12 | 78,106 | ||
| U.S. Treasury Bond 30 yr (Short) | 58 | 8,399,125 | Mar-12 | (91,735) | ||
| U.S. Treasury Note 10 yr (Long) | 298 | 39,075,250 | Mar-12 | 397,957 | ||
|
| ||||||
| Total | $369,946 | |||||
| WRITTEN OPTIONS OUTSTANDING at 12/31/11 (premiums received $40,956,671) (Unaudited) | ||||||
| Contract | Expiration date/ | |||||
| amount | strike price | Value | ||||
|
| ||||||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.111 versus the three month USD-LIBOR-BBA maturing April 2022. | 1,830,000 | Apr-12/2.111 | 35,392 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. | 1,830,000 | Apr-12/2.111 | 35,392 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. | 1,830,000 | Apr-12/2.111 | 35,392 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. | 1,830,000 | Apr-12/2.111 | 35,392 | |||
| Option on an interest rate swap with Barclays Bank for the obligation to pay a fixed rate of 2.111% versus the three month USD-LIBOR-BBA maturing April 2022. | 1,830,000 | Apr-12/2.111 | 35,392 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.4275 | 367,021 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.4275 | 367,021 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.4275 | 367,021 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.4275 | 367,021 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.4275 | 367,021 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4275% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.4275 | 367,021 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.498 | 415,801 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.498% versus the three month USD-LIBOR-BBA maturing April 2022. | 9,756,000 | Apr-12/2.498 | 415,801 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.60% versus the three month USD-LIBOR-BBA maturing April 2022. | 1,979,000 | Apr-12/2.60 | 99,643 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. | 6,409,500 | Apr-12/4.8675 | 26 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.8675% versus the three month USD-LIBOR-BBA maturing April 2022. | 6,409,500 | Apr-12/4.8675 | 1,622,116 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.394% versus the three month USD-LIBOR-BBA maturing August 2022. | 5,156,000 | Aug-12/2.394 | 199,176 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing August 2022. | 13,017,000 | Aug-12/2.45 | 546,454 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA August 2022. | 5,475,900 | Aug-12/2.73 | 68,131 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022. | 5,475,900 | Aug-12/2.73 | 330,361 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. | 26,365,900 | Aug-12/2.855 | 269,881 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing August 2022. | 26,365,900 | Aug-12/2.855 | 1,831,903 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. | 4,860,379 | Aug-14/4.20 | 100,610 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.20% versus the three month USD-LIBOR-BBA maturing August 2024. | 4,860,379 | Aug-14/4.20 | 734,296 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. | 5,571,800 | Aug-15/4.375 | 301,512 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045. | 5,571,800 | Aug-15/4.375 | 1,935,025 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. | 5,571,800 | Aug-15/4.46 | 284,028 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045. | 5,571,800 | Aug-15/4.46 | 2,014,072 | |||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. | 11,059,894 | Aug-16/4.28 | 434,742 | |||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026. | 11,059,894 | Aug-16/4.28 | 1,561,369 | |||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing August 2026. | 26,715,351 | Aug-16/4.35 | 3,890,129 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. | 7,865,832 | Aug-16/4.68 | 253,980 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.68% versus the three month USD-LIBOR-BBA maturing August 2026. | 7,865,832 | Aug-16/4.68 | 1,306,153 | |||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a fixed rate of 5.35% versus the three month USD-LIBOR-BBA maturing August 2026. | 26,715,351 | Aug-16/5.35 | 633,394 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. | 5,766,760 | Feb-15/5.27 | 79,276 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.27% versus the three month USD-LIBOR-BBA maturing February 2025. | 5,766,760 | Feb-15/5.27 | 1,330,167 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. | 1,584,020 | Feb-15/5.36 | 21,701 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 5.36% versus the three month USD-LIBOR-BBA maturing February 2025. | 1,584,020 | Feb-15/5.36 | 366,097 | |||
| Option on an interest rate swap with UBS AG for the obligation to pay a fixed rate of 0.722% versus the six month CHF-LIBOR-BBA maturing January 2014. | CHF | 15,780,000 | Jan-12/0.722 | 210,702 | ||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.4475% versus the three month USD-LIBOR-BBA maturing January 2022. | 8,345,000 | Jan-12/2.4475 | 309,683 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.453% versus the three month USD-LIBOR-BBA maturing January 2022. | 8,345,000 | Jan-12/2.453 | 313,855 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.46325% versus the three month USD-LIBOR-BBA maturing January 2022. | 8,345,000 | Jan-12/2.46325 | 321,283 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.52% versus the three month USD-LIBOR-BBA maturing January 2022. | 1,892,000 | Jan-12/2.52 | 82,132 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. | 1,237,000 | Jul-12/2.1714 | 32,335 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. | 1,237,000 | Jul-12/2.1714 | 32,335 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.1714 versus the three month USD-LIBOR-BBA maturing July 2022. | 1,237,000 | Jul-12/2.1714 | 32,335 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. | 1,237,000 | Jul-12/2.1714 | 32,335 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.1714% versus the three month USD-LIBOR-BBA maturing July 2022. | 1,237,000 | Jul-12/2.1714 | 32,335 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.372% versus the three month USD-LIBOR-BBA maturing July 2022. | 5,156,000 | Jul-12/2.372 | 188,297 