0000928816-13-000823.txt : 20130524 0000928816-13-000823.hdr.sgml : 20130524 20130524145321 ACCESSION NUMBER: 0000928816-13-000823 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20130331 FILED AS OF DATE: 20130524 DATE AS OF CHANGE: 20130524 EFFECTIVENESS DATE: 20130524 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM VARIABLE TRUST CENTRAL INDEX KEY: 0000822671 IRS NUMBER: 046649095 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-05346 FILM NUMBER: 13871728 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002551581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM CAPITAL MANAGER TRUST /MA/ DATE OF NAME CHANGE: 19920703 0000822671 S000003893 Putnam VT Diversified Income Fund C000010881 Class IA Shares C000010882 Class IB Shares N-Q 1 a_vtdiversifiedincome.htm PUTNAM VARIABLE TRUST a_vtdiversifiedincome.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: (811-05346)
Exact name of registrant as specified in charter: Putnam Variable 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: December 31, 2013
Date of reporting period: March 31, 2013



Item 1. Schedule of Investments:













Putnam VT Diversified Income Fund

The fund's portfolio
3/31/13 (Unaudited)
MORTGAGE-BACKED SECURITIES (42.5%)(a)
Principal amount Value
Agency collateralized mortgage obligations (12.2%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 3182, Class SP, 27.787s, 2032 $204,720 $334,996
     IFB Ser. 3408, Class EK, 24.975s, 2037 96,027 150,883
     IFB Ser. 2979, Class AS, 23.528s, 2034 41,698 56,049
     IFB Ser. 3072, Class SM, 23.052s, 2035 237,240 370,713
     IFB Ser. 3072, Class SB, 22.905s, 2035 243,162 378,428
     IFB Ser. 3249, Class PS, 21.604s, 2036 219,464 329,692
     IFB Ser. 3065, Class DC, 19 1/4s, 2035 385,664 596,166
     IFB Ser. 4098, Class MS, IO, 6.497s, 2041 5,249,766 1,159,096
     IFB Ser. 3727, Class PS, IO, 6.497s, 2038 2,118,846 207,200
     IFB Ser. 3895, Class SM, IO, 6.447s, 2040 2,671,002 358,866
     IFB Ser. 4048, Class GS, IO, 6.447s, 2040 2,239,590 431,099
     IFB Ser. 3940, Class PS, IO, 6.447s, 2040 2,320,942 340,018
     IFB Ser. 4032, Class SA, IO, 6.297s, 2042 2,780,930 425,139
     IFB Ser. 4125, Class SH, IO, 5.947s, 2042 2,703,634 446,857
     IFB Ser. 4105, Class LS, IO, 5.947s, 2041 3,108,493 605,970
     Ser. 3632, Class CI, IO, 5s, 2038 939,544 54,569
     Ser. 3626, Class DI, IO, 5s, 2037 479,457 15,616
     Ser. 304, Class C27, IO, 4 1/2s, 2043 6,381,000 1,034,105
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 4,061,837 618,618
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 2,221,229 290,537
     Ser. 4019, Class GI, IO, 4 1/2s, 2041 10,059,957 1,362,118
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 6,181,837 757,287
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 776,537 66,321
     Ser. 4090, Class BI, IO, 4s, 2042 476,125 50,150
     Ser. 3748, Class NI, IO, 4s, 2034 2,580,525 70,500
     Ser. 3751, Class MI, IO, 4s, 2034 4,537,225 81,080
     Ser. 304, Class C22, IO, 3 1/2s, 2043 3,875,000 634,105
     Ser. 304, Class C4, IO, 3 1/2s, 2043 2,620,000 544,069
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 2,236,960 355,095
     Ser. T-57, Class 1AX, IO, 0.402s, 2043 1,882,285 22,330
     Ser. 4077, Class TO, PO, zero %, 2041 1,471,325 1,232,558
     Ser. 3300, PO, zero %, 2037 108,518 101,261
     FRB Ser. 3326, Class WF, zero %, 2035 3,937 3,873
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.675s, 2036 160,637 305,027
     IFB Ser. 06-8, Class HP, 23.818s, 2036 337,934 563,309
     IFB Ser. 07-53, Class SP, 23.451s, 2037 236,523 372,169
     IFB Ser. 08-24, Class SP, 22.535s, 2038 267,349 430,429
     IFB Ser. 05-122, Class SE, 22.385s, 2035 369,469 556,493
     IFB Ser. 05-83, Class QP, 16.863s, 2034 272,349 372,117
     IFB Ser. 12-66, Class HS, IO, 6.496s, 2041 864,706 180,611
     IFB Ser. 12-88, Class SB, IO, 6.466s, 2042 6,216,745 980,505
     IFB Ser. 10-99, Class NS, IO, 6.396s, 2039 3,339,787 404,081
     IFB Ser. 11-87, Class HS, IO, 6.296s, 2041 2,987,460 489,675
     IFB Ser. 404, Class S13, IO, 6.196s, 2040 4,191,423 626,708
     IFB Ser. 10-35, Class SG, IO, 6.196s, 2040 4,084,667 624,627
     IFB Ser. 12-132, Class SB, IO, 5.996s, 2042 8,965,745 1,397,401
     IFB Ser. 09-100, Class SA, IO, 5.996s, 2039 1,582,580 153,312
     IFB Ser. 12-113, Class CS, IO, 5.946s, 2041 1,832,112 356,163
     IFB Ser. 12-113, Class SG, IO, 5.896s, 2042 1,869,758 346,204
     IFB Ser. 10-46, Class WS, IO, 5.546s, 2040 2,676,012 334,207
     Ser. 374, Class 6, IO, 5 1/2s, 2036 747,217 100,583
     Ser. 12-132, Class PI, IO, 5s, 2042 9,571,773 1,761,685
     Ser. 398, Class C5, IO, 5s, 2039 502,727 49,820
     Ser. 10-13, Class EI, IO, 5s, 2038 302,490 13,922
     Ser. 378, Class 19, IO, 5s, 2035 1,836,744 211,226
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 7,451,774 1,176,933
     Ser. 409, Class 81, IO, 4 1/2s, 2040 6,620,075 939,381
     Ser. 409, Class 82, IO, 4 1/2s, 2040 4,171,912 621,244
     Ser. 366, Class 22, IO, 4 1/2s, 2035 794,788 61,358
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 3,382,357 345,778
     Ser. 12-118, Class PI, IO, 4s, 2042 3,830,015 608,168
     Ser. 12-96, Class PI, IO, 4s, 2041 1,569,186 216,140
     Ser. 406, Class 2, IO, 4s, 2041 3,978,240 517,171
     Ser. 406, Class 1, IO, 4s, 2041 2,688,953 371,613
     Ser. 409, Class C16, IO, 4s, 2040 4,527,076 560,992
     Ser. 13-35, Class IP, IO, 3s, 2042 3,667,000 457,229
     Ser. 13-23, Class PI, IO, 3s, 2041 4,467,547 510,976
     Ser. 03-W10, Class 1, IO, 1.303s, 2043 672,258 26,864
     Ser. 00-T6, IO, 0.754s, 2030 1,763,411 37,472
     Ser. 99-51, Class N, PO, zero %, 2029 21,970 21,125
Government National Mortgage Association
     IFB Ser. 11-56, Class MS, 6.871s, 2041 2,849,988 3,141,884
     IFB Ser. 10-151, Class SL, IO, 6.497s, 2039 1,674,862 275,465
     IFB Ser. 10-163, Class SI, IO, 6.426s, 2037 4,999,778 687,465
     IFB Ser. 10-35, Class CS, IO, 6.267s, 2040 2,933,278 564,647
     IFB Ser. 10-26, Class QS, IO, 6.047s, 2040 2,619,786 489,573
     IFB Ser. 10-120, Class SB, IO, 5.997s, 2035 890,240 79,944
     IFB Ser. 10-20, Class SC, IO, 5.947s, 2040 2,724,267 510,092
     IFB Ser. 10-158, Class SA, IO, 5.847s, 2040 1,440,365 266,352
     IFB Ser. 10-151, Class SA, 5.847s, 2040 1,431,682 264,732
     IFB Ser. 10-61, Class SJ, IO, 5.847s, 2040 3,353,690 518,883
     IFB Ser. 11-70, Class SM, IO, 5.687s, 2041 3,437,000 929,915
     IFB Ser. 11-70, Class SH, IO, 5.687s, 2041 3,530,000 961,501
     IFB Ser. 10-37, Class SG, IO, 5.497s, 2040 2,894,409 501,543
     IFB Ser. 10-115, Class BS, IO, 5.197s, 2040 4,599,064 746,934
     Ser. 13-22, Class OI, IO, 5s, 2043 3,987,922 750,228
     Ser. 13-3, Class IT, IO, 5s, 2043 3,558,618 682,648
     Ser. 13-6, Class IC, IO, 5s, 2043 2,490,600 454,684
     Ser. 12-146, Class IO, IO, 5s, 2042 5,724,041 1,015,101
     Ser. 10-35, Class UI, IO, 5s, 2040 3,334,156 642,420
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,582,431 299,475
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 4,667,914 863,517
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 523,860 79,522
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 14,019,124 2,599,285
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,387,772 172,472
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 6,265,489 771,344
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,785,723 184,144
     Ser. 11-70, PO, zero %, 2041 6,037,469 5,012,428
     Ser. 06-36, Class OD, PO, zero %, 2036 6,846 6,305
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 5.984s, 2045 3,429,906 655,970
54,716,555
Commercial mortgage-backed securities (12.8%)
Banc of America Commercial Mortgage, Inc. FRB Ser. 05-6, Class G, 5.188s, 2047 829,000 737,810
Banc of America Commercial Mortgage, Inc. 144A
     Ser. 01-1, Class J, 6 1/8s, 2036 13,029 11,335
     Ser. 01-1, Class K, 6 1/8s, 2036 264,339 114,807
     Ser. 07-5, Class XW, IO, 0.369s, 2051 37,910,901 447,273
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-PW17, Class AJ, 5.893s, 2050 2,356,000 2,261,760
     FRB Ser. 06-PW12, Class AJ, 5.757s, 2038 730,000 741,480
     FRB Ser. 06-PW11, Class AJ, 5.45s, 2039 494,000 493,383
     Ser. 05-PWR7, Class B, 5.214s, 2041 923,000 945,676
     FRB Ser. 05-T20, Class C, 5.147s, 2042 800,000 781,000
     Ser. 05-PWR9, Class C, 5.055s, 2042 499,000 470,108
     Ser. 05-PWR9, Class AJ, 4.985s, 2042 560,000 574,056
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 779,000 775,340
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class D, 4.879s, 2045 501,000 493,034
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.036s, 2044 24,982,620 109,492
Commercial Mortgage Trust
     Ser. 07-C9, Class AJ, 5.65s, 2049 719,000 763,147
     Pass-Through Cerficiates, FRB Ser. 04-LB3A, Class E, 5.354s, 2037 852,000 860,776
Commercial Mortgage Trust 144A
     FRB Ser. 13-CR6, Class D, 4.316s, 2046 371,000 332,090
     FRB Ser. 07-C9, Class AJFL, 0.892s, 2049 1,754,000 1,478,797
Cornerstone Titan PLC 144A
     FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (Ireland) GBP 103,048 139,353
     FRB Ser. 05-CT1A, Class D, 1.578s, 2014 (Ireland) GBP 328,253 418,961
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) $440,057 18,042
CS First Boston Mortgage Securities Corp. Ser. 05-C6, Class B, 5.23s, 2040 725,000 672,438
CS First Boston Mortgage Securities Corp. 144A
     Ser. 02-CP5, Class G, 5.881s, 2035 2,558,000 2,576,806
     Ser. 02-CP5, Class M, 5 1/4s, 2035 262,527 13,126
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.445s, 2044 902,000 939,269
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 226,150 226,150
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.085s, 2020 2,204,039 48,489
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 351,000 204,476
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C4, Class AJ, 5.306s, 2045 385,000 354,200
GMAC Commercial Mortgage Securities, Inc. Ser. 04-C3, Class B, 4.965s, 2041 561,000 477,551
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 02-C3, Class H, 5.944s, 2039 540,000 539,848
