N-Q 1 a_vtdiversifiedinc.htm PUTNAM VARIABLE TRUST a_vtdiversifiedinc.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, 2015
Date of reporting period: September 30, 2015



Item 1. Schedule of Investments:













Putnam VT Diversified Income Fund

The fund's portfolio
9/30/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (86.1%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.9%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, October 1, 2045 $7,000,000 $7,332,500
7,332,500
U.S. Government Agency Mortgage Obligations (83.2%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, October 1, 2045 3,000,000 3,351,563
     4 1/2s, TBA, November 1, 2045 2,000,000 2,165,625
     4 1/2s, TBA, October 1, 2045 2,000,000 2,168,125
     4s, TBA, November 1, 2045 1,000,000 1,063,750
     4s, TBA, October 1, 2045 1,000,000 1,066,563
     3 1/2s, TBA, November 1, 2045 16,000,000 16,630,000
     3 1/2s, TBA, October 1, 2045 22,000,000 22,945,314
     3s, TBA, November 1, 2045 79,000,000 79,752,969
     3s, TBA, October 1, 2045 79,000,000 80,049,215
209,193,124
Total U.S. government and agency mortgage obligations (cost $215,652,892) $216,525,624

MORTGAGE-BACKED SECURITIES (46.1%)(a)
Principal amount Value
Agency collateralized mortgage obligations (13.9%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.774s, 2032 $148,392 $213,207
     IFB Ser. 3408, Class EK, 24.962s, 2037 52,075 81,941
     IFB Ser. 2979, Class AS, 23.516s, 2034 9,660 10,976
     IFB Ser. 3072, Class SM, 23.039s, 2035 139,760 210,186
     IFB Ser. 3072, Class SB, 22.893s, 2035 143,248 214,629
     IFB Ser. 3249, Class PS, 21.593s, 2036 109,800 161,705
     IFB Ser. 3065, Class DC, 19.24s, 2035 284,082 422,819
     IFB Ser. 319, Class S2, IO, 5.793s, 2043 1,198,383 305,024
     IFB Ser. 314, Class AS, IO, 5.683s, 2043 2,583,664 616,767
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 2,332,687 448,809
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 1,136,559 199,125
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 2,654,626 460,047
     Ser. 4462, IO, 4s, 2045 1,322,105 258,115
     Ser. 4220, Class IE, IO, 4s, 2028 1,702,529 199,894
     Ser. 311, IO, 3 1/2s, 2043 1,908,033 395,917
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 3,633,558 484,332
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 1,658,851 226,400
     Ser. 304, IO, 3 1/2s, 2027 3,060,835 337,977
     Ser. 304, Class C37, IO, 3 1/2s, 2027 2,267,131 244,034
     Ser. 4210, Class PI, IO, 3s, 2041 2,699,823 250,472
     Ser. 4437, Class DI, IO, 3s, 2032 2,920,717 318,972
     Ser. 304, Class C45, IO, 3s, 2027 2,630,888 274,761
     FRB Ser. T-57, Class 1AX, IO, 0.384s, 2043 1,427,572 15,311
     Ser. 3300, PO, zero %, 2037 40,940 35,888
     Ser. 3326, Class WF, zero %, 2035 1,213 1,000
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.737s, 2036 68,072 133,267
     IFB Ser. 06-8, Class HP, 23.856s, 2036 212,245 336,536
     IFB Ser. 07-53, Class SP, 23.489s, 2037 135,124 211,784
     IFB Ser. 08-24, Class SP, 22.572s, 2038 162,250 238,395
     IFB Ser. 05-122, Class SE, 22.421s, 2035 201,017 297,599
     IFB Ser. 05-83, Class QP, 16.89s, 2034 158,196 209,062
     IFB Ