a_masterintermediate.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         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, 2013
Date of reporting period: December 31, 2012



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
12/31/12 (Unaudited)
MORTGAGE-BACKED SECURITIES (47.6%)(a)
Principal amount Value
Agency collateralized mortgage obligations (12.2%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.764s, 2032 $258,826 $423,119
     IFB Ser. 3408, Class EK, 24.952s, 2037 142,969 227,444
     IFB Ser. 2979, Class AS, 23.507s, 2034 65,632 86,917
     IFB Ser. 3072, Class SM, 23.03s, 2035 209,161 331,570
     IFB Ser. 3072, Class SB, 22.884s, 2035 187,374 295,860
     IFB Ser. 3249, Class PS, 21.585s, 2036 159,801 242,913
     IFB Ser. 3951, Class CS, IO, 6.541s, 2026 4,113,322 603,054
     IFB Ser. 4098, Class MS, IO, 6.491s, 2041 4,122,647 865,302
     IFB Ser. 3727, Class PS, IO, 6.491s, 2038 1,809,710 155,231
     IFB Ser. 3895, Class SM, IO, 6.441s, 2040 4,466,896 561,627
     IFB Ser. 4048, Class GS, IO, 6.441s, 2040 1,958,720 365,008
     IFB Ser. 3940, Class PS, IO, 6.441s, 2040 5,492,795 754,161
     IFB Ser. 3860, Class SP, IO, 6.391s, 2040 4,163,467 665,031
     IFB Ser. 4032, Class SA, IO, 6.291s, 2042 4,763,926 619,230
     IFB Ser. 3708, Class SA, IO, 6.241s, 2040 4,738,767 650,348
     IFB Ser. 3780, Class PS, IO, 6.241s, 2035 2,341,272 178,705
     IFB Ser. 4125, Class SH, IO, 5.941s, 2042 2,749,183 406,219
     IFB Ser. 4112, Class SC, IO, 5.941s, 2042 8,054,278 1,288,692
     IFB Ser. 4105, Class LS, IO, 5.941s, 2041 2,445,559 466,295
     IFB Ser. 3922, Class CS, IO, 5.891s, 2041 1,969,874 233,747
     IFB Ser. 3768, Class PS, IO, 5.791s, 2036 5,857,651 311,967
     IFB Ser. 3753, Class S, IO, 5.741s, 2040 2,269,833 275,927
     Ser. 3632, Class CI, IO, 5s, 2038 773,357 42,573
     Ser. 3626, Class DI, IO, 5s, 2037 435,300 13,385
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 3,816,360 541,923
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 2,581,643 313,928
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 10,590,752 1,313,253
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 534,261 40,748
     Ser. 4090, Class BI, IO, 4s, 2042 821,005 88,964
     Ser. 4098, Class PI, IO, 4s, 2042 3,729,268 561,553
     Ser. 4010, Class NI, IO, 4s, 2041 3,709,920 483,588
     Ser. 3748, Class NI, IO, 4s, 2034 2,271,410 84,724
     Ser. 3751, Class MI, IO, 4s, 2034 4,705,544 81,265
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 2,205,712 322,938
     Ser. T-57, Class 1AX, IO, 0.412s, 2043 2,737,530 32,939
     Ser. 4077, Class TO, PO, zero %, 2041 1,179,793 1,000,535
     FRB Ser. 3326, Class WF, zero %, 2035 7,143 6,858
     FRB Ser. 3030, Class EF, zero %, 2035 565 564
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.642s, 2036 299,410 564,694
     IFB Ser. 07-53, Class SP, 23.431s, 2037 183,819 297,417
     IFB Ser. 08-24, Class SP, 22.514s, 2038 167,253 267,607
     IFB Ser. 05-75, Class GS, 19.621s, 2035 192,274 281,853
     IFB Ser. 05-83, Class QP, 16.849s, 2034 222,071 309,724
     IFB Ser. 12-88, Class SB, IO, 6.46s, 2042 5,299,422 921,199
     IFB Ser. 10-135, Class SP, IO, 6.39s, 2040 4,727,595 810,641
     IFB Ser. 10-99, Class NS, IO, 6.39s, 2039 3,740,955 407,016
     IFB Ser. 11-87, Class HS, IO, 6.29s, 2041 2,983,650 507,787
     IFB Ser. 404, Class S13, IO, 6.19s, 2040 4,010,885 559,376
     IFB Ser. 10-35, Class SG, IO, 6.19s, 2040 2,952,079 398,619
     IFB Ser. 12-132, Class SB, IO, 5.99s, 2042 8,217,909 1,370,501
     IFB Ser. 09-100, Class SA, IO, 5.99s, 2039 1,999,287 216,173
     IFB Ser. 12-113, Class CS, IO, 5.94s, 2041 1,792,455 336,067
     IFB Ser. 12-113, Class SG, IO, 5.89s, 2042 1,884,546 330,285
     IFB Ser. 10-46, Class WS, IO, 5.54s, 2040 3,011,406 378,172
     Ser. 374, Class 6, IO, 5 1/2s, 2036 652,785 87,153
     Ser. 12-132, Class PI, IO, 5s, 2042 4,525,826 858,866
     Ser. 398, Class C5, IO, 5s, 2039 471,427 46,907
     Ser. 10-13, Class EI, IO, 5s, 2038 286,041 11,749
     Ser. 378, Class 19, IO, 5s, 2035 1,509,537 158,501
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 9,963,160 1,580,357
     Ser. 409, Class 81, IO, 4 1/2s, 2040 5,522,801 684,159
     Ser. 409, Class 82, IO, 4 1/2s, 2040 6,473,810 855,143
     Ser. 366, Class 22, IO, 4 1/2s, 2035 639,378 49,200
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 2,676,043 274,027
     Ser. 12-118, Class PI, IO, 4s, 2042 3,875,737 593,453
     Ser. 12-96, Class PI, IO, 4s, 2041 2,638,590 343,386
     Ser. 406, Class 2, IO, 4s, 2041 2,842,917 336,886
     Ser. 406, Class 1, IO, 4s, 2041 1,884,557 231,235
     Ser. 409, Class C16, IO, 4s, 2040 4,073,781 410,774
     Ser. 03-W10, Class 1, IO, 1.36s, 2043 616,931 26,147
     Ser. 99-51, Class N, PO, zero %, 2029 25,746 24,839
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.863s, 2041 2,750,708 3,061,869
     IFB Ser. 10-151, Class SL, IO, 6.489s, 2039 2,221,526 341,759
     IFB Ser. 10-163, Class SI, IO, 6.42s, 2037 3,697,145 526,847
     IFB Ser. 10-26, Class QS, IO, 6.039s, 2040 2,578,045 451,158
     IFB Ser. 10-120, Class SB, IO, 5.989s, 2035 742,985 64,090
     IFB Ser. 10-20, Class SC, IO, 5.939s, 2040 212,056 34,355
     IFB Ser. 10-61, Class SJ, IO, 5.841s, 2040 3,460,995 608,720
     IFB Ser. 11-70, Class SM, IO, 5.681s, 2041 2,415,000 598,896
     IFB Ser. 11-70, Class SH, IO, 5.681s, 2041 2,481,000 623,078
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 1,498,760 144,106
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 390,583 58,783
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 11,572,044 1,887,690
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,496,211 179,755
     Ser. 11-73, Class IP, IO, 4 1/2s, 2039 4,417,053 439,178
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 4,606,544 554,398
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,898,276 182,936
     Ser. 11-116, Class BI, IO, 4s, 2026 6,967,497 694,381
     Ser. 11-70, PO, zero %, 2041 4,872,450 4,008,661
     Ser. 06-36, Class OD, PO, zero %, 2036 8,486 7,887
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.04s, 2045 3,067,486 582,822
44,519,387
Commercial mortgage-backed securities (12.0%)
Banc of America Commercial Mortgage, Inc.
     FRB Ser. 08-1, Class AJ, 6.248s, 2051 571,000 545,191
     FRB Ser. 05-5, Class D, 5.231s, 2045 600,000 526,500
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 16,989 14,271
     Ser. 01-1, Class K, 6 1/8s, 2036 345,498 49,054
     Ser. 07-5, Class XW, IO, 0.38s, 2051 99,757,643 1,179,932
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-PW17, Class AJ, 5.89s, 2050 2,672,000 2,351,360
     FRB Ser. 06-PW12, Class AJ, 5.751s, 2038 718,000 711,058
     Ser. 05-PWR7, Class D, 5.304s, 2041 441,000 390,197
     Ser. 05-PWR7, Class B, 5.214s, 2041 697,000 676,090
     FRB Ser. 05-T20, Class C, 5.149s, 2042 600,000 582,000
Citigroup Commercial Mortgage Trust
     Ser. 06-C5, Class AJ, 5.482s, 2049 610,000 580,583
     FRB Ser. 05-C3, Class B, 5.029s, 2043 1,720,000 1,566,231
Citigroup Commercial Mortgage Trust 144A FRB Ser. 04-C1, Class G, 5.36s, 2040 3,000,000 2,914,800
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.036s, 2044 29,871,967 117,578
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom) GBP 444,023 605,887
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom) GBP 143,935 208,094
Credit Suisse Mortgage Capital Certificates FRB Ser. 06-C1, Class AJ, 5.409s, 2039 $184,000 193,734
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 515,085 21,118
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035 339,037 16,952
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031(F) 286,492 285,811
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.094s, 2020 2,523,760 50,475
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.307s, 2045 305,000 268,400
     FRB Ser. 05-C1, Class D, 4.949s, 2048 2,243,000 2,170,550
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 452,000 384,765
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 02-C3, Class H, 5.944s, 2039 450,000 449,714
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 427,000 389,427
GS Mortgage Securities Corp. II Ser. 05-GG4, Class AJ, 4.782s, 2039 606,000 611,372
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.746s, 2039 56,359,551 845,393
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.21s, 2030 (Cayman Islands) 405,145 223,843
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.077s, 2051 711,000 668,340
     FRB Ser. 06-LDP7, Class AJ, 5.871s, 2045 2,281,000 2,218,530
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 443,000 421,337
     FRB Ser. 04-CBX, Class E, 5.126s, 2037 1,790,000 1,586,476
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 247,000 243,561
     FRB Ser. 05-LDP3, Class AJ, 4.997s, 2042 234,000 248,662
     FRB Ser. 05-LDP2, Class C, 4.911s, 2042 350,000 332,500
     FRB Ser. 05-LDP2, Class B, 4.882s, 2042 1,900,000 1,909,880