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 595,000 582,102
Greenwich Capital Commercial Funding Corp. 144A FRB Ser. 03-C2, Class G, 5.567s, 2036 1,090,000 1,117,191
GS Mortgage Securities Corp. II Ser. 05-GG4, Class AJ, 4.782s, 2039 2,872,000 2,939,710
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.747s, 2039 80,543,951 1,248,431
GS Mortgage Securities Trust 144A Ser. GC10, Class D, 4.416s, 2046 498,000 458,359
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.204s, 2030 (Cayman Islands) 308,936 174,549
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.08s, 2051 932,500 952,269
     FRB Ser. 06-LDP7, Class AJ, 5.871s, 2045 2,483,000 2,576,239
     Ser. 06-CB16, Class AJ, 5.623s, 2045 522,000 493,441
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 590,000 573,539
     FRB Ser. 05-LDP3, Class D, 5.194s, 2042 974,000 900,950
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 316,000 311,613
     FRB Ser. 05-LDP2, Class C, 4.911s, 2042 665,000 636,738
     FRB Ser. 05-LDP2, Class B, 4.882s, 2042 2,290,000 2,330,075
     FRB Ser. 13-C10, Class D, 4.3s, 2047 825,000 747,615
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 07-CB20, Class B, 6.18s, 2051 704,000 652,326
     FRB Ser. 12-LC9, Class E, 4.428s, 2047 713,000 665,978
     Ser. 07-CB20, Class X1, IO, 0.134s, 2051 49,002,413 463,612
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 1,062,915 1,084,173
     Ser. 98-C4, Class J, 5.6s, 2035 379,000 421,221
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 03-C7, Class K, 5.546s, 2037 1,040,000 1,015,768
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.395s, 2028 62,640 1
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.248s, 2051 575,000 586,558
     FRB Ser. 07-C1, Class A3, 5.85s, 2050 51,000 53,772
Mezz Cap Commercial Mortgage Trust 144A Ser. 07-C5, Class X, IO, 4.594s, 2049 1,532,702 108,209
Morgan Stanley Capital I
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,320,000 1,253,493
     FRB Ser. 06-HQ8, Class B, 5.501s, 2044 2,160,000 1,994,112
     Ser. 04-IQ8, Class C, 5.3s, 2040 1,680,000 1,708,392
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,143,901 1,096,715
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class AJ, 5.389s, 2041 529,000 471,656
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.466s, 2043 1,196,000 1,232,358
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 158,000 118,500
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 466,731 70,010
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.995s, 2045 4,015,000 4,066,731
     FRB Ser. 07-C34, Class AJ, 5.969s, 2046 737,000 748,866
     FRB Ser. 06-C25, Class AJ, 5.734s, 2043 735,000 764,253
     FRB Ser. 05-C20, Class B, 5.248s, 2042 2,269,000 2,246,237
     Ser. 07-C34, IO, 0.341s, 2046 13,437,641 162,595
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 03-C8, Class H, 5.394s, 2035 774,000 738,706
Wells Fargo Royal Bank of Scotland Commercial Mortgage Trust 144A FRB Ser. 12-C9, Class D, 4.804s, 2045 858,000 826,629
57,613,765
Residential mortgage-backed securities (non-agency) (17.5%)
Adjustable Rate Mortgage Trust FRB Ser. 06-2, Class 1A1, 3.224s, 2036 1,311,519 1,160,694
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO, zero %, 2047 9,913,951 1,259,072
Banc of America Funding Corp.
     Ser. 06-2, Class 2A13, 6s, 2036 1,038,692 1,082,836
     FRB Ser. 06-G, Class 2A5, 0.483s, 2036 655,081 556,819
Banc of America Funding Corp. 144A
     FRB Ser. 09-R12A, Class A2, 3.039s, 2036 571,544 391,507
     FRB Ser. 10-R4, Class 3A3, 1.281s, 2046 1,480,000 820,956
Banc of America Mortgage Securities Ser. 05-11, Class 1A10, 6s, 2035 850,000 828,750
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 4A3, 20.47s, 2037 288,803 247,741
     Ser. 13-RR1, Class 3A3, 16.917s, 2037 421,727 368,012
     Ser. 13-RR1, Class 10A2, 16.593s, 2036 826,348 768,504
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 181,401 96,142
     Ser. 13-RR1, Class 2A4, 11.315s, 2036 640,000 639,603
     Ser. 13-RR1, Class 9A4, 10.594s, 2036 310,000 323,556
     Ser. 13-RR1, Class 3A2, 4s, 2037 458,310 466,330
     Ser. 13-RR1, Class 4A2, 4s, 2037 498,488 505,965
     Ser. 12-RR10, Class 8A2, 4s, 2036 398,145 402,127
     FRB Ser. 12-RR10, Class 9A2, 2.671s, 2035 1,270,000 1,028,700
     Ser. 12-RR10, Class 4A2, 2.639s, 2036 730,000 600,425
Barclays Capital, LLC Trust 144A
     Ser. 12-RR11, Class 9A3, 21.132s, 2037 694,675 652,994
     FRB Ser. 12-RR12, Class 3A3, 20.031s, 2037 469,754 387,547
     FRB Ser. 12-RR12, Class 2A3, 14.228s, 2035 373,116 368,452
     Ser. 12-RR11, Class 4A3, 13.64s, 2037 533,215 367,918
     FRB Ser. 12-RR12, Class 1A3, 13.286s, 2037 348,890 195,378
     FRB Ser. 11-RR4, Class 6A4, 13.206s, 2037 1,524,820 1,204,608
     FRB Ser. 12-RR11, Class 5A3, 13.044s, 2037 238,765 151,616
     FRB Ser. 13-RR2, Class 4A2, 9.391s, 2036 610,000 488,000
     FRB Ser. 11-RR1, Class 2A14, 9.262s, 2036 2,052,589 1,026,295
     FRB Ser. 13-RR2, Class 3A2, 9.04s, 2036 440,000 431,992
     FRB Ser. 13-RR2, Class 6A2, 7.471s, 2037 1,151,350 804,909
     FRB Ser. 13-RR2, Class 1A2, 6.015s, 2037 1,720,000 1,152,400
     FRB Ser. 10-RR12, Class 6A1, 5.999s, 2037 1,445,858 1,528,995
     Ser. 12-RR11, Class 9A2, 4s, 2037 1,203,972 1,209,992
     Ser. 12-RR12, Class 3A2, 4s, 2037 875,991 884,751
     Ser. 12-RR11, Class 4A2, 4s, 2037 715,233 720,597
     Ser. 12-RR12, Class 1A2, 4s, 2037 291,458 294,372
     Ser. 12-RR11, Class 3A2, 4s, 2036 212,793 213,325
     Ser. 12-RR12, Class 2A2, 4s, 2035 356,718 361,177
     FRB Ser. 12-RR11, Class 5A2, 4s, 2037 463,880 470,839
     FRB Ser. 12-RR12, Class 5A2, 2.95s, 2036 1,339,062 1,004,297
     FRB Ser. 12-RR12, Class 4A2, 2.859s, 2036 790,000 450,300
     Ser. 12-RR11, Class 11A2, 2.6s, 2036 312,782 197,053
     FRB Ser. 09-RR11, Class 2A2, 2.47s, 2035 1,060,000 797,979
     Ser. 09-RR7, Class 1A7, IO, 1.83s, 2046 38,338,597 1,725,237
     Ser. 09-RR7, Class 2A7, IO, 1.636s, 2047 44,086,497 1,820,772
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 06-1, Class A1, 2.37s, 2036 465,951 451,973
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.079s, 2034 34,783 2,960
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 7,886,748 253,953
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 5,960,434 109,672
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR4, Class 1A1A, 5.687s, 2037 1,093,281 1,024,951
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 11-2, Class 3A2, 10.044s, 2037 500,000 471,175
     FRB Ser. 11-12, Class 2A2, 0.574s, 2035 1,160,000 884,906
Countrywide Alternative Loan Trust Ser. 07-HY9, Class X, IO, 0.65s, 2047 6,456,493 288,153
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, Class 3A4, 2.83s, 2038 800,000 691,042
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.079s, 2043 (United Kingdom) GBP 328,968 428,871
     FRB Ser. 03-2, Class 2C1, 2.754s, 2043 (United Kingdom) EUR 880,000 967,849
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021 $4,280 4,204
GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.759s, 2035 500,000 459,035
Harborview Mortgage Loan Trust FRB Ser. 05-9, Class 2A1C, 0.653s, 2035 809,891 730,927
JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 3.03s, 2035 653,921 522,129
Lavender Trust 144A Ser. 10-RR2A, Class A3, 6 1/4s, 2036 430,000 462,250
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, PO, 0.8s, 2047 4,129,747 132,152
Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.554s, 2035 646,775 543,291
Nomura Resecuritization Trust 144A FRB Ser. 11-2RA, Class 1A2, 5.29s, 2046 1,822,318 1,742,683
RBSSP Resecuritization Trust 144A FRB Ser. 09-12, Class 7A2, 5.288s, 2036 780,000 588,900
Residential Accredit Loans, Inc. Ser. 05-QR1, Class A, 6s, 2034 2,137,856 2,277,300
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 1/2s, 2047 18,312,381 435,835
Structured Asset Mortgage Investments, Inc. FRB Ser. 04-AR7, Class B1, 1.103s, 2035 684,376 400,140
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 07-HY6, Class 2A1, 4.725s, 2037 3,214,365 2,716,138
     FRB Ser. 04-AR14, Class B1, 2.441s, 2035 907,345 555,749
     Ser. 05-AR17, Class X, IO, PO, 1.63s, 2045 18,136,456 1,180,375
     Ser. 04-AR10, Class X, IO, PO, 1.61s, 2044 5,904,843 350,777
     FRB Ser. 06-AR1, Class 2A1B, 1.247s, 2046 2,283,422 1,969,452
     FRB Ser. 06-AR1, Class 2A1C, 1.247s, 2046 2,376,924 1,390,501
     FRB Ser. 06-AR9, Class 1A, 1.177s, 2046 3,221,479 2,641,613
     Ser. 06-AR11, Class 2XPP, IO, PO, 0.978s, 2046 12,637,644 361,816
     FRB Ser. 05-AR8, Class B1, 0.874s, 2045 2,923,186 1,373,897
     FRB Ser. 05-AR19, Class A1C3, 0.704s, 2045 1,763,825 1,375,784
     FRB Ser. 05-AR13, Class A1C3, 0.694s, 2045 5,049,322 3,963,718
     FRB Ser. 05-AR17, Class A1C3, 0.684s, 2045 1,119,957 604,777
     FRB Ser. 05-AR15, Class A1C3, 0.684s, 2045 1,576,112 819,578
     FRB Ser. 05-AR8, Class 2AC2, 0.664s, 2045 1,608,559 1,395,425
     FRB Ser. 05-AR11, Class A1B2, 0.654s, 2045 973,164 851,518
     FRB Ser. 05-AR13, Class A1B2, 0.634s, 2045 1,214,824 1,056,897
     FRB Ser. 05-AR17, Class A1B2, 0.614s, 2045 995,838 831,525
     FRB Ser. 05-AR19, Class A1C4, 0.604s, 2045 579,673 447,797
     FRB Ser. 05-AR11, Class A1B3, 0.604s, 2045 1,863,469 1,630,536
     FRB Ser. 05-AR8, Class 2AC3, 0.594s, 2045 573,500 494,644
     FRB Ser. 05-AR1, Class A3, 0.564s, 2045 642,196 577,976
     FRB Ser. 05-AR19, Class A1B3, 0.554s, 2045 525,846 462,745
     FRB Ser. 05-AR6, Class 2AB3, 0.474s, 2045 544,669 473,862
Wells Fargo Mortgage Backed Securities Trust
     Ser. 05-16, Class A18, 6s, 2036 740,000 772,412
     Ser. 08-1, Class 4A1, 5 3/4s, 2038 1,341,128 1,421,626
     Ser. 07-12, Class A7, 5 1/2s, 2037 423,625 441,629
     Ser. 07-5, Class 1A1, 5 1/2s, 2037 1,447,030 1,522,565
     FRB Ser. 06-AR11, Class A6, 5.165s, 2036 984,817 918,174
     FRB Ser. 05-AR6, Class B1, 5.002s, 2035 675,728 606,848
     FRB Ser. 05-AR16, Class 4A2, 2.651s, 2035 451,362 442,921
     FRB Ser. 06-AR2, Class 2A3, 2.641s, 2036 780,873 765,255
78,752,415
Total mortgage-backed securities (cost $181,403,477) $191,082,735

