0000928816-14-001846.txt : 20141126 0000928816-14-001846.hdr.sgml : 20141126 20141126162351 ACCESSION NUMBER: 0000928816-14-001846 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20140930 FILED AS OF DATE: 20141126 DATE AS OF CHANGE: 20141126 EFFECTIVENESS DATE: 20141126 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: 141254033 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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: December 31, 2014
Date of reporting period: September 30, 2014



Item 1. Schedule of Investments:













Putnam VT Diversified Income Fund

The fund's portfolio
9/30/14 (Unaudited)
MORTGAGE-BACKED SECURITIES (45.0%)(a)
Principal amount Value
Agency collateralized mortgage obligations (18.8%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.986s, 2032 $163,610 $237,277
     IFB Ser. 3408, Class EK, 25.175s, 2037 65,882 94,418
     IFB Ser. 2979, Class AS, 23.71s, 2034 19,705 25,369
     IFB Ser. 3072, Class SM, 23.233s, 2035 167,298 236,222
     IFB Ser. 3072, Class SB, 23.087s, 2035 171,474 240,465
     IFB Ser. 3249, Class PS, 21.768s, 2036 140,456 189,641
     IFB Ser. 3065, Class DC, 19.399s, 2035 321,438 454,475
     IFB Ser. 3998, Class KS, IO, 6.546s, 2027 2,211,139 358,619
     IFB Ser. 319, Class S2, IO, 5.846s, 2043 1,300,705 310,530
     IFB Ser. 4240, Class SA, IO, 5.846s, 2043 7,961,572 1,804,490
     IFB Ser. 4245, Class AS, IO, 5.846s, 2043 5,230,088 1,166,631
     IFB Ser. 317, Class S3, IO, 5.826s, 2043 3,509,139 798,697
     IFB Ser. 326, Class S2, IO, 5.796s, 2044 7,477,996 1,772,332
     IFB Ser. 323, Class S1, IO, 5.796s, 2044 3,448,739 836,986
     IFB Ser. 310, Class S4, IO, 5.796s, 2043 3,565,009 910,361
     IFB Ser. 311, Class S1, IO, 5.796s, 2043 3,110,225 692,025
     IFB Ser. 308, Class S1, IO, 5.796s, 2043 2,667,044 666,654
     IFB Ser. 269, Class S1, IO, 5.796s, 2042 2,069,537 461,383
     IFB Ser. 314, Class AS, IO, 5.736s, 2043 2,789,389 645,677
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 3,076,885 662,146
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,557,544 317,739
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 3,515,116 760,758
     Ser. 4220, Class IE, IO, 4s, 2028 2,262,845 297,270
     Ser. 311, Class IO, IO, 3 1/2s, 2043 2,162,382 514,178
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 4,335,015 628,261
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,943,206 286,817
     Ser. 304, IO, 3 1/2s, 2027 3,842,098 480,493
     Ser. 304, Class C37, IO, 3 1/2s, 2027 2,847,281 361,377
     Ser. 4210, Class PI, IO, 3s, 2041 3,079,719 338,168
     Ser. 304, Class C45, IO, 3s, 2027 3,207,819 371,795
     Ser. T-57, Class 1AX, IO, 0.393s, 2043 1,586,033 17,401
     Ser. 3300, PO, zero %, 2037 52,708 46,677
     FRB Ser. 3326, Class WF, zero %, 2035 1,223 941
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.973s, 2036 88,220 163,367
     IFB Ser. 06-8, Class HP, 24s, 2036 256,558 391,095
     IFB Ser. 07-53, Class SP, 23.634s, 2037 162,994 237,950
     IFB Ser. 08-24, Class SP, 22.717s, 2038 202,404 298,660
     IFB Ser. 05-122, Class SE, 22.559s, 2035 256,257 361,642
     IFB Ser. 05-83, Class QP, 16.992s, 2034 194,071 245,604
     IFB Ser. 13-101, Class HS, IO, 6.346s, 2043 1,461,648 388,565
     IFB Ser. 13-81, Class US, IO, 6.096s, 2043 1,912,941 330,346
     IFB Ser. 13-10, Class KS, IO, 6.046s, 2043 1,484,756 302,534
     Ser. 12-134, Class SA, IO, 5.996s, 2042 2,751,913 657,794
     IFB Ser. 13-19, Class SK, IO, 5.996s, 2043 2,521,589 539,756
     IFB Ser. 12-128, Class ST, IO, 5.996s, 2042 1,832,313 427,534
     IFB Ser. 13-124, Class SB, IO, 5.796s, 2043 1,689,245 393,277
     IFB Ser. 411, Class S1, IO, 5.796s, 2042 2,339,493 521,262
     IFB Ser. 13-103, Class SK, IO, 5.766s, 2043 1,756,462 426,989
     IFB Ser. 13-128, Class CS, IO, 5.746s, 2043 3,032,414 716,923
     IFB Ser. 13-101, Class CS, IO, 5.746s, 2043 2,072,192 505,408
     Ser. 374, Class 6, IO, 5 1/2s, 2036 363,881 73,540
     Ser. 12-132, Class PI, IO, 5s, 2042 7,648,439 1,660,094
     Ser. 10-13, Class EI, IO, 5s, 2038 75,700 1,352
     Ser. 378, Class 19, IO, 5s, 2035 1,076,850 217,913
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 851,207 217,577
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 5,886,482 1,166,230
     Ser. 409, Class 81, IO, 4 1/2s, 2040 4,425,879 1,017,591
     Ser. 409, Class 82, IO, 4 1/2s, 2040 2,905,119 680,461
     Ser. 366, Class 22, IO, 4 1/2s, 2035 422,136 30,065
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 2,112,188 285,737
     Ser. 418, Class C24, IO, 4s, 2043 2,435,675 565,819
     Ser. 13-41, Class IP, IO, 4s, 2043 2,624,962 478,741
     Ser. 13-44, Class PI, IO, 4s, 2043 2,501,675 418,542
     Ser. 12-96, Class PI, IO, 4s, 2041 1,159,233 193,685
     Ser. 406, Class 2, IO, 4s, 2041 2,717,436 581,260
     Ser. 406, Class 1, IO, 4s, 2041 1,894,252 405,559
     Ser. 409, Class C16, IO, 4s, 2040 3,291,976 747,104
     Ser. 418, Class C15, IO, 3 1/2s, 2043 5,101,899 1,135,173
     Ser. 13-35, Class IP, IO, 3s, 2042 3,283,482 384,142
     Ser. 13-53, Class JI, IO, 3s, 2041 3,415,888 434,992
     Ser. 13-23, Class PI, IO, 3s, 2041 3,828,651 369,771
     Ser. 03-W10, Class 1, IO, 1.05s, 2043 494,869 13,261
     Ser. 00-T6, IO, 0.719s, 2030 1,437,079 30,538
     Ser. 99-51, Class N, PO, zero %, 2029 16,380 14,742
Government National Mortgage Association
     IFB Ser. 10-163, Class SI, IO, 6.476s, 2037 3,585,960 471,370
     IFB Ser. 11-56, Class MI, IO, 6.297s, 2041 2,430,805 515,622
     IFB Ser. 13-113, Class SL, IO, 6.077s, 2042 1,803,333 303,679
     IFB Ser. 13-129, Class SN, IO, 5.997s, 2043 2,196,083 380,252
     IFB Ser. 13-165, Class LS, IO, 5.997s, 2043 2,064,684 377,590
     IFB Ser. 10-20, Class SC, IO, 5.997s, 2040 1,793,065 320,869
     Ser. 13-116, Class SA, IO, 5.996s, 2043 2,178,833 389,118
     Ser. 13-182, Class LS, IO, 5.987s, 2043 1,788,057 404,630
     IFB Ser. 12-77, Class MS, IO, 5.947s, 2042 1,986,959 458,829
     IFB Ser. 13-99, Class VS, IO, 5.946s, 2043 1,223,623 229,111
     IFB Ser. 11-128, Class TS, IO, 5.896s, 2041 1,798,851 335,126
     IFB Ser. 11-70, Class SM, IO, 5.736s, 2041 3,437,000 677,708
     IFB Ser. 11-70, Class SH, IO, 5.736s, 2041 3,530,000 718,849
     Ser. 13-22, Class OI, IO, 5s, 2043 2,756,969 630,858
     Ser. 13-3, Class IT, IO, 5s, 2043 2,460,179 559,205
     Ser. 13-6, Class IC, IO, 5s, 2043 1,642,753 341,446
     Ser. 12-146, Class IO, IO, 5s, 2042 3,829,181 843,262
     Ser. 13-130, Class IB, IO, 5s, 2040 1,982,068 231,803
     Ser. 13-16, Class IB, IO, 5s, 2040 2,839,345 255,887
     Ser. 11-41, Class BI, IO, 5s, 2040 2,128,441 249,346
     Ser. 10-35, Class UI, IO, 5s, 2040 2,238,614 505,821
     Ser. 10-20, Class UI, IO, 5s, 2040 1,938,256 368,598
     Ser. 10-9, Class UI, IO, 5s, 2040 12,152,681 2,728,509
     Ser. 09-121, Class UI, IO, 5s, 2039 4,113,265 953,167
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 5,617,299 1,176,363
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,133,009 239,745
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 3,315,113 683,344
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 385,307 69,432
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 3,894,481 735,317
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 9,899,318 2,085,892
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 4,025,353 850,340
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 1,937,788 422,351
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 940,630 151,893
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 4,421,781 656,413
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,210,868 129,175
     Ser. 13-165, Class IL, IO, 4s, 2043 1,905,795 321,222
     Ser. 12-47, Class CI, IO, 4s, 2042 3,768,779 752,819
     Ser. 13-102, Class IP, IO, 3 1/2s, 2043 2,858,562 368,280
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 7,168,103 1,032,279
     Ser. 13-28, Class IO, IO, 3 1/2s, 2043 2,625,128 415,816
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 3,148,037 500,097
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 5,045,312 749,279
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 3,459,709 525,218
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 2,796,870 627,790
     Ser. 06-36, Class OD, PO, zero %, 2036 4,340 3,805
60,766,393
Commercial mortgage-backed securities (16.7%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 697,000 726,833
     Ser. 06-6, Class AJ, 5.421s, 2045 817,000 840,598
     FRB Ser. 05-6, Class G, 5.349s, 2047 829,000 812,685
Banc of America Commercial Mortgage Trust 144A
     Ser. 01-1, Class K, 6 1/8s, 2036 243,168 120,077
     Ser. 07-5, Class XW, IO, 0.529s, 2051 30,795,220 292,401
Banc of America Merrill Lynch Commercial Mortgage, Inc. Ser. 05-4, Class C, 5.147s, 2045 927,000 899,190