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.154s, 2051 60,285,417 587,902
LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031 857,101 866,477
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class AJ, 5.452s, 2039 1,386,000 1,475,797
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.402s, 2028 96,172 10
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.276s, 2051 395,000 385,046
     Ser. 06-C2, Class AJ, 5.802s, 2043 589,000 541,880
     Ser. 05-CKI1, Class AJ, 5.263s, 2037 487,000 501,854
Mezz Cap Commercial Mortgage Trust 144A
     Ser. 04-C1, Class X, IO, 9.025s, 2037 442,088 19,894
     Ser. 07-C5, Class X, IO, 5.244s, 2049 1,829,994 130,845
Morgan Stanley Capital I
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,100,000 1,054,994
     Ser. 06-HQ9, Class AJ, 5.793s, 2044 580,000 633,264
     FRB Ser. 07-T27, Class AJ, 5.651s, 2042 829,000 827,341
     FRB Ser. 06-HQ8, Class B, 5 1/2s, 2044 1,800,000 1,633,140
     Ser. 04-IQ8, Class C, 5.3s, 2040 1,400,000 1,409,520
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,538,728 1,469,484
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.843s, 2043 1,215,429 1,251,344
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 193,000 144,750
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 540,986 81,148
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.997s, 2045 1,552,000 1,439,480
     FRB Ser. 06-C25, Class AJ, 5.736s, 2043 528,000 535,920
     FRB Ser. 05-C20, Class B, 5.248s, 2042 1,679,000 1,633,041
     Ser. 07-C34, IO, 0.345s, 2046 16,005,328 193,664
43,376,461
Residential mortgage-backed securities (non-agency) (23.4%)
Adjustable Rate Mortgage Trust FRB Ser. 06-2, Class 1A1, 5.338s, 2036 1,087,153 943,105
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO, zero %, 2047 9,284,428 1,083,667
American Home Mortgage Investment Trust Ser. 07-1, Class GIOP, IO, 2.078s, 2047 1,203,949 180,592
Banc of America Funding Corp.
     Ser. 06-2, Class 2A13, 6s, 2036 977,531 997,081
     FRB Ser. 07-C, Class 07-C, 2.768s, 2036 2,055,721 1,778,198
     FRB Ser. 06-G, Class 2A5, 0.491s, 2036 531,215 446,221
Banc of America Funding Corp. 144A FRB Ser. 09-R12A, Class A2, 3.045s, 2036 475,455 313,800
Banc of America Mortgage Securities Ser. 05-11, Class 1A10, 6s, 2035 500,000 487,500
Barclays Capital, LLC Trust
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 184,745 96,068
     Ser. 12-RR10, Class 8A2, 4s, 2036 397,654 401,631
     FRB Ser. 12-RR10, Class 9A2, 2.662s, 2035 980,000 725,200
     Ser. 12-RR10, Class 4A2, 2.626s, 2036 790,000 632,000
Barclays Capital, LLC Trust 144A
     Ser. 12-RR11, Class 9A3, 21.132s, 2037 518,964 485,880
     FRB Ser. 12-RR12, Class 3A3, 21.062s, 2037 420,000 345,450
     FRB Ser. 12-RR12, Class 2A3, 14.483s, 2035 350,000 348,639
     FRB Ser. 11-RR4, Class 6A4, 14.295s, 2037 1,168,752 923,314
     Ser. 12-RR11, Class 4A3, 13.64s, 2037 404,580 291,298
     FRB Ser. 12-RR11, Class 5A3, 13.492s, 2037 190,056 114,984
     FRB Ser. 12-RR12, Class 1A3, 13.355s, 2037 320,000 177,600
     FRB Ser. 12-RR12, Class 5A1, 5.138s, 2036 1,540,000 1,568,874
     FRB Ser. 12-RR12, Class 5A2, 5.138s, 2036 1,070,000 796,348
     Ser. 12-RR11, Class 9A2, 4s, 2037 970,771 968,345
     Ser. 12-RR12, Class 3A2, 4s, 2037 800,000 804,000
     Ser. 12-RR11, Class 4A2, 4s, 2037 575,117 578,712
     Ser. 12-RR12, Class 1A2, 4s, 2037 230,000 231,724
     Ser. 12-RR11, Class 3A2, 4s, 2036 198,322 197,826
     Ser. 12-RR12, Class 2A2, 4s, 2035 350,000 354,375
     FRB Ser. 12-RR11, Class 5A2, 4s, 2037 267,692 266,354
     FRB Ser. 12-RR12, Class 4A2, 2.917s, 2036 620,000 338,464
     Ser. 12-RR11, Class 11A2, 2.6s, 2036 297,313 182,848
     FRB Ser. 09-RR11, Class 2A2, 2.47s, 2035 850,000 635,375
     Ser. 09-RR7, Class 1A7, IO, 1.798s, 2046 17,241,827 732,778
     Ser. 09-RR7, Class 2A7, IO, 1.58s, 2047 35,151,286 1,451,747
Bear Stearns Adjustable Rate Mortgage Trust
     FRB Ser. 07-4, Class 12A1, 5.579s, 2037 704,277 598,635
     FRB Ser. 07-4, Class 22A1, 5.434s, 2047 1,460,254 1,263,120
     FRB Ser. 05-4, Class 2A3, 2.631s, 2035 1,000,000 905,000
     FRB Ser. 06-1, Class A1, 2.37s, 2036 378,088 353,513
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.085s, 2034 44,609 16,214
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 6,112,928 171,773
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 4,448,637 65,395
Citigroup Mortgage Loan Trust, Inc.
     FRB Ser. 06-AR3, Class 1A2A, 5.595s, 2036 1,334,723 1,231,281
     Ser. 2005-WF2, Class AF4, 4.964s, 2035 1,153,675 1,159,443
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-12, Class 2A2, 0.58s, 2035 900,000 675,000
     FRB Ser. 12-1, Class 1A2, 0.58s, 2035 870,000 635,100
Countrywide Alternative Loan Trust
     FRB Ser. 06-36T2, Class 1A7, 6 1/4s, 2036 1,726,704 1,394,312
     Ser. 07-HY9, Class X, IO, 0.65s, 2047 5,397,777 232,104
Countrywide Home Loans
     Ser. 07-16, Class A1, 6 1/2s, 2037 1,213,281 1,134,418
     Ser. 07-17, Class 1A2, 6s, 2037 1,612,089 1,555,344
     Ser. 06-20, Class 1A21, 6s, 2037 469,336 434,136
     Ser. 06-10, Class 1A16, 6s, 2036 1,020,779 921,253
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.079s, 2043 GBP 384,009 527,738
     FRB Ser. 03-2, Class 2C1, 2.755s, 2043 EUR 1,028,000 1,147,944
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036 $4,532,344 189,905
GSR Mortgage Loan Trust
     FRB Ser. 06-AR1, Class 2A4, 2.774s, 2036 1,050,000 803,250
     FRB Ser. 05-AR4, Class 3A5, 2.756s, 2035 725,000 652,500
Harborview Mortgage Loan Trust FRB Ser. 05-9, Class 2A1C, 0.661s, 2035 657,206 578,342
JPMorgan Mortgage Trust
     FRB Ser. 07-A1, Class 3A4, 3.095s, 2035 554,285 435,662
     FRB Ser. 05-A8, Class 2A3, 2.881s, 2035 1,930,000 1,769,435
     FRB Ser. 06-A2, Class 2A4, 5.138s, 2036 5,687 4,948
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, PO, 0.8s, 2047 3,273,968 108,368
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.41s, 2034 44,320 17,781
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 0 1/2s, 2047 14,569,829 310,337
Structured Asset Mortgage Investments, Inc. Ser. 06-AR8, Class X, IO, 0.4s, 2036 13,268,229 216,272
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 07-HY6, Class 2A1, 4.812s, 2037 2,671,897 2,177,595
     FRB Ser. 07-HY1, Class 5A1, 4.711s, 2037 2,831,819 2,259,702
     FRB Ser. 07-HY3, Class 2A1, 4.68s, 2037 2,484,926 2,012,790
     FRB Ser. 07-HY2, Class 1A1, 2.643s, 2036 752,099 597,919
     FRB Ser. 07-HY7, Class 2A1, 2.569s, 2037 751,198 559,643
     FRB Ser. 05-AR12, Class 1A4, 2.472s, 2035 490,000 443,450
     FRB Ser. 06-AR14, Class 1A4, 2.423s, 2036 539,694 434,454
     FRB Ser. 06-AR1, Class 2A1B, 1.235s, 2046 2,507,578 2,169,054
     FRB Ser. 06-AR1, Class 2A1C, 1.235s, 2046 1,920,537 1,027,486
     FRB Ser. 06-AR9, Class 1A, 1.166s, 2046 3,299,029 2,672,213
     FRB Ser. 06-AR15, Class 1A, 1.006s, 2046 2,165,617 1,700,010
     FRB Ser. 06-AR17, Class 1A, 0.986s, 2046 2,003,976 1,502,982
     FRB Ser. 06-AR17, Class 1A1, 0.975s, 2046 2,089,145 1,023,681
     FRB Ser. 06-AR19, Class 1A, 0.906s, 2047 867,193 624,379
     FRB Ser. 05-AR11, Class A1C3, 0.72s, 2045 1,995,590 1,506,670
     FRB Ser. 05-AR13, Class A1C3, 0.7s, 2045 3,579,054 2,648,500
     FRB Ser. 05-AR17, Class A1C3, 0.69s, 2045 842,452 438,075
     FRB Ser. 05-AR15, Class A1C3, 0.69s, 2045 988,055 395,222
     FRB Ser. 05-AR8, Class 2AC2, 0.67s, 2045 1,299,388 1,104,480
     FRB Ser. 05-AR11, Class A1C4, 0.65s, 2045 1,015,495 766,699
     FRB Ser. 05-AR13, Class A1B2, 0.64s, 2045 946,988 814,409
     FRB Ser. 05-AR17, Class A1B2, 0.62s, 2045 875,994 731,455
     FRB Ser. 05-AR11, Class A1B3, 0.61s, 2045 1,527,061 1,313,271
     FRB Ser. 05-AR8, Class 2AC3, 0.6s, 2045 457,874 386,904
     FRB Ser. 05-AR2, Class 2A1B, 0.58s, 2045 970,690 854,207
     FRB Ser. 05-AR8, Class 2AB3, 0.57s, 2045 638,152 567,955
     FRB Ser. 05-AR1, Class A3, 0.57s, 2045 511,592 447,643
     FRB Ser. 05-AR15, Class A1A2, 0.49s, 2045 2,292,332 1,959,944
     FRB Ser. 05-AR6, Class 2AB3, 0.48s, 2045 443,414 390,204
WAMU Mortgage Pass-Through Certificates FRB Ser. 06-AR11, Class 1A, 1.12s, 2046 2,823,086 2,244,352
Wells Fargo Mortgage Backed Securities Trust
     Ser. 07-11, Class A1, 6s, 2037 415,941 403,463
     Ser. 07-11, Class A36, 6s, 2037 421,669 423,777
     Ser. 06-8, Class A9, 6s, 2036 1,927,454 1,959,450
     Ser. 07-12, Class A7, 5 1/2s, 2037 335,155 349,399
     Ser. 06-3, Class A2, 5 1/2s, 2036 760,000 769,500
     FRB Ser. 07-AR3, Class A2, 5.376s, 2037 386,275 348,611
     FRB Ser. 06-AR1, Class 2A5, 5.35s, 2036 890,000 892,225
     FRB Ser. 06-AR11, Class A6, 5.081s, 2036 979,671 903,746
     FRB Ser. 05-AR16, Class 4A2, 2.651s, 2035 1,070,650 1,043,883
     FRB Ser. 06-AR17, Class A1, 2.631s, 2036 618,824 544,565
     FRB Ser. 06-AR2, Class 2A3, 2.627s, 2036 636,273 620,366
     FRB Ser. 05-AR15, Class 1A8, 2.617s, 2035 1,440,000 1,382,400
84,805,254
Total mortgage-backed securities (cost $166,635,898) $172,701,102