CORPORATE BONDS AND NOTES (34.9%)(a)
Principal amount Value
Basic materials (2.7%)
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) $75,000 $94,933
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 90,000 92,475
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 140,000 142,450
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 255,000 258,188
Ashland, Inc. 144A sr. unsec. unsub. notes 3s, 2016 515,000 522,725
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 417,000 457,658
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 20,000 20,350
Boise Cascade LLC / Boise Cascade Finance Corp. 144A sr. unsec. notes 6 3/8s, 2020 (United Kingdom) 40,000 42,300
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 135,000 135,338
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 250,000 272,500
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 475,000 514,188
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 250,000 254,375
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 130,000 134,875
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 368,000 381,800
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 140,000 151,025
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 275,000 287,375
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 247,000 259,968
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 145,000 151,888
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 35,000 35,525
Grohe Holding GmbH 144A company company guaranty sr. FRN notes 4.203s, 2017 (Germany) EUR 418,000 535,289
HD Supply, Inc. company guaranty sr. unsec. sub. notes 10 1/2s, 2021 $113,000 117,520
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 406,000 481,110
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 190,000 199,975
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 270,000 270,675
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 180,000 186,300
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A company guaranty sr. notes 8 7/8s, 2018 93,000 96,488
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 387,000 435,375
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 135,000 136,013
Huntsman International, LLC 144A sr. unsec. notes 4 7/8s, 2020 90,000 90,675
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 81,000 77,963
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 76,125
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 231,000 299,371
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $330,000 372,488
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 216,000 245,700
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 285,000 337,725
LyondellBasell Industries NV sr. unsec. unsub. notes 5 3/4s, 2024 300,000 351,750
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 540,000 610,200
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021 EUR 175,000 165,809
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 $26,000 26,000
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 100,000 103,250
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 110,000 115,544
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 205,000 231,138
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 74,000 78,255
Orion Engineered Carbons Bondco GmbH 144A company guaranty sr. notes 9 5/8s, 2018 (Germany) 21,000 23,363
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 215,000 227,363
PetroLogistics LP/Petrologistics Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2020 35,000 35,438
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 175,000 176,313
PQ Corp. 144A sr. notes 8 3/4s, 2018 170,000 181,900
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 170,000 192,100
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 177,000 193,373
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 118,000 128,768
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 145,000 145,906
SGL Carbon SE company guaranty sr. sub. FRN notes Ser. EMTN, 1.476s, 2015 (Germany) EUR 182,000 230,637
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 $40,000 43,200
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 55,000 59,400
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 25,000 25,125
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 180,000 187,650
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 350,000 339,500
USG Corp. sr. unsec. notes 9 3/4s, 2018 178,000 210,930
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 44,000 20,790
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 70,000 72,100
12,344,530
Capital goods (2.2%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 295,000 317,863
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 453,000 499,433
ARD Finance SA sr. notes Ser. REGS, 11 1/8s, 2018 (Luxembourg)(PIK) EUR 111,433 155,215
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)(PIK) EUR 118,080 164,473
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 190,000 262,510
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland) $200,000 206,000
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 398,000 440,288
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 180,000 186,075
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 116,000 129,485
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 33,000 38,569
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 90,000 96,525
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 60,000 62,100
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 148,000 153,550
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 382,000 427,840
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 36,000 39,420
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 70,000 68,075
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) EUR 60,000 83,402
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 $185,000 195,175
Dematic SA/DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 250,000 260,000
Exide Technologies sr. notes 8 5/8s, 2018 78,000 66,983
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 242,000 250,470
KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) 100,000 136,856
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 405,000 445,500
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 469,000 628,099
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 248,000 260,400
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 90,000 89,213
Milacron LLC/Mcron Finance Corp. 144A sr. unsec. notes 7 3/4s, 2021 35,000 36,181
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 27,000 30,713
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 402,000 409,035
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 155,000 166,238
Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 (United Kingdom) EUR 110,000 147,593
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France) EUR 324,000 451,739
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) $400,000 423,000
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019 200,000 220,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 1/8s, 2019 185,000 198,644
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 130,000 132,438
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 200,000 219,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 110,000 116,325
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 200,000 220,000
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 195,000 214,256
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 55,000 58,644
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 270,000 284,513
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 420,000 457,800
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 138,000 153,180
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 291,000 319,373
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021 190,000 191,900
10,114,591
Communication services (5.0%)
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 90,000 98,100
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 220,000 256,300
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 66,000 74,250
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 33,000 37,001
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 228,000 245,670
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 162,000 171,113
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 125,000 123,125
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 85,000 82,769
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 50,000 51,125
Cequel Communiciations Escrow Capital Corp. 144A sr. unsec. notes 6 3/8s, 2020 50,000 51,875
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 71,000 73,840
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 41,000 40,795
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 100,000 106,000
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 469,000 505,934
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 271,000 270,323
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 660,000 688,875
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 90,000 98,325
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 170,000 172,975
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 200,000 225,000
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 443,000 468,473
DISH DBS Corp. company guaranty notes 7 1/8s, 2016 171,000 190,024
DISH DBS Corp. company guaranty notes 6 5/8s, 2014 715,000 760,581
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 155,000 172,050
Equinix, Inc. sr. unsec. notes 7s, 2021 175,000 193,813
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 80,000 91,800
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 125,000 146,250
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 912,000 1,037,400
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 60,000 61,800
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 277,000 304,008
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 337,000 385,444
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 500,000 532,500
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 189,000 210,263
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 105,000 111,169
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg) 1,000,937 1,062,995
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 349,000 371,685
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg)(FWC) 155,000 157,519
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg)(FWC) 438,000 445,665
Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg)(FWC) 320,000 329,600
Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany) EUR 140,000 191,065
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 $169,000 189,483
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 184,000 205,160
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 50,000 55,000
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 26,000 27,235
Lynx I Corp. 144A sr. notes 6s, 2021 290,000 452,758
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 71,000 79,254
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 416,000 455,520
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 275,000 280,500
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 250,000 254,375
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 500,000 448,750
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 16,000 12,040
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 64,000 46,080
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 70,000 73,150
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 215,000 246,713
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom) GBP 240,000 379,255
Quebecor Media, Inc. 144A sr. unsec. notes 5 3/4s, 2023 (Canada) $221,000 225,420
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 55,000 59,948
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 148,000 168,120
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 78,000 85,995
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 70,000 72,800
Sprint Capital Corp. company guaranty 8 3/4s, 2032 42,000 50,085
Sprint Capital Corp. company guaranty 6 7/8s, 2028 267,000 273,008
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 922,000 1,072,978
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 174,000 188,790
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 210,000 248,325
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 156,000 171,600
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 531,000 656,449
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg) EUR 100,000 136,972
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 365,000 491,283
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) $110,000 146,854
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 400,000 572,982
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 175,000 243,782
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany) EUR 106,568 146,487
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) $445,000 552,062
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) 421,000 590,673
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 201,000 204,015
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 50,000 83,939
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 $80,000 86,800
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 265,000 282,225
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. 144A company guaranty sr. unsec. notes 10 1/4s, 2019 406,000 451,675
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg) EUR 445,000 581,051
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 $80,000 87,600
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 363,000 414,728
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 149,000 162,410
Windstream Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 110,000 109,175
22,421,003
Consumer cyclicals (5.5%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 35,000 39,463
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 50,000 31,750
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 566,000 447,140
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 300,000 261,750
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 212,000 244,595
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 297,000 299,228
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 105,000 114,188
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 360,000 409,500
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 70,000 75,950
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 75,000 81,188
Beazer Homes USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2023 264,000 269,280
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 325,000 325,406
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 270,000 288,900
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 140,000 152,775
Building Materials Corp. 144A sr. notes 7s, 2020 255,000 276,675
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 150,000 163,875
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 185,000 205,350
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 80,000 81,200
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 334,000 227,538
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 321,000 341,464
Caesars Entertainment Operating Co., Inc. 144A company guaranty sr. notes 9s, 2020 625,000 628,906
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 100,000 112,000
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 125,000 124,219
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 195,000 195,000
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 100,000 110,875
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 410,000 457,663
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 60,000 67,050
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty notes 10 3/4s, 2017 434,410 480,023
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 180,000 168,075
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 318,000 305,678
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 252,000 263,025
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 145,000 152,975
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 349,000 358,598
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 90,000 100,575
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 405,000 439,425
FelCor Lodging LP 144A sr. notes 5 5/8s, 2023(R) 60,000 61,125
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018 520,000 572,733
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 160,000 170,800
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 335,000 344,168
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico) $130,000 151,416
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 241,000 262,389
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 115,000 124,631
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 120,000 123,900
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 263,000 299,163
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 165,000 179,438
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 475,000 516,563
Isle of Capri Casinos, Inc. 144A sr. unsec. notes 5 7/8s, 2021 230,000 230,000
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 338,000 446,264
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020 EUR 50,000 67,793
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 $403,000 473,525
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 95,000 99,750
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 65,000 72,556
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 145,000 160,950
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 120,000 129,300
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 70,000 75,775
Lear Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2023 245,000 238,875
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 255,000 265,838
Lennar Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2022 90,000 88,200
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 375,000 423,750
Limited Brands, Inc. sr. notes 5 5/8s, 2022 105,000 111,300
Lottomatica Group SpA sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) EUR 455,000 611,121
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 $115,000 133,548
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 320,000 22,400
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 156,000 173,160
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 400,000 444,000
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 85,000 92,438
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 140,000 156,275
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 50,000 52,563
MGM Resorts International 144A company guaranty sr. unsec. notes 6 3/4s, 2020 155,000 164,300
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016 124,000 129,736
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 691,867 717,812
Navistar International Corp. sr. notes 8 1/4s, 2021 352,000 358,160
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 355,000 370,975
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 50,000 51,750
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 110,000 116,050
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 38,000 42,180
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 122,000 121,848
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 380,000 425,600
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 149,000 165,390
Owens Corning company guaranty sr. unsec. notes 9s, 2019 123,000 157,440
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 60,000 67,800
Penske Automotive Group, Inc. 144A company guaranty sr. sub. notes 5 3/4s, 2022 200,000 208,500
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 140,000 153,650
Petco Holdings, Inc. 144A sr. notes 8 1/2s, 2017(PIK) 90,000 93,038
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 65,000 68,981
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 70,000 76,650
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 75,000 81,750
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 170,000 173,400
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 211,000 232,100
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 381,000 413,385
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Germany) EUR 355,000 515,352
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 $97,000 102,578
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 85,000 84,363
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 90,000 94,275
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 25,000 25,469
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 160,000 160,200
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 15,000 16,313
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 15,000 16,125
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 145,000 156,419
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 150,000 160,125
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 240,000 253,500
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 219,000 235,699
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 176,000 149,600
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 144,000 144,720
Travelport, LLC 144A sr. notes Ser. B, 6.308s, 2016(PIK) 61,991 57,032
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 164,000 164,615
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 340,000 393,125
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 65,000 65,975
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 122,000 131,760
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 8,000 8,800
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 265,000 283,550
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 473,000 522,074
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 180,000 185,625
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 452,000 484,770
24,479,568
Consumer staples (2.1%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 BRL 1,400,000 748,888
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 $65,000 72,069
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A 5 1/2s, 2023 95,000 94,763
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 256,000 294,080
CKE, Inc. 144A sr. unsec. notes 10 1/2s, 2016(PIK) 153,239 162,816
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 164,000 173,020
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 65,000 66,300
Claire's Stores, Inc. 144A sr. notes 9s, 2019 390,000 440,700
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 250,000 283,750
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 125,638
Corrections Corp. of America 144A sr. unsec. notes 4 5/8s, 2023(R) 60,000 61,425
Corrections Corp. of America 144A sr. unsec. notes 4 1/8s, 2020(R) 50,000 50,938
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 167,000 184,953
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 160,000 182,400
Dole Food Co., Inc. 144A sr. notes 8s, 2016 123,000 127,920
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 225,000 250,031
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 303,000 455,057
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Austria) $200,000 199,970
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 280,000 280,350
HDTFS, Inc. company guaranty sr. unsec. notes 6 1/4s, 2022 40,000 43,400
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 95,000 104,856
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 50,000 52,750
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 215,000 290,993
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 $83,000 90,678
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 460,000 483,000
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 130,000 136,175
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 249,000 268,298
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 115,000 125,781
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 295,000 321,550
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 250,000 250,938
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 365,000 375,494
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 300,000 314,625
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 300,000 338,625
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 75,000 84,750
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 190,000 207,575
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 502,000 568,515
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 196,000 218,540
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 574,000 654,360
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 50,000 53,625
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 91,000 96,005
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020 35,000 37,450
9,373,051
Energy (6.4%)
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 182,000 192,920
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 165,000 176,963
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 276,000 271,860
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 165,000 148,500
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 182,000 167,440
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 397,000 456,937
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 66,000 59,400
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019 217,000 195,843
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 80,000 83,400
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 65,000 70,688
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 200,000 219,500
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 404,000 442,380
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 195,000 225,225
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 55,000 75,435
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 $600,000 678,000
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 60,000 60,825
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 300,000 327,000
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 65,000 67,438
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 116,000 120,640
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 295,000 185,854
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $114,000 74,955
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 173,000 191,598
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 982,000 1,060,560
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 440,000 467,500
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 505,000 546,663
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2022 85,000 90,100
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 240,000 269,400
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 43,000 46,924
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 526,000 501,015
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 140,000 144,550
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 200,000 194,000
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 182,000 190,645
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) 335,000 404,439
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 240,000 290,400
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 690,000 890,521
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia) 149,000 180,199
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 500,000 541,215
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 267,000 276,345
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 386,000 407,230
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021 465,000 501,038
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 20,000 21,550
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 105,000 114,713
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 158,000 164,715
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 70,000 79,100
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 85,000 93,075
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 253,000 285,890
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 104,000 93,080
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 430,000 509,550
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 329,000 350,385
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 141,000 146,640
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 300,000 234,000
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine) 335,000 343,717
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 100,000 106,750
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 215,000 224,138
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 140,000 153,650
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 250,000 265,000
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 185,000 189,163
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 315,000 359,100
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 26,000 27,690
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 380,000 455,050
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 200,000 208,000
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 404,000 412,080
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 450,000 547,493
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 202,000 230,531
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 95,000 100,456
Petroleos de Venezuela SA company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 400,000 401,200
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 3,930,000 3,380,940
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 265,000 182,360
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 830,000 799,307
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,605,000 1,484,031
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 665,000 646,713
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela) 125,000 141,250
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela) 425,000 426,275
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 680,000 870,400
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021 185,000 203,500
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 250,000 255,000
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 210,000 231,000
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 100,000 102,000
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 173,000 190,733
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 95,000 99,988
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 535,000 568,438
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 116,000 120,640
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 210,000 222,600
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 115,000 123,338
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 130,000 143,000
Suburban Propane Partners LP/Suburban Energy Finance Corp. sr. unsec. notes 7 3/8s, 2021 179,000 197,348
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 220,000 230,450
Williams Cos., Inc. (The) notes 7 3/4s, 2031 69,000 85,969
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 102,000 130,334
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 240,000 251,400
28,699,275
Financials (5.1%)
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 152,000 150,860
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 110,000 112,750
Air Lease Corp. sr. unsec. notes 6 1/8s, 2017 215,000 232,738
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 195,000 218,069
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 405,000 449,550
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 790,000 963,800
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 185,000 249,056
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) 240,000 258,000
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,055,000 1,128,342
Boparan Holdings, Ltd. 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom) 185,000 312,806
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 82,000 88,970
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 99,000 100,114
CIT Group, Inc. sr. unsec. notes 5s, 2022 440,000 469,827
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 175,000 192,063
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 275,000 313,500
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 215,000 235,963
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 230,000 217,925
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 250,000 263,438
Dresdner Funding Trust I 144A bonds 8.151s, 2031 336,000 354,060
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 427,000 451,553
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Jersey) EUR 208,000 269,454
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 $85,000 89,038
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 525,000 561,750
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 70,000 77,000
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 255,000 275,081
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 99,000 103,950
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 85,000 84,894
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 220,000 219,450
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 145,000 152,250
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, perpetual maturity (United Kingdom) 115,000 120,143
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 375,000 410,461
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 102,000 110,670
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 145,000 155,513
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 103,000 113,558
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 110,500
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 270,000 281,475
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 225,000 235,125
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 243,000 250,898
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 264,000 262,680
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 140,000 163,450
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 165,000 186,244
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, perpetual maturity (United Kingdom) 300,000 235,500
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, 2049 (United Kingdom) 400,000 451,211
Royal Bank of Scotland PLC (The) jr. sub. FRN notes Ser. MTN, 7.64s, perpetual maturity (United Kingdom) 300,000 270,000
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia) 1,295,000 1,349,131
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia) 900,000 952,830
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg) 250,000 279,358
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg) 650,000 692,250
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 345,000 346,725
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 215,000 226,444
UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, perpetual maturity (Jersey) EUR 133,000 168,948
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 200,000 279,761
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $250,000 254,485
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 255,000 298,350
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, 2049 (Ireland) 1,000,000 1,071,222
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 400,000 431,968
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 2,648,000 2,919,420
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 1,498,000 1,617,720
22,842,291
Health care (2.3%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 125,000 129,063
AmSurg Corp. 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 165,000 173,663
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 193,000 207,475
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 156,000 209,617
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 $285,000 302,456
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 225,000 243,563
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 260,000 374,508
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $260,000 269,100
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 205,000 214,738
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 100,000 110,750
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 136,697
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $614,000 684,610
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 291,000 319,373
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 170,000 181,688
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 205,000 224,988
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 225,000 257,625
HCA, Inc. sr. notes 6 1/2s, 2020 876,000 987,690
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 74,000 85,193
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 420,000 449,400
Hologic, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2020 60,000 63,825
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 257,000 270,171
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 112,000 116,760
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 105,000 112,744
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 180,000 206,550
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 212,000 230,020
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 160,000 158,200
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 255,000 283,369
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 152,000 167,580
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) 406,000 636,057
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) 145,000 186,974
Service Corporation International sr. notes 7s, 2019 105,000 113,925
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 259,000 273,893
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 280,000 298,900
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 335,000 348,819
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 175,770 177,967
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 215,000 232,738
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 255,000 283,050
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 296,000 333,000
Tenet Healthcare Corp. 144A companty guaranty sr. notes 4 1/2s, 2021 60,000 58,800
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 40,000 43,100
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 100,000 107,438
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 40,000 42,950
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 40,000 42,200
10,351,227
Technology (1.1%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 148,000 140,970
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 318,000 310,845
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 166,000 171,603
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 351,000 362,408
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 70,000 81,550
CyrusOne LP / CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 55,000 57,613
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 106,000 114,745
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 145,000 163,488
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 435,000 471,431
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 279,000 290,160
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020 105,000 117,338
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 135,000 143,606
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 170,000 176,800
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 51,000 57,885
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 501,000 554,858
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 70,000 79,363
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020 440,000 462,000
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 155,000 170,306
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 145,000 149,713
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 203,000 220,001
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 257,000 282,058
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) 230,000 314,361
4,893,102
Transportation (0.4%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 668,000 752,934
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $249,000 274,834
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 485,000 555,325
Watco Cos LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 85,000 87,444
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 56,000 40,880
1,711,417
Utilities and power (2.1%)
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 720,000 846,900
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 180,000 208,800
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 203,000 224,061
Calpine Corp. 144A sr. notes 7 1/4s, 2017 536,000 568,160
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 290,000 351,769
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 555,000 694
El Paso Corp. sr. unsec. notes 7s, 2017 285,000 325,962
El Paso Natural Gas Co. debs. 8 5/8s, 2022 345,000 474,241
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 331,000 375,271
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 120,000 138,000
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 1,050,000 1,181,250
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 402,000 463,305
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 95,000 104,025
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 70,000 77,350
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 365,000 421,575
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 130,000 135,200
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 80,000 80,910
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 381,000 436,245
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 65,000 76,538
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 95,000 106,638
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 845,000 1,038,454
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 100,000 112,000
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 800,000 890,000
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 150,000 181,164
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 155,000 165,850
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 65,000 88,227
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 119,000 88,953
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 156,000 209,645
9,371,187
Total corporate bonds and notes (cost $148,122,476) $156,601,242