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 06-PW11, Class AJ, 5.6s, 2039 155,000 160,958
     Ser. 05-PWR7, Class B, 5.214s, 2041 923,000 929,590
     Ser. 05-PWR9, Class C, 5.055s, 2042 499,000 493,346
     Ser. 05-PWR9, Class AJ, 4.985s, 2042 229,000 235,790
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.744s, 2047 426,000 447,790
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 779,000 752,226
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.316s, 2044 578,000 572,220
     Ser. 07-CD5, Class XS, IO, 0.077s, 2044 24,026,294 108,634
COMM Mortgage Trust FRB Ser. 04-LB3A, Class E, 5.863s, 2037 351,297 351,297
COMM Mortgage Trust 144A
     FRB Ser. 14-CR18, Class D, 4.898s, 2047 1,674,000 1,547,483
     FRB Ser. 13-LC6, Class D, 4.431s, 2046 224,000 208,305
     FRB Ser. 13-LC13, Class E, 3.719s, 2046 566,000 418,270
     FRB Ser. 07-C9, Class AJFL, 0.844s, 2049 454,000 417,630
Credit Suisse Commercial Mortgage Trust Ser. 06-C5, Class AX, IO, 0.92s, 2039 23,413,598 297,933
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C5, Class C, 5.1s, 2038 496,000 508,728
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 495,576 247,788
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.578s, 2044 440,000 462,286
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.003s, 2020 1,951,040 30,027
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 351,000 258,136
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 561,000 557,561
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,053,000 1,054,475
GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 2,872,000 2,911,868
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.826s, 2045 757,000 789,695
     FRB Ser. 11-GC3, Class D, 5.726s, 2044 222,000 237,435
     FRB Ser. 11-GC3, Class E, 5s, 2044 528,000 498,022
     FRB Ser. GC10, Class D, 4.562s, 2046 1,099,000 1,015,894
     Ser. 05-GG4, Class XC, IO, 0.881s, 2039(F) 74,144,027 244,675
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.155s, 2030 (Cayman Islands) 143,758 129,483
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.279s, 2051 723,500 740,046
     FRB Ser. 06-LDP6, Class B, 5.687s, 2043 790,000 790,000
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 1,508,000 1,542,081
     Ser. 06-LDP8, Class B, 5.52s, 2045 370,000 372,013
     FRB Ser. 05-LDP3, Class D, 5.366s, 2042 1,173,000 1,176,050
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 316,000 316,428
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 807,000 809,555
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.379s, 2051 704,000 720,095
     FRB Ser. 07-CB20, Class C, 6.379s, 2051 1,004,000 944,714
     FRB Ser. 11-C3, Class E, 5.753s, 2046 812,000 867,362
     FRB Ser. 11-C3, Class F, 5.753s, 2046 401,000 403,580
     FRB Ser. 12-C8, Class E, 4.822s, 2045 205,000 202,210
     FRB Ser. 13-C13, Class D, 4.191s, 2046 638,000 588,167
     FRB Ser. 13-C13, Class E, 3.986s, 2046 628,000 505,436
     FRB Ser. 13-C10, Class E, 3 1/2s, 2047 833,000 611,255
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 558,000 396,571
     Ser. 07-CB20, Class X1, IO, 0.195s, 2051 42,782,055 368,653
LB Commercial Conduit Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 519,716 548,300
     Ser. 98-C4, Class J, 5.6s, 2035 379,000 399,352
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.925s, 2039 388,000 350,655
     Ser. 06-C3, Class AJ, 5.72s, 2039 731,000 732,857
     Ser. 06-C6, Class E, 5.541s, 2039 900,000 839,466
     FRB Ser. 06-C6, Class C, 5.482s, 2039 558,000 549,630
Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.371s, 2028 35,998 3
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.47s, 2051 575,000 633,253
     FRB Ser. 07-C1, Class A3, 6.028s, 2050 23,715 23,750
     Ser. 05-MCP1, Class D, 5.023s, 2043 454,000 451,680
Mezz Cap Commercial Mortgage Trust 144A Ser. 07-C5, Class X, IO, 5.939s, 2049 938,585 50,777
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 464,000 465,870
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,320,000 1,368,841
     FRB Ser. 06-HQ8, Class D, 5.676s, 2044 513,000 493,660
     Ser. 07-HQ11, Class C, 5.558s, 2044 700,000 696,157
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 545,000 549,720
     Ser. 04-IQ8, Class C, 5.3s, 2040 231,676 229,813
Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039 915,797 869,724
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 1,140,328 1,140,886
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 158,000 31,600
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 467,018 116,755
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C3, Class D, 5.123s, 2049 332,000 325,264
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.2s, 2045 2,423,000 2,455,396
     FRB Ser. 06-C25, Class AJ, 5.896s, 2043 735,000 744,188
     FRB Ser. 05-C20, Class B, 5.409s, 2042 1,922,000 1,973,595
     Ser. 07-C34, IO, 0.465s, 2046 11,991,243 97,489
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 03-C8, Class H, 5.938s, 2035 820,231 760,460
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 12-LC5, Class E, 4.937s, 2045 479,000 422,143
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.823s, 2044 319,000 339,585
     FRB Ser. 12-C8, Class E, 5.039s, 2045 700,000 703,063
     FRB Ser. 12-C7, Class E, 5.001s, 2045 441,000 441,689
     FRB Ser. 12-C6, Class E, 5s, 2045 525,000 490,439
     FRB Ser. 11-C4, Class F, 5s, 2044 1,270,000 1,196,311
     FRB Ser. 12-C7, Class F, 4 1/2s, 2045 2,626,000 2,183,782
     Ser. 14-C19, Class D, 4.234s, 2047 437,000 400,811
54,010,509
Residential mortgage-backed securities (non-agency) (9.5%)
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 9A4, 7.716s, 2036 310,000 314,340
     FRB Ser. 12-RR10, Class 9A2, 2.664s, 2035 1,270,000 1,187,577
Barclays Capital, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 6.377s, 2036 800,000 765,200
     FRB Ser. 12-RR12, Class 4A7, 2.768s, 2036 520,000 483,600
     FRB Ser. 09-RR11, Class 2A2, 2.41s, 2035 1,060,000 964,600
     FRB Ser. 14-RR2, Class 3A2, 1.078s, 2046 510,000 344,888
     FRB Ser. 13-RR8, Class 2A2, 0.305s, 2036 501,701 424,564
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-12, Class 12A1, 2.582s, 2036 687,444 609,166
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.03s, 2034 34,783 5,499
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 41891, Class 7A2, 2.582s, 2036 700,000 665,210
     FRB Ser. 12-4, Class 3A2, 2.53s, 2036 714,162 621,321
     FRB Ser. 11-12, Class 2A2, 0.525s, 2035 1,160,000 1,015,000
Countrywide Alternative Loan Trust
     Ser. 06-26CB, Class A8, 6 1/4s, 2036 392,118 337,221
     Ser. 05-38, Class A1, 1.615s, 2035 445,434 405,345
     FRB Ser. 05-76, Class 2A1, 1.117s, 2036 493,186 438,294
     FRB Ser. 05-38, Class A3, 0.505s, 2035 1,253,154 1,090,244
     FRB Ser. 05-59, Class 1A1, 0.486s, 2035 906,862 739,093
     FRB Ser. 05-51, Class 1A1, 0.474s, 2035 925,439 777,924
     FRB Ser. 07-OA10, Class 2A1, 0.405s, 2047 424,875 354,771
Countrywide Home Loans FRB Ser. 06-OA5, Class 1A1, 0.355s, 2046 429,877 358,432
Credit Suisse First Boston Mortgage Securities Corp. FRB Ser. 03-AR30, Class CB1, 2.484s, 2034 417,958 379,098
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 328,968 550,905
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 880,000 1,139,272
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 $2,173 2,169
Morgan Stanley Resecuritization Trust 144A Ser. 13-R7, Class 9B, 5 1/2s, 2046 825,000 817,575
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.685s, 2035 391,645 343,081
     FRB Ser. 05-3, Class M1, 5/8s, 2035 386,129 345,586
     FRB Ser. 05-3, Class A2, 0.505s, 2035 551,613 493,694
Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.545s, 2035 417,430 382,992
Residential Accredit Loans, Inc.
     FRB Ser. 06-QO7, Class 2A1, 0.967s, 2046(F) 1,816,664 1,280,748
     FRB Ser. 06-QO7, Class 1A1, 0.917s, 2046 418,595 284,644
     FRB Ser. 06-QO5, Class 2A1, 0.345s, 2046 1,090,015 842,037
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.187s, 2046 1,939,517 1,755,263
     FRB Ser. 06-AR3, Class A1B, 1.117s, 2046 1,125,075 920,311
     FRB Ser. 05-AR19, Class A1C3, 0.655s, 2045 2,207,129 1,994,803
     FRB Ser. 05-AR8, Class 2AC2, 0.615s, 2045 1,352,478 1,218,583
     FRB Ser. 05-AR11, Class A1B2, 0.605s, 2045 801,935 715,727
     FRB Ser. 05-AR13, Class A1B2, 0.585s, 2045 1,014,402 916,513
     FRB Ser. 05-AR17, Class A1B2, 0.565s, 2045 846,258 745,807
     FRB Ser. 05-AR19, Class A1C4, 0.555s, 2045 746,039 675,166
     FRB Ser. 05-AR11, Class A1B3, 0.555s, 2045 1,535,592 1,370,456
     FRB Ser. 05-AR8, Class 2AC3, 0.545s, 2045 482,199 432,774
     FRB Ser. 05-AR6, Class 2A1C, 0.495s, 2045 620,947 557,300
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.315s, 2047 1,000,000 760,000
30,826,793
Total mortgage-backed securities (cost $133,425,400) $145,603,695