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. | 10,137,000 | Jul-12/2.6075 | 523,475 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.6075% versus the three month USD-LIBOR-BBA maturing July 2022. | 10,137,000 | Jul-12/2.6075 | 523,475 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.61875% versus the three month USD-LIBOR-BBA maturing July 2022. | 10,137,000 | Jul-12/2.61875 | 531,077 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.6825% versus the three month USD-LIBOR-BBA maturing July 2022. | 1,439,000 | Jul-12/2.6825 | 82,052 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,050,316 | Jul-14/4.19 | 83,842 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.19% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,050,316 | Jul-14/4.19 | 609,860 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,061,287 | Jul-14/4.29 | 76,340 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.29% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,061,287 | Jul-14/4.29 | 656,722 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. | 1,620,126 | Jul-14/4.34 | 30,458 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.34% versus the three month USD-LIBOR-BBA maturing July 2024. | 1,620,126 | Jul-14/4.34 | 261,577 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,050,316 | Jul-14/4.35 | 75,336 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.35% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,050,316 | Jul-14/4.35 | 656,953 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. | 2,278,102 | Jul-14/4.36 | 40,883 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing July 2024. | 2,278,102 | Jul-14/4.36 | 380,188 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,050,326 | Jul-14/4.3725 | 74,121 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.3725% versus the three month USD-LIBOR-BBA maturing July 2024. | 4,050,326 | Jul-14/4.3725 | 664,958 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,554,860 | Jul-16/4.67 | 212,587 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,554,860 | Jul-16/4.67 | 1,084,534 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,572,614 | Jul-16/4.74 | 204,566 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,572,614 | Jul-16/4.74 | 1,149,084 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. | 3,686,784 | Jul-16/4.79 | 112,270 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.79% versus the three month USD-LIBOR-BBA maturing July 2026. | 3,686,784 | Jul-16/4.79 | 656,528 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. | 2,621,944 | Jul-16/4.80 | 79,707 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. | 2,621,944 | Jul-16/4.80 | 456,685 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,554,860 | Jul-16/4.80 | 199,661 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.80% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,554,860 | Jul-16/4.80 | 1,141,830 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,554,860 | Jul-16/4.815 | 197,478 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing July 2026. | 6,554,860 | Jul-16/4.815 | 1,148,464 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. | 1,212,000 | Jun-12/2.183 | 31,136 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. | 1,212,000 | Jun-12/2.183 | 31,136 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. | 1,212,000 | Jun-12/2.183 | 31,136 | |||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. | 1,212,000 | Jun-12/2.183 | 31,136 | |||
| Option on an interest rate swap with Barclays Bank for the obligation to pay a fixed rate of 2.183% versus the three month USD-LIBOR-BBA maturing June 2022. | 1,212,000 | Jun-12/2.183 | 31,136 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.346% versus the three month USD-LIBOR-BBA maturing June 2022. | 5,156,000 | Jun-12/2.346 | 176,387 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing June 2021. | 556,661 | Jun-16/4.12 | 43,826 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to pay a fixed rate of 4.39% versus the three month USD-LIBOR-BBA maturing June 2021. | 547,769 | Jun-16/4.39 | 48,382 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. | 544,291 | Jun-16/4.575 | 9,417 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.575% versus the three month USD-LIBOR-BBA maturing June 2021. | 544,291 | Jun-16/4.575 | 52,763 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.61% versus the three month USD-LIBOR-BBA maturing June 2021. | 1,659,222 | Jun-16/4.61 | 28,703 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.61% versus the three month USD-LIBOR-BBA maturing June 2021. | 1,659,222 | Jun-16/4.61 | 159,090 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. | 6,121,390 | Jun-16/4.815 | 178,432 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.815% versus the three month USD-LIBOR-BBA maturing June 2026. | 6,121,390 | Jun-16/4.815 | 1,107,635 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing June 2026. | 3,945,779 | Jun-16/4.86 | 705,320 | |||
| Option on an interest rate swap with Barclays Bank PLC for the obligation to receive a fixed rate of 4.89% versus the three month USD-LIBOR-BBA maturing June 2021. | 547,769 | Jun-16/4.89 | 8,297 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.12% versus the three month USD-LIBOR-BBA maturing June 2021. | 556,661 | Jun-16/5.12 | 7,675 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.86% versus the three month USD-LIBOR-BBA maturing June 2026. | 3,945,779 | Jun-16/5.86 | 72,456 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. | 1,779,000 | Mar-12/2.119 | 31,293 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. | 1,779,000 | Mar-12/2.119 | 31,293 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. | 1,779,000 | Mar-12/2.119 | 31,293 | |||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. | 1,779,000 | Mar-12/2.119 | 31,293 | |||