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (30.3%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.5%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $653,833 $732,932
     3s, TBA, January 1, 2043 8,000,000 8,504,375
9,237,307
U.S. Government Agency Mortgage Obligations (27.8%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3s, TBA, January 1, 2043 7,000,000 7,317,188
Federal National Mortgage Association Pass-Through Certificates
     3s, TBA, February 1, 2043 13,000,000 13,595,156
     3s, TBA, January 1, 2043 76,000,000 79,651,564
100,563,908
Total U.S. government and agency mortgage obligations (cost $109,733,605) $109,801,215

CORPORATE BONDS AND NOTES (28.2%)(a)
Principal amount Value
Basic materials (1.6%)
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 $70,000 $72,800
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 302,000 320,875
Boise Cascade LLC / Boise Cascade Finance Corp. 144A sr. unsec. notes 6 3/8s, 2020 (United Kingdom) 30,000 30,900
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 110,000 115,500
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 185,000 207,200
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 100,000 101,000
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 283,000 255,408
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 135,000 143,775
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 82,000 86,510
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 180,000 184,950
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 110,000 112,750
Grohe Holding GmbH 144A company guaranty sr. notes FRN 4.183s, 2017 (Germany) EUR 313,000 416,202
HD Supply, Inc. company guaranty sr. unsec. sub. notes 13 1/2s, 2015 $147,000 150,675
HD Supply, Inc. 144A company guaranty sr. unsec. notes 11 1/2s, 2020 238,000 268,048
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 135,000 138,713
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 287,000 327,898
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 110,000 111,238
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 64,000 62,400
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 100,000 106,250
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 73,675
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 178,000 233,325
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 $220,000 257,950
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 415,000 458,574
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 135,000 130,097
Momentive Performance Materials, Inc. 144A company guaranty sr. notes 10s, 2020 $35,000 34,475
MPM Escrow LLC / MPM Finance Escrow Corp. 144A sr. notes 8 7/8s, 2020 80,000 80,800
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 55,000 56,925
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 155,000 172,825
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 75,000 78,938
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 206,000
PQ Corp. 144A sr. notes 8 3/4s, 2018 135,000 141,750
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 130,000 145,600
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 135,000 137,700
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 35,000 37,800
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 1.442s, 2015 (Germany) EUR 152,000 197,623
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 $30,000 31,800
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 40,000 42,400
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 210,000 212,100
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 31,000 11,780
5,955,229
Capital goods (1.4%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 30,000 31,500
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 344,000 375,820
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 111,433 153,792
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 140,000 201,774
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $298,000 331,525
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 140,000 148,400
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 36,000 38,520
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 86,000 94,600
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 24,000 27,660
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 170,000 174,888
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 70,000 70,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 159,000 179,869
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 50,000 53,500
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 50,000 72,502
Exide Technologies sr. notes 8 5/8s, 2018 $20,000 16,950
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 40,000 41,450
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 307,000 336,933
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 50,000 50,313
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 22,000 25,080
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 319,000 293,480
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 115,000 125,350
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 229,000 330,634
Reynolds Group Issuer, Inc. company guaranty sr. notes 7 7/8s, 2019 $100,000 111,250
Reynolds Group Issuer, Inc. company guaranty sr. notes 7 1/8s, 2019 130,000 139,750
Reynolds Group Issuer, Inc. company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 100,000 107,500
Reynolds Group Issuer, Inc. company guaranty sr. unsec. unsub. notes 9s, 2019 100,000 104,000
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 105,000 108,413
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 150,000 162,750
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 140,000 152,425
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 215,000 225,750
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 331,000 352,515
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 99,000 109,890
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 226,000 250,013
4,998,796
Communication services (4.0%)
AMC Networks, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 50,000 50,188
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 68,000 73,780
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 155,000 180,769
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 150,000 168,938
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 50,063
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 51,000 54,889
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 131,000 141,316
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 70,000 70,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 121,000 130,680
Cequel Communiciations Escrow Capital Corp. 144A sr. unsec. notes 6 3/8s, 2020 40,000 41,650
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 127,000 131,128
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 78,000 84,045
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 355,000 381,625
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 233,000 237,660
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 480,000 508,200
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 70,000 77,350
Crown Castle International Corp. 144A sr. unsec. notes 5 1/4s, 2023 135,000 144,450
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 326,000 348,820
DISH DBS Corp. company guaranty sr. unsec. notes 7 1/8s, 2016 88,000 98,560
DISH DBS Corp. company guaranty sr. unsec. notes 6 5/8s, 2014 517,000 555,775
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 192,000 218,880
Equinix, Inc. sr. unsec. notes 7s, 2021 130,000 144,300
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 65,000 76,213
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 753,000 865,950
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 214,000 235,935
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 260,000 295,750
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 365,000 392,375
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 140,000 154,350
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 80,000 82,600
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 948,812 1,008,112
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 253,000 267,548
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 105,000 150,194
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $124,000 138,570
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 143,000 158,730
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 40,000 43,600
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 17,000 17,765
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 59,000 65,343
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 407,000 441,086
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 360,000 334,800
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 14,000 11,130
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 51,000 38,123
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 261,000 279,923
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 156,000 178,620
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 180,000 305,559
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 $75,000 82,087
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 68,000 75,990
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 55,000 58,438
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 801,000 931,163
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 147,000 159,863
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 160,000 188,400
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 122,000 133,285
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 418,000 516,230
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 100,000 141,792
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) $100,000 141,183
TW Telecom Holdings, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 50,000 52,375
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 293,000 433,898
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) $130,000 188,324
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 218,000 310,723
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) $361,000 532,591
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 50,000 92,075
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 325,000 427,156
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $60,000 65,550
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 247,000 277,875
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 109,000 117,720
14,362,060
Consumer cyclicals (4.6%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 25,000 27,750
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 20,000 12,900
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 407,000 310,338
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 250,000 203,125
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 150,000 173,250
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 225,000 231,188
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 74,000 75,758
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 80,000 86,400
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 255,000 288,150
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 55,000 58,988
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 75,000 75,188
Bon-Ton Department Stores, Inc. (The) 144A company guaranty sr. notes 10 5/8s, 2017 260,000 252,850
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 110,375
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 75,000 81,000
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 180,000 198,900
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 140,000 151,200
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 260,000 172,250
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 154,000 164,973
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 70,000 78,750
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 110,000 104,500
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 75,000 83,063
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 305,000 335,500
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 40,000 44,200
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 319,905 347,096
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 135,000 120,488
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 107,000 97,905
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 211,000 212,583
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 266,000 261,345
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 300,000 318,750
FelCor Lodging LP 144A sr. notes 5 5/8s, 2023(R) 50,000 49,750
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 385,000 424,823
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021 410,000 477,983
Gray Television, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2020 125,000 127,813
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 260,000 269,901
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) $226,000 266,782
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 175,000 192,500
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes 4 3/4s, 2023(R) 55,000 58,575
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 263,000 295,875
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 130,000 141,700
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 356,000 383,590
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 271,000 370,584
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 50,000 71,927
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 $310,000 358,050
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 75,000 75,656
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 50,000 53,750
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 115,000 124,631
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 100,000 109,500
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 55,000 59,675
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 200,000 207,000
Lennar Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2022 70,000 68,600
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 155,000 178,250
Limited Brands, Inc. sr. notes 5 5/8s, 2022 85,000 92,863
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 83,000 97,534
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 340,000 20,400
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 123,000 131,610
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 65,000 68,738
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 110,000 117,150
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 40,000 39,900
MGM Resorts International 144A company guaranty sr. unsec. notes 6 3/4s, 2020 120,000 122,550
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 525,213 556,726
Navistar International Corp. sr. notes 8 1/4s, 2021 253,000 244,145
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 240,000 244,200
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 40,000 40,600
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 (Netherlands) 27,000 30,173
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 (Netherlands) 94,000 93,530
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 290,000 322,625
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 113,000 125,430
Owens Corning company guaranty sr. unsec. notes 9s, 2019 92,000 115,230
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 50,000 57,000
Penske Automotive Group, Inc. 144A company guaranty sr. sub. notes 5 3/4s, 2022 160,000 164,800
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 100,000 110,874
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 70,000 72,275
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 55,000 59,056
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)(STP) EUR 380,000 545,916
QVC Inc. 144A sr. notes 7 1/2s, 2019 $120,000 132,398
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 50,000 54,500
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 55,000 59,675
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 152,000 161,880
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 174,000 184,875
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Germany) EUR 310,000 472,608
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 $68,000 74,630
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 87,000 92,220
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 70,000 74,288
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 20,000 20,250
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 130,000 130,000
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 10,000 10,800
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 10,000 10,625
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 385,000 436,975
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 110,000 117,700
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 30,000 32,175
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 30,000 30,863
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 293,000 315,708
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 127,000 58,738
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 26,000 22,913
Travelport, LLC 144A sr. notes Ser. B, 6.362s, 2016(PIK) 48,783 40,002
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 127,000 98,425
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 350,000 402,938
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 200,000 208,000
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 356,000 396,940
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 135,000 139,401
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 350,000 378,000
16,676,530