CORPORATE BONDS AND NOTES (30.9%)(a)
Principal amount Value
Basic materials (2.3%)
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 $35,000 $37,064
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 50,000 50,065
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) 355,000 433,100
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) 90,000 92,700
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 211,000 221,550
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 135,000 131,456
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 265,000 282,225
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 500,000 498,600
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 205,000 211,663
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 145,000 138,475
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 15,000 15,225
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 51,000 51,701
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 214,000 221,223
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 264,000 273,900
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 158,000 182,095
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 172,000 172,860
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 238,000 242,463
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 85,000 90,525
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 170,000 181,050
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 387,000 417,960
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 260,000 256,100
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom) 70,000 74,725
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 330,000 368,775
JMC Steel Group, Inc. 144A sr. unsecured notes 8 1/4s, 2018 49,000 49,490
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 256,000 272,640
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 100,000 89,750
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 134,000 135,340
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 155,000 165,656
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 215,000 224,138
PQ Corp. 144A sr. notes 8 3/4s, 2018 170,000 180,413
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 128,000 134,400
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 192,000 202,560
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 35,000 37,319
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 170,000 166,175
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 54,000 61,560
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 40,000 42,250
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 25,000 25,188
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 50,000 50,250
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 30,000 30,450
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 134,000 147,568
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 40,000 42,200
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 180,000 191,250
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 130,000 132,925
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 70,000 67,725
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 163,000 167,075
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 105,000 106,706
7,368,528
Capital goods (1.4%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 470,000 489,975
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 508,000 571,500
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 120,000 116,400
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 60,000 57,450
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 101,063
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 33,000 36,548
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 247,000 273,244
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 200,000 189,000
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 7,000 1,750
Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 85,000 80,750
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 248,000 255,440
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 127,000 118,745
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 329,000 330,645
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 207,000 219,420
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 210,000 213,675
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 200,000 215,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 110,000 114,538
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 265,000 280,238
Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 (Netherlands)(PIK) EUR 110,000 145,395
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 $55,000 57,613
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 270,000 280,800
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 50,000 53,375
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 240,000 232,800
TransDigm, Inc. 144A sr. unsec. sub. notes 6 1/2s, 2024 40,000 39,850
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 85,000 85,000
4,560,464
Communication services (3.9%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 200,000 203,500
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 66,000 72,600
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 13,000 14,089
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 662,000 690,135
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 125,000 122,188
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 85,000 81,600
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 100,000 103,875
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 175,000 187,688
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 50,000 51,575
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 257,000 254,751
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 90,000 87,300
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 200,000 213,000
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 130,000 124,800
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 200,000 206,020
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 343,000 349,448
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 340,000 365,500
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 169,000 188,435
Frontier Communications Corp. sr. unsec. notes 6 7/8s, 2025 20,000 19,750
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 20,000 19,800
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 60,000 62,250
Inmarsat Finance PLC 144A company guaranty sr. unsec. notes 4 7/8s, 2022 (United Kingdom) 100,000 97,750
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 105,000 106,050
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 189,000 201,758
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 154,000 160,545
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 599,000 610,231
Level 3 Escrow II, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 130,000 128,050
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 184,000 199,180
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 50,000 53,250
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 26,000 27,398
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 65,000 66,950
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default)(NON) 75,000 50,063
Numericable Group SA 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 130,252
Numericable Group SA 144A sr. notes 6s, 2022 (France) $600,000 604,500
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 221,000 219,343
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 185,000 212,082
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 140,000 134,400
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 70,000 71,225
Sprint Capital Corp. company guaranty 6 7/8s, 2028 182,000 173,810
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 270,000 301,725
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 531,000 613,305
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 245,000 259,700
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 175,000 182,219
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 297,000 302,940
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 85,000 88,294
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 85,000 84,788
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 258,000 260,580
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 240,000 240,600
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 60,000 59,925
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 365,000 517,303
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 110,000 150,003
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany) EUR 175,000 233,449
Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany) EUR 400,000 534,230
UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) EUR 421,000 574,566
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $201,000 198,990
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom) GBP 50,000 84,772
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 290,000 483,062
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 $349,000 376,920
Wind Acquisition Finance SA 144A sr. bonds 4s, 2020 (Luxembourg) EUR 125,000 155,489
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 $149,000 158,685
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 110,000 106,150
12,632,836
Consumer cyclicals (4.7%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 165,000 160,050
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 115,000 126,644
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 115,000 115,863
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 173,000 189,435
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 231,000 231,289
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 62,000 55,490
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 250,000 259,375
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 100,000 102,310
Building Materials Corp. of America 144A company guaranty sr. notes 7 1/2s, 2020 140,000 145,950
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 150,000 157,125
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2025(FWC) 95,000 95,475
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 203,000 203,508
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 125,000 123,125
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 43,650
Ceridian, LLC 144A sr. notes 8 7/8s, 2019 27,000 29,801
Ceridian, LLC/Comdata, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2017 81,000 81,101
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 210,000 228,900
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 67,000 65,828
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 65,000 61,913
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 50,000 53,500
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 162,000 168,480
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 395,000 403,888
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 213,000 218,325
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 83,000 85,698
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 250,000 262,500
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 241,000 250,941
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 60,000 58,650
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 120,000 121,200
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2019 3,000 3,030
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 45,000 43,538
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 163,000 159,333
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 180,000 183,544
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 70,000 71,050
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 260,000 265,850
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 335,000 314,373
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 $86,000 63,425
Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico) 70,000 79,013
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 3,500,000 222,949
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $157,000 162,103
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 45,000 45,675
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 268,000 266,660
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 305,000 307,288
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 165,000 175,313
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 475,000 495,188
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 95,000 88,350
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 248,000 235,600
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 375,000 411,563
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 105,000 109,463
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 70,000 72,100
Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 84,000 84,210
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 243,000 235,103
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 176,000 188,320
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 310,000 309,225
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 210,000 223,650
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 168,000 168,000
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 250,000 263,125
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 691,867 755,000
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 139,000 146,298
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021 100,000 104,000
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 125,000 124,375
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 110,000 112,750
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 253,000 253,633
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 380,000 399,950
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 149,000 160,175
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 200,000 184,500
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 200,000 203,000
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 140,000 146,300
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 183,000 180,255
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 35,000 35,088
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 54,000 57,510
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 229,000 246,748
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 51,000 49,088
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 45,000 37,575
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 87,000 88,958
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 38,000 37,430
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 32,000 32,560
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 43,313
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 150,000 151,875
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 184,000 185,840
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 25,000 26,063
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 301,000 291,970
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 15,000 15,713
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 15,000 15,638
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 85,000 88,613
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 140,000 142,625
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 45,000 42,975
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 70,000 67,375
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 300,000 292,500
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 198,176 198,176
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017 340,000 374,000
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 107,000 113,153
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 4,000 4,285
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 265,000 276,263
15,032,625
Consumer staples (2.0%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 201,500
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 250,000 265,000
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 195,000 193,538
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 340,000 338,300
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 216,000 221,940
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 85,000 79,475
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 136,000 154,360
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 60,000 58,800
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 285,000 279,656
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 125,350
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 60,000 58,050
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 50,000 49,000
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 465,000 412,688
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom) GBP 303,000 527,474
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) $200,000 194,500
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 91,000 92,138
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 24,000 24,360
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 353,000 350,794
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 83,000 88,395
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 460,000 483,000
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 60,000 61,800
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 405,000 428,288
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 145,000 137,388
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 290,000 284,200
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 300,000 327,000
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 75,000 80,250
Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021 36,000 36,450
Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018 35,000 35,000
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 55,000 59,538
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 143,000 144,788
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 328,000 337,020
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 85,000 88,825
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 85,000 85,850
6,304,715
Energy (6.2%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 182,000 192,010
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 165,000 175,725
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 305,000 312,625
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 165,000 96,938
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 135,000 131,288
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 150,000 149,250
Athlon Holdings LP/Athlon Finance Corp. company guaranty sr. unsec. notes 7 3/8s, 2021 247,000 268,613
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 106,000 113,685
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 110,000 105,600
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 111,000 108,225
California Resources Corp. 144A company guaranty sr. unsec. notes 6s, 2024(FWC) 124,000 127,410
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020(FWC) 100,000 101,500
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 195,000 208,650
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017 EUR 55,000 75,454
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 $60,000 63,900
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 95,000 95,475
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 300,000 318,750
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 207,000 214,245
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 116,000 119,480
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) CAD 295,000 203,085
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) $59,000 44,988
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 164,000 171,380
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 90,000 88,650
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 43,000 45,258
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 180,000 178,200
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 135,000 128,925
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 160,000 155,600
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 110,000 108,075
Gazprom OAO Via Gaz Capital SA sr. unsec. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 335,000 353,371
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 240,000 253,200
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 690,000 794,080
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 108,000 110,970
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 386,000 402,405
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 85,000 88,613
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 150,000 152,625
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 520,000 512,200
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 180,000 190,800
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 45,000 43,763
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 70,000 67,375
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 158,000 152,075
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 70,000 75,075
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 45,000 45,225
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 404,000 399,960
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 94,000 91,650
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 120,000 117,600
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 315,000 307,519
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 104,000 6
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 430,000 439,305
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 329,000 337,225
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 141,000 142,234
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 300,000 237,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 100,000 106,875
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 110,000 116,325
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 155,000 163,525
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 250,000 232,500
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 113,000 99,581
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 85,000 71,825
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 284,000 239,980
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 194,000 205,640
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 200,000 200,200
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 285,000 270,038
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 202,000 209,018
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 3,220,000 2,225,825
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 1,065,000 528,240
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela) 1,105,000 950,300
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 1,180,000 929,250
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 760,000 395,200
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 380,000 440,990
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 104,000 115,180
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 210,000 221,025
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 54,000 55,215
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2022 60,000 59,400
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 130,000 127,725
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 119,000 116,025
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 100,000 105,250
Sabine Pass Liquefaction, LLC 144A sr. notes 5 3/4s, 2024 100,000 101,750
Sabine Pass Liquefaction, LLC 144A sr. notes 5 5/8s, 2023 100,000 101,000
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 95,000 97,850
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 535,000 485,513
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 170,000 183,651
Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022 20,000 19,650
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 194,000 203,700
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 87,000 90,263
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 130,000 136,500
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 60,000 53,441
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $60,000 60,450
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 45,000 45,000
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 30,000 29,288
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 220,000 221,650
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 210,000 222,075
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 313,000 325,520
19,979,693
Financials (5.0%)
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 107,000 133,483
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 72,000 97,020
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 450,000 600,969
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) $240,000 243,600
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 1,055,000 1,071,625
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB bonds 5.919s, perpetual maturity (Spain) 39,000 39,731
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 82,000 86,215
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 75,000 74,531
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 99,000 98,000
CIT Group, Inc. sr. unsec. notes 5s, 2023 125,000 123,750
CIT Group, Inc. sr. unsec. notes 5s, 2022 325,000 325,813
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 175,000 180,688
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 70,000 68,775
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 215,000 224,944
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 118,000 89,090
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 85,000 86,488
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 155,200
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 250,000 295,000
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 332,000 348,600
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 110,000 96,800
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 220,000 225,225
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB bonds 5.13s, perpetual maturity (Jersey) EUR 208,000 274,636
Hub Holdings LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) $30,000 29,325
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 365,000 375,038
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 195,000 195,000
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 145,000 153,338
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 10,000 9,625
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, perpetual maturity (United Kingdom) 125,000 135,000
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 102,000 109,140
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 265,000 282,225
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 101,000
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 270,000 257,175
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 15,000 15,938
NRG Yield Operating LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 85,000 85,425
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 131,000 126,415
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 165,000 174,900
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 60,000 58,500
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 245,000 241,938
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 300,000 318,000
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.092s, perpetual maturity (United Kingdom) EUR 400,000 534,270
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) $105,000 103,169
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 900,000 940,590
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 250,000 249,768
Societe Generale SA 144A jr. unsec. sub. FRB bonds 7 7/8s, perpetual maturity (France) 200,000 201,000
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes Ser. MTN, 6.9s, 2017 345,000 366,563
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 230,000 233,450
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India) 215,000 220,444
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 25,000 24,875
UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 200,000 285,917
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom) $250,000 208,125
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 299,000 297,505
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 255,000 248,625
VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, perpetual maturity (Russia) 1,000,000 935,000
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 400,000 405,908
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,648,000 1,671,270
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 1,498,000 1,520,125
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 140,000 137,900
Weyerhaeuser Real Estate Co. 144A sr. unsec. unsub. notes 5 7/8s, 2024 105,000 104,475
16,297,144
Health care (2.4%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 225,000 231,750
Acadia Healthcare Co., Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 85,000 82,875
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 193,000 202,168
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) EUR 156,000 202,214
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) $50,000 49,875
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 181,000 174,099
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 90,000 90,225
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 42,000 43,155
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 100,000 106,770
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021 30,000 29,925
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022 40,000 41,600
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK) 200,000 203,500
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 100,000 131,994
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 $245,000 223,256
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 175,000 171,938
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 80,000 79,000
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 125,000 119,375
Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 70,000 68,950
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 205,000 215,804
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 225,000 237,938
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 100,000 98,250
HCA, Inc. sr. notes 6 1/2s, 2020 696,000 760,380
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 74,000 83,435
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 420,000 452,550
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 202,000 211,595
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 112,000 114,800
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 140,000 141,400
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 180,000 193,050
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 244,000 246,410
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 242,000 262,570
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 152,000 161,500
Omega Healthcare Investors, Inc. 144A sr. unsec. notes 4.95s, 2024(R) 135,000 137,363
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 271,000 282,518
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 60,000 64,950
Service Corp. International sr. unsec. unsub. notes 5 3/8s, 2022 170,000 171,700
Service Corp. International 144A sr. unsec. unsub. notes 5 3/8s, 2024 239,000 239,598
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 215,000 225,213
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 50,000 49,000
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 60,000 58,500
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 158,000 151,285
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 342,000 361,665
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 164,000 173,430
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 35,000 34,738
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 40,000 41,800
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 100,000 103,250
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 160,000 164,400
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 195,000 198,413
7,890,174
Technology (0.8%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 85,000 88,188
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 148,000 129,500
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 463,000 449,110
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 35,000 37,013
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 79,000 94,603
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 78,000 88,823
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 160,000 185,200
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 354,000 375,240
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 115,000 116,725
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 70,000 75,600
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 210,000 215,250
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 164,000 169,740
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 230,000 229,425
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 145,000 145,000
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 230,000 318,770
2,718,187
Transportation (0.3%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 338,000 359,656
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 $221,000 230,945
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 283,500 301,928
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 175,000 175,875
1,068,404
Utilities and power (1.9%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 720,000 808,200
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 180,000 201,600
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 85,000 80,856
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 335,000 325,369
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 50,000 52,750
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 40,000 41,600
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 290,000 346,142
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019 555,000 694
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 345,000 444,221
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 170,000 200,813
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 201,000 223,613
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 116,000 120,060
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 70,000 74,025
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 345,000 376,050
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 80,000 79,534
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 261,000 271,440
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 65,000 67,600
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 45,000 46,913
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia) 845,000 982,794
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 400,000 430,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 175,000 182,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 155,000 156,938
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 85,000 83,725
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 120,000 116,100
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 198,005
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 119,000 99,663
Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual maturity (Sweden) EUR 156,000 202,531
6,213,236
Total corporate bonds and notes (cost $99,821,314) $100,066,006

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (18.6%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.1%)
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038 $358,308 $404,392
404,392
U.S. Government Agency Mortgage Obligations (18.5%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, October 1, 2044 3,000,000 3,341,719
     5s, February 1, 2037 42,026 46,434
     4 1/2s, with due dates from January 1, 2044 to February 1, 2044 587,117 641,952
     4 1/2s, TBA, October 1, 2044 21,000,000 22,658,672
     4s, January 1, 2043 973,066 1,032,020
     4s, TBA, October 1, 2044 23,000,000 24,238,046
     3s, TBA, October 1, 2044 8,000,000 7,884,375
59,843,218
Total U.S. government and agency mortgage obligations (cost $60,244,696) $60,247,610

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 1.750%, October 31, 2020(i) $73,000 $72,161
Total U.S. treasury obligations (cost $72,161) $72,161

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.9%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) (In default)(NON) $672,978 $561,937
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 2,270,000 2,020,300
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 4,315,000 4,012,950
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 150,000 131,250
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) 1,097,796 871,101
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 1,643,189 1,409,034
Brazil (Federal Republic of) unsec. notes 10s, 2017 (units) (Brazil) BRL 1,350 540,619
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 235,500,000 415,319
Costa Rica (Republic of) 144A unsec. notes 7s, 2044 (Costa Rica) $200,000 201,000
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) 400,000 426,000
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 360,000 390,600
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 275,000 221,430
Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) 400,000 425,500
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 274,000 295,254
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 947,185 949,553
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 2,032,000 2,543,125
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 1,567,000 1,941,293
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 527,543 406,898
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 50,102 38,866
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 373,051 291,723
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 396,222 312,320
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 204,967 163,915
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 171,524 138,450
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 246,577 201,053
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 84,480 69,642
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 1,075,053 902,248
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 127,387 108,985
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 897,533 782,012
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 232,920 207,710
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 1,019,402 932,834
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 2,594,753 2,457,323
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 197,427 194,187
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 1,033,192 1,041,513
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) $575,000 648,042
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) RUB 13,350,000 335,453
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) $695,000 622,894
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 200,000 212,750
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 235,000 228,714
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 1,271,732 1,425,929
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia) 200,000 201,174
Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) 150,000 148,875
Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia) 86,510 87,250
Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) 240,000 243,437
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) 1,230,000 1,377,871
Turkey (Republic of) unsec. bonds 6s, 2041 (Turkey) 975,000 1,018,622
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) 1,805,000 1,586,144
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 220,000 227,150
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 265,000 157,675
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,215,000 1,158,065
Total foreign government and agency bonds and notes (cost $34,557,941) $35,285,989

SENIOR LOANS (2.0%)(a)(c)
Principal amount Value
Basic materials (0.1%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 $104,738 $103,865
WR Grace & Co. bank term loan FRN 3s, 2021 113,639 112,560
WR Grace & Co. bank term loan FRN Ser. DD, 1s, 2021(U) 40,789 40,402
256,827
Communication services (0.1%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021 148,000 149,542
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 165,035 164,072
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 80,000 78,500
392,114
Consumer cyclicals (0.8%)
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.948s, 2017 994,505 904,289
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 69,825 66,050
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 264,338 250,063
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021 137,143 135,600
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 227,684 207,762
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.907s, 2019 319,000 303,698
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 100,000 99,083
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 65,367 65,667
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 256,513 251,775
ROC Finance, LLC bank term loan FRN 5s, 2019 133,985 128,458
Univision Communications, Inc. bank term loan FRN 4s, 2020 179,098 175,479
Visteon Corp. bank term loan FRN Ser. DD, 3 1/2s, 2021 99,750 98,036
2,685,960
Consumer staples (0.2%)
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 148,255 143,499
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 177,750 175,395
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 89,775 88,989
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 173,775 171,331
579,214
Health care (0.3%)
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 155,301 155,398
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 143,913 143,391
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 94,908 93,888
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.157s, 2021 233,825 229,376
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 79,800 78,803
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 89,862 88,093
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada) 125,000 122,210
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 119,410 117,875
1,029,034
Technology (0.3%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.654s, 2017 104,385 99,275
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 213,118 210,887
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 184,073 182,531
First Data Corp. bank term loan FRN 4.155s, 2021 12,896 12,699
First Data Corp. bank term loan FRN Ser. B, 3.655s, 2018 121,183 118,709
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 321,750 320,409
944,510
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) 250,000 248,750
248,750
Utilities and power (0.1%)
Energy Future Intermediate Holding Co., LLC bank term loan FRN 4 1/4s, 2016 75,000 74,500
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.65s, 2017 499,637 369,731
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.65s, 2017 5,128 3,795
448,026
Total senior loans (cost $6,779,856) $6,584,435