| Option on an interest rate swap with Barclays Bank for the obligation to pay a fixed rate of 2.119% versus the three month USD-LIBOR-BBA maturing March 2022. | 1,779,000 | Mar-12/2.119 | 31,293 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.324% versus the three month USD-LIBOR-BBA maturing May 2022. | 5,156,000 | May-12/2.324 | 164,476 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 2022. | 25,011,500 | May-12/5.51 | 7,738,309 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing May 2022. | 25,011,500 | May-12/5.51 | 125 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing May 2021. | 10,398,887 | May-16/4.11 | 815,148 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 4.36% versus the three month USD-LIBOR-BBA maturing May 2021. | 10,238,704 | May-16/4.36 | 906,228 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. | 10,187,746 | May-16/4.60 | 173,681 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing May 2021. | 10,187,746 | May-16/4.60 | 998,399 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. | 24,507,428 | May-16/4.705 | 393,834 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021. | 24,507,428 | May-16/4.705 | 2,457,482 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. | 18,914,561 | May-16/4.765 | 298,131 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021. | 18,914,561 | May-16/4.765 | 1,986,029 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 4.86% versus the three month USD-LIBOR-BBA maturing May 2021. | 10,238,704 | May-16/4.86 | 156,365 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021. | 10,398,887 | May-16/5.11 | 143,328 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.443% versus the three month USD-LIBOR-BBA maturing October 2022. | 5,156,000 | Oct-12/2.443 | 220,058 | |||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a fixed rate of 2.5625% versus the three month USD-LIBOR-BBA maturing October 2021. | 6,075,000 | Oct-16/2.5625 | 190,330 | |||
| Option on an interest rate swap with Deutsche Bank AG for the obligation to pay a fixed rate of 2.7975% versus the three month USD-LIBOR-BBA maturing October 2021. | 2,430,000 | Oct-16/2.7975 | 89,303 | |||
| Option on an interest rate swap with Credit Suisse International for the obligation to pay a fixed rate of 2.419% versus the three month USD-LIBOR-BBA maturing September 2022. | 5,156,000 | Sep-12/2.419 | 209,591 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 2018. | 1,469,000 | Sep-13/4.82 | 205,557 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 2018. | 1,469,000 | Sep-13/4.82 | 2,527 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. | 41,033,400 | Sep-15/4.04 | 1,451,433 | |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025. | 41,033,400 | Sep-15/4.04 | 5,447,677 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. | 526,562 | Sep-16/3.49 | 31,342 | |||
| Option on an interest rate swap with Goldman Sachs International for the obligation to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026. | 526,562 | Sep-16/3.49 | 49,891 | |||
|
| ||||||
| Total | $63,967,040 | |||||
| TBA SALE COMMITMENTS OUTSTANDING at 12/31/11 (proceeds receivable $2,032,500) (Unaudited) | ||||||
| Principal | Settlement | |||||
| Agency | amount | date | Value | |||
|
| ||||||
| FNMA, 3 1/2s, December 1, 2041 | $2,000,000 | 12 Dec 2011 | $2,058,750 | |||
|
| ||||||
| Total | $2,058,750 | |||||
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/11 (Unaudited) | ||||||||
| Upfront | Payments | Payments | Unrealized | |||||
| Swap counterparty / | premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| ||||||||
| Bank of America, N.A. | ||||||||
| $12,292,000 | $(252,293) | 12/19/21 | 3 month USD-LIBOR-BBA | 2.355% | $122,159 | |||
| 10,823,000 | 696,464 | 8/16/21 | 4.765% | 3 month USD-LIBOR-BBA | (2,168,066) | |||
| 7,124,000 | 459,854 | 8/19/21 | 4.475% | 3 month USD-LIBOR-BBA | (1,231,756) | |||
| 20,224,200 | 64,882 | 7/8/26 | 3.76% | 3 month USD-LIBOR-BBA | (3,830,057) | |||
| 9,731,000 | — | 10/14/26 | 3 month USD-LIBOR-BBA | 2.74% | 495,609 | |||
| 696,000 | (E) | — | 2/13/22 | 3 month USD-LIBOR-BBA | 2.24% | 11,143 | ||
| 100,775,800 | (150,873) | 2/7/15 | 1.891% | 3 month USD-LIBOR-BBA | (4,074,769) | |||
| 14,062,000 | — | 12/15/21 | 3 month USD-LIBOR-BBA | 2.192% | 221,283 | |||
| 398,000 | — | 12/15/13 | 0.677% | 3 month USD-LIBOR-BBA | 337 | |||
| 235,000 | — | 12/20/21 | 3 month USD-LIBOR-BBA | 2.056% | 658 | |||
| 2,435,000 | — | 1/3/22 | 2.0875% | 3 month USD-LIBOR-BBA | (11,469) | |||
| AUD | 2,550,000 | — | 4/18/21 | 6.10% | 6 month AUD-BBR-BBSW | (312,961) | ||
| Barclays Bank PLC | ||||||||
| $13,001,017 | 117,659 | 9/8/16 | 2.065% | 3 month USD-LIBOR-BBA | (497,722) | |||
| 3,114,000 | — | 12/22/21 | 2.056% | 3 month USD-LIBOR-BBA | (8,270) | |||
| 26,580,000 | — | 12/29/13 | 3 month USD-LIBOR-BBA | 0.77875% | 27,252 | |||
| 3,510,000 | — | 12/29/21 | 3 month USD-LIBOR-BBA | 2.193% | 52,453 | |||
| 2,435,000 | — | 1/3/22 | 2.087% | 3 month USD-LIBOR-BBA | (11,347) | |||
| 3,044,000 | — | 1/3/22 | 2.055% | 3 month USD-LIBOR-BBA | (5,205) | |||
| 92,013,300 | 14,560 | 9/16/15 | 3 month USD-LIBOR-BBA | 0.91% | 68,616 | |||
| 12,292,000 | (89,732) | 12/19/16 | 3 month USD-LIBOR-BBA | 1.3525% | (8,618) | |||
| 20,435,264 | 270,767 | 12/16/16 | 2.28% | 3 month USD-LIBOR-BBA | (791,117) | |||
| 8,285,038 | (399,339) | 12/16/41 | 3 month USD-LIBOR-BBA | 4.12% | 2,282,693 | |||
| 77,983,700 | (143,148) | 6/17/16 | 3 month USD-LIBOR-BBA | 1.93% | 2,648,779 | |||
| 19,398,800 | 71,980 | 6/17/41 | 4.04% | 3 month USD-LIBOR-BBA | (5,819,528) | |||
| 14,142,000 | (24,749) | 1/3/14 | 0.6075% | 3 month USD-LIBOR-BBA | 9,051 | |||
| 4,066,900 | — | 3/10/18 | 3.06% | 3 month USD-LIBOR-BBA | (417,569) | |||
| 1,575,000 | (E) | — | 4/11/22 | 2.265% | 3 month USD-LIBOR-BBA | (22,869) | ||
| 237,932,000 | — | 10/7/15 | 1.041% | 3 month USD-LIBOR-BBA | (973,760) | |||
| 26,644,455 | — | 10/7/18 | 3 month USD-LIBOR-BBA | 1.73% | 304,020 | |||
| 773,326 | 3,789 | 10/11/16 | 1.97% | 3 month USD-LIBOR-BBA | (27,327) | |||
| 2,244,000 | (E) | — | 4/12/22 | 3 month USD-LIBOR-BBA | 2.4275% | 65,861 | ||
| 858,000 | (1,133) | 3/30/31 | 4.17% | 3 month USD-LIBOR-BBA | (235,177) | |||
| 102,577,100 | 242,263 | 7/22/20 | 3 month USD-LIBOR-BBA | 2.86% | 9,639,882 | |||
| 440,000 | — | 12/13/21 | 3 month USD-LIBOR-BBA | 2.19% | 6,903 | |||
| 3,664,000 | (50,380) | 12/13/21 | 3 month USD-LIBOR-BBA | 2.19% | 7,105 | |||
| 8,343,000 | — | 11/14/16 | 3 month USD-LIBOR-BBA | 1.309% | 52,438 | |||