Consumer staples (1.8%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,400,000 733,860
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 $105,000 117,075
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 50,000 55,250
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 184,000 210,680
CKE Holdings, Inc. 144A sr. unsec. notes 10 1/2s, 2016(PIK) 111,981 119,540
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 124,000 117,180
Claire's Stores, Inc. 144A sr. notes 9s, 2019 300,000 322,500
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 111,000 128,205
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 90,000 103,050
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 5/8s, 2023 45,000 47,025
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 257,000 273,063
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 118,000 129,505
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 115,000 130,669
Dole Food Co. 144A sr. notes 8s, 2016 87,000 90,480
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 165,000 184,388
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 100,000 157,367
HDTFS, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 $30,000 31,950
HDTFS, Inc. 144A company guaranty sr. notes 5 7/8s, 2020 30,000 31,350
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 65,000 71,825
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 156,000 221,718
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 $67,000 71,020
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 350,000 353,500
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 105,000 104,475
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 119,000 128,520
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 90,000 98,606
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 215,000 238,381
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 315,000 323,663
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 321,000 335,044
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 235,000 250,275
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 55,000 62,838
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 145,000 160,225
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 565,000 644,100
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 40,000 42,300
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 6,000 6,285
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 191,000 197,685
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020 50,000 53,375
6,346,972
Energy (6.7%)
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 150,000 152,625
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 135,000 143,438
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 65,000 70,038
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 130,000 119,275
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 136,000 126,140
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec. notes 7s, 2022 145,000 161,494
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 283,000 325,577
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 48,000 44,520
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019 166,000 154,380
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 60,000 62,100
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 50,000 53,750
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 155,000 165,850
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 296,000 319,680
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 140,000 159,250
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 50,000 70,095
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $495,000 559,350
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 41,000 41,205
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 225,000 246,938
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 55,000 57,888
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 88,000 92,840
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 225,000 153,682
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $90,000 61,200
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 125,000 135,313
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 710,000 768,575
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 345,000 371,738
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 365,000 394,200
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2022 65,000 67,763
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 118,000 133,045
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 31,000 34,100
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 378,000 366,660
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 98,000 97,020
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 150,000 133,500
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 131,000 135,258
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 2,055,000 2,714,326
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 176,000 216,836
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 230,000 252,372
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 195,000 186,225
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 180,000 184,950
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021 184,000 195,040
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 15,000 15,713
Hiland Partners LP / Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 85,000 90,950
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom) GBP 98,000 161,119
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 $76,000 76,000
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 45,000 44,775
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 55,000 60,638
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 65,000 70,525
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 188,000 210,090
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 80,000 75,200
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 242,000 254,705
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 108,000 112,860
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 225,000 166,500
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 275,000 282,403
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 160,000 163,200
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 110,000 117,975
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 138,000 150,420
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 200,000 202,000
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 234,000 267,930
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 19,000 20,378
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 925,000 1,010,563
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 317,000 321,755
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 440,000 547,004
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 625,000 703,638
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 95,000 101,175
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 1,500,000 1,290,135
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 620,000 589,130
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,120,000 1,019,827
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 1,135,000 1,120,813
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 225,000 227,250
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,855,000 2,425,413
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 140,000 154,175
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 150,000 162,750
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 75,000 78,375
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 124,000 137,640
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 75,000 76,313
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 415,000 438,863
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 5,000 5,350
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 578,000 612,680
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 165,000 169,125
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 85,000 89,675
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 35,000 37,450
Suburban Propane Partners LP/Suburban Energy Finance Corp. sr. unsec. notes 7 3/8s, 2021 130,000 141,375
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 60,000 61,350
Unit Corp. 144A company guaranty sr. sub. notes 6 5/8s, 2021 110,000 112,888
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 480,000 508,800
24,415,129
Financials (3.0%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 119,000 112,158
Air Lease Corp. sr. unsec. notes 5 5/8s, 2017 165,000 174,900
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 140,000 155,010
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 72,394
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 565,000 682,238
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 150,000 165,000
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 790,000 864,126
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 160,000 164,000
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 56,000 61,250
CIT Group, Inc. sr. unsec. notes 5s, 2022 170,000 181,274
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 135,000 147,488
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017 110,000 116,600
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 205,000 231,650
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 165,000 179,850
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 170,000 163,625
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 175,000 179,375
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 65,000 66,788
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 385,000 413,394
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 51,000 54,698
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 200,000 212,000
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 76,000 78,850
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 115,000 117,875
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 75,000 81,375
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 110,000 116,325
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 75,000 82,875
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 45,000 44,775
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 100,000 98,250
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 100,000 116,750
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 130,000 144,300
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia) 2,750,000 2,936,281
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg) 325,000 370,730
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg) 500,000 539,375
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 155,000 162,586
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) 200,000 198,502
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 979,000 1,105,291
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 113,000 122,040
10,713,998
Health care (1.9%)
AmSurg Corp. 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 134,000 139,360
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 139,000 147,340
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 220,000 233,750
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 160,000 171,600
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 220,000 326,159
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $205,000 210,125
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 160,000 166,800
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 80,000 86,600
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 142,512
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $428,000 469,730
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 220,000 241,588
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 130,000 138,613
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 165,000 177,169
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 194,000 213,643
HCA, Inc. sr. notes 6 1/2s, 2020 633,000 712,125
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 55,000 62,975
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 325,000 344,906
Hologic, Inc. 144A company guaranty sr. unsec. notes 6 1/4s, 2020 50,000 53,875
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 334,000 315,630
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 88,000 92,180
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 85,000 89,250
Kinetics Concepts/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 128,000 121,760
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 150,000 167,250
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 85,000 92,438
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) 120,000 163,938
Service Corporation International sr. notes 7s, 2019 80,000 87,600
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 153,000 152,235
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 185,000 197,950
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 310,000 324,725
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 120,841 122,352
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 160,000 172,800
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 119,000 135,363
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 200,000 220,000
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 198,000 221,760
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 30,000 32,625
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 75,000 80,813
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 30,000 32,400
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 7,000 5,250
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 (Canada) 30,000 32,175
6,899,364
Technology (1.2%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 $32,000 26,800
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 107,000 95,230
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 241,000 225,335
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 129,000 129,323
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 283,000 283,000
CyrusOne LP / CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 45,000 46,913
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 80,000 84,000
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 111,000 125,569
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 76,000 82,650
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 346,000 364,165
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 314,401 321,868
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 97,000 95,060
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 231,000 231,000
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 75,000 81,750
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 105,000 108,675
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 43,000 46,118
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 368,000 405,720
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 55,000 61,738
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 470,000 495,850
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 100,000 115,875
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 91,000 99,986
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 115,000 117,588
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 149,000 162,783
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 188,000 200,690
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) 200,000 291,268
4,298,954
Transportation (0.3%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 528,000 617,679
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $198,000 219,285
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 240,000 263,400
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 42,000 25,620
1,125,984
Utilities and power (1.7%)
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 475,000 548,625
AES Corp. (The) sr. unsec. unsub. notes 7 3/8s, 2021 135,000 149,850
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 149,000 167,253
Calpine Corp. 144A sr. notes 7 1/4s, 2017 383,000 407,895
Dynegy Holdings, LLC Escrow bonds 7 3/4s, 2019 401,000 2,005
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 151,000 80,030
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 (In default)(NON) 69,000 36,398
Edison Mission Energy sr. unsec. notes 7.2s, 2019 (In default)(NON) 147,000 77,910
Edison Mission Energy sr. unsec. notes 7s, 2017 (In default)(NON) 23,000 12,190
El Paso Natural Gas Co. sr. unsec. debs. 8 5/8s, 2022 247,000 339,776
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 595,000 664,913
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 296,000 333,740
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 300,000 346,500
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 75,000 81,750
EP Energy/EP Finance, Inc. sr. unsec. notes 9 3/8s, 2020 260,000 293,150
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 50,000 53,000
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017 105,000 104,474
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 278,000 321,090
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 45,000 53,100
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 115,000 127,650
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 785,000 989,398
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 75,000 86,250
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 595,000 660,450
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 110,000 129,349
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 120,000 128,100
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 90,000 70,425
6,265,271
Total corporate bonds and notes (cost $96,528,796) $102,058,287