PURCHASED SWAP OPTIONS OUTSTANDING (0.3%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.7395/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.7395 $21,122,000 $219,668
     2.7175/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.7175 21,122,000 196,012
     (2.78)/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.78 30,326,000 92,798
     (2.78)/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.78 30,326,000 88,249
     2.54/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.54 30,326,000 58,529
     2.54/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.54 30,326,000 54,284
Credit Suisse International
     (2.74)/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.74 22,171,000 97,552
     (2.74)/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.74 22,171,000 97,552
     2.51/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.51 22,171,000 33,035
     2.51/3 month USD-LIBOR-BBA/Oct-24 Oct-14/2.51 22,171,000 33,035
Total purchased swap options outstanding (cost $1,478,649) $970,714

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Dec-14/$101.69 $9,000,000 $70,317
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Nov-14/103.09 31,000,000 415,400
Federal National Mortgage Association 30 yr 4.0s TBA commitments (Call) Oct-14/106.50 5,000,000 100
Total purchased options outstanding (cost $649,063) $485,817

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 438 $438,411
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,980 185,738
M/I Homes, Inc. Ser. A, $2.438 pfd. 5,132 131,636
Total preferred stocks (cost $605,883) $755,785

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $125,000 $157,656
Sirius XM Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 55,000 104,569
Total convertible bonds and notes (cost $234,970) $262,225

CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
United Technologies Corp. $3.75 cv. pfd. 3,005 $176,964
Total convertible preferred stocks (cost $152,656) $176,964

COMMON STOCKS (—%)(a)
Shares Value
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 12,972 $519
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 12,972 519
Tribune Co. Class 1C(F) 55,356 13,839
Total common stocks (cost $84,686) $14,877

SHORT-TERM INVESTMENTS (8.9%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.06%(AFF) Shares 17,620,125 $17,620,125
SSgA Prime Money Market Fund 0.01%(P) Shares 160,000 160,000
U.S. Treasury Bills with an effective yield of 0.10%, July 23, 2015(SEG)(SEGSF)(SEGCCS) $1,972,000 1,971,111
U.S. Treasury Bills with an effective yield of 0.05%, November 20, 2014(SEG)(SEGSF)(SEGCCS) 6,592,000 6,591,565
U.S. Treasury Bills with an effective yield of 0.05%, November 13, 2014(SEG)(SEGSF)(SEGCCS) 377,000 376,979
U.S. Treasury Bills with an effective yield of zero % February 19, 2015(i) 111,000 110,989
U.S. Treasury Bills with effective yields ranging from 0.04% to 0.05%, December 11, 2014(SEGSF)(SEGCCS) 146,000 145,996
U.S. Treasury Bills with effective yields ranging from 0.03% to 0.05%, December 18, 2014(SEGSF)(SEGCCS) 1,220,000 1,219,954
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.04%, October 23, 2014(SEGSF)(SEGCCS) 569,000 568,990
Total short-term investments (cost $28,764,868) $28,765,709

TOTAL INVESTMENTS
Total investments (cost $366,872,143)(b) $379,291,987













FORWARD CURRENCY CONTRACTS at 9/30/14 (aggregate face value $195,006,705) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 12/17/14 $811,494 $817,228 $(5,734)
British Pound Sell 12/17/14 811,494 817,293 5,799
Chilean Peso Sell 10/15/14 410,174 440,025 29,851
Euro Sell 12/17/14 4,302,262 4,470,845 168,583
Singapore Dollar Buy 11/19/14 81,444 83,267 (1,823)
Singapore Dollar Sell 11/19/14 81,444 83,253 1,809
Swiss Franc Sell 12/17/14 1,550,422 1,610,799 60,377
Barclays Bank PLC
Australian Dollar Buy 10/15/14 315,258 392,042 (76,784)
British Pound Buy 12/17/14 1,805,247 1,838,595 (33,348)
British Pound Sell 12/17/14 1,805,247 1,795,821 (9,426)
Canadian Dollar Sell 10/15/14 799,769 813,724 13,955
Chinese Yuan (Offshore) Buy 11/19/14 1,630,642 1,627,094 3,548
Czech Koruna Sell 12/17/14 771,801 797,850 26,049
Euro Sell 12/17/14 5,849,832 6,064,357 214,525
Japanese Yen Sell 11/19/14 19,215 10,576 (8,639)
Mexican Peso Sell 10/15/14 1,610,385 1,631,915 21,530
New Zealand Dollar Sell 10/15/14 941,026 1,030,189 89,163
Norwegian Krone Buy 12/17/14 1,336,717 1,400,398 (63,681)
Polish Zloty Sell 12/17/14 40,597 43,344 2,747
Singapore Dollar Buy 11/19/14 352,269 360,217 (7,948)
Singapore Dollar Sell 11/19/14 352,269 360,090 7,821
South African Rand Buy 10/15/14 1,427,185 1,497,817 (70,632)
South African Rand Sell 10/15/14 1,427,185 1,469,911 42,726
Swedish Krona Buy 12/17/14 428,271 382,132 46,139
Swiss Franc Sell 12/17/14 2,342,248 2,433,910 91,662
Turkish Lira Sell 12/17/14 1,545,939 1,579,239 33,300
Citibank, N.A.
Australian Dollar Buy 10/15/14 1,508,148 1,589,640 (81,492)
Brazilian Real Buy 10/2/14 5,397,202 5,667,059 (269,857)
Brazilian Real Sell 10/2/14 5,397,202 5,604,788 207,586
Brazilian Real Buy 1/5/15 2,916,957 2,928,214 (11,257)
Canadian Dollar Sell 10/15/14 794,771 803,516 8,745
Chilean Peso Sell 10/15/14 26,057 38,054 11,997
Euro Sell 12/17/14 4,635,256 4,895,837 260,581
Japanese Yen Sell 11/19/14 2,328,148 2,452,500 124,352
New Zealand Dollar Sell 10/15/14 632,990 691,155 58,165
Norwegian Krone Buy 12/17/14 612,778 655,332 (42,554)
Swiss Franc Sell 12/17/14 2,070,025 2,131,707 61,682
Credit Suisse International
Australian Dollar Buy 10/15/14 685,538 768,756 (83,218)
British Pound Sell 12/17/14 822,025 841,826 19,801
Canadian Dollar Sell 10/15/14 1,645,239 1,693,431 48,192
Euro Sell 12/17/14 4,470,338 4,725,682 255,344
Indian Rupee Buy 11/19/14 79,077 79,505 (428)
Japanese Yen Sell 11/19/14 239,880 286,267 46,387
Mexican Peso Buy 10/15/14 178,915 185,928 (7,013)
New Zealand Dollar Buy 10/15/14 2,324,420 2,527,510 (203,090)
New Zealand Dollar Sell 10/15/14 2,324,420 2,458,660 134,240
Norwegian Krone Buy 12/17/14 202,003 240,811 (38,808)
Singapore Dollar Buy 11/19/14 75,721 77,406 (1,685)
Singapore Dollar Sell 11/19/14 75,721 77,428 1,707
Swedish Krona Buy 12/17/14 2,386,426 2,424,232 (37,806)
Swedish Krona Sell 12/17/14 2,386,426 2,441,083 54,657
Swiss Franc Sell 12/17/14 1,561,743 1,622,684 60,941
Turkish Lira Sell 12/17/14 1,544,215 1,577,916 33,701
Deutsche Bank AG
Australian Dollar Buy 10/15/14 848,677 853,049 (4,372)
Canadian Dollar Sell 10/15/14 836,366 877,423 41,057
Euro Sell 12/17/14 1,520,400 1,556,449 36,049
Japanese Yen Sell 11/19/14 1,232,884 1,316,620 83,736
New Zealand Dollar Buy 10/15/14 1,208,443 1,348,082 (139,639)
New Zealand Dollar Sell 10/15/14 1,208,443 1,321,600 113,157
Norwegian Krone Buy 12/17/14 23,952 24,638 (686)
Polish Zloty Buy 12/17/14 462,790 479,051 (16,261)
Swedish Krona Sell 12/17/14 290,941 335,642 44,701
Swiss Franc Sell 12/17/14 1,309,960 1,361,336 51,376
Goldman Sachs International
Australian Dollar Buy 10/15/14 2,799 2,984 (185)
Australian Dollar Sell 10/15/14 2,799 3,013 214
Canadian Dollar Sell 10/15/14 2,544,980 2,608,764 63,784
Euro Sell 12/17/14 4,839,602 5,093,031 253,429
Japanese Yen Sell 11/19/14 846,134 915,334 69,200
Norwegian Krone Buy 12/17/14 1,596,591 1,652,180 (55,589)
Norwegian Krone Sell 12/17/14 1,596,591 1,613,559 16,968
Swedish Krona Sell 12/17/14 1,191,128 1,241,529 50,401
HSBC Bank USA, National Association
Australian Dollar Buy 10/15/14 1,428,370 1,530,043 (101,673)
Canadian Dollar Buy 10/15/14 782,810 807,685 (24,875)
Canadian Dollar Sell 10/15/14 782,810 802,680 19,870
Euro Sell 12/17/14 4,966,987 5,160,020 193,033
Japanese Yen Buy 11/19/14 103,627 109,431 (5,804)
Japanese Yen Sell 11/19/14 103,627 110,670 7,043
Swedish Krona Buy 12/17/14 426,304 384,848 41,456
JPMorgan Chase Bank N.A.
Australian Dollar Buy 10/15/14 2,722,993 2,888,732 (165,739)
Brazilian Real Buy 10/2/14 3,898,805 4,068,893 (170,088)
Brazilian Real Sell 10/2/14 3,898,805 3,977,463 78,658
Brazilian Real Buy 1/5/15 3,051,940 3,068,068 (16,128)
British Pound Sell 12/17/14 267,150 262,678 (4,472)
Canadian Dollar Sell 10/15/14 1,769,489 1,827,671 58,182
Czech Koruna Sell 12/17/14 771,801 798,016 26,215
Euro Sell 12/17/14 4,376,949 4,526,912 149,963
Hungarian Forint Buy 12/17/14 1,059,138 1,066,550 (7,412)
Hungarian Forint Sell 12/17/14 1,059,138 1,090,105 30,967
Indian Rupee Buy 11/19/14 49,166 49,417 (251)
Japanese Yen Sell 11/19/14 1,104,632 1,258,258 153,626
Mexican Peso Sell 10/15/14 1,955,167 1,989,078 33,911
New Taiwan Dollar Sell 11/19/14 1,662,541 1,687,012 24,471
New Zealand Dollar Sell 10/15/14 1,397,740 1,534,195 136,455
Norwegian Krone Buy 12/17/14 974,545 1,010,748 (36,203)
Russian Ruble Sell 12/17/14 192,624 205,634 13,010
Swedish Krona Sell 12/17/14 370,829 375,752 4,923
Swiss Franc Sell 12/17/14 2,940,991 3,058,707 117,716
Royal Bank of Scotland PLC (The)
British Pound Buy 12/17/14 799,344 804,193 (4,849)
British Pound Sell 12/17/14 799,344 804,987 5,643
State Street Bank and Trust Co.
Australian Dollar Buy 10/15/14 3,048,573 3,246,602 (198,029)
Brazilian Real Buy 10/2/14 5,500,807 5,797,681 (296,874)
Brazilian Real Sell 10/2/14 5,500,807 5,701,068 200,261
Brazilian Real Buy 1/5/15 3,154,302 3,175,676 (21,374)
British Pound Sell 12/17/14 73,552 76,625 3,073
Canadian Dollar Sell 10/15/14 1,226,075 1,275,137 49,062
Euro Sell 12/17/14 2,413,608 2,530,400 116,792
Japanese Yen Sell 11/19/14 962,521 1,082,634 120,113
New Taiwan Dollar Sell 11/19/14 26,687 27,110 423
New Zealand Dollar Buy 10/15/14 136,203 67,092 69,111
Norwegian Krone Buy 12/17/14 220,305 237,981 (17,676)
Singapore Dollar Sell 11/19/14 155,753 159,327 3,574
Swedish Krona Sell 12/17/14 1,941,376 2,009,554 68,178
Swiss Franc Sell 12/17/14 3,131,347 3,226,716 95,369
UBS AG
Canadian Dollar Sell 10/15/14 1,245,889 1,306,770 60,881
Euro Sell 12/17/14 1,783,762 1,853,840 70,078
Japanese Yen Sell 11/19/14 134,020 150,846 16,826
Singapore Dollar Buy 11/19/14 109,192 111,623 (2,431)
Singapore Dollar Sell 11/19/14 109,192 111,653 2,461
WestPac Banking Corp.
Australian Dollar Buy 10/15/14 702,683 805,186 (102,503)
Canadian Dollar Sell 10/15/14 2,673,245 2,731,211 57,966
Euro Sell 12/17/14 4,911,002 5,129,369 218,367
Japanese Yen Sell 11/19/14 2,016,425 2,164,917 148,492
New Zealand Dollar Sell 10/15/14 786,890 826,099 39,209
Total $3,058,776












FUTURES CONTRACTS OUTSTANDING at 9/30/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Short) 47 $7,593,763             Dec-14 $(26,268)
Euro-Bund 10 yr (Short) 18 3,403,416             Dec-14 (18,472)
Euro-Buxl 30 yr (Short) 17 3,057,593             Dec-14 (13,139)
U.S. Treasury Bond 30 yr (Short) 177 24,409,406             Dec-14 211,671
U.S. Treasury Bond Ultra 30 yr (Short) 47 7,167,500             Dec-14 13,700
U.S. Treasury Note 5 yr (Long) 127 15,018,742             Dec-14 (39,929)
U.S. Treasury Note 10 yr (Short) 127 15,829,359             Dec-14 100,962
Total $228,525












WRITTEN SWAP OPTIONS OUTSTANDING at 9/30/14 (premiums $3,409,793) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Bank of America N.A.


(2.535)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.535        $21,122,000 $58,297
(2.557)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.557        21,122,000 70,125
(2.635)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.635        21,122,000 120,184
(2.657)/3 month USD-LIBOR-BBA/Nov-24 Nov-14/2.657        21,122,000 138,560
(2.60)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.60        26,702,700 207,213
(2.54)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.54        22,744,500 247,005
(2.54)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.54        22,744,500 247,005
Credit Suisse International


(2.51)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.51        16,628,300 167,946
(2.51)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.51        16,628,300 167,946
JPMorgan Chase Bank N.A.


(2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60        13,351,400 106,811
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        8,886,000 1,453,007
Total $2,984,099












WRITTEN OPTIONS OUTSTANDING at 9/30/14 (premiums $634,063) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Dec-14/$100.81        $9,000,000 $38,673
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Dec-14/99.94        9,000,000 18,981
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Nov-14/102.22        31,000,000 234,360
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Nov-14/101.34        31,000,000 116,250
Total $408,264













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/14 (Unaudited)
Counterparty        PremiumUnrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract receivable/appreciation/
Floating rate index/Maturity date date/strike       amount (payable)(depreciation)

Credit Suisse International
     (2.78125)/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-14/2.78125 $41,026,000 $(155,899)$7,475
     2.54875/3 month USD-LIBOR-BBA/Nov-24 (Purchased) Nov-14/2.54875 41,026,000 (149,745)(45,724)
     (2.665)/3 month USD-LIBOR-BBA/Nov-24 (Written) Nov-14/2.665 20,513,000 152,82224,343
     2.665/3 month USD-LIBOR-BBA/Nov-24 (Written) Nov-14/2.665 20,513,000 152,822(17,493)

JPMorgan Chase Bank N.A.
     2.75/3 month USD-LIBOR-BBA/Dec-24 (Purchased) Dec-14/2.75 20,631,600 (193,834)57,149
     2.75/3 month USD-LIBOR-BBA/Dec-24 (Purchased) Dec-14/2.75 20,631,600 (198,064)54,467
     (2.40)/3 month USD-LIBOR-BBA/Mar-25 (Written) Mar-15/2.40 20,631,600 68,806(19,806)
     (2.40)/3 month USD-LIBOR-BBA/Mar-25 (Written) Mar-15/2.40 20,631,600 69,116(20,219)
     (2.65)/3 month USD-LIBOR-BBA/Dec-24 (Written) Dec-14/2.65 20,631,600 122,552(38,787)
     (2.65)/3 month USD-LIBOR-BBA/Dec-24 (Written) Dec-14/2.65 20,631,600 123,790(39,406)
Total $(7,634)$(38,001)