| 14,440,000 | (59,204) | 8/8/16 | 3 month USD-LIBOR-BBA | 2.065% | 646,860 | |||
| 15,550,000 | (89,024) | 9/8/16 | 3 month USD-LIBOR-BBA | 2.14% | 704,162 | |||
| 2,450,000 | — | 12/7/41 | 2.717% | 3 month USD-LIBOR-BBA | (62,942) | |||
| 15,019,000 | — | 12/8/41 | 3 month USD-LIBOR-BBA | 2.76% | 522,283 | |||
| 339,605,000 | — | 12/9/13 | 3 month USD-LIBOR-BBA | 0.6685% | (324,823) | |||
| 51,429,000 | — | 12/12/13 | 0.63375% | 3 month USD-LIBOR-BBA | 85,656 | |||
| 9,787,000 | — | 12/12/21 | 2.17% | 3 month USD-LIBOR-BBA | (135,993) | |||
| 5,031,000 | — | 12/12/41 | 3 month USD-LIBOR-BBA | 2.752% | 165,180 | |||
| 2,966,000 | — | 12/12/21 | 2.12% | 3 month USD-LIBOR-BBA | (27,521) | |||
| 24,309,000 | — | 12/13/13 | 0.64375% | 3 month USD-LIBOR-BBA | 35,833 | |||
| 3,634,000 | — | 12/13/21 | 2.128% | 3 month USD-LIBOR-BBA | (36,224) | |||
| 25,896,000 | — | 12/16/21 | 3 month USD-LIBOR-BBA | 2.1005% | 186,413 | |||
| 235,000 | — | 12/20/21 | 3 month USD-LIBOR-BBA | 2.056% | 658 | |||
| 114,000 | — | 12/21/21 | 3 month USD-LIBOR-BBA | 2.0245% | (21) | |||
| 5,773,000 | — | 12/22/13 | 0.7375% | 3 month USD-LIBOR-BBA | (1,421) | |||
| AUD | 4,350,000 | — | 10/13/21 | 5.0575% | 6 month AUD-BBR-BBSW | (167,885) | ||
| AUD | 17,800,000 | — | 3/21/16 | 5.57% | 6 month AUD-BBR-BBSW | (1,000,263) | ||
| AUD | 13,530,000 | — | 3/21/21 | 6 month AUD-BBR-BBSW | 5.88% | 1,416,606 | ||
| AUD | 1,570,000 | — | 11/11/21 | 4.805% | 6 month AUD-BBR-BBSW | (30,214) | ||
| AUD | 1,563,000 | — | 11/14/21 | 4.84875% | 6 month AUD-BBR-BBSW | (33,425) | ||
| AUD | 2,870,000 | — | 11/21/21 | 6 month AUD-BBR-BBSW | 4.76% | 45,128 | ||
| AUD | 6,337,000 | — | 11/23/16 | 6 month AUD-BBR-BBSW | 4.30% | 9,499 | ||
| AUD | 4,030,000 | — | 4/21/21 | 6.0675% | 6 month AUD-BBR-BBSW | (482,967) | ||
| GBP | 6,110,000 | — | 8/8/21 | 2.9785% | 6 month GBP-LIBOR-BBA | (692,732) | ||
| GBP | 2,735,000 | — | 8/15/31 | 3.6% | 6 month GBP-LIBOR-BBA | (557,119) | ||
| GBP | 9,240,000 | (E) | — | 2/3/31 | 6 month GBP-LIBOR-BBA | 4.86% | 1,284,156 | |
| Citibank, N.A. | ||||||||
| $15,198,700 | (149,738) | 9/26/20 | 3 month USD-LIBOR-BBA | 1.96% | 12,105 | |||
| 5,369,350 | (252,091) | 12/9/41 | 3 month USD-LIBOR-BBA | 4.1175% | 1,486,458 | |||
| 18,436,000 | — | 10/3/20 | 2.04% | 3 month USD-LIBOR-BBA | (294,909) | |||
| 1,157,000 | — | 10/3/41 | 2.804% | 3 month USD-LIBOR-BBA | (56,223) | |||
| 893,000 | (E) | — | 10/7/21 | 3 month USD-LIBOR-BBA | 3.0625% | 6,814 | ||
| 966,000 | — | 8/4/16 | 1.54375% | 3 month USD-LIBOR-BBA | (22,745) | |||
| 2,244,000 | (E) | — | 4/12/22 | 3 month USD-LIBOR-BBA | 2.4275% | 65,861 | ||
| 6,807,000 | — | 8/5/16 | 3 month USD-LIBOR-BBA | 1.4925% | 143,072 | |||
| 275,000 | — | 8/8/41 | 3.5825% | 3 month USD-LIBOR-BBA | (60,639) | |||
| 2,033,000 | — | 8/8/41 | 3.517% | 3 month USD-LIBOR-BBA | (419,680) | |||
| 11,060,000 | 712,817 | 8/17/21 | 4.49% | 3 month USD-LIBOR-BBA | (1,930,643) | |||
| 13,669,005 | 177,014 | 12/9/16 | 2.225% | 3 month USD-LIBOR-BBA | (501,444) | |||
| 3,929,000 | — | 12/15/13 | 3 month USD-LIBOR-BBA | 0.681% | (3,007) | |||
| 31,360,000 | — | 12/19/21 | 3 month USD-LIBOR-BBA | 2.0805% | 160,299 | |||
| 186,000 | — | 12/21/21 | 3 month USD-LIBOR-BBA | 2.0245% | (34) | |||
| 2,435,000 | — | 1/3/22 | 2.0875% | 3 month USD-LIBOR-BBA | (11,469) | |||
| Credit Suisse International | ||||||||
| 72,325,400 | (35,213) | 5/27/16 | 3 month USD-LIBOR-BBA | 2.02% | 2,912,656 | |||
| 3,782,612 | (177,972) | 12/8/41 | 3 month USD-LIBOR-BBA | 4.11% | 1,041,154 | |||
| 72,000 | — | 12/21/21 | 3 month USD-LIBOR-BBA | 2.0245% | (13) | |||
| 21,890,000 | — | 12/23/13 | 3 month USD-LIBOR-BBA | 0.73125% | 2,401 | |||
| 6,857,000 | — | 12/23/21 | 3 month USD-LIBOR-BBA | 2.07875% | 32,153 | |||
| 6,589,000 | — | 12/23/41 | 2.66125% | 3 month USD-LIBOR-BBA | (84,198) | |||
| 5,750,000 | — | 12/28/21 | 3 month USD-LIBOR-BBA | 2.129% | 51,541 | |||
| 4,762,000 | — | 12/29/21 | 3 month USD-LIBOR-BBA | 2.123% | 40,382 | |||
| 2,435,000 | — | 1/3/22 | 2.087% | 3 month USD-LIBOR-BBA | (11,347) | |||
| 2,071,000 | — | 9/16/21 | 3 month USD-LIBOR-BBA | 2.20375% | 50,203 | |||
| 51,053,600 | (68,044) | 3/14/16 | 3 month USD-LIBOR-BBA | 2.35% | 2,977,966 | |||
| 2,244,000 | (E) | — | 4/12/22 | 3 month USD-LIBOR-BBA | 2.4275% | 65,861 | ||
| 54,425,800 | (11,135) | 2/24/15 | 2.04% | 3 month USD-LIBOR-BBA | (2,381,732) | |||
| 1,329,000 | — | 11/8/16 | 1.239% | 3 month USD-LIBOR-BBA | (4,210) | |||
| 59,000 | (2,859) | 11/16/41 | 3 month USD-LIBOR-BBA | 3.425% | 7,655 | |||
| 711,000 | — | 8/18/41 | 3 month USD-LIBOR-BBA | 3.3688% | 123,593 | |||
| 606,000 | — | 8/24/41 | 3.0775% | 3 month USD-LIBOR-BBA | (67,161) | |||
| 1,119,000 | (E) | — | 8/17/22 | 3 month USD-LIBOR-BBA | 2.4475% | 25,491 | ||
| 9,144,900 | — | 8/31/41 | 3 month USD-LIBOR-BBA | 3.264% | 1,383,944 | |||
| 2,777,000 | — | 9/14/41 | 2.944% | 3 month USD-LIBOR-BBA | (224,350) | |||
| 4,865,000 | — | 12/5/41 | 3 month USD-LIBOR-BBA | 2.81% | 222,010 | |||
| 4,924,000 | — | 12/5/41 | 3 month USD-LIBOR-BBA | 2.795% | 208,990 | |||
| 2,465,000 | — | 12/8/41 | 3 month USD-LIBOR-BBA | 2.7875% | 100,159 | |||
| 9,922,000 | — | 12/13/13 | 3 month USD-LIBOR-BBA | 0.6425% | (14,929) | |||
| 17,610,000 | — | 12/14/13 | 3 month USD-LIBOR-BBA | 0.665% | (18,979) | |||
| 14,212,000 | — | 12/15/13 | 3 month USD-LIBOR-BBA | 0.675% | (12,620) | |||
| 18,497,000 | — | 12/16/21 | 2.0895% | 3 month USD-LIBOR-BBA | (114,199) | |||
| GBP | 6,112,000 | — | 8/15/21 | 6 month GBP-LIBOR-BBA | 2.91% | 628,055 | ||
| MXN | 33,670,000 | — | 7/21/20 | 1 month MXN-TIIE-BANXICO | 6.895% | 55,441 | ||
| Deutsche Bank AG | ||||||||
| $127,189,000 | (157,194) | 2/3/14 | 2.25% | 3 month USD-LIBOR-BBA | (5,257,796) | |||
| 5,271,000 | — | 9/27/18 | 3 month USD-LIBOR-BBA | 1.515% | (7,474) | |||
| 9,568,359 | 124,867 | 12/8/16 | 2.24% | 3 month USD-LIBOR-BBA | (357,499) | |||
| 13,241,400 | (31,659) | 3/10/18 | 3.41% | 3 month USD-LIBOR-BBA | (1,681,997) | |||
| 165,330,400 | (117,153) | 3/16/14 | 2.25% | 3 month USD-LIBOR-BBA | (6,648,665) | |||
| 167,252,640 | — | 10/7/14 | 3 month USD-LIBOR-BBA | 0.792% | 150,795 | |||