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.4%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $1,520,000 $1,261,600
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 197,000 198,970
Argentina (Republic of) sr. unsec. bonds FRB 0.507s, 2013 1,431,000 175,298
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 5,501,000 4,994,907
Brazil (Federal Republic of) unsec. notes 10s, 2017 BRL 1,500 772,134
Brazil (Federal Republic of) unsub. notes 10s, 2014 BRL 990 496,033
Chile (Republic of) notes 5 1/2s, 2020 CLP 170,000,000 395,827
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 $265,000 301,438
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 225,000 245,291
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 INR 22,600,000 399,384
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 $690,000 795,694
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 RUB 9,750,000 317,066
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 EUR 443,000 638,072
Portugal (Republic of) sr. unsec. bonds 4.35s, 2017 EUR 443,000 563,354
Russia (Federation of) 144A sr. unsec. notes 3 1/4s, 2017 $2,600,000 2,767,803
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 1,891,000 2,427,476
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 EUR 443,000 619,197
Sri Lanka (Republic of) 144A notes 7.4s, 2015 $200,000 216,236
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 1,205,000 1,465,581
Ukraine (Government of) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 175,000 170,625
Ukraine (Government of) 144A sr. unsec. bonds 7 3/4s, 2020 385,000 395,588
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 1,340,000 1,453,251
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 300,000 304,502
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 250,000 250,938
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 1,715,000 1,732,150
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 1,985,000 2,037,542
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 1,285,000 1,485,884
Total foreign government and agency bonds and notes (cost $25,430,187) $26,881,841

SENIOR LOANS (1.7%)(a)(c)
Principal amount Value
Ardent Health Services, LLC bank term loan FRN Ser. B, 6 1/2s, 2015 $219,390 $219,116
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 140,000 142,100
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 5 1/2s, 2017 26,025 26,206
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.46s, 2018 722,663 644,524
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.46s, 2016 415,243 416,797
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.859s, 2016 429,181 355,148
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 110,257 110,349
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018 149,839 150,776
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 119,909 99,374
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.27s, 2014(PIK) 101,249 96,861
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.27s, 2014(PIK) 57,633 55,135
Intelsat SA bank term loan FRN 3.21s, 2014 (Luxembourg) 460,000 459,424
iStar Finanacial, Inc. bank term loan FRN 5 3/4s, 2017 125,319 126,494
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017 188,549 190,376
Motor City Casino bank term loan FRN 6s, 2017 228,977 229,400
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 116,174 116,573
Navistar, Inc. bank term loan FRN Ser. B, 7s, 2017 75,000 75,250
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 160,000 160,089
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 88,425 86,730
Plains Exploration & Production Co. bank term loan FRN Class B, 4s, 2019 165,000 165,344
Quintiles Transnational Holdings, Inc. bank term loan FRN 7 1/2s, 2017(PIK) 60,000 60,675
Realogy Corp. bank term loan FRN Ser. B, 4.461s, 2016 422,232 423,023
Revlon Consumer Products Corp. bank term loan FRN 4 3/4s, 2017 241,938 243,237
Rite Aid Corp. bank term loan FRN Ser. B, 1.967s, 2014 93,780 93,030
Servicemaster Co. bank term loan FRN 4.46s, 2017 67,270 67,340
Springleaf Financial Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 125,000 124,180
SRAM Corp. bank term loan FRN 8 1/2s, 2018 60,000 60,600
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.746s, 2017 640,516 428,917
Thomson Learning bank term loan FRN Ser. B, 2.71s, 2014 209,551 164,672
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)(NON) 289,000 239,629
Univision Communications, Inc. bank term loan FRN 4.459s, 2017 97,824 96,112
West Corp. bank term loan FRN Ser. B5, 5 1/2s, 2016 55,413 56,119
Total senior loans (cost $6,262,264) $5,983,600

PURCHASED SWAP OPTIONS OUTSTANDING (0.3%)(a)
Counterparty Expiration Contract
Fixed right % to receive or (pay)/Floating rate index/ Maturity date date/strike amount Value
Barclays Bank PLC
     (2)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.0 $64,705,000 $470,858
     1.5/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.5 64,705,000 78,293
Credit Suisse International
     (2.25)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.25 59,911,000 159,962
Deutsche Bank AG
     (2.25)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.25 59,911,000 159,962
Goldman Sachs International
     (2.25)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.25 59,911,000 159,962
     (2)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.0 9,665,000 69,491
     1.5/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.5 9,665,000 11,695
JPMorgan Chase Bank N.A.
     (2)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/2.0 6,374,000 45,829
     1.5/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.5 6,374,000 7,713
Total purchased swap options outstanding (cost $2,602,776) $1,163,765

CONVERTIBLE BONDS AND NOTES (0.2%)(a)
Principal amount Value
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 $157,000 $248,845
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014 200,000 182,625
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 155,000 168,659
Total convertible bonds and notes (cost $492,238) $600,129

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 198 $194,467
M/I Homes, Inc. $2.438 pfd.(NON) 7,054 161,537
Total preferred stocks (cost $200,794) $356,004

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
General Motors Co. Ser. B, $2.375 cv. pfd. 3,856 $171,091
United Technologies Corp. $3.75 cv. pfd. 2,100 116,991
Total convertible preferred stocks (cost $297,800) $288,082

COMMON STOCKS (0.1%)(a)
Shares Value
Dynegy, Inc.(NON) 9,782 $187,130
HealthSouth Corp.(NON) 224 4,729
Trump Entertainment Resorts, Inc.(NON) 94 376
Vertis Holdings, Inc.(F)(NON) 734 7
Total common stocks (cost $276,874) $192,242

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 0.01 20 $596
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 1.00 $508 31,320
Total warrants (cost $19,277) $31,916

SHORT-TERM INVESTMENTS (15.2%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.14%(AFF) 38,752,875 $38,752,875
SSgA Prime Money Market Fund 0.08%(P) 1,360,000 1,360,000
U.S. Treasury Bills with an effective yield of 0.142%, December 12, 2013(SEGSF) $85,000 84,884
U.S. Treasury Bills with effective yields ranging from 0.096% to 0.130%, October 17, 2013(SEG)(SEGSF)(SEGCCS) 3,789,000 3,784,987
Straight-A Funding, LLC 144A discounted commercial paper with an effective yield of 0.188%, March 18, 2013 8,250,000 8,246,691
Straight-A Funding, LLC 144A discounted commercial paper with an effective yield of 0.178%, February 5, 2013 2,750,000 2,749,519
Total short-term investments (cost $54,979,106) $54,978,956