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/14 (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.
MYR 9,910,000 $—      3/19/19 4.0275% 3 month MYR-KLIBOR-BNM $(4,620)
Citibank, N.A.
AUD 7,219,000 (E) —      7/30/24 4.55% 6 month AUD-BBR-BBSW (23,032)
AUD 7,219,000 (E) —      7/31/24 4.5175% 6 month AUD-BBR-BBSW (15,169)
AUD 3,923,000 (E) —      8/6/24 4.6225% 6 month AUD-BBR-BBSW (21,632)
AUD 1,354,000 (E) —      8/6/24 4.63% 6 month AUD-BBR-BBSW (7,803)
AUD 7,285,000 (E) —      9/17/24 6 month AUD-BBR-BBSW 4.6209% 36,070
Credit Suisse International
CAD 4,606,500 —      9/12/24 3 month CAD-BA-CDOR 2.68625% 31,457
Deutsche Bank AG
MYR 9,910,000 —      3/19/19 4.035% 3 month MYR-KLIBOR-BNM (5,552)
PLN 10,159,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (402,791)
PLN 5,065,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (203,733)
PLN 4,320,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (167,460)
PLN 49,942,000 —      7/14/16 6 month PLN-WIBOR-WIBO 2.48% 113,343
Goldman Sachs International
AUD 1,956,000 (E) —      8/6/24 4.525% 6 month AUD-BBR-BBSW (4,454)
JPMorgan Chase Bank N.A.
AUD 1,815,000 (E) —      8/29/24 6 month AUD-BBR-BBSW 4.2525% (12,708)
AUD 1,942,000 (E) —      8/6/24 4.645% 6 month AUD-BBR-BBSW (12,159)
AUD 3,633,000 (E) —      8/6/24 4.5175% 6 month AUD-BBR-BBSW (7,370)
AUD 3,884,000 (E) —      8/19/24 4.43% 6 month AUD-BBR-BBSW 3,979
AUD 1,815,000 (E) —      8/29/24 6 month AUD-BBR-BBSW 4.30% (9,854)
CAD 1,535,500 —      9/12/24 3 month CAD-BA-CDOR 2.68375% 10,169
CAD 2,379,000 —      9/19/24 3 month CAD-BA-CDOR 2.703% 18,536
MXN 21,090,000 —      7/24/29 1 month MXN-TIIE-BANXICO 6.565% (45,676)
Total$—     $(730,459)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/14 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$182,536,000 (E) $(25,071)     12/17/16 3 month USD-LIBOR-BBA 1.00% $19,832
87,747,000 (E) 710,933      12/17/19 3 month USD-LIBOR-BBA 2.25% (38,866)
16,977,100 (E) (371,845)     12/17/24 3 month USD-LIBOR-BBA 3.00% 40,681
1,049,000 (E) (45,677)     12/17/44 3 month USD-LIBOR-BBA 3.50% 10,392
19,835,000 (E) 8,080      6/15/19 3 month USD-LIBOR-BBA 2.64% (23,557)
19,315,000 (E) (11,393)     12/16/17 3 month USD-LIBOR-BBA 1.835% 45,586
40,830,000 (E) (227)     12/16/17 3 month USD-LIBOR-BBA 1.897% 70,409
20,476,000 (E) (114)     12/16/17 3 month USD-LIBOR-BBA 1.86625% 47,800
34,100,000 (E) (189)     12/16/17 3 month USD-LIBOR-BBA 1.905% 53,689
8,308,000 (E) (46)     12/16/17 3 month USD-LIBOR-BBA 1.8625% 19,976
58,882,000 (E) (83,750)     12/16/17 3 month USD-LIBOR-BBA 1.882% 35,780
27,209,000 (E) (43,743)     12/17/16 3 month USD-LIBOR-BBA 0.90% 17,096
2,107,000 (E) 33,066      12/17/24 3 month USD-LIBOR-BBA 2.90% 814
27,049,000 (E) (150)     12/16/17 3 month USD-LIBOR-BBA 1.80% (98,608)
19,132,000 (E) (154)     12/16/18 3 month USD-LIBOR-BBA 2.34% (31,435)
14,349,000 (E) (116)     12/16/18 3 month USD-LIBOR-BBA 2.3795% (40,020)
27,296,000 (E) (151)     12/16/17 3 month USD-LIBOR-BBA 1.924% (33,180)
18,526,000 (E) (149)     6/15/19 3 month USD-LIBOR-BBA 2.596% (6,300)
4,783,000 (E) (39)     12/16/18 3 month USD-LIBOR-BBA 2.337% (7,443)
11,178,000 (E) (42,128)     12/17/19 3 month USD-LIBOR-BBA 2.15% (412)
EUR 2,437,000 (E) 18,150      12/17/16 6 month EUR-EURIBOR-REUTERS 0.50% (208)
EUR 65,184,000 (E) (1,949,593)     12/17/19 6 month EUR-EURIBOR-REUTERS 1.00% 173,390
EUR 2,463,000 (E) (353,025)     12/17/34 6 month EUR-EURIBOR-REUTERS 2.50% 27,319
EUR 303,000 (E) 47,711      12/17/44 6 month EUR-EURIBOR-REUTERS 2.50% (5,282)
GBP 13,283,000 (E) (134,439)     12/17/19 6 month GBP-LIBOR-BBA 2.25% 40,480
GBP 14,117,000 (E) 749,484      12/17/24 6 month GBP-LIBOR-BBA 3.00% (199,220)
GBP 3,118,000 (E) (234,710)     12/17/44 6 month GBP-LIBOR-BBA 3.25% 141,883
JPY 33,102,000 (11)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 10,477
JPY 64,818,000 (22)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 19,953
JPY 1,817,500,000 (71)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 59,319
JPY 397,700,000 (69)     3/14/44 6 month JPY-LIBOR-BBA 1.795% (123,056)
JPY 32,090,000 (6)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 10,255
$11,085,500 77,452      9/16/24 3 month USD-LIBOR-BBA 2.68% 117,625
Total$(1,652,012)    $355,169
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/14 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$2,912,000 (E) $—      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(31,916)
3,786,000 (E) —      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) (41,495)
Barclays Bank PLC
396,024 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,071
1,019,391 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,328)
761,584 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,060
693,534 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,984
7,818,234 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (20,296)
2,157,500 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,224)
270,025 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 716
427,053 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,222
2,989,372 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,553
674,455 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 121
1,881,987 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,046)
2,282,599 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,531
696,299 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,846
91,072 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 83
290,823 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 832
344,478 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,147
2,135,266 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,109
1,467,954 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,276)
1,550,087 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 4,109
310,726 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 841
2,431,614 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 8,221
9,779,945 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 27,982
2,025,513 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,795
346,992 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 939
1,125,114 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,044
815,838 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,207
4,494,508 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,215)
893,835 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (4,704)
685,352 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,891)
342,719 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,446)
342,719 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,446)
687,763 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,902)
1,786,272 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (7,536)
687,763 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,902)
360,532 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (936)
1,006,628 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 907
605,737 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 546
639,299 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,829
768,574 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 692
1,427,562 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,103)
1,023,137 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 932
146,770 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 134
1,373,201 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,793)
360,462 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,541)
2,020,816 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,765)
4,230,000 —      3/20/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) (87,603)
3,577,000 —      3/21/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) (74,008)
6,030,500 —      9/17/19 2.138% USA Non Revised Consumer Price Index- Urban (CPI-U) 46,200
Citibank, N.A.
1,299,523 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,718
2,989,372 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,553
2,033,627 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,819
4,254,000 —      3/27/24 (2.4825%) USA Non Revised Consumer Price Index- Urban (CPI-U) (76,615)
EUR 8,440,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (165,307)
EUR 4,400,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 174,849
Credit Suisse International
$854,106 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,444
935,381 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,999)
1,399,918 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,261
1,422,514 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (6,170)
1,567,285 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (6,798)
1,368,711 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,233
2,610,592 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 2,352
EUR 2,430,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (41,916)
EUR 8,440,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (158,335)
EUR 4,400,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 168,851
EUR 2,430,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (42,119)
GBP 2,055,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index 35,700
GBP 2,055,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index 34,171
Deutsche Bank AG
$935,381 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,999)
Goldman Sachs International
1,238,563 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 223
424,408 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 387
2,530,185 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,779)
2,530,185 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,779)
655,107 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,801)
246,090 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,052)
181,135 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 33
1,767,099 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,929)
475,162 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 85
950,237 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 171
457,402 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,955)
897,456 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,837)
548,814 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,346)
42,092 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (180)
112,161 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (480)
30,102 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 27
575,600 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 524
3,294,592 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,524)
485,250 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 87
2,847,960 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,504)
1,165,000 —      7/14/44 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (84,299)
6,698,000 (E) —      6/19/24 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (63,497)
798,000 —      7/29/44 (2.7975%) USA Non Revised Consumer Price Index- Urban (CPI-U) (50,976)
JPMorgan Chase Bank N.A.
4,069,669 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,565)
Total$—    $(525,992)
(E)   Extended effective date.











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/14 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $5,468 $80,000 5/11/63 300 bp $5,204
  CMBX NA BBB- Index BBB-/P 10,546 175,000 5/11/63 300 bp 9,969
  CMBX NA BBB- Index BBB-/P 21,545 349,000 5/11/63 300 bp 20,394
  CMBX NA BBB- Index BBB-/P 20,577 361,000 5/11/63 300 bp 19,386
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 35,808 323,000 5/11/63 300 bp 34,742
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 2,947 154,000 5/11/63 300 bp 2,439
  CMBX NA BBB- Index BBB-/P 3,111 268,000 5/11/63 300 bp 2,227
  CMBX NA BBB- Index BBB-/P 23,720 298,000 5/11/63 300 bp 22,736
  CMBX NA BBB- Index BBB-/P 25,423 349,000 5/11/63 300 bp 24,271
  CMBX NA BBB- Index BBB-/P 41,920 371,000 5/11/63 300 bp 40,694
  CMBX NA BBB- Index BBB-/P 5,900 384,000 5/11/63 300 bp 4,633
  CMBX NA BBB- Index BBB-/P 30,800 386,000 5/11/63 300 bp 29,526
  CMBX NA BBB- Index BBB-/P 30,042 388,000 5/11/63 300 bp 28,761
  CMBX NA BBB- Index BBB-/P 25,590 389,000 5/11/63 300 bp 24,306
  CMBX NA BBB- Index BBB-/P 11,988 394,000 5/11/63 300 bp 10,688
  CMBX NA BBB- Index BBB-/P 6,960 395,000 5/11/63 300 bp 5,656
  CMBX NA BBB- Index BBB-/P 38,549 503,000 5/11/63 300 bp 36,889
  CMBX NA BBB- Index BBB-/P 33,609 819,000 5/11/63 300 bp 30,907
  CMBX NA BB Index — (2,126) 407,000 5/11/63 (500 bp) (1,814)
  CMBX NA BB Index — (5,257) 301,000 5/11/63 (500 bp) (5,026)
  CMBX NA BB Index — 4,806 182,000 5/11/63 (500 bp) 4,946
  CMBX NA BB Index — 2,799 181,000 5/11/63 (500 bp) 2,938
  CMBX NA BB Index — (1,241) 136,000 5/11/63 (500 bp) (1,136)
  CMBX NA BB Index — (1,037) 135,000 5/11/63 (500 bp) (933)
  CMBX NA BB Index — (1,293) 135,000 5/11/63 (500 bp) (1,190)
  CMBX NA BB Index — 1,820 91,000 5/11/63 (500 bp) 1,890
  CMBX NA BB Index — (5,799) 299,000 5/11/63 (500 bp) (5,570)
  CMBX NA BBB- Index BBB-/P 259 6,000 5/11/63 300 bp 239
  CMBX NA BBB- Index BBB-/P (639) 106,000 5/11/63 300 bp (989)
  CMBX NA BBB- Index BBB-/P (1,040) 109,000 5/11/63 300 bp (1,399)
  CMBX NA BBB- Index BBB-/P (707) 212,000 5/11/63 300 bp (1,407)
  CMBX NA BBB- Index BBB-/P (709) 212,000 5/11/63 300 bp (1,408)
  CMBX NA BBB- Index BBB-/P (2,144) 214,000 5/11/63 300 bp (2,850)
  CMBX NA BBB- Index BBB-/P (2,013) 215,000 5/11/63 300 bp (2,722)
  CMBX NA BBB- Index BBB-/P 591 219,000 5/11/63 300 bp (132)
  CMBX NA BBB- Index BBB-/P (745) 220,000 5/11/63 300 bp (1,471)
  CMBX NA BBB- Index BBB-/P 10,529 220,000 5/11/63 300 bp 9,803
  CMBX NA BBB- Index BBB-/P (4,462) 247,000 5/11/63 300 bp (5,277)
  CMBX NA BBB- Index BBB-/P 176 254,000 5/11/63 300 bp (662)
  CMBX NA BBB- Index BBB-/P 880 254,000 5/11/63 300 bp 42
  CMBX NA BBB- Index BBB-/P 1,554 256,000 5/11/63 300 bp 709
  CMBX NA BBB- Index BBB-/P 1,191 257,000 5/11/63 300 bp 257
  CMBX NA BBB- Index BBB-/P 6,163 259,000 5/11/63 300 bp 5,308
  CMBX NA BBB- Index BBB-/P (3,194) 318,000 5/11/63 300 bp (4,244)
  CMBX NA BBB- Index BBB-/P (9,506) 491,000 5/11/63 300 bp (11,126)
  CMBX NA BBB- Index BBB-/P (7,494) 497,000 5/11/63 300 bp (9,134)
  CMBX NA BBB- Index BBB-/P (6,149) 499,000 5/11/63 300 bp (7,796)
  CMBX NA BBB- Index BBB-/P 353 531,000 5/11/63 300 bp (1,399)
  CMBX NA BBB- Index — (19,378) 343,000 1/17/47 (300 bp) (10,117)
  CMBX NA BBB- Index — (15,863) 338,000 1/17/47 (300 bp) (6,737)
Goldman Sachs International
  CMBX NA BB Index — (1,941) 183,000 5/11/63 (500 bp) (1,800)
  CMBX NA BB Index — (1,297) 135,000 5/11/63 (500 bp) (1,193)
  CMBX NA BB Index — 2,058 91,000 5/11/63 (500 bp) 2,127
  CMBX NA BBB- Index BBB-/P (1,189) 109,000 5/11/63 300 bp (1,549)
  CMBX NA BBB- Index BBB-/P (567) 212,000 5/11/63 300 bp (1,266)
  CMBX NA BBB- Index BBB-/P (851) 212,000 5/11/63 300 bp (1,550)
  CMBX NA BBB- Index BBB-/P (1,993) 213,000 5/11/63 300 bp (2,696)
  CMBX NA BBB- Index BBB-/P (2,136) 213,000 5/11/63 300 bp (2,839)
  CMBX NA BBB- Index BBB-/P (2,136) 213,000 5/11/63 300 bp (2,839)
  CMBX NA BBB- Index BBB-/P 2,719 238,000 5/11/63 300 bp 1,933
  CMBX NA BBB- Index BBB-/P (4,116) 247,000 5/11/63 300 bp (4,932)
Total$303,379$278,417
*   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 September 30, 2014. 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
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
PLN Polish Zloty
RUB Russian Ruble
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
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2014 through September 30, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $323,506,396.
(b) The aggregate identified cost on a tax basis is $373,301,878, resulting in gross unrealized appreciation and depreciation of $13,088,663 and $7,098,554, respectively, or net unrealized appreciation of $5,990,109.
(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 Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund * $12,455,940 $110,506,996 $105,342,811 $3,935 $17,620,125
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(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) Security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(U) This security, in part or in entirety, represents an unfunded loan commitment. As of the close of the reporting period, the fund had unfunded loan commitments of $40,789, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:
Borrower Unfunded commitments
WR Grace & Co. $40,789
Totals $40,789