| 122,274,336 | — | 10/7/16 | 1.3045% | 3 month USD-LIBOR-BBA | (968,099) | |||
| 11,816,220 | — | 10/7/17 | 3 month USD-LIBOR-BBA | 1.532% | 117,078 | |||
| 452,000 | (E) | — | 10/7/21 | 3 month USD-LIBOR-BBA | 3.0475% | 3,150 | ||
| 111,501,760 | — | 10/7/14 | 3 month USD-LIBOR-BBA | 0.787% | 84,734 | |||
| 7,877,480 | — | 10/7/17 | 3 month USD-LIBOR-BBA | 1.529% | 76,658 | |||
| 32,565,445 | — | 10/7/18 | 3 month USD-LIBOR-BBA | 1.7265% | 363,824 | |||
| 2,244,000 | (E) | — | 4/12/22 | 3 month USD-LIBOR-BBA | 2.4275% | 65,861 | ||
| 1,823,000 | (E) | — | 4/13/22 | 3 month USD-LIBOR-BBA | 2.498% | 65,172 | ||
| 102,662,400 | (56,004) | 7/18/14 | 0.96% | 3 month USD-LIBOR-BBA | (922,834) | |||
| 2,565,013 | — | 8/8/20 | 2.547% | 3 month USD-LIBOR-BBA | (163,753) | |||
| 586,000 | (E) | — | 1/11/22 | 3 month USD-LIBOR-BBA | 2.215% | 9,353 | ||
| 32,372,000 | — | 12/2/21 | 2.2315% | 3 month USD-LIBOR-BBA | (657,050) | |||
| 106,000,000 | — | 3/4/14 | 2.54% | 3 month USD-LIBOR-BBA | (4,952,158) | |||
| 1,663,000 | — | 12/8/21 | 3 month USD-LIBOR-BBA | 2.22% | 31,281 | |||
| 1,369,000 | — | 12/13/21 | 2.111% | 3 month USD-LIBOR-BBA | (11,499) | |||
| 2,746,000 | — | 12/14/41 | 2.7575% | 3 month USD-LIBOR-BBA | (93,008) | |||
| 56,492,000 | — | 12/14/13 | 3 month USD-LIBOR-BBA | 0.6655% | (60,304) | |||
| 1,654,000 | — | 12/15/41 | 2.7825% | 3 month USD-LIBOR-BBA | (64,719) | |||
| 4,800,000 | — | 12/15/21 | 2.10% | 3 month USD-LIBOR-BBA | (34,730) | |||
| 1,638,000 | — | 12/16/21 | 2.0615% | 3 month USD-LIBOR-BBA | (5,884) | |||
| 235,000 | — | 12/20/21 | 3 month USD-LIBOR-BBA | 2.056% | 658 | |||
| 32,022,000 | — | 12/21/13 | 0.735% | 3 month USD-LIBOR-BBA | (6,434) | |||
| 107,143,000 | — | 12/21/16 | 1.257% | 3 month USD-LIBOR-BBA | (196,707) | |||
| 10,663,000 | — | 12/21/16 | 3 month USD-LIBOR-BBA | 1.246% | 13,786 | |||
| 186,000 | — | 12/21/21 | 3 month USD-LIBOR-BBA | 2.0245% | (34) | |||
| 9,817,000 | — | 1/3/14 | 0.773% | 3 month USD-LIBOR-BBA | (8,737) | |||
| EUR | 23,640,000 | — | 12/23/20 | 3.325% | 6 month EUR-EURIBOR-REUTERS | (2,621,919) | ||
| MXN | 33,670,000 | — | 7/17/20 | 1 month MXN-TIIE-BANXICO | 6.95% | 64,712 | ||
| Goldman Sachs International | ||||||||
| $235,000 | — | 12/20/21 | 3 month USD-LIBOR-BBA | 2.056% | 658 | |||
| 186,000 | — | 12/21/21 | 3 month USD-LIBOR-BBA | 2.0245% | (34) | |||
| 21,213,000 | (51,574) | 11/17/14 | 0.715% | 3 month USD-LIBOR-BBA | (2,825) | |||
| 21,213,000 | (64,700) | 12/19/14 | 0.745% | 3 month USD-LIBOR-BBA | (17,531) | |||
| 64,530,000 | — | 6/8/18 | 2.52375% | 3 month USD-LIBOR-BBA | (4,011,436) | |||
| 27,505,000 | (48,134) | 12/21/13 | 0.53% | 3 month USD-LIBOR-BBA | 58,476 | |||
| 27,505,000 | (48,134) | 12/23/13 | 0.476% | 3 month USD-LIBOR-BBA | 88,209 | |||
| 13,752,000 | (23,894) | 1/4/14 | 0.61% | 3 month USD-LIBOR-BBA | 8,561 | |||
| 31,534,000 | — | 10/7/14 | 3 month USD-LIBOR-BBA | 0.7775% | 15,066 | |||
| 2,244,000 | (E) | — | 4/12/22 | 3 month USD-LIBOR-BBA | 2.4275% | 65,861 | ||
| 46,224,300 | (19,650) | 7/20/16 | 3 month USD-LIBOR-BBA | 1.79% | 1,657,163 | |||
| 1,823,000 | (E) | — | 4/13/22 | 3 month USD-LIBOR-BBA | 2.498% | 65,172 | ||
| 27,794,000 | — | 7/26/21 | 3.09125% | 3 month USD-LIBOR-BBA | (3,075,333) | |||
| 24,325,000 | (E) | — | 2/7/17 | 1.35% | 3 month USD-LIBOR-BBA | (99,003) | ||
| 11,800,000 | — | 8/24/16 | 3 month USD-LIBOR-BBA | 1.235% | 87,870 | |||
| 7,773,400 | (22,219) | 5/9/20 | 3 month USD-LIBOR-BBA | 3.15% | 808,681 | |||
| 10,019,000 | — | 11/22/16 | 3 month USD-LIBOR-BBA | 1.3415% | 74,454 | |||
| 4,502,000 | — | 11/30/21 | 2.2475% | 3 month USD-LIBOR-BBA | (98,686) | |||
| 1,516,000 | — | 12/5/13 | 0.661% | 3 month USD-LIBOR-BBA | 1,589 | |||
| 7,817,000 | — | 12/5/41 | 2.8137% | 3 month USD-LIBOR-BBA | (362,918) | |||
| 11,905,000 | — | 12/14/41 | 3 month USD-LIBOR-BBA | 2.8111% | 539,126 | |||
| 5,685,000 | — | 12/6/41 | 2.76625% | 3 month USD-LIBOR-BBA | (206,021) | |||
| 2,464,773 | — | 12/6/41 | 2.7375% | 3 month USD-LIBOR-BBA | (74,262) | |||
| 27,201,000 | — | 12/7/13 | 3 month USD-LIBOR-BBA | 0.685% | (16,704) | |||
| 2,479,000 | — | 12/9/41 | 2.7875% | 3 month USD-LIBOR-BBA | (100,569) | |||
| 8,783,082 | (114,400) | 11/30/16 | 3 month USD-LIBOR-BBA | 2.31% | 361,944 | |||
| 3,005,000 | — | 12/9/41 | 3 month USD-LIBOR-BBA | 2.773% | 112,626 | |||
| 2,216,000 | — | 12/12/21 | 2.145% | 3 month USD-LIBOR-BBA | (25,666) | |||
| 8,097,000 | — | 12/15/14 | 3 month USD-LIBOR-BBA | 0.7925% | (5,714) | |||
| 5,286,000 | — | 12/15/21 | 2.10% | 3 month USD-LIBOR-BBA | (38,246) | |||
| 3,759,000 | — | 12/16/14 | 3 month USD-LIBOR-BBA | 0.822% | 473 | |||
| 242,000 | — | 12/19/21 | 2.075% | 3 month USD-LIBOR-BBA | (1,116) | |||
| EUR | 23,000,000 | — | 9/29/12 | 1.56% | 6 month EUR-EURIBOR-REUTERS | (6,157) | ||
| EUR | 5,400,000 | — | 9/29/13 | 1.47% | 6 month EUR-EURIBOR-REUTERS | (14,923) | ||
| EUR | 20,400,000 | — | 9/29/15 | 6 month EUR-EURIBOR-REUTERS | 1.775% | 251,284 | ||
| EUR | 13,100,000 | — | 9/29/21 | 6 month EUR-EURIBOR-REUTERS | 2.54% | 313,907 | ||
| GBP | 5,247,000 | (E) | — | 9/22/31 | 6 month GBP-LIBOR-BBA | 4.06% | 263,525 | |
| GBP | 2,735,000 | — | 9/23/31 | 6 month GBP-LIBOR-BBA | 3.1175% | 214,909 | ||
| GBP | 4,961,000 | (E) | — | 9/23/31 | 3.99% | 6 month GBP-LIBOR-BBA | (212,257) | |
| GBP | 4,763,000 | (E) | — | 8/9/31 | 4.605% | 6 month GBP-LIBOR-BBA | (517,860) | |
| GBP | 4,763,000 | (E) | — | 8/10/31 | 4.5175% | 6 month GBP-LIBOR-BBA | (473,182) | |
| JPMorgan Chase Bank, N.A. | ||||||||
| $6,000,000 | — | 12/19/16 | 1.25625% | 3 month USD-LIBOR-BBA | (11,441) | |||
| 235,000 | — | 12/20/21 | 3 month USD-LIBOR-BBA | 2.056% | 658 | |||
| 186,000 | — | 12/21/21 | 3 month USD-LIBOR-BBA | 2.0245% | (34) | |||
| 3,114,000 | — | 12/22/21 | 2.056% | 3 month USD-LIBOR-BBA | (8,270) | |||
| 8,899,000 | — | 12/29/13 | 3 month USD-LIBOR-BBA | 0.754% | 4,662 | |||
| 2,435,000 | — | 1/3/22 | 2.0885% | 3 month USD-LIBOR-BBA | (11,688) | |||
| 7,705,600 | 24,411 | 3/11/26 | 4.12% | 3 month USD-LIBOR-BBA | (1,755,231) | |||
| 2,244,000 | (E) | — | 4/12/22 | 3 month USD-LIBOR-BBA | 2.4275% | 65,861 | ||
| 72,889,500 | 13,012 | 3/31/16 | 3 month USD-LIBOR-BBA | 2.42% | 4,531,071 | |||