TOTAL INVESTMENTS
Total investments (cost $463,459,615)(b) $475,037,139













FORWARD CURRENCY CONTRACTS at 12/31/12 (aggregate face value $144,669,656) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Euro Sell 1/16/13 925,256 899,467 (25,789)
Japanese Yen Sell 1/16/13 876,672 895,871 19,199
Peruvian New Sol Buy 1/16/13 819,876 816,912 2,964
Barclays Bank PLC
Australian Dollar Buy 1/16/13 2,046,679 2,049,769 (3,090)
Brazilian Real Buy 1/16/13 253,972 243,901 10,071
British Pound Sell 1/16/13 2,420,346 2,396,079 (24,267)
Canadian Dollar Sell 1/16/13 4,698,506 4,699,346 840
Chilean Peso Buy 1/16/13 546,124 555,776 (9,652)
Czech Koruna Sell 1/16/13 551,819 543,439 (8,380)
Euro Sell 1/16/13 109,040 130,067 21,027
Indonesian Rupiah Sell 1/16/13 534,556 534,618 62
Japanese Yen Sell 1/16/13 2,756,429 2,843,715 87,286
Malaysian Ringgit Buy 1/16/13 952,802 954,287 (1,485)
Mexican Peso Buy 1/16/13 1,341,913 1,351,428 (9,515)
New Zealand Dollar Sell 1/16/13 776,954 773,824 (3,130)
Norwegian Krone Sell 1/16/13 682,005 671,820 (10,185)
Polish Zloty Buy 1/16/13 788,387 770,699 17,688
Russian Ruble Buy 1/16/13 959,835 952,237 7,598
South Korean Won Buy 1/16/13 200,430 197,566 2,864
Swedish Krona Sell 1/16/13 908,160 899,603 (8,557)
Swiss Franc Buy 1/16/13 816,032 807,275 8,757
Taiwan Dollar Buy 1/16/13 541,098 540,781 317
Turkish Lira Buy 1/16/13 1,311,017 1,304,767 6,250
Citibank, N.A.
Australian Dollar Buy 1/16/13 3,247,007 3,252,707 (5,700)
Brazilian Real Sell 1/16/13 585 5,080 4,495
British Pound Sell 1/16/13 5,082,888 5,031,230 (51,658)
Czech Koruna Sell 1/16/13 551,829 543,717 (8,112)
Euro Sell 1/16/13 1,036,672 1,021,686 (14,986)
Japanese Yen Sell 1/16/13 2,080,157 2,211,331 131,174
South Korean Won Buy 1/16/13 876,525 874,421 2,104
Taiwan Dollar Buy 1/16/13 94,728 94,618 110
Turkish Lira Buy 1/16/13 1,018,107 1,017,244 863
Credit Suisse International
Australian Dollar Buy 1/16/13 $4,160,165 $4,165,347 $(5,182)
Brazilian Real Buy 1/16/13 1,056,892 1,033,595 23,297
British Pound Sell 1/16/13 3,530,456 3,503,412 (27,044)
Canadian Dollar Sell 1/16/13 2,672,929 2,672,032 (897)
Chinese Yuan Buy 1/16/13 539,889 540,791 (902)
Czech Koruna Sell 1/16/13 551,829 544,140 (7,689)
Indonesian Rupiah Sell 1/16/13 534,556 535,784 1,228
Japanese Yen Buy 1/16/13 1,118,720 1,190,696 (71,976)
Mexican Peso Buy 1/16/13 1,342,223 1,351,260 (9,037)
New Zealand Dollar Sell 1/16/13 298,923 303,105 4,182
Norwegian Krone Sell 1/16/13 926,755 916,310 (10,445)
Philippines Peso Buy 1/16/13 831,836 836,184 (4,348)
Polish Zloty Buy 1/16/13 1,233,639 1,224,854 8,785
Russian Ruble Buy 1/16/13 959,831 953,624 6,207
South Korean Won Buy 1/16/13 684,356 675,696 8,660
Swedish Krona Sell 1/16/13 54,157 49,092 (5,065)
Swiss Franc Sell 1/16/13 36,635 50,586 13,951
Taiwan Dollar Buy 1/16/13 163,021 163,178 (157)
Turkish Lira Buy 1/16/13 1,414,809 1,410,183 4,626
Deutsche Bank AG
Australian Dollar Buy 1/16/13 806,720 808,121 (1,401)
Brazilian Real Buy 1/16/13 263,869 254,742 9,127
British Pound Sell 1/16/13 3,689,646 3,663,329 (26,317)
Canadian Dollar Sell 1/16/13 1,333,500 1,333,534 34
Euro Sell 1/16/13 1,079,047 1,066,374 (12,673)
Mexican Peso Buy 1/16/13 229,123 227,997 1,126
Polish Zloty Buy 1/16/13 486,132 475,097 11,035
Singapore Dollar Buy 1/16/13 951,058 953,287 (2,229)
South Korean Won Buy 1/16/13 819,289 818,310 979
Swiss Franc Buy 1/16/13 656 649 7
Swiss Franc Sell 1/16/13 656 651 (5)
HSBC Bank USA, National Association
British Pound Sell 1/16/13 1,925,393 1,905,820 (19,573)
Canadian Dollar Sell 1/16/13 365,436 365,324 (112)
Euro Buy 1/16/13 884,201 887,110 (2,909)
Indian Rupee Buy 1/16/13 28,427 28,295 132
Japanese Yen Buy 1/16/13 1,194,259 1,290,561 (96,302)
Norwegian Krone Sell 1/16/13 914,382 905,501 (8,881)
Philippines Peso Buy 1/16/13 818,597 821,065 (2,468)
Russian Ruble Buy 1/16/13 1,097,831 1,082,180 15,651
South Korean Won Buy 1/16/13 1,155,496 1,150,057 5,439
Turkish Lira Buy 1/16/13 1,027,619 1,023,746 3,873
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/16/13 906,834 908,500 (1,666)
Brazilian Real Buy 1/16/13 362,650 349,514 13,136
British Pound Sell 1/16/13 1,358,480 1,344,738 (13,742)
Canadian Dollar Sell 1/16/13 941,530 941,532 2
Chilean Peso Buy 1/16/13 944,439 953,592 (9,153)
Chinese Yuan Buy 1/16/13 539,889 540,791 (902)
Czech Koruna Sell 1/16/13 551,829 543,569 (8,260)
Euro Buy 1/16/13 566,718 545,477 21,241
Japanese Yen Sell 1/16/13 2,259,227 2,380,712 121,485
Malaysian Ringgit Buy 1/16/13 952,802 954,693 (1,891)
Mexican Peso Buy 1/16/13 560,927 558,202 2,725
New Zealand Dollar Sell 1/16/13 286,785 285,278 (1,507)
Norwegian Krone Buy 1/16/13 1,250,295 1,225,247 25,048
Polish Zloty Buy 1/16/13 804,164 786,792 17,372
Russian Ruble Buy 1/16/13 771,835 758,536 13,299
South Korean Won Buy 1/16/13 245,882 242,302 3,580
Swedish Krona Buy 1/16/13 1,836,581 1,814,776 21,805
Taiwan Dollar Buy 1/16/13 1,412,512 1,415,283 (2,771)
Turkish Lira Buy 1/16/13 146,259 146,015 244
Royal Bank of Scotland PLC (The)
Turkish Lira Buy 1/16/13 76,431 76,011 420
Turkish Lira Sell 1/16/13 76,431 76,437 6
State Street Bank and Trust Co.
Australian Dollar Buy 1/16/13 903,307 904,919 (1,612)
Brazilian Real Buy 1/16/13 694,632 679,112 15,520
British Pound Sell 1/16/13 1,817,696 1,799,475 (18,221)
Canadian Dollar Sell 1/16/13 2,990,827 2,991,355 528
Colombian Peso Buy 1/16/13 830,165 818,651 11,514
Czech Koruna Sell 1/16/13 551,829 543,325 (8,504)
Euro Sell 1/16/13 1,739,096 1,722,794 (16,302)
Indonesian Rupiah Sell 1/16/13 534,556 535,673 1,117
Japanese Yen Sell 1/16/13 1,728,398 1,765,397 36,999
Mexican Peso Buy 1/16/13 638,502 635,285 3,217
New Zealand Dollar Sell 1/16/13 551,440 549,179 (2,261)
Norwegian Krone Sell 1/16/13 911,324 892,256 (19,068)
Polish Zloty Buy 1/16/13 1,375,700 1,362,705 12,995
South Korean Won Buy 1/16/13 114,921 113,362 1,559
Swedish Krona Buy 1/16/13 925,792 911,380 14,412
Swiss Franc Buy 1/16/13 526,998 507,035 19,963
Thai Baht Buy 1/16/13 817,398 814,544 2,854
Turkish Lira Buy 1/16/13 545,311 543,013 2,298
UBS AG
Australian Dollar Buy 1/16/13 3,366,314 3,371,029 (4,715)
British Pound Sell 1/16/13 1,319,819 1,306,647 (13,172)
Canadian Dollar Sell 1/16/13 878,715 878,695 (20)
Czech Koruna Sell 1/16/13 551,829 543,323 (8,506)
Euro Sell 1/16/13 64,949 71,927 6,978
Indian Rupee Sell 1/16/13 393,915 392,920 (995)
Japanese Yen Sell 1/16/13 2,278,652 2,416,271 137,619
Mexican Peso Buy 1/16/13 1,070,321 1,080,840 (10,519)
New Zealand Dollar Sell 1/16/13 278,941 277,831 (1,110)
Norwegian Krone Buy 1/16/13 1,436,451 1,405,891 30,560
Philippines Peso Buy 1/16/13 831,836 835,775 (3,939)
Russian Ruble Buy 1/16/13 1,097,831 1,082,564 15,267
Singapore Dollar Buy 1/16/13 886,552 888,655 (2,103)
Swedish Krona Sell 1/16/13 7,794 7,637 (157)
Swiss Franc Sell 1/16/13 4,067,144 4,021,021 (46,123)
Taiwan Dollar Buy 1/16/13 541,098 540,688 410
Thai Baht Buy 1/16/13 817,395 814,541 2,854
Turkish Lira Buy 1/16/13 1,295,071 1,293,060 2,011
WestPac Banking Corp.
Australian Dollar Buy 1/16/13 1,544,035 1,546,537 (2,502)
British Pound Buy 1/16/13 600,376 583,049 17,327
Canadian Dollar Sell 1/16/13 1,777,531 1,777,541 10
Euro Buy 1/16/13 2,150,438 2,126,782 23,656
Mexican Peso Buy 1/16/13 293,894 292,528 1,366
Swedish Krona Sell 1/16/13 1,131,937 1,109,547 (22,390)
Total $321,176












FUTURES CONTRACTS OUTSTANDING at 12/31/12 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 3 yr (Short) 46 5,232,551             Mar-13 $(8,138)
Australian Government Treasury Bond 10 yr (Long) 3 $384,180             Mar-13 287
Canadian Government Bond 10 yr (Long) 26 3,542,817             Mar-13 (3,241)
Euro-Bobl 5 yr (Short) 8 1,349,729             Mar-13 (9,319)
Japanese Government Bond 10 yr (Short) 12 19,897,270             Mar-13 112,132
Japanese Government Bond 10 yr Mini (Long) 4 663,104             Mar-13 (3,897)
U.K. Gilt 10 yr (Short) 4 772,718             Mar-13 (531)
Total $87,293












WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/12 (premiums $903,480) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike Currency     Contract amount Value
Deutsche Bank AG       
(1.75)/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.75        $23,467,000 $152,536
1.75/3 month USD-LIBOR-BBA/Mar-23(E) Mar-13/1.75        23,467,000 413,019
Total $565,555


(E) Extended settlement date on premium.