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (34.0%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (6.2%)
Government National Mortgage Association Pass-Through Certificates
     6 1/2s, November 20, 2038 $595,012 $675,036
     3s, TBA, May 1, 2043 11,000,000 11,455,468
     3s, TBA, April 1, 2043 11,000,000 11,485,547
     3s, TBA, April 1, 2043 4,000,000 4,180,312
27,796,363
U.S. Government Agency Mortgage Obligations (27.8%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3s, TBA, April 1, 2043 9,000,000 9,239,765
Federal National Mortgage Association Pass-Through Certificates
     5s, February 1, 2037 78,410 84,910
     4 1/2s, August 1, 2039 280,416 301,984
     3s, TBA, May 1, 2043 41,000,000 42,167,541
     3s, TBA, April 1, 2043 71,000,000 73,213,205
125,007,405
Total U.S. government and agency mortgage obligations (cost $152,510,220) $152,803,768

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.7%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,270,000 $1,821,675
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 (Argentina) 461,000 456,851
Argentina (Republic of) sr. unsec. bonds FRB 0.448s, 2013 (Argentina) 2,362,000 290,526
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 6,031,000 5,081,118
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) units 1,350 698,902
Brazil (Federal Republic of) unsub. notes 10s, 2014 (Brazil) units 1,080 554,609
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 235,500,000 539,592
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) $360,000 387,180
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 (Croatia) 310,000 332,088
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India) INR 31,500,000 561,801
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) $930,000 1,066,217
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2042 (Greece)(STP) EUR 213,000 95,415
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2041 (Greece)(STP) EUR 153,000 68,696
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2040 (Greece)(STP) EUR 213,000 95,753
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2039 (Greece)(STP) EUR 333,000 149,459
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 1,203,000 542,113
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 283,000 127,007
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 553,000 250,555
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 773,000 348,024
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 463,000 210,543
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 213,000 97,293
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 493,000 227,478
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 93,000 43,253
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 1,383,000 652,124
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 153,000 73,672
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 773,000 377,006
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 153,000 77,027
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 653,000 341,817
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 2,173,000 1,186,384
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 203,000 115,968
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 933,000 562,643
Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary) $480,000 456,101
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 575,000 712,667
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 13,350,000 423,130
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $695,000 642,180
Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) EUR 1,920,000 2,728,164
Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal) $570,000 707,946
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 1,200,000 1,349,592
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,334,221 1,647,762
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 200,000 209,998
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 250,000 247,001
Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) EUR 570,000 783,949
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) $240,000 256,049
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 1,230,000 1,469,850
Turkey (Republic of) unsec. bonds 6s, 2041 (Turkey) 975,000 1,090,947
Turkey (Republic of) unsec. notes 6 3/4s, 2040 (Turkey) 270,000 331,798
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 (Ukraine) 275,000 278,781
Ukraine (Government of) 144A bonds 7 3/4s, 2020 (Ukraine) 655,000 680,545
Ukraine (Government of) 144A notes 9 1/4s, 2017 (Ukraine) 1,150,000 1,238,468
Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine) 400,000 408,973
Ukraine (Government of) 144A sr. unsec. notes 7.8s, 2022 (Ukraine) 475,000 483,313
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 (Ukraine) 2,280,000 2,291,172
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 220,000 241,340
Venezuela (Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 265,000 205,841
Venezuela (Republic of) unsec. notes 10 3/4s, 2013 (Venezuela) 1,410,000 1,433,209
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela) 1,215,000 1,403,289
Total foreign government and agency bonds and notes (cost $39,603,971) $39,154,854

SENIOR LOANS (1.3%)(a)(c)
Principal amount Value
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 $169,575 $172,119
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 5 1/2s, 2017 34,095 34,484
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.454s, 2018 942,344 872,375
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.47s, 2016 104,302 104,635
Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017 283,000 291,439
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.854s, 2016 578,484 512,139
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 197,932 199,911
First Data Corp. bank term loan FRN 5.204s, 2017 12,896 12,929
First Data Corp. bank term loan FRN 4.204s, 2018 121,183 120,759
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 241,020 228,467
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.21s, 2014(PIK) 72,827 70,315
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.21s, 2014(PIK) 41,454 40,024
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 180,000 181,530
Intelsat SA bank term loan FRN 3.205s, 2014 (Luxembourg) 375,000 374,649
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R) 151,711 152,848
Motor City Casino bank term loan FRN 6s, 2017 313,407 315,757
Navistar, Inc. bank term loan FRN Ser. B, 7s, 2017 94,763 95,626
Neiman Marcus Group, Inc. (The) bank term loan FRN 4s, 2018 215,000 216,881
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 117,600 117,894
Plains Exploration & Production Co. bank term loan FRN Class B, 4s, 2019 205,000 205,073
Quintiles Transnational Holdings, Inc. bank term loan FRN 7 1/2s, 2017(PIK) 80,000 81,800
Servicemaster Co. bank term loan FRN 4.46s, 2017 93,176 93,962
Springleaf Financial Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 169,000 169,951
SRAM Corp. bank term loan FRN 8 1/2s, 2018 80,000 81,200
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.733s, 2017 645,637 457,756
Thomson Learning bank term loan FRN Ser. B, 2.71s, 2014 168,960 129,782
Travelport, LLC bank term loan FRN Ser. B, 5.056s, 2015 140,682 139,891
Travelport, LLC bank term loan FRN Ser. S, 5.061s, 2015 44,318 44,069
Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 165,000 167,004
Univision Communications, Inc. bank term loan FRN Ser. C1, 4 3/4s, 2020 204,939 206,066
West Corp. bank term loan FRN Ser. B8, 4 1/4s, 2018 30,594 31,053
Total senior loans (cost $5,982,517) $5,922,388

PURCHASED SWAP OPTIONS OUTSTANDING (0.6%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/ Maturity date date/strike amount Value
Goldman Sachs International
     (1.53)/3 month USD-LIBOR-BBA/Jan-18 Jan-16/1.53 $88,485,000 $856,535
     (1.5725)/3 month USD-LIBOR-BBA/Jan-18 Jan-16/1.5725 88,485,000 804,329
JPMorgan Chase Bank N.A.
     (1.555)/3 month USD-LIBOR-BBA/Jan-18 Jan-16/1.555 88,485,000 814,946
Total purchased swap options outstanding (cost $2,585,177) $2,475,810

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 438 $433,155
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 8,855 240,856
M/I Homes, Inc. $2.438 pfd.(NON) 5,132 128,813
Total preferred stocks (cost $652,758) $802,824

CONVERTIBLE PREFERRED STOCKS (0.2%)(a)
Shares Value
ArcelorMittal Ser. MTUS, $1.50 cv. pfd. (France)(NON) 8,716 $182,687
General Motors Co. Ser. B, $2.375 cv. pfd. 10,093 435,261
United Technologies Corp. $3.75 cv. pfd. 2,800 167,580
Total convertible preferred stocks (cost $834,422) $785,528

CONVERTIBLE BONDS AND NOTES (0.2%)(a)
Principal amount Value
Altra Holdings, Inc. cv. company guaranty sr. unsec. notes 2 3/4s, 2031 $155,000 $185,031
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 125,000 146,953
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014 137,000 139,826
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 195,000 218,888
Total convertible bonds and notes (cost $613,439) $690,698

COMMON STOCKS (0.1%)(a)
Shares Value
Tribune Co.(NON) 4,609 $262,022
Tribune Co. Class 1C(F) 402,438 3,622
Trump Entertainment Resorts, Inc.(NON) 71 284
Total common stocks (cost $223,875) $265,928

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Charter Communications, Inc. Class A 11/30/14 $ 46.86 37 $2,174
Total warrants (cost $111) $2,174

SHORT-TERM INVESTMENTS (11.7%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.08%(AFF) 43,983,630 $43,983,630
SSgA Prime Money Market Fund 0.02%(P) 1,340,000 1,340,000
U.S. Treasury Bills with an effective yield of 0.15%, February 6, 2014(SEG)(SEGSF) $1,526,000 1,524,003
U.S. Treasury Bills with an effective yield of 0.13%, March 6, 2014(SEG)(SEGSF) 889,000 887,885
U.S. Treasury Bills with effective yields ranging from 0.13% to 0.14%, January 9, 2014(SEG) 492,000 491,491
U.S. Treasury Bills with effective yields ranging from 0.10% to 0.17%, October 17, 2013(SEG)(SEGSF) 4,487,000 4,482,828
Total short-term investments (cost $52,709,837) $52,709,837

TOTAL INVESTMENTS
Total investments (cost $585,242,280)(b) $603,297,786













FORWARD CURRENCY CONTRACTS at 3/31/13 (aggregate face value $212,448,752) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Sell 6/19/13 $1,127,436 $1,123,985 $(3,451)
Canadian Dollar Sell 4/17/13 15,056 15,280 224
Chilean Peso Buy 4/17/13 1,346,571 1,333,463 13,108
Euro Buy 6/19/13 706,819 723,914 (17,095)
Japanese Yen Sell 5/15/13 1,638,801 1,652,490 13,689
Peruvian New Sol Buy 4/17/13 1,334,710 1,351,588 (16,878)
Swiss Franc Sell 6/19/13 2,030,975 2,048,306 17,331
Barclays Bank PLC
Australian Dollar Buy 4/17/13 54,603 47,002 7,601
Brazilian Real Buy 4/17/13 1,067,546 1,079,306 (11,760)
British Pound Sell 6/19/13 2,660,556 2,650,547 (10,009)
Canadian Dollar Sell 4/17/13 1,663,753 1,688,353 24,600
Chilean Peso Buy 4/17/13 1,352,915 1,338,876 14,039
Euro Sell 6/19/13 3,413,792 3,464,708 50,916
Indonesian Rupiah Buy 5/15/13 1,024,995 1,025,045 (50)
Japanese Yen Sell 5/15/13 2,072,276 2,165,930 93,654
Malaysian Ringgit Buy 5/15/13 814,774 815,253 (479)
Mexican Peso Buy 4/17/13 912,556 872,793 39,763
New Taiwan Dollar Buy 5/15/13 215,538 216,884 (1,346)
New Zealand Dollar Buy 4/17/13 1,547,621 1,522,739 24,882
New Zealand Dollar Sell 4/17/13 1,547,621 1,511,576 (36,045)
Norwegian Krone Sell 6/19/13 1,102,482 1,114,805 12,323
Russian Ruble Buy 6/19/13 547,518 549,953 (2,435)
South Korean Won Buy 5/15/13 1,107,954 1,157,862 (49,908)
Swedish Krona Buy 6/19/13 2,216,216 2,235,364 (19,148)
Swiss Franc Sell 6/19/13 4,628,507 4,649,347 20,840
Turkish Lira Buy 6/19/13 1,094,641 1,094,150 491
Turkish Lira Sell 6/19/13 1,094,641 1,089,513 (5,128)
Citibank, N.A.
Australian Dollar Buy 4/17/13 7,262,232 7,216,226 46,006
Brazilian Real Buy 4/17/13 1,337,582 1,361,810 (24,228)
Brazilian Real Sell 4/17/13 1,337,582 1,370,886 33,304
British Pound Sell 6/19/13 170,414 149,975 (20,439)
Euro Sell 6/19/13 4,000,307 4,062,245 61,938
Japanese Yen Sell 5/15/13 384,408 479,942 95,534
New Taiwan Dollar Buy 5/15/13 279,356 283,681 (4,325)
New Taiwan Dollar Sell 5/15/13 279,356 280,252 896
South Korean Won Buy 5/15/13 336,958 359,537 (22,579)
Swedish Krona Buy 6/19/13 1,176,652 1,187,319 (10,667)
Swiss Franc Sell 6/19/13 2,233,852 2,245,530 11,678
Thai Baht Buy 5/15/13 1,054,278 1,032,455 21,823
Turkish Lira Buy 6/19/13 671,592 679,816 (8,224)
Credit Suisse International
Australian Dollar Buy 4/17/13 3,020,132 3,005,509 14,623
Brazilian Real Buy 4/17/13 1,038,992 1,052,990 (13,998)
British Pound Sell 6/19/13 188,184 190,905 2,721
Canadian Dollar Sell 4/17/13 705,671 709,378 3,707
Chilean Peso Buy 4/17/13 1,359,942 1,346,112 13,830
Chinese Yuan Buy 5/15/13 842,093 838,063 4,030
Czech Koruna Buy 6/19/13 96,123 105,440 (9,317)
Euro Sell 6/19/13 3,346,586 3,406,438 59,852
Japanese Yen Buy 5/15/13 4,482,009 4,510,081 (28,072)
Mexican Peso Buy 4/17/13 1,660,185 1,589,841 70,344
New Taiwan Dollar Buy 5/15/13 36,348 36,898 (550)
New Taiwan Dollar Sell 5/15/13 36,348 36,391 43
New Zealand Dollar Sell 4/17/13 1,087 1,069 (18)
Norwegian Krone Buy 6/19/13 1,131,535 1,138,556 (7,021)
Norwegian Krone Sell 6/19/13 1,131,535 1,143,268 11,733
Philippine Peso Buy 5/15/13 758,501 763,733 (5,232)
Polish Zloty Buy 6/19/13 102,061 102,606 (545)
Russian Ruble Buy 6/19/13 2,135,492 2,150,117 (14,625)
South Korean Won Buy 5/15/13 1,190,165 1,209,387 (19,222)
South Korean Won Sell 5/15/13 1,190,165 1,189,314 (851)
Swedish Krona Sell 6/19/13 364,646 363,958 (688)
Swiss Franc Buy 6/19/13 2,241,760 2,253,467 (11,707)
Turkish Lira Buy 6/19/13 523,079 530,505 (7,426)
Deutsche Bank AG
Brazilian Real Buy 4/17/13 7,065 6,838 227
Canadian Dollar Sell 4/17/13 1,830,453 1,827,056 (3,397)
Euro Sell 6/19/13 1,407,739 1,428,386 20,647
Japanese Yen Sell 5/15/13 1,869,153 1,914,885 45,732
Mexican Peso Buy 4/17/13 780,607 739,909 40,698
Norwegian Krone Sell 6/19/13 1,492,832 1,484,758 (8,074)
Polish Zloty Buy 6/19/13 729,014 745,184 (16,170)
Singapore Dollar Buy 5/15/13 1,216,160 1,217,435 (1,275)
Singapore Dollar Sell 5/15/13 1,216,160 1,207,287 (8,873)
South Korean Won Buy 5/15/13 506,333 533,599 (27,266)
Swedish Krona Buy 6/19/13 2,863,849 2,887,142 (23,293)
Swiss Franc Sell 6/19/13 2,238,597 2,250,132 11,535
Turkish Lira Buy 6/19/13 1,051,904 1,053,863 (1,959)
Goldman Sachs International
British Pound Buy 6/19/13 380,014 379,721 293
British Pound Sell 6/19/13 380,014 376,901 (3,113)
Canadian Dollar Sell 4/17/13 1,145,546 1,122,698 (22,848)
Euro Sell 6/19/13 4,473,700 4,538,841 65,141
Japanese Yen Sell 5/15/13 1,798,034 1,823,670 25,636
Norwegian Krone Sell 6/19/13 1,116,940 1,138,210 21,270
HSBC Bank USA, National Association
Australian Dollar Buy 4/17/13 183,675 182,991 684
British Pound Buy 6/19/13 35,541 35,109 432
British Pound Sell 6/19/13 35,541 35,514 (27)
Canadian Dollar Sell 4/17/13 1,311,360 1,304,938 (6,422)
Euro Sell 6/19/13 2,240,121 2,271,443 31,322
Indian Rupee Sell 5/15/13 560,079 566,409 6,330
Japanese Yen Buy 5/15/13 958,770 989,121 (30,351)
Norwegian Krone Buy 6/19/13 290,015 290,036 (21)
Norwegian Krone Sell 6/19/13 290,015 293,113 3,098
Philippine Peso Buy 5/15/13 338,892 342,439 (3,547)
Russian Ruble Buy 6/19/13 1,217,307 1,228,102 (10,795)
South Korean Won Buy 5/15/13 26,004 48,693 (22,689)
Swiss Franc Sell 6/19/13 1,688,174 1,703,535 15,361
Turkish Lira Buy 6/19/13 539,277 542,613 (3,336)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/17/13 6,287,174 6,245,296 41,878
Brazilian Real Buy 4/17/13 683,488 695,022 (11,534)
British Pound Sell 6/19/13 2,260,341 2,233,520 (26,821)
Canadian Dollar Sell 4/17/13 1,109,627 1,166,404 56,777
Chilean Peso Buy 4/17/13 1,197,866 1,180,602 17,264
Chinese Yuan Buy 5/15/13 842,093 838,583 3,510
Czech Koruna Buy 6/19/13 227,370 230,180 (2,810)
Czech Koruna Sell 6/19/13 227,370 231,696 4,326
Euro Sell 6/19/13 4,114,583 4,198,237 83,654
Japanese Yen Sell 5/15/13 2,026,057 2,142,963 116,906
Malaysian Ringgit Buy 5/15/13 814,710 813,497 1,213
Mexican Peso Buy 4/17/13 1,288,065 1,234,765 53,300
New Taiwan Dollar Buy 5/15/13 342,762 346,703 (3,941)
New Taiwan Dollar Sell 5/15/13 342,762 344,440 1,678
Norwegian Krone Buy 6/19/13 512,723 510,628 2,095
Polish Zloty Buy 6/19/13 386,939 395,150 (8,211)
Russian Ruble Buy 6/19/13 2,248,507 2,263,405 (14,898)
Russian Ruble Sell 6/19/13 2,248,507 2,264,050 15,543
South Korean Won Buy 5/15/13 680,882 693,876 (12,994)
South Korean Won Sell 5/15/13 680,882 679,585 (1,297)
Swedish Krona Buy 6/19/13 1,780,959 1,809,231 (28,272)
Swiss Franc Sell 6/19/13 1,696,188 1,717,900 21,712
Turkish Lira Buy 6/19/13 1,094,641 1,095,105 (464)
Turkish Lira Sell 6/19/13 1,094,641 1,089,691 (4,950)
State Street Bank and Trust Co.
Australian Dollar Sell 4/17/13 888,317 880,088 (8,229)
Brazilian Real Buy 4/17/13 877,691 890,317 (12,626)
British Pound Buy 6/19/13 135,936 135,831 105
British Pound Sell 6/19/13 135,936 134,288 (1,648)
Canadian Dollar Sell 4/17/13 2,441,358 2,472,864 31,506
Chilean Peso Buy 4/17/13 1,532,584 1,516,175 16,409
Colombian Peso Buy 4/17/13 1,325,177 1,347,466 (22,289)
Euro Sell 6/19/13 2,695,174 2,735,194 40,020
Japanese Yen Sell 5/15/13 2,035,707 2,172,589 136,882
Mexican Peso Buy 4/17/13 470,641 442,820 27,821
Polish Zloty Buy 6/19/13 171,434 174,843 (3,409)
South Korean Won Buy 5/15/13 7,670 41,020 (33,350)
Swedish Krona Buy 6/19/13 1,139,960 1,155,015 (15,055)
Swiss Franc Sell 6/19/13 1,198,276 1,217,956 19,680
Turkish Lira Buy 6/19/13 655,778 663,379 (7,601)
UBS AG
Australian Dollar Buy 4/17/13 2,319,858 2,293,304 26,554
British Pound Sell 6/19/13 1,127,133 1,130,980 3,847
Canadian Dollar Sell 4/17/13 1,129,997 1,141,034 11,037
Chilean Peso Buy 4/17/13 2,061,893 2,044,604 17,289
Chilean Peso Sell 4/17/13 2,061,893 2,054,480 (7,413)
Czech Koruna Buy 6/19/13 344,780 348,994 (4,214)
Czech Koruna Sell 6/19/13 344,780 351,315 6,535
Euro Sell 6/19/13 2,922,571 2,968,841 46,270
Japanese Yen Sell 5/15/13 519,216 614,563 95,347
Mexican Peso Buy 4/17/13 526,579 497,595 28,984
New Taiwan Dollar Buy 5/15/13 662,817 672,622 (9,805)
Norwegian Krone Buy 6/19/13 1,131,535 1,138,595 (7,060)
Norwegian Krone Sell 6/19/13 1,131,535 1,131,443 (92)
Philippine Peso Buy 5/15/13 236,349 238,654 (2,305)
Russian Ruble Buy 6/19/13 111,434 112,877 (1,443)
Singapore Dollar Buy 5/15/13 1,216,240 1,217,923 (1,683)
Singapore Dollar Sell 5/15/13 1,216,240 1,207,377 (8,863)
Swedish Krona Buy 6/19/13 1,118,587 1,141,062 (22,475)
Swiss Franc Sell 6/19/13 4,012,392 4,032,436 20,044
Turkish Lira Buy 6/19/13 1,013,052 1,014,789 (1,737)
WestPac Banking Corp.
Australian Dollar Buy 4/17/13 3,293,772 3,280,893 12,879
British Pound Sell 6/19/13 277,189 270,830 (6,359)
Canadian Dollar Sell 4/17/13 1,798,372 1,830,958 32,586
Euro Sell 6/19/13 1,619,233 1,645,464 26,231
Japanese Yen Sell 5/15/13 2,707,313 2,816,719 109,406
Mexican Peso Buy 4/17/13 394,111 383,465 10,646
New Zealand Dollar Buy 4/17/13 1,547,538 1,522,842 24,696
New Zealand Dollar Sell 4/17/13 1,547,538 1,510,416 (37,122)
Total $1,330,667