| 20,362,000 | 1,278,734 | 7/26/21 | 4.525% | 3 month USD-LIBOR-BBA | (3,691,640) | |||
| 30,543,000 | 1,932,837 | 7/27/21 | 4.745% | 3 month USD-LIBOR-BBA | (6,145,595) | |||
| 4,779,000 | — | 11/14/16 | 3 month USD-LIBOR-BBA | 1.2725% | 21,377 | |||
| 3,309,000 | (45,002) | 12/14/21 | 3 month USD-LIBOR-BBA | 2.245% | 23,489 | |||
| 5,308,000 | — | 11/22/16 | 3 month USD-LIBOR-BBA | 1.348% | 41,128 | |||
| 3,951,000 | — | 11/23/16 | 1.32% | 3 month USD-LIBOR-BBA | (24,959) | |||
| 1,299,000 | — | 11/30/21 | 3 month USD-LIBOR-BBA | 2.228% | 26,141 | |||
| 43,518,000 | — | 12/1/21 | 3 month USD-LIBOR-BBA | 2.182% | 686,913 | |||
| 8,774,000 | — | 12/5/21 | 3 month USD-LIBOR-BBA | 2.288% | 221,956 | |||
| 9,732,000 | — | 12/5/21 | 3 month USD-LIBOR-BBA | 2.26625% | 226,574 | |||
| 3,844,000 | — | 9/19/16 | 3 month USD-LIBOR-BBA | 1.231% | 23,202 | |||
| 3,883,000 | — | 12/6/41 | 2.812% | 3 month USD-LIBOR-BBA | (178,623) | |||
| 50,211,000 | — | 12/6/13 | 3 month USD-LIBOR-BBA | 0.70% | (14,333) | |||
| 4,105,000 | — | 12/7/41 | 3 month USD-LIBOR-BBA | 2.7925% | 171,470 | |||
| 4,930,000 | — | 12/8/41 | 3 month USD-LIBOR-BBA | 2.77225% | 184,395 | |||
| 59,887,000 | — | 12/12/13 | 0.659% | 3 month USD-LIBOR-BBA | 69,600 | |||
| 1,729,734 | — | 12/14/21 | 2.143% | 3 month USD-LIBOR-BBA | (19,512) | |||
| 7,952,000 | — | 12/14/14 | 3 month USD-LIBOR-BBA | 0.7725% | (10,234) | |||
| CAD | 3,470,000 | — | 9/21/21 | 2.3911% | 3 month CAD-BA-CDOR | (73,164) | ||
| EUR | 6,130,000 | — | 12/16/16 | 1 month EUR-EONIA-OIS-COMPOUND | 1.205% | 45,538 | ||
| EUR | 15,020,000 | — | 12/16/13 | 0.52% | 1 month EUR-EONIA-OIS-COMPOUND | (26,633) | ||
| JPY | 2,402,400,000 | — | 2/19/15 | 6 month JPY-LIBOR-BBA | 0.705% | 342,089 | ||
| JPY | 511,900,000 | — | 2/19/20 | 6 month JPY-LIBOR-BBA | 1.3975% | 347,528 | ||
| JPY | 358,600,000 | (E) | — | 7/28/29 | 6 month JPY-LIBOR-BBA | 2.67% | 189,853 | |
| JPY | 482,100,000 | (E) | — | 7/28/39 | 2.40% | 6 month JPY-LIBOR-BBA | (104,206) | |
| MXN | 96,740,000 | — | 12/9/16 | 1 month MXN-TIIE-BANXICO | 5.76% | (25,035) | ||
| MXN | 19,054,000 | — | 9/11/20 | 6.82% | 1 month MXN-TIIE-BANXICO | (24,359) | ||
| MXN | 24,639,000 | — | 9/14/20 | 6.82% | 1 month MXN-TIIE-BANXICO | (30,192) | ||
| MXN | 4,810,000 | — | 7/16/20 | 1 month MXN-TIIE-BANXICO | 6.99% | 10,568 | ||
| MXN | 24,320,000 | — | 7/30/20 | 6.3833% | 1 month MXN-TIIE-BANXICO | 23,068 | ||
| MXN | 66,197,000 | — | 7/30/20 | 6.3833% | 1 month MXN-TIIE-BANXICO | 62,788 | ||
| MXN | 24,320,000 | — | 8/19/20 | 1 month MXN-TIIE-BANXICO | 6.615% | 5,925 | ||
| MXN | 37,740,000 | — | 11/4/20 | 1 month MXN-TIIE-BANXICO | 6.75% | 31,421 | ||
| UBS, AG | ||||||||
| AUD | 6,511,000 | — | 9/27/21 | 6 month AUD-BBR-BBSW | 4.79% | 111,157 | ||
| AUD | 5,818,000 | — | 9/27/16 | 4.46% | 6 month AUD-BBR-BBSW | (50,124) | ||
| CHF | 28,420,000 | — | 5/23/13 | 0.7625% | 6 month CHF-LIBOR-BBA | (447,200) | ||
|
| ||||||||
| Total | $(30,541,896) | |||||||
| (E) | See Note 1 to the financial statements regarding extended effective dates. / See Total return swap contracts note and/or Interest rate swap contracts note(s) regarding extended effective dates. | |||||||
| TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/11 (Unaudited) | ||||||||
| Upfront | Fixed payments | Total return | Unrealized | |||||
| Swap counterparty / | premium | Termination | received (paid) by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | |||
|
| ||||||||
| Bank of America, N.A. | ||||||||
| $2,766,790 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic TRS Index 5.00% 30 year Fannie Mae pools | $(23,468) | ||||
| Barclays Bank PLC | ||||||||
| 687,207 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 3,094 | ||||
| 4,299,364 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic TRS Index 6.50% 30 year Fannie Mae pools | 29,035 | ||||
| 1,246,020 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 5,610 | ||||
| 952,904 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 5,034 | ||||
| 5,266,748 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic MBX Index 6.50% 30 year Fannie Mae pools | (36,084) | ||||
| 4,306,728 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic MBX Index 6.50% 30 year Fannie Mae pools | (29,507) | ||||
| 3,135,787 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 16,567 | ||||
| 1,268,653 | 1/12/40 | 4.00% (1 month USD-LIBOR) | Synthetic MBX Index 4.00% 30 year Fannie Mae pools | 9,015 | ||||
| 147,996 | 1/12/40 | 4.00% (1 month USD-LIBOR) | Synthetic TRS Index 4.00% 30 year Fannie Mae pools | (1,518) | ||||
| 5,320,000 | 4/7/16 | (2.63%) | USA Non Revised Consumer Price Index- Urban (CPI-U) | (171,992) | ||||
| 2,766,790 | 1/12/40 | (5.00%) 1 month USD-LIBOR | Synthetic TRS Index 5.00% 30 year Fannie Mae pools | 23,468 | ||||
| 3,229,926 | 1/12/41 | 4.50% (1 month USD-LIBOR) | Synthetic TRS Index 4.50% 30 year Fannie Mae pools | (18,152) | ||||
| 2,179,105 | 1/12/41 | 3.50% (1 month USD-LIBOR) | Synthetic MBX Index 3.50% 30 year Fannie Mae pools | 19,342 | ||||
| 1,011,194 | 1/12/41 | 3.50% (1 month USD-LIBOR) | Synthetic MBX Index 3.50% 30 year Fannie Mae pools | 8,976 | ||||
| 1,297,397 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic TRS Index 5.00% 30 year Fannie Mae pools | (5,334) | ||||
| 2,080,165 | 1/12/41 | 4.50% (1 month USD-LIBOR) | Synthetic TRS Index 4.50% 30 year Fannie Mae pools | (11,691) | ||||
| 2,466,534 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 13,031 | ||||
| 3,593,804 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic MBX Index 6.50% 30 year Fannie Mae pools | (24,622) | ||||
| 3,165,697 | 1/12/40 | 4.00% (1 month USD-LIBOR) | Synthetic MBX Index 4.00% 30 year Fannie Mae pools | 22,496 | ||||
| 7,123,278 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic TRS Index 5.00% 30 year Fannie Mae pools | (60,421) | ||||
| 990,839 | 1/12/38 | 6.50% (1 month USD-LIBOR) | Synthetic TRS Index 6.50% 30 year Fannie Mae pools | (6,691) | ||||
| 1,817,766 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic MBX Index 6.50% 30 year Fannie Mae pools | (12,454) | ||||
| 4,915,192 | 1/12/40 | 4.50% (1 month USD-LIBOR) | Synthetic MBX Index 4.50% 30 year Fannie Mae pools | 24,730 | ||||