TBA SALE COMMITMENTS OUTSTANDING at 12/31/12 (proceeds receivable $72,218,906) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3s, January 1, 2043 $69,000,000       1/14/13 $72,315,236
Total $72,315,236















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/12 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty / premium     Termination made by received by appreciation/
received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
$4,514,300 (E) $(68,392)     3/20/23 1.75% 3 month USD-LIBOR-BBA $(18,283)
Barclays Bank PLC
820,000 (E) 961      3/20/15 0.45% 3 month USD-LIBOR-BBA 322
21,772,000 (E) 297,873      3/20/23 3 month USD-LIBOR-BBA 1.75% 56,203
348,000 (E) 1,329      3/20/18 3 month USD-LIBOR-BBA 0.90% 1,298
1,232,000 (E) (61,970)     3/20/43 2.60% 3 month USD-LIBOR-BBA (11,803)
19,001,000 (E) (4,832)     3/20/15 3 month USD-LIBOR-BBA 0.45% 9,988
4,856,000 (E) (77,907)     3/20/23 1.75% 3 month USD-LIBOR-BBA (24,004)
AUD 4,839,000 —      12/5/22 6 month AUD-BBR-BBSW 3.82% 3,638
AUD 2,075,000 —      12/21/22 6 month AUD-BBR-BBSW 3.87% 8,940
AUD 1,867,000 —      12/4/22 6 month AUD-BBR-BBSW 3.806% (920)
AUD 3,094,000 —      12/17/22 6 month AUD-BBR-BBSW 3.90% 21,642
AUD 1,779,000 —      12/18/22 6 month AUD-BBR-BBSW 3.8525% 4,925
AUD 1,126,000 —      12/31/22 6 month AUD-BBR-BBSW 3.87% 4,373
CHF 3,138,000 —      12/7/22 0.87% 6 month CHF-LIBOR-BBA 23,866
EUR 21,333,000 —      10/16/22 1.747% 6 month EUR-EURIBOR-REUTERS (607,225)
EUR 2,333,000 —      12/5/22 1.7125% 6 month EUR-EURIBOR-REUTERS (47,283)
EUR 16,186,000 —      12/6/22 6 month EUR-EURIBOR-REUTERS 1.695% 291,315
EUR 5,971,000 —      12/7/22 1.6370% 6 month EUR-EURIBOR-REUTERS (63,527)
EUR 41,668,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 273,348
EUR 2,938,000 —      12/14/22 1.604% 6 month EUR-EURIBOR-REUTERS (17,754)
GBP 2,735,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (685,440)
GBP 1,801,000 —      7/25/42 6 month GBP-LIBOR-BBA 2.8425% (50,236)
GBP 3,199,000 —      7/25/22 1.885% 6 month GBP-LIBOR-BBA (59,916)
GBP 1,837,000 —      12/3/22 1.932% 6 month GBP-LIBOR-BBA (25,243)
GBP 3,018,000 —      12/4/22 1.92% 6 month GBP-LIBOR-BBA (35,769)
GBP 1,116,000 —      12/20/22 6 month GBP-LIBOR-BBA 1.9575% 17,715
JPY 1,366,917,000 —      12/6/22 6 month JPY-LIBOR-BBA 0.745% (124,723)
JPY 509,719,000 —      12/12/22 0.695% 6 month JPY-LIBOR-BBA 76,640
JPY 1,168,560,000 —      12/14/22 0.7025% 6 month JPY-LIBOR-BBA 166,901
JPY 591,028,000 —      12/21/22 6 month JPY-LIBOR-BBA 0.8025% (20,006)
JPY 699,834,000 —      1/7/23 6 month JPY-LIBOR-BBA 0.84625% 2,989
SEK 5,479,000 —      12/6/22 2.09% 3 month SEK-STIBOR-SIDE (4,768)
Citibank, N.A.
$893,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 26,290
3,468,000 (E) (22,369)     3/20/23 1.75% 3 month USD-LIBOR-BBA 16,126
3,468,000 (E) 33,640      3/20/23 3 month USD-LIBOR-BBA 1.75% (4,855)
24,472,000 —      12/21/22 1.8265% 3 month USD-LIBOR-BBA (76,662)
EUR 3,702,000 —      8/2/22 6 month EUR-EURIBOR-REUTERS 1.8% 147,810
GBP 2,391,000 —      8/8/22 6 month GBP-LIBOR-BBA 1.97% 73,325
GBP 3,119,000 —      9/24/22 1.9175% 6 month GBP-LIBOR-BBA (56,343)
SEK 18,934,000 —      8/2/22 3 month SEK-STIBOR-SIDE 2.285% 90,768
SEK 9,208,000 —      12/20/22 2.045% 3 month SEK-STIBOR-SIDE (1,949)
Credit Suisse International
$5,324,000 (E) (52,774)     3/20/23 1.75% 3 month USD-LIBOR-BBA 6,323
67,857,000 (E) 687,000      3/20/23 3 month USD-LIBOR-BBA 1.75% (66,213)
29,479,000 (E) (32,750)     3/20/15 3 month USD-LIBOR-BBA 0.45% (9,757)
3,042,000 (E) 80,141      3/20/43 3 month USD-LIBOR-BBA 2.60% (43,729)
50,969,000 (E) (3,128)     3/20/18 0.90% 3 month USD-LIBOR-BBA 1,459
1,823,000 —      12/21/22 3 month USD-LIBOR-BBA 1.844% 8,709
AUD 1,588,000 —      12/5/22 6 month AUD-BBR-BBSW 3.82% 1,194
CAD 3,214,000 —      12/5/22 3 month CAD-BA-CDOR 2.11125% (34,742)
CAD 3,233,000 —      12/4/22 3 month CAD-BA-CDOR 2.15% (23,438)
CAD 973,000 —      12/12/22 2.1675% 3 month CAD-BA-CDOR 5,868
CAD 3,382,000 —      12/14/22 2.24125% 3 month CAD-BA-CDOR (2,036)
CAD 2,213,000 —      12/19/22 2.29125% 3 month CAD-BA-CDOR (10,870)
CHF 16,214,000 —      12/6/22 0.87% 6 month CHF-LIBOR-BBA 123,611
EUR 13,940,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (215,549)
EUR 2,333,000 —      12/5/22 1.715% 6 month EUR-EURIBOR-REUTERS (48,028)
EUR 3,176,000 —      12/6/22 6 month EUR-EURIBOR-REUTERS 1.695% 57,162
EUR 2,149,000 —      12/17/22 1.60% 6 month EUR-EURIBOR-REUTERS (11,177)
EUR 3,077,000 —      12/18/22 1.6155% 6 month EUR-EURIBOR-REUTERS (21,854)
GBP 1,780,000 —      12/4/22 1.92% 6 month GBP-LIBOR-BBA (21,096)
GBP 2,000,000 —      12/5/22 1.87375% 6 month GBP-LIBOR-BBA (9,484)
MXN 33,670,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% 209,970
SEK 21,262,000 —      12/5/22 3 month SEK-STIBOR-SIDE 2.1025% 22,392
SEK 17,248,000 —      12/6/22 2.095% 3 month SEK-STIBOR-SIDE (16,212)
SEK 10,508,000 —      12/10/22 3 month SEK-STIBOR-SIDE 2.0175% (1,790)
Deutsche Bank AG
$13,622,000 (E) 10,654      3/20/18 0.90% 3 month USD-LIBOR-BBA 11,880
336,377,000 (E) 423,793      3/20/15 0.45% 3 month USD-LIBOR-BBA 161,419
21,964,000 (E) 231,472      3/20/23 3 month USD-LIBOR-BBA 1.75% (12,329)
MXN 33,670,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% 219,526
Goldman Sachs International
$30,117,000 (E) 326,615      3/20/23 3 month USD-LIBOR-BBA 1.75% (7,684)
28,269,000 (E) (530,052)     3/20/23 1.75% 3 month USD-LIBOR-BBA (216,266)
31,933,000 (E) (13,360)     3/20/15 3 month USD-LIBOR-BBA 0.45% 11,547
19,933,000 (E) 988,953      3/20/43 3 month USD-LIBOR-BBA 2.60% 177,282
AUD 1,574,500 —      11/28/22 6 month AUD-BBR-BBSW 3.875% 7,796
AUD 2,222,000 —      11/14/22 6 month AUD-BBR-BBSW 3.70% (20,979)
AUD 3,446,000 —      12/13/22 6 month AUD-BBR-BBSW 3.82% 881
AUD 1,612,000 —      12/13/22 6 month AUD-BBR-BBSW 3.8275% 1,473
AUD 3,044,000 —      12/14/22 6 month AUD-BBR-BBSW 3.90375% 22,282
AUD 4,543,000 —      12/19/22 6 month AUD-BBR-BBSW 3.9275% 42,517
CAD 4,448,000 —      11/8/22 3 month CAD-BA-CDOR 2.1675% (19,254)
CHF 1,482,000 —      12/6/22 6 month CHF-LIBOR-BBA 0.87% (11,298)
CHF 1,756,000 —      12/28/22 6 month CHF-LIBOR-BBA 0.9325% (3,647)
EUR 6,343,000 —      10/18/22 1.818% 6 month EUR-EURIBOR-REUTERS (236,247)
EUR 1,858,000 —      12/19/22 1.616% 6 month EUR-EURIBOR-REUTERS (13,205)
EUR 1,921,000 —      1/2/23 1.562% 6 month EUR-EURIBOR-REUTERS 1,750
EUR 15,011,000 —      12/6/22 1.695% 6 month EUR-EURIBOR-REUTERS (270,168)
EUR 180,124,000 (E) —      8/6/17 1 year EUR-EONIA-OIS-COMPOUND 1.102% 420,826
EUR 1,548,000 —      12/28/22 1.621% 6 month EUR-EURIBOR-REUTERS (10,727)
EUR 43,654,000 —      8/30/14 1 month EUR-EONIA-OIS-COMPOUND 0.11% 45,311
EUR 43,654,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (145,627)
EUR 43,654,000 —      8/31/14 1 month EUR-EONIA-OIS-COMPOUND 0.11% 45,305
EUR 43,654,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (150,732)
EUR 43,654,000 —      9/3/14 1 month EUR-EONIA-OIS-COMPOUND 0.086% 17,156
EUR 43,654,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (114,289)
GBP 2,735,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 333,347
GBP 1,116,000 —      12/14/22 1.906% 6 month GBP-LIBOR-BBA (9,732)
GBP 490,000 —      12/4/22 1.92% 6 month GBP-LIBOR-BBA (5,807)
GBP 1,839,000 —      12/10/22 1.8425% 6 month GBP-LIBOR-BBA 1,184
GBP 1,366,000 —      12/12/22 1.8725% 6 month GBP-LIBOR-BBA (5,229)
JPY 486,529,000 —      12/6/22 0.745% 6 month JPY-LIBOR-BBA 44,393
JPY 766,055,000 —      12/10/22 0.71% 6 month JPY-LIBOR-BBA 102,084
JPY 230,010,000 —      12/20/22 6 month JPY-LIBOR-BBA 0.79% (10,891)
JPY 426,768,000 —      12/28/22 6 month JPY-LIBOR-BBA 0.7775% (28,009)
SEK 8,239,000 —      12/17/22 1.9875% 3 month SEK-STIBOR-SIDE 4,990
SEK 10,564,000 —      1/3/23 3 month SEK-STIBOR-SIDE 2.02% (2,323)
SEK 61,226,000 —      12/6/22 3 month SEK-STIBOR-SIDE 2.09% 53,278
JPMorgan Chase Bank N.A.
$9,807,000 (E) —      11/9/17 1.0325% 3 month USD-LIBOR-BBA 10,101
37,344,000 (E) (233,787)     3/20/23 1.75% 3 month USD-LIBOR-BBA 180,731
4,107,000 (E) 7,687      3/20/18 0.90% 3 month USD-LIBOR-BBA 8,056
CAD 3,470,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (88,308)
CAD 7,265,000 —      5/2/15 3 month CAD-BA-CDOR 1.6575% 41,915
CAD 10,699,000 (E) —      11/7/17 3 month CAD-BA-CDOR 1.81% (21,082)
CAD 9,160,000 —      12/4/22 3 month CAD-BA-CDOR 2.15% (66,407)
EUR 1,893,000 —      7/30/22 6 month EUR-EURIBOR-REUTERS 1.803% 76,703
GBP 2,560,000 —      12/6/22 1.856% 6 month GBP-LIBOR-BBA (1,336)
JPY 2,402,400,000 —      2/19/15 6 month JPY-LIBOR-BBA 0.705% 329,757
JPY 511,900,000 —      2/19/20 6 month JPY-LIBOR-BBA 1.3975% 393,789
JPY 748,211,000 —      12/17/22 0.71875% 6 month JPY-LIBOR-BBA 94,832
MXN 19,054,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (112,755)
MXN 24,639,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (145,544)
MXN 4,810,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% 32,321
MXN 24,320,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (90,106)
MXN 66,197,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (245,260)
MXN 24,320,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 118,513
MXN 37,740,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 211,387
Royal Bank of Scotland PLC (The)
$2,239,000 (E) (15,742)     3/20/23 1.75% 3 month USD-LIBOR-BBA 9,111
Total $450,628
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/12 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$5,031,900 (E) $(45,575)     3/20/23 1.75% 3 month USD-LIBOR-BBA $10,279
Total $10,279
(E)   Extended effective date.










OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/12 (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)
Barclays Bank PLC
$497,320 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $937
901,724 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,699
753,840 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,184
2,581,050 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 569
10,439,897 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,303
659,075 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 145
3,396,717 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,831)
347,514 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 962
1,137,456 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 251
37,699 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8
650,423 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,022
3,902,537 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,129
2,820,241 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 622
1,383,471 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 3,926
2,966,515 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,219)
2,480,712 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,896
826,505 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 2,287
137,139 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 296
752,008 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,069)
5,320,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (95,579)
334,968 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 526
2,273,176 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 5,715
1,679,126 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 2,369
779,183 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 1,099
3,119,880 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 688
435,075 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 480
1,951,268 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,065
2,475,446 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,520)
2,062,395 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 5,708
1,252,095 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,781)
861,217 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 190
2,242,413 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 495
695,543 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (698)
385,146 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 726
1,452,044 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 320
3,151,202 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 12,995
10,692,300 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 16,792
718,804 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 1,014
2,334,367 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,666
435,697 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 821
1,412,524 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,662
1,024,008 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,930
Citibank, N.A.
1,517,436 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,383
3,252,114 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,108
2,839,095 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,459
Credit Suisse International
1,300,846 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,043
17,386,428 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 24,525
4,346,607 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 6,131
830,668 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 183
1,386,396 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 306
1,502,889 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,137)
2,791,834 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 3,938
Deutsche Bank AG
1,502,889 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,137)
Goldman Sachs International
565,478 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 125
3,040,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 24,381
2,280,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 16,006
677,991 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,465
1,484,784 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 3,733
448,421 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,127
3,067,232 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 677
1,524,191 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 336
5,747,826 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 14,450
5,270,770 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 13,251
1,032,673 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,469)
387,933 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (552)
9,813,466 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 24,672
2,471,797 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 6,214
832,618 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 184
2,438,706 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 538
844,610 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,397
878,394 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,493
1,674,985 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 369
51,474 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 111
923,370 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,620
551,530 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,565
1,846,739 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 5,241
1,773,577 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 4,459
370,838 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 801
9,447,385 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,084
3,146,529 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 694
645,425 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 142
728,901 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,037)
3,517,664 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 776
1,483,243 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 327
3,289,523 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 726
1,414,594 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,012)
874,494 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,244)
25,925 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 56
67,254 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (96)
179,220 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (255)
3,431,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) 6,344
3,431,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) 11,408
2,435,456 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 537
1,588,539 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 350
3,043,832 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 671
2,172,216 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 479
4,524,475 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 998
3,431,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) 12,365
3,431,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) 3,671
GBP 2,141,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index (70,258)
GBP 2,141,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index (81,394)
GBP 4,282,000 —      9/20/17 2.6625% GBP Non-revised UK Retail Price Index (33,945)
GBP 2,141,000 —      9/21/17 2.66% GBP Non-revised UK Retail Price Index (17,425)
GBP 2,141,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index (82,356)
JPMorgan Chase Bank N.A.
$5,845,224 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,289
3,837,774 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 9,648
3,342,821 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 737
GBP 1,941,000 —      9/12/14 2.825% GBP Non-revised UK Retail Price Index (15,573)
Total $(106,497)










OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/12 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
received Notional nation (paid) by fund appreciation/
Swap counterparty /Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Barclays Bank PLC
  Irish Gov't, 4.50%, 4/18/2020 Ba1 $(35,493) $443,000 9/20/17 (100 bp) $(13,415)
  Obrigacoes Do Tesouro, 5.45%, 9/23/13 Ba3 (72,281) 443,000 9/20/17 (100 bp) (14,879)
Credit Suisse International
  Spain Gov't, 5.50%, 7/30/2017 Baa3 (52,226) 443,000 9/20/17 (100 bp) (16,836)
Deutsche Bank AG
  Republic of Argentina, 8.28%, 12/31/33 CC/F 82,442 705,000 3/20/17 500 bp (107,896)
  Smurfit Kappa Funding, 7 3/4%, 4/1/15 BB-/F — EUR 425,000 9/20/13 715 bp 30,015
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 535 bp 20,097
  Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 400,000 9/20/13 477 bp 17,762
JPMorgan Chase Bank N.A.
  DJ CDX NA HY Series 19 Index B+/P (41,958) $2,582,000 12/20/17 500 bp (23,118)
Total $(108,270)
*   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, 2012. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
SEK Swedish Krona
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, 2012 through December 31, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.
(a) Percentages indicated are based on net assets of $362,482,348.
(b) The aggregate identified cost on a tax basis is $470,938,745, resulting in gross unrealized appreciation and depreciation of $12,835,771 and $8,737,377, respectively, or net unrealized appreciation of $4,098,394.
(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.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund, which is under common ownership and control, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $6,987,387 $73,015,276 $41,249,788 $12,043 $38,752,875
* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(E) Extended settlement date on premium.
(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.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $77,480,139 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 86.7%
Russia 2.6
Venezuela 1.6
Argentina 1.4
Luxembourg 1.0
Ukraine 1.0
Brazil 0.7
United Kingdom 0.6
Germany 0.6
Mexico 0.6
Other 3.2
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 open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which 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 would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. 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. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity and to isolate prepayment risk.
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. Certain options contracts include premiums that do not settle until the expiration date of the contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The 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.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into over-the-counter (OTC) and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk.
An OTC 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. Upfront premiums are recorded as realizes gains and losses at the closing of the contract. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin. Payments received or made are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults 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 for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty. There is minimal counterparty risk with respect to centrally cleared interest rate contracts due to the contracts being exchange traded and the exchange's clearinghouse guaranteeing the contract from default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to rates of inflation in specific regions or countries and to hedge inflation in specific regions or countries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In an OTC 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 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. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC 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 OTC 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 OTC credit default contract.
For the fund's average notional amount on OTC credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC 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 $36,181at 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 $4,050,519 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $3,363,608.
TBA purchase commitments: The fund may enter into TBA 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 $— $376 $7
    Health care 4,729 — —
    Utilities and power 187,130 — —
Total common stocks 191,859 376 7
Convertible bonds and notes $— $600,129 $—
Convertible preferred stocks 116,991 171,091 —
Corporate bonds and notes — 102,058,287 —
Foreign government and agency bonds and notes — 26,881,841 —
Mortgage-backed securities — 172,701,102 —
Preferred stocks — 356,004 —
Purchased swap options outstanding — 1,163,765 —
Senior loans 5,983,600
U.S. Government and Agency Mortgage Obligations — 109,801,215 —
Warrants — 596 31,320
Short-term investments 40,112,875 14,866,081 —
Totals by level $40,421,725 $434,584,087 $31,327



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


Forward currency contracts $— $321,176 $—
Futures contracts 87,293 — —
Written swap options outstanding — (565,555) —
TBA sale commitments — (72,315,236) —
Interest rate swap contracts — (1,466,573) —
Total return swap contracts — (106,497) —
Credit default contracts — 11,246 —
Totals by level $87,293 $(74,121,439) $—


At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period

 Asset derivativesLiability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $201,584 $190,338
Foreign exchange contracts 1,043,405 722,229
Equity contracts 31,916 —
Interest rate contracts 7,059,766 7,947,333
Total $8,336,671 $8,859,900


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Purchased swap option contracts (contract amount) $336,900,000
Written swap option contracts (contract amount) $94,000,000
Futures contracts (number of contracts) 170
Forward currency contracts (contract amount) $261,800,000
OTC Interest rate swap contracts (notional) $2,016,500,000
Central Cleared Interest rate swap contracts (notional) $3,800,000
OTC Total return swap contracts (notional) $248,400,000
OTC Credit default swap contracts (notional) $6,900,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



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

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

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

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: February 28, 2013

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, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 28, 2013