At the close of the reporting period, the fund maintained liquid assets totaling $146,083,309 to cover certain derivatives contracts and delayed delivery securities.
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 80.6%
Greece 3.4
Russia 2.6
Argentina 2.4
Venezuela 1.7
Canada 1.1
United Kingdom 1.1
Luxembourg 0.8
Brazil 0.7
Turkey 0.6
Indonesia 0.6
Ukraine 0.5
Other 3.9
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 valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures 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 fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries and to gain 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 and/or centrally cleared credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions 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. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $405,147 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $1,788,986 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,827,793 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $13,839
    Energy — — 1,038
Total common stocks — — 14,877
Convertible bonds and notes — 262,225 —
Convertible preferred stocks — 176,964 —
Corporate bonds and notes — 100,066,000 6
Foreign government and agency bonds and notes — 35,285,989 —
Mortgage-backed securities — 145,603,695 —
Preferred stocks 185,738 570,047 —
Purchased options outstanding — 485,817 —
Purchased swap options outstanding — 970,714 —
Senior loans — 6,584,435 —
U.S. government and agency mortgage obligations — 60,247,610 —
U.S. treasury obligations — 72,161 —
Short-term investments 17,780,125 10,985,584 —
Totals by level $17,965,863 $361,311,241 $14,883



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $3,058,776 $—
Futures contracts 228,525 — —
Written options outstanding — (408,264) —
Written swap options outstanding — (2,984,099) —
Forward premium swap option contracts — (38,001) —
Interest rate swap contracts — 1,276,722 —
Total return swap contracts — (525,992) —
Credit default contracts — (24,962) —
Totals by level $228,525 $354,180 $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
During the reporting period, transfers within the fair value hierarchy, if any, (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above) did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $20,134 $45,096
Foreign exchange contracts 5,507,112 2,448,336
Interest rate contracts 6,897,131 7,891,709
Total $12,424,377 $10,385,141


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$109,800,000
Purchased swap option contracts (contract amount)$228,100,000
Written TBA commitment option contracts (contract amount)$216,600,000
Written swap option contracts (contract amount)$268,700,000
Futures contracts (number of contracts)800
Forward currency contracts (contract amount)$254,200,000
OTC interest rate swap contracts (notional)$443,600,000
Centrally cleared interest rate swap contracts (notional)$1,068,900,000
OTC total return swap contracts (notional)$277,800,000
OTC credit default contracts (notional)$13,000,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
                                     
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#    $–  $–  $–  $36,070  $31,457  $113,343  $–  $–  $32,684  $–  $–  $–  $–  $–    $ 213,554
  Centrally cleared interest rate swap contracts§    –  –  304,552  –  –  –  –  –  –  –  –  –  –  –    304,552
  OTC Total return swap contracts*#    –  136,653  –  192,939  246,012  –  1,537  –  –  –  –  –  –  –    577,141
  OTC Credit default contracts*#    –  –  –  –  19,820  –  314  –  –  –  –  –  –  –    20,134
  Centrally cleared credit default contracts§    –  –  20,794  –  –  –  –  –  –  –  –  –  –  –    20,794
  Futures contracts§    –  –  –  –  –  –  –  –  –  114,981  –  –  –  –    114,981
  Forward currency contracts#    266,419  593,165  –  733,108  654,970  370,076  453,996  261,402  828,097  –  5,643  725,956  150,246  464,034    5,507,112
  Forward premium swap option contracts#    –  –  –  –  31,818  –  –  –  111,616  –  –  –  –  –    143,434
  Purchased swap options#    709,540  –  –  –  261,174  –  –  –  –  –  –  –  –  –    970,714
  Purchased options#    –  –  –  –  –  –  –  –  485,817  –  –  –  –  –    485,817
                                     
  Total Assets  $975,959  $729,818  $325,346  $962,117  $1,245,251  $483,419  $455,847  $261,402  $1,458,214  $114,981  $5,643  $725,956  $150,246  $464,034  $8,358,233
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    $ 4,620  $–  $–  $ 67,636  $–  $ 779,536  $ 4,454  $–  $ 87,767  $–  $–  $–  $–  $–    $ 944,013
  Centrally cleared interest rate swap contracts§    –  –  166,002  –  –  –  –  –  –  –  –  –  –  –    166,002
  OTC Total return swap contracts*#    73,411  273,961  –  241,922  259,337  3,999  239,938  –  10,565  –  –  –  –  –    1,103,133
  OTC Credit default contracts*#    3,183  1,066  –  –  35,378  –  5,469  –  –  –  –  –  –  –    45,096
  Centrally cleared credit default contracts§    –  –  20,794  –  –  –  –  –  –  –  –  –  –  –    20,794
  Futures contracts§    –  –  –  –  –  –  –  –  –  10,931  –  –  –  –    10,931
  Forward currency contracts#    7,557  270,458  –  405,160  372,048  160,958  55,774  132,352  400,293  –  4,849  533,953  2,431  102,503    2,448,336
  Forward premium swap option contracts#    –  –  –  –  63,217  –  –  –  118,218  –  –  –  –  –    181,435
  Written swap options#    1,088,389  –  –  –  335,892  –  –  –  1,559,818  –  –  –  –  –    2,984,099
  Written options#    –  –  –  –  –  –  –  –  408,264  –  –  –  –  –    408,264
                                     
  Total Liabilities  $1,177,160  $545,485  $186,796  $714,718  $1,065,872  $944,493  $305,635  $132,352  $2,584,925  $10,931  $4,849  $533,953  $2,431  $102,503  $8,312,103
                                     
  Total Financial and Derivative Net Assets    $(201,201)  $184,333  $138,550  $247,399  $179,379  $(461,074)  $150,212  $129,050  $(1,126,711)  $104,050  $794  $192,003  $147,815  $361,531    $46,130
  Total collateral received (pledged)##†    $(201,201)  $110,989  $–  $160,000  $179,379  $(441,843)  $87,913  $72,161  $(1,126,711)  $–  $–  $–  $111,255  $–    
  Net amount    $–  $73,344  $138,550  $87,399  $–  $(19,231)  $62,299  $56,889  $–  $104,050  $794  $192,003  $36,560  $361,531    
                                     
* Excludes premiums, if any.
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.
                                     
# Covered by master netting agreement.
                                     
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                     
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio. 

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



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

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

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

Putnam Variable Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: November 26, 2014

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: November 26, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: November 26, 2014

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: November 25, 2014
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: November 25, 2014
Steven D. Krichmar
Principal Financial Officer














Attachment A

NQ

Period (s) ended September 30, 2014
               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