| 13,515,784 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 71,405 | ||||
| 2,950,797 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 15,589 | ||||
| 602,055 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 2,711 | ||||
| 1,951,854 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 8,788 | ||||
| 1,414,994 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 6,371 | ||||
| 114,821 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic TRS Index 6.50% 30 year Fannie Mae pools | 775 | ||||
| 4,999,698 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools | (33,059) | ||||
| Citibank, N.A. | ||||||||
| 1,918,141 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 10,134 | ||||
| 4,110,890 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 21,718 | ||||
| 3,588,807 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 18,960 | ||||
| Credit Suisse International | ||||||||
| 855,906 | 1/12/41 | 4.50% (1 month USD-LIBOR) | Synthetic MBX Index 4.50% 30 year Fannie Mae pools | 4,166 | ||||
| 1,644,356 | 1/12/41 | 5.00% (1 month USD-LIBOR) | Synthetic MBX Index 5.00% 30 year Fannie Mae pools | 8,687 | ||||
| 1,395,702 | 1/12/40 | 5.00% (1 month USD-LIBOR) | Synthetic TRS Index 5.00% 30 year Fannie Mae pools | (11,839) | ||||
| 2,181,865 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic MBX Index 6.50% 30 year Fannie Mae pools | (14,949) | ||||
| Deutsche Bank AG | ||||||||
| 2,181,865 | 1/12/38 | (6.50%) 1 month USD-LIBOR | Synthetic MBX Index 6.50% 30 year Fannie Mae pools | (14,949) | ||||
| Goldman Sachs International | ||||||||
| 3,040,000 | 3/1/16 | 2.47% | USA Non Revised Consumer Price Index- Urban (CPI-U) | 68,157 | ||||
| 2,280,000 | 3/3/16 | 2.45% | USA Non Revised Consumer Price Index- Urban (CPI-U) | 48,885 | ||||
| 3,644,762 | 1/12/39 | (6.00%) 1 month USD-LIBOR | Synthetic TRS Index 6.00% 30 year Fannie Mae pools | 30,121 | ||||
| EUR | 5,940,000 | 10/18/13 | (1.7775%) | Eurostat Eurozone HICP excluding tobacco | (61,810) | |||
|
| ||||||||
| Total | $(41,675) | |||||||
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/11 (Unaudited) | |||||||||
| Upfront | Fixed payments | ||||||||
| premium | Termi- | received | Unrealized | ||||||
| Swap counterparty / | received | Notional | nation | (paid) by fund | appreciation/ | ||||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |||
|
| |||||||||
| Credit Suisse International | |||||||||
| Bonos Y Oblig Del Estado, 5 1/2%, 7/30/17 | — | $(18,605) | $2,090,000 | 12/20/19 | (100 bp) | $325,193 | |||
| Deutsche Bank AG | |||||||||
| Smurfit Kappa Funding, 7 3/4%, 4/1/15 | B2 | — | EUR | 425,000 | 9/20/13 | 715 bp | 46,116 | ||
| Virgin Media Finance PLC, 8 3/4%, 4/15/14 | BB- | — | EUR | 400,000 | 9/20/13 | 477 bp | 20,780 | ||
| Virgin Media Finance PLC, 8 3/4%, 4/15/14 | BB- | — | EUR | 400,000 | 9/20/13 | 535 bp | 25,934 | ||
| JPMorgan Chase Bank, N.A. | |||||||||
| DJ CDX NA HY Series 17 Version 1 Index | B+/P | 256,587 | $2,530,360 | 12/20/16 | 500 bp | 83,020 | |||
| Republic of Argentina, 8.28%, 12/31/33 | B3 | — | 705,000 | 6/20/14 | 235 bp | (85,528) | |||
| Republic of Italy, 6 7/8%, 9/27/23 | — | (984,424) | 3,717,000 | 12/20/21 | (100 bp) | (101,983) | |||
| Republic of Italy, 6 7/8%, 9/27/23 | A2 | 824,097 | 9,386,000 | 12/20/13 | 100 bp | 135,759 | |||
| Morgan Stanley Capital Services, Inc. | |||||||||
| Republic of Venezuela, 9 1/4%, 9/15/27 | B2 | — | 510,000 | 10/20/12 | 339 bp | (418) | |||
|
| |||||||||
| Total | $448,873 | ||||||||
| * | 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 December 31, 2011. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.” | ||||||||
| Key to holding's currency abbreviations | |||
| ARS | Argentine Peso | ||
| AUD | Australian Dollar | ||
| BRL | Brazilian Real | ||
| CAD | Canadian Dollar | ||
| CHF | Swiss Franc | ||
| CLP | Chilean Peso | ||
| EUR | Euro | ||
| GBP | British Pound | ||
| INR | Indian Rupee | ||
| JPY | Japanese Yen | ||
| MXN | Mexican Peso | ||
| TRY | Turkish Lira | ||
| RUB | Russian Ruble | ||
| Key to holding's abbreviations | |||
| EMTN | Euro Medium Term Notes | ||
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period | ||
| FRN | Floating Rate Notes: the rate shown is the current interest rate 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 | ||
| 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, 2011 through December 31, 2011 (the reporting period). | |||||
| (a) | Percentages indicated are based on net assets of $345,897,690. | ||||
| (b) | The aggregate identified cost on a tax basis is $490,200,507, resulting in gross unrealized appreciation and depreciation of $12,986,190 and $26,275,439, respectively, or net unrealized depreciation of $13,289,249. | ||||
| (NON) | Non-income-producing security. | ||||
| (STP) | The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income at this rate. | ||||
| (PIK) | Income may be received in cash or additional securities at the discretion of the issuer. | ||||
| (SEG) | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. | ||||
| (SEGSF) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain 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. | ||||
| (e) | The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $11,867 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $62,171,763 and $57,347,218, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||||
| (F) | Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs. | ||||
| (i) | Security purchased with cash or security received, that was pledged to the fund for collateral on certain derivative contracts. | ||||
| (R) | Real Estate Investment Trust. | ||||
| At the close of the reporting period, the fund maintained liquid assets totaling $199,200,968 to cover certain derivatives contracts. | |||||
| Debt obligations are considered secured unless otherwise indicated. | |||||
| 144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
| The 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 | 88.9% | ||||
| Russia | 1.9% | ||||
| Argentina | 1.5% | ||||
| Venezuela | 1.2% | ||||
| Ukraine | 0.8% | ||||
| Brazil | 0.8% | ||||