FUTURES CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 3 yr (Short) 60 $6,806,996             Jun-13 $(24,657)
Australian Government Treasury Bond 10 yr (Short) 2 253,210             Jun-13 (3,428)
Canadian Government Bond 10 yr (Long) 36 4,784,880             Jun-13 107,236
Euro-Bobl 5 yr (Short) 21 3,411,159             Jun-13 (24,025)
Euro-Bund 10 yr (Short) 6 1,118,979             Jun-13 (17,170)
Euro-Dollar 90 day (Long) 1,406 350,340,050             Jun-13 (108,082)
Japanese Government Bond 10 yr (Short) 3 4,648,430             Jun-13 (34,008)
Japanese Government Bond 10 yr Mini (Long) 13 2,013,906             Jun-13 14,721
U.K. Gilt 10 yr (Short) 6 1,082,881             Jun-13 (43,592)
U.S. Treasury Note 10 yr (Short) 1 131,984             Jun-13 (197)
Total $(133,202)












WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/13 (premiums $2,307,597) (Unaudited)


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

Goldman Sachs International
      1.51/6 month EUR-EURIBOR_Reuters/Jan-18 Jan-16/1.51 EUR        66,659,000 $617,781
      1.47/6 month EUR-EURIBOR_Reuters/Jan-18 Jan-16/1.47 EUR        66,659,000 658,795

JPMorgan Chase Bank N.A.
      1.474/6 month EUR-EURIBOR_Reuters/Jan-18 Jan-16/1.474 EUR        66,659,000 637,433
Total $1,914,009













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)
Counterparty        Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract appreciation/
Floating rate index/Maturity date date/strike       amount (depreciation)

Barclays Bank PLC
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 $18,707,000 $2,245
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 18,707,000 (133,194)
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 19,087,000 83,028

Citibank, N.A.
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 19,087,000 82,265
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 5,400,897 21,550

Credit Suisse International
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 22,075,000 (4,194)
     1.83375/3 month USD-LIBOR-BBA/Apr-23 (Purchased) Apr-13/1.83375 21,597,300 (7,559)
     1.83/3 month USD-LIBOR-BBA/Apr-23 (Purchased) Apr-13/1.83 21,597,300 (12,958)
     1.82875/3 month USD-LIBOR-BBA/Apr-23 (Purchased) Apr-13/1.82875 21,597,300 (13,174)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 22,075,000 (145,254)
     (1.39)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.39 92,480,000 (176,636)
     2.386/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.386 23,814,000 126,452
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 19,087,000 81,692
     0.876/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.876 76,296,000 35,859
     2.33375/3 month USD-LIBOR-BBA/Apr-23 (Written) Apr-13/2.33375 21,597,300 16,846
     2.33/3 month USD-LIBOR-BBA/Apr-23 (Written) Apr-13/2.33 21,597,300 6,047
     2.32875/3 month USD-LIBOR-BBA/Apr-23 (Written) Apr-13/2.32875 21,597,300 5,831

Deutsche Bank AG
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 22,075,000 (2,649)
     (1.4075)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.4075 46,240,000 (93,867)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 22,075,000 (141,722)
     (1.37)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.37 92,480,000 (167,389)
     (1.38)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.38 92,480,000 (172,938)
     2.395/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.395 23,814,000 125,024
     2.38/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.38 23,814,000 120,023
     2.40/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/2.40 19,087,000 85,128
     2.425/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.425 11,907,000 68,346
     0.87/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.87 76,296,000 35,859
     0.865/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.865 76,296,000 33,570
     0.8975/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.8975 38,148,000 20,218

Goldman Sachs International
     1.91/3 month USD-LIBOR-BBA/Apr-23 (Purchased) Apr-13/1.91 20,033,400 5,609
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 12,149,509 (13,850)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 12,149,509 (65,850)
     (1.37625)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.37625 46,240,000 (83,232)
     (1.42125)/3 month USD-LIBOR-BBA/May-18 (Purchased) May-13/1.42125 46,240,000 (88,318)
     2.44/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.44 11,907,000 65,727
     2.386/3 month USD-LIBOR-BBA/May-23 (Written) May-13/2.386 11,907,000 59,654
     2.41/3 month USD-LIBOR-BBA/Apr-23 (Written) Apr-13/2.41 20,033,400 18,631
     0.90/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.90 38,148,000 17,548
     0.876/3 month USD-LIBOR-BBA/May-16 (Written) May-13/0.876 38,148,000 17,167
     (1.90)/3 month USD-LIBOR-BBA/Jun-23 (Written) Jun-13/1.90 15,697,392 (20,878)

JPMorgan Chase Bank N.A.
     1.90/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/1.90 6,742,388 (5,259)
     (2.40)/3 month USD-LIBOR-BBA/Jun-23 (Purchased) Jun-13/2.40 6,742,388 (43,758)
Total $(258,360)












TBA SALE COMMITMENTS OUTSTANDING at 3/31/13 (proceeds receivable $71,124,805) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3s, April 1, 2043 $54,000,000       4/11/13 $55,683,283
Government National Mortgage Association, 3s, April 1, 2043 11,000,000       4/18/13 11,485,547
Government National Mortgage Association, 3s, April 1, 2043 4,000,000       4/18/13 4,180,312
Total $71,349,142








OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
$14,023,400 (E) $160,428      6/19/23 3 month USD-LIBOR-BBA 2.00% $37,583
22,256,000 (E) (220,814)     6/19/23 2.00% 3 month USD-LIBOR-BBA (25,851)
CAD 13,478,000 —      2/25/23 2.33% 3 month CAD-BA-CDOR (54,447)
Barclays Bank PLC
$5,303,000 —      2/4/23 3 month USD-LIBOR-BBA 2.0615% 47,305
3,658,000 (E) 4,226      6/19/15 3 month USD-LIBOR-BBA 0.40% 276
3,385,000 (E) 49,760      6/19/23 3 month USD-LIBOR-BBA 2.00% 20,107
2,571,000 (E) (36,351)     6/19/43 3.00% 3 month USD-LIBOR-BBA (18,457)
5,607,000 —      2/28/23 1.96125% 3 month USD-LIBOR-BBA 13,944
252,936,000 (E) (270,849)     6/19/15 0.40% 3 month USD-LIBOR-BBA 2,322
19,403,000 (E) 72,625      6/19/18 3 month USD-LIBOR-BBA 1.00% 24,699
62,200,000 (E) (862,531)     6/19/23 2.00% 3 month USD-LIBOR-BBA (317,659)
CHF 3,884,000 —      12/7/22 0.87% 6 month CHF-LIBOR-BBA 66,013
EUR 26,987,000 —      10/16/22 1.747% 6 month EUR-EURIBOR-REUTERS (635,296)
EUR 53,658,000 (E) —      8/3/17 1 month EUR-EONIA-OIS-COMPOUND 1.41727% 336,342
EUR 13,245,000 —      3/14/23 1.755% 6 month EUR-EURIBOR-Telerate (161,319)
EUR 4,443,000 —      3/18/23 6 month EUR-EURIBOR-Telerate 1.7425% 45,424
EUR 5,136,000 —      3/18/23 6 month EUR-EURIBOR-Telerate 1.748% 55,946
GBP 3,732,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (819,317)
GBP 2,321,000 —      7/25/42 6 month GBP-LIBOR-BBA 2.8425% (107,250)
GBP 4,123,000 —      7/25/22 1.885% 6 month GBP-LIBOR-BBA (59,892)
GBP 6,296,000 —      3/12/23 2.03% 6 month GBP-LIBOR-BBA (119,658)
SEK 12,546,000 —      3/14/23 3 month SEK-STIBOR-SIDE 2.42% 21,389
SEK 31,798,000 —      3/18/23 2.40% 3 month SEK-STIBOR-SIDE (44,491)
Citibank, N.A.
$5,487,000 —      2/26/23 2.038% 3 month USD-LIBOR-BBA (26,443)
4,794,000 —      2/8/23 2.063% 3 month USD-LIBOR-BBA (42,254)
7,068,000 —      2/21/23 2.068% 3 month USD-LIBOR-BBA (57,637)
21,859,000 (E) (21,136)     6/19/15 0.40% 3 month USD-LIBOR-BBA 2,472
14,466,000 (E) (237,647)     6/19/23 2.00% 3 month USD-LIBOR-BBA (110,925)
364,000 (E) (2,840)     6/19/43 3.00% 3 month USD-LIBOR-BBA (306)
13,535,000 (E) (36,055)     6/19/18 1.00% 3 month USD-LIBOR-BBA (2,624)
CZK 32,285,000 —      1/17/23 6 month CZK-PRIBOR-PRBO 1.41% 21,529
GBP 4,854,000 —      2/1/23 6 month GBP-LIBOR-BBA 2.10% 162,342
PLN 5,226,000 —      1/17/23 3.84% 6 month PLN-WIBOR-WIBO (32,885)
SEK 24,408,000 —      8/2/22 3 month SEK-STIBOR-SIDE 2.285% 56,953
SEK 10,882,000 —      12/20/22 2.045% 3 month SEK-STIBOR-SIDE 27,159
SEK 28,598,000 —      3/1/23 2.345% 3 month SEK-STIBOR-SIDE (21,691)
Credit Suisse International
$15,537,000 —      1/9/16 3 month USD-LIBOR-BBA 0.515% 12,714
7,816,000 —      1/11/16 3 month USD-LIBOR-BBA 0.50% 2,683
9,445,000 —      1/11/18 0.88% 3 month USD-LIBOR-BBA 210
2,470,000 —      1/11/23 3 month USD-LIBOR-BBA 1.88% (14,993)
12,875,000 —      1/7/16 3 month USD-LIBOR-BBA 0.54% 20,836
4,911,000 —      1/9/23 3 month USD-LIBOR-BBA 1.93% (5,739)
18,890,000 —      1/9/18 0.9125% 3 month USD-LIBOR-BBA (31,995)
4,035,000 —      1/7/23 3 month USD-LIBOR-BBA 1.94% (545)
15,527,000 —      1/7/18 0.93% 3 month USD-LIBOR-BBA (40,655)
3,969,000 —      2/6/23 2.05% 3 month USD-LIBOR-BBA (30,715)
4,264,000 —      2/12/23 2.0645% 3 month USD-LIBOR-BBA (36,503)
3,380,000 —      2/14/23 2.058% 3 month USD-LIBOR-BBA (26,410)
9,407,000 —      3/4/18 0.9275% 3 month USD-LIBOR-BBA 2,800
1,172,000 (E) (13,384)     6/19/43 3.00% 3 month USD-LIBOR-BBA (5,227)
21,881,000 (E) (337,171)     6/19/23 2.00% 3 month USD-LIBOR-BBA (145,493)
2,446,000 —      3/8/23 3 month USD-LIBOR-BBA 2.01875% 5,389
2,446,000 —      3/11/23 3 month USD-LIBOR-BBA 2.065% 15,223
9,407,000 —      3/11/18 0.9875% 3 month USD-LIBOR-BBA (21,871)
27,349,000 —      3/20/18 0.968125% 3 month USD-LIBOR-BBA (25,502)
7,789,000 —      3/4/16 3 month USD-LIBOR-BBA 0.5025% (3,477)
2,465,000 —      3/4/23 3 month USD-LIBOR-BBA 1.975% (4,171)
6,932,000 —      3/5/23 1.952% 3 month USD-LIBOR-BBA 27,058
42,910,000 (E) (47,537)     6/19/15 0.40% 3 month USD-LIBOR-BBA (1,194)
101,251,000 (E) (331,943)     6/19/18 1.00% 3 month USD-LIBOR-BBA (81,853)
11,665,000 —      3/6/16 3 month USD-LIBOR-BBA 0.495% (8,290)
3,669,000 —      3/6/23 3 month USD-LIBOR-BBA 1.9575% (12,530)
14,111,000 —      3/6/18 0.915% 3 month USD-LIBOR-BBA 13,815
63,268,000 (E) 836,315      6/19/23 3 month USD-LIBOR-BBA 2.00% 282,088
6,228,000 (E) 6,411      6/19/15 3 month USD-LIBOR-BBA 0.40% (315)
7,714,000 —      3/8/16 3 month USD-LIBOR-BBA 0.5175% (353)
9,407,000 —      3/8/18 0.955% 3 month USD-LIBOR-BBA (8,596)
7,714,000 —      3/11/16 3 month USD-LIBOR-BBA 0.535% 3,267
12,891,000 —      3/14/23 3 month USD-LIBOR-BBA 2.10125% 121,971
7,196,000 —      3/20/23 3 month USD-LIBOR-BBA 2.045% 26,060
22,647,000 —      3/20/16 3 month USD-LIBOR-BBA 0.521465% (3,715)
AUD 2,135,000 —      12/5/22 6 month AUD-BBR-BBSW 3.82% (30,856)
AUD 2,703,000 —      2/26/23 6 month AUD-BBR-BBSW 4.07% 12,636
AUD 2,696,000 —      3/7/23 6 month AUD-BBR-BBSW 4.0325% 2,368
CAD 12,847,000 —      3/14/23 2.4525% 3 month CAD-BA-CDOR (183,281)
CAD 11,552,000 —      2/25/23 3 month CAD-BA-CDOR 2.34% 57,123
CHF 1,568,000 —      2/18/23 6 month CHF-LIBOR-BBA 1.185% 16,782
CHF 2,843,000 —      2/27/23 1.20% 6 month CHF-LIBOR-BBA (33,533)
CHF 4,264,000 —      3/8/23 6 month CHF-LIBOR-BBA 1.1075% 7,317
EUR 18,240,000 —      6/28/14 0.85% 6 month EUR-EURIBOR-REUTERS (252,763)
EUR 8,505,000 —      2/4/23 1.89% 6 month EUR-EURIBOR-REUTERS (268,574)
EUR 3,899,000 —      2/15/23 6 month EUR-EURIBOR-Telerate 1.919% 133,740
EUR 9,781,000 —      3/18/23 6 month EUR-EURIBOR-Telerate 1.7525% 111,955
EUR 1,266,000 —      3/19/23 6 month EUR-EURIBOR-Telerate 1.729% 10,794
GBP 1,459,000 —      1/31/23 2.11% 6 month GBP-LIBOR-BBA (51,162)
GBP 1,458,000 —      3/1/23 6 month GBP-LIBOR-BBA 1.9675% 16,427
GBP 4,910,000 —      3/1/23 6 month GBP-LIBOR-BBA 1.975% 60,588
MXN 46,690,000 —      7/21/20 1 month MXN-TIIE-BANXICO 6.895% 393,191
SEK 40,690,000 —      3/15/23 3 month SEK-STIBOR-SIDE 2.405% 60,655
SEK 12,858,000 —      3/19/23 2.41% 3 month SEK-STIBOR-SIDE (19,751)
Deutsche Bank AG
$1,862,000 (E) 4,765      6/19/18 3 month USD-LIBOR-BBA 1.00% 166
42,362,000 (E) 341,814      6/19/23 3 month USD-LIBOR-BBA 2.00% (29,277)
7,974,000 (E) 9,145      6/19/15 3 month USD-LIBOR-BBA 0.40% 533
7,380,000 (E) (153,922)     6/19/23 2.00% 3 month USD-LIBOR-BBA (89,273)
12,000 (E) 27      6/19/43 3 month USD-LIBOR-BBA 3.00% (56)
MXN 46,690,000 —      7/17/20 1 month MXN-TIIE-BANXICO 6.95% 394,247
Goldman Sachs International
$14,899,000 (E) 316,806      6/19/23 3 month USD-LIBOR-BBA 2.00% 186,292
6,513,000 —      2/4/23 3 month USD-LIBOR-BBA 2.06625% 61,014
6,719,000 —      2/19/23 2.0675% 3 month USD-LIBOR-BBA (55,107)
5,608,000 —      2/28/23 1.94% 3 month USD-LIBOR-BBA 25,216
6,886,000 —      3/7/23 1.9775% 3 month USD-LIBOR-BBA 11,065
4,859,000 (E) 6,293      6/19/15 3 month USD-LIBOR-BBA 0.40% 1,045
28,335,400 (E) (517,159)     6/19/23 2.00% 3 month USD-LIBOR-BBA (268,939)
17,565,000 (E) 113,141      6/19/43 3 month USD-LIBOR-BBA 3.00% (9,111)
AUD 22,681,000 —      2/5/23 6 month AUD-BBR-BBSW 3.97% (74,983)
CAD 2,801,000 —      2/25/23 3 month CAD-BA-CDOR 2.385% 25,301
CAD 4,813,000 —      2/25/23 3 month CAD-BA-CDOR 2.34% 23,800
CAD 2,802,000 —      2/26/23 3 month CAD-BA-CDOR 2.27% (3,999)
CAD 5,975,000 —      3/15/23 2.4025% 3 month CAD-BA-CDOR (57,863)
CHF 3,496,000 —      2/21/23 1.1825% 6 month CHF-LIBOR-BBA (36,073)
CHF 2,786,000 —      3/1/23 1.1075% 6 month CHF-LIBOR-BBA (5,894)
CHF 5,609,000 —      3/4/23 1.1225% 6 month CHF-LIBOR-BBA (19,108)
CHF 8,406,000 —      3/7/23 6 month CHF-LIBOR-BBA 1.1025% 10,661
CHF 4,264,000 —      3/8/23 6 month CHF-LIBOR-BBA 1.11% 8,357
EUR 8,610,000 —      10/18/22 1.818% 6 month EUR-EURIBOR-REUTERS (276,993)
EUR 231,753,000 (E) —      8/6/17 1 year EUR-EONIA-OIS-COMPOUND 1.102% 502,053
EUR 56,223,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% 23,318
EUR 56,223,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (128,361)
EUR 56,223,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% 23,311
EUR 56,223,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (134,972)
EUR 56,223,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (12,190)
EUR 56,223,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (88,466)
EUR 3,883,000 —      2/7/23 1.895% 6 month EUR-EURIBOR-Telerate (124,217)
EUR 6,812,000 —      2/22/23 6 month EUR-EURIBOR-Telerate 1.9135% 225,398
EUR 27,165,000 —      2/4/23 1.89% 6 month EUR-EURIBOR-REUTERS (857,826)
EUR 2,604,000 —      2/5/23 1.873% 6 month EUR-EURIBOR-Telerate (76,639)
EUR 32,204,000 —      2/22/15 0.59% 6 month EUR-EURIBOR-Telerate (84,531)
EUR 3,937,000 —      3/7/23 1.741% 6 month EUR-EURIBOR-Telerate (43,640)
EUR 4,524,000 —      3/19/23 6 month EUR-EURIBOR-Telerate 1.736% 42,412
GBP 3,732,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 371,712
GBP 1,177,000 —      1/31/23 6 month GBP-LIBOR-BBA 2.11% 41,260
GBP 1,966,000 —      2/6/23 2.11125% 6 month GBP-LIBOR-BBA (67,801)
GBP 1,699,000 —      2/19/23 2.18625% 6 month GBP-LIBOR-BBA (74,466)
GBP 4,824,000 —      3/5/23 6 month GBP-LIBOR-BBA 2.0275% 93,698
JPY 1,500,228,000 —      2/14/23 0.811% 6 month JPY-LIBOR-BBA (227,726)
JPY 1,294,368,000 —      2/1/23 0.805% 6 month JPY-LIBOR-BBA (194,381)
JPY 760,547,000 —      2/4/23 0.7835% 6 month JPY-LIBOR-BBA (95,816)
JPY 1,284,305,000 —      2/18/23 6 month JPY-LIBOR-BBA 0.8026% 181,340
JPY 1,737,399,000 —      3/12/23 6 month JPY-LIBOR-BBA 0.7525% 140,735
SEK 48,794,000 —      3/18/23 3 month SEK-STIBOR-SIDE 2.4025% 70,001
JPMorgan Chase Bank N.A.
$11,335,000 —      2/5/23 2.0475% 3 month USD-LIBOR-BBA (85,619)
3,949,000 —      2/11/23 2.0225% 3 month USD-LIBOR-BBA (18,251)
12,279,000 —      2/28/18 0.92% 3 month USD-LIBOR-BBA 5,297
2,763,000 —      3/1/23 1.955% 3 month USD-LIBOR-BBA 8,919
12,342,000 (E) (13,690)     6/19/15 0.40% 3 month USD-LIBOR-BBA (360)
19,412,000 —      3/14/23 3 month USD-LIBOR-BBA 2.104% 188,743
381,000 (E) 989      6/19/18 3 month USD-LIBOR-BBA 1.00% 48
17,451,300 (E) (242,766)     6/19/23 2.00% 3 month USD-LIBOR-BBA (89,893)
CAD 4,790,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (100,588)
CAD 9,418,000 —      5/2/15 3 month CAD-BA-CDOR 1.6575% 78,770
CAD 7,003,000 —      2/25/23 3 month CAD-BA-CDOR 2.3825% 61,655
CAD 5,012,000 (276)     2/25/23 3 month CAD-BA-CDOR 2.34% 24,508
CAD 12,838,000 —      2/26/18 3 month CAD-BA-CDOR 1.65% (5,848)
CZK 32,285,000 —      1/16/23 6 month CZK-PRIBOR-PRBO 1.44% 26,206
CZK 32,285,000 —      1/21/23 6 month CZK-PRIBOR-PRBO 1.44% 25,799
EUR 5,124,000 —      1/14/23 1.758% 6 month EUR-EURIBOR-REUTERS (90,040)
EUR 2,420,000 —      7/30/22 6 month EUR-EURIBOR-REUTERS 1.803% 95,842
EUR 5,573,000 —      2/21/23 1.8725% 6 month EUR-EURIBOR-Telerate (156,880)
GBP 3,280,000 —      1/10/23 6 month GBP-LIBOR-BBA 2.1075% 121,580
GBP 2,515,000 —      1/15/23 6 month GBP-LIBOR-BBA 2.0125% 56,911
GBP 4,927,000 —      2/25/23 2.1475% 6 month GBP-LIBOR-BBA (184,848)
GBP 3,178,000 —      12/6/22 1.856% 6 month GBP-LIBOR-BBA (14,882)
GBP 5,714,000 —      2/20/23 2.226% 6 month GBP-LIBOR-BBA (283,049)
GBP 28,206,000 —      2/20/15 6 month GBP-LIBOR-BBA 0.668% 45,148
GBP 3,351,000 —      3/6/23 6 month GBP-LIBOR-BBA 2.022% 62,272
MXN 26,419,000 —      9/11/20 6.82% 1 month MXN-TIIE-BANXICO (213,095)
MXN 34,163,000 —      9/14/20 6.82% 1 month MXN-TIIE-BANXICO (275,988)
MXN 6,670,000 —      7/16/20 1 month MXN-TIIE-BANXICO 6.99% 59,467
MXN 34,260,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (195,347)
MXN 91,248,000 —      7/30/20 6.3833% 1 month MXN-TIIE-BANXICO (520,287)
MXN 34,260,000 —      8/19/20 1 month MXN-TIIE-BANXICO 6.615% 238,590
MXN 51,780,000 —      11/4/20 1 month MXN-TIIE-BANXICO 6.75% 400,787
PLN 5,226,000 —      1/16/23 3.855% 6 month PLN-WIBOR-WIBO (36,264)
PLN 5,226,000 —      1/21/23 3.81% 6 month PLN-WIBOR-WIBO (28,624)
Royal Bank of Scotland PLC (The)
$2,269,000 (E) (30,062)     6/19/23 2.00% 3 month USD-LIBOR-BBA (10,186)
Total $(3,133,249)
(E)   Extended effective date.










OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$1,487,833 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $(7,116)
518,345 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,479)
Barclays Bank PLC
600,705 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,637
1,315,199 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,292)
1,155,202 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,071
983,026 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,314
2,824,895 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (13,510)
10,429,438 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (49,880)
658,012 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,147)
4,213,681 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (20,504)
389,400 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,149
1,521,142 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,275)
136,745 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (654)
605,311 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,656
4,237,180 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 18,594
2,619,777 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,529)
1,411,319 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 698
3,675,595 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (17,885)
3,235,389 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 14,198
1,004,123 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 8,119
177,867 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (394)
975,863 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,749)
7,240,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (128,047)
412,217 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,809
2,277,520 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (9,937)
2,047,172 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 18,256
911,011 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 8,124
3,769,838 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (18,030)
502,701 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,578
3,026,557 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,282
2,866,971 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,951)
2,235,359 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 18,075
1,551,316 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,549)
2,595,234 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,412)
766,728 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,144
471,322 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,069
1,244,730 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,953)
3,721,370 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 21,760
13,862,236 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 60,832
1,301,444 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 11,606
2,870,992 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,599
526,332 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,310
1,706,618 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,492
1,237,496 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,432
4,590,471 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 20,029
171,253 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (441)
170,394 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (829)
8,777,949 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (42,713)
5,946,849 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (15,305)
6,270,035 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic MBX Index 6.50% 30 year Fannie Mae pools 30,510
4,247,723 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic MBX Index 6.00% 30 year Fannie Mae pools 10,932
5,146,288 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 22,454
791,651 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 3,454
1,990,984 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,522
Citibank, N.A.
1,841,963 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,083
4,237,180 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 18,594
2,882,493 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,649
1,602,371 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,664)
2,471,281 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 10,782
3,316,731 (17,620)     1/12/41 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 637
3,974,956 (14,906)     1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,046
Credit Suisse International
1,210,623 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,313
10,805,892 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 96,362
2,701,798 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 24,093
895,855 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (4,285)
1,826,836 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,889)
517,761 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,476)
2,416,782 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools 21,552
2,872,230 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,737
Deutsche Bank AG
1,826,836 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,889)
Goldman Sachs International
1,735,610 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (8,301)
519,080 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 257
2,591,731 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,282
4,140,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 28,111
3,105,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 17,916
828,885 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,834)
1,616,396 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,731)
1,627,038 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (7,099)
3,264,400 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (15,616)
3,264,400 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (15,616)
1,344,075 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,428)
1,489,744 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,500)
257,425 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (1,123)
3,357,266 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (16,057)
1,522,895 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,283)
5,394,302 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (23,536)
4,985,743 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (21,753)
1,279,450 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,226)
480,624 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,339)
9,282,252 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (40,499)
2,308,522 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (10,072)
769,629 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,681)
2,414,076 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,546)
917,752 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 454
945,835 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 468
2,240,515 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,716)
63,109 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (140)
1,821,352 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (7,947)
13,883,817 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (75,045)
994,292 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 492
593,969 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 294
1,988,401 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 983
1,466,493 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,398)
406,056 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (898)
5,558,042 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (26,582)
3,201,236 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (15,310)
893,323 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,347)
2,239,930 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,713)
1,682,431 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (8,046)
4,325,000 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (20,685)
1,752,766 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,529)
1,071,855 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,216)
32,053 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (71)
82,208 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (400)
219,054 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,066)
4,455,000 —      4/3/17 2.3225% USA Non Revised Consumer Price Index- Urban (CPI-U) 9,266
4,455,000 —      4/4/17 2.35% USA Non Revised Consumer Price Index- Urban (CPI-U) 15,860
520,683 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,490)
562,167 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,244)
1,124,169 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,488)
2,096,757 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,028)
1,432,901 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,853)
2,746,004 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (13,133)
1,959,428 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,371)
4,081,897 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (19,522)
4,455,000 —      4/5/17 2.355% USA Non Revised Consumer Price Index- Urban (CPI-U) 17,152
4,455,000 —      4/5/22 2.66% USA Non Revised Consumer Price Index- Urban (CPI-U) 16,884
3,711,400 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (17,750)
4,250,623 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (20,334)
4,209,877 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 20,134
4,194,683 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 20,062
623,826 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,984
623,826 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,984
1,516,871 (1,896)     1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 4,910
GBP 2,780,000 —      3/30/17 (3.0925%) GBP Non-revised UK Retail Price Index 67,501
GBP 2,780,000 —      4/2/17 (3.085%) GBP Non-revised UK Retail Price Index 58,039
GBP 5,560,000 —      9/20/17 2.6625% GBP Non-revised UK Retail Price Index (378,310)
GBP 2,780,000 —      9/21/17 2.66% GBP Non-revised UK Retail Price Index (189,703)
GBP 2,780,000 —      4/3/17 (3.09%) GBP Non-revised UK Retail Price Index 56,898
JPMorgan Chase Bank N.A.
$5,428,894 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (25,965)
3,584,022 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (15,637)
GBP 2,520,000 —      9/12/14 2.825% GBP Non-revised UK Retail Price Index (62,160)
Total $(715,637)










OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/13 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
        DJ CDX NA CMBX BBB Index BBB-/P $10,546 $175,000 5/11/63 300 bp $(1,532)
        DJ CDX NA CMBX BBB Index BBB-/P 17,020 249,000 5/11/63 300 bp (165)
        DJ CDX NA CMBX BBB Index BBB-/P 21,545 349,000 5/11/63 300 bp (2,542)
        DJ CDX NA CMBX BBB Index BBB-/P 20,577 361,000 5/11/63 300 bp (4,338)
Barclays Bank PLC
        Irish Gov't, 4.50%, 4/18/2020 — (45,669) 570,000 9/20/17 (100 bp) (28,229)
        Obrigacoes Do Tesouro, 5.45%, 9/23/13 — (93,003) 570,000 9/20/17 (100 bp) (28,503)
Credit Suisse International
        DJ CDX NA HY Series 19 Index — 81,640 2,041,000 12/20/17 (500 bp) (3,898)
        DJ CDX NA HY Series 20 Index — 62,460 2,082,000 6/20/18 (500 bp) (4,630)
        DJ CDX NA HY Series 20 Index — 59,954 2,041,000 6/20/18 (500 bp) (3,868)
        Spain Gov't, 5.50%, 7/30/2017 — (67,198) 570,000 9/20/17 (100 bp) (23,909)
Deutsche Bank AG
        Republic of Argentina, 8.28%, 12/31/33 B3 60,808 520,000 3/20/17 500 bp (216,144)
        Russian Federation, 7 1/2%, 3/31/30 — — 187,500 4/20/13 (112 bp) (999)
        Smurfit Kappa Funding, 7 3/4%, 4/1/15 B+ — EUR 405,000 9/20/13 715 bp 18,764
        Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 375,000 9/20/13 535 bp 11,878
        Virgin Media Finance PLC, 8 3/4%, 4/15/14 BB- — EUR 375,000 9/20/13 477 bp 10,434
JPMorgan Chase Bank N.A.
        DJ CDX NA HY Series 19 Index B+/P (58,044) $3,572,000 12/20/17 500 bp 97,611
        DJ CDX NA HY Series 19 Index — 163,320 4,083,000 12/20/17 (500 bp) (7,799)
        DJ CDX NA HY Series 20 Index — 122,318 4,164,000 6/20/18 (500 bp) (11,862)
        DJ CDX NA HY Series 20 Index — 254,158 8,424,000 6/20/18 (500 bp) (9,260)
        Russian Federation, 7 1/2%, 3/31/30 Baa1 — 95,000 9/20/13 276 bp 1,081
Total $(207,910)
*   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 March 31, 2013. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CZK Czech Koruna
EUR Euro
GBP British Pound
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
USD / $ United States Dollar
Key to holding's abbreviations
bp Basis Points
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
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
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 January 1, 2013 through March 31, 2013 (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, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $449,153,925.
(b) The aggregate identified cost on a tax basis is $592,274,296, resulting in gross unrealized appreciation and depreciation of $18,672,799 and $7,649,309, respectively, or net unrealized appreciation of $11,023,490.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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 and Putnam Short Term Investment Fund, which are 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 * $46,431,444 $33,271,125 $79,702,569 $8,957 $—
Putnam Short Term Investment Fund * — 72,098,796 28,115,166 3,867 43,983,630
Totals $46,431,444 $105,369,921 $107,817,735 $12,824 $43,983,630
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) 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 $130,440,218 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 84.6%
Russia 2.3
Venezuela 1.7
Luxembourg 1.3
Argentina 1.3
Ukraine 1.0
Greece 0.9
United Kingdom 0.9
Ireland 0.8
Germany 0.7
Brazil 0.6
Canada 0.6
Turkey 0.5
Other 2.8
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 under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
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. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
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 manage exposure to market risk, to hedge interest rate risk and to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The 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 OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
An OTC 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 clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and to manage exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. 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 $162,124 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $2,736,735 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $2,261,188.
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 $262,022 $284 $3,622
Total common stocks 262,022 284 3,622
Convertible bonds and notes — 690,698 —
Convertible preferred stocks 167,580 617,948 —
Corporate bonds and notes — 156,601,242 —
Foreign government and agency bonds and notes — 39,154,854 —
Mortgage-backed securities — 191,082,735 —
Preferred stocks — 802,824 —
Purchased swap options outstanding — 2,475,810 —
Senior loans — 5,922,388
U.S. government and agency mortgage obligations — 152,803,768 —
Warrants — 2,174 —
Short-term investments 45,323,630 7,386,207 —
Totals by level $45,753,232 $557,540,932 $3,622



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $1,330,667 $—
Futures contracts (133,202) — —
Written swap options outstanding — (1,914,009) —
Forward premium swap option contracts — (258,360) —
TBA sale commitments — (71,349,142) —
Interest rate swap contracts — (1,679,861) —
Total return swap contracts — (681,215) —
Credit default contracts — (818,342) —
Totals by level $(133,202) $(75,370,262) $—


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 derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $323,041 $1,141,383
Foreign exchange contracts 2,238,559 907,892
Equity contracts 2,174 —
Interest rate contracts 12,653,020 14,843,857
Total $15,216,794 $16,893,132


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) $786,500,000
Written swap option contracts (contract amount) $678,700,000
Futures contracts (number of contracts) 1,000
Forward currency contracts (contract amount) $376,900,000
OTC interest rate swap contracts (notional) $2,533,600,000
OTC total return swap contracts (notional) $360,400,000
OTC credit default swap contracts (notional) $25,600,000
Warrants (number of warrants) 100

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 Variable Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: May 24, 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: May 24, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: May 24, 2013

EX-99.CERT 2 b_PVTcertifications.htm EX-99.CERT b_PVTcertifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

/s/ Jonathan S. Horwitz
_____________________________

Date: May 23, 2013
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

/s/ Steven D. Krichmar
_______________________________

Date: May 23, 2013
Steven D. Krichmar
Principal Financial Officer














Attachment A

Period (s) ended March 31, 2013
               Putnam Europe Equity Fund
               Putnam International Equity Fund
               Putnam Multi-Cap Growth Fund
               Putnam Small Cap Growth Fund
               Putnam International Value Fund

               Putnam VT Absolute 500 Fund
               Putnam VT American Government Income Fund
               Putnam VT Capital Opportunities Fund
               Putnam VT Diversified Income Fund
               Putnam VT Equity Income Fund
               Putnam VT George Putnam Balanced Fund
               Putnam VT Global Asset Allocation Fund
               Putnam VT Global Equity Fund
               Putnam VT Global Health Care Fund
               Putnam VT Global Utilities Fund
               Putnam VT Growth and Income Fund
               Putnam VT Growth Opportunities Fund
               Putnam VT High Yield Fund
               Putnam VT Income Fund
               Putnam VT International Equity Fund
               Putnam VT International Value Fund
               Putnam VT International Growth Fund
               Putnam VT Investors Fund
               Putnam VT Multi-Cap Value Fund
               Putnam VT Money Market Fund
               Putnam VT Multi-Cap Growth Fund
               Putnam VT Research Fund
               Putnam VT Small Cap Value Fund
               Putnam VT Voyager Fund