| Indonesia | 0.7% | ||||
| Luxembourg | 0.7% | ||||
| Netherlands | 0.6% | ||||
| United Kingdom | 0.6% | ||||
| Other | 2.3% | ||||
| Total | 100.0% | ||||
| Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | |||||
| Investments in other investment companies, which are classified as Level 1 securities, are based on their net asset value (NAV). The NAV of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open. | |||||
| Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | |||||
| Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | |||||
| To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | |||||
| Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | |||||
| Futures contracts: The fund uses futures contracts to hedge interest rate risk and to gain exposure to interest rates. | |||||
| The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | |||||
| Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. | |||||
| Outstanding number of contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the reporting period. | |||||
| Options contracts: The fund uses options contracts to hedge duration, convexity and prepayment risk and to gain exposure to interest rates. | |||||
| The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | |||||
| Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. | |||||
| Outstanding contracts on purchased options contracts and written options contracts at the close of the reporting period are indicative of the volume of activity for each during the reporting period. | |||||
| Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. | |||||
| The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. 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. | |||||
| Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period. | |||||
| Total return swap contracts: The fund enters into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount to hedge sector exposure, to manage exposure to specific sectors or industries, and to gain exposure to specific sectors/industries. | |||||
| To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. | |||||
| Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period. | |||||
| Interest rate swap contracts: The fund enters into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates. | |||||
| An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. | |||||
| Outstanding notional amount on interest rate swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period. | |||||
| Credit default contracts: The fund enters into credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. | |||||
| In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | |||||
| In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. | |||||
| Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period. | |||||
| Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $4,444,694 at the close of the reporting period. | |||||
| Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | |||||
| Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity. | |||||
| At the close of the reporting period, the fund had a net liability position of $85,319,765 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $83,848,226. | |||||
| TBA purchase commitments: The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However ,it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. | |||||
| Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so. | |||||
| TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. | |||||
| Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | |||||
| 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 | $— | $— | $407 | |
| Energy | — | — | 3,091 | |
| Total common stocks | — | — | 3,498 | |
| Asset-backed securities | $— | $30,217,849 | $— | |
| Convertible bonds and notes | — | 437,405 | — | |
| Convertible preferred stocks | — | 240,464 | — | |
| Corporate bonds and notes | — | 98,976,143 | 2,825 | |
| Foreign government bonds and notes | — | 23,673,739 | — | |
| Mortgage-backed securities | — | 78,808,754 | 118,991 | |
| Preferred stocks | — | 141,935 | — | |
| Purchased options outstanding | — | 21,285,309 | — | |
| Senior loans | — | 7,975,264 | 496,250 | |
| U.S. Government and Agency Mortgage Obligations | — | 33,438,742 | — | |
| U.S. Treasury Obligations | — | 3,929,715 | — | |
| Warrants | — | 348 | 15,940 | |
| Short-term investments | 71,815,577 | 105,332,510 | — | |
|
|
|
|
||
| Totals by level | $71,815,577 | $404,458,177 | $637,504 | |
| Valuation inputs | ||||
|
| ||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |
| Forward currency contracts | $— | $978,785 | $— | |
| Futures contracts | 369,946 | — | — | |
| Written options | — | (63,967,040) | — | |
| TBA sale commitments | — | (2,058,750) | — | |
| Interest rate swap contracts | — | (33,991,162) | — | |
| Total return swap contracts | — | (41,675) | — | |
| Credit default contracts | — | 371,218 | — | |
|
|
|
|
||
| Totals by level | $369,946 | $(98,708,624) | $— | |
| At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio. | ||||
| Market Values of Derivative Instruments as of the close of the reporting period | ||||
| Asset derivatives | Liability derivatives | |||
|
| ||||
| Derivatives not accounted for as hedging instruments under ASC 815 | Market value | Market value | ||
| Credit contracts | $1,319,069 | $947,851 | ||
| Foreign exchange contracts | 2,484,658 | 1,505,873 | ||
| Equity contracts | 16,288 | — | ||
| Interest rate contracts | 71,036,956 | 147,381,577 | ||
|
|
|
|||
| Total | $74,856,970 | $149,835,301 | ||
| 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: During the period, State Street Bank and Trust Company, which provides certain administrative, pricing and bookkeeping services for the Putnam funds pursuant to an agreement with Putnam Investment Management, LLC, began utilizing different accounting systems and systems support in providing services for the fund. |
| 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: February 28, 2012 |
| 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: February 28, 2012 |
| By (Signature and Title): |
| /s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer Date: February 28, 2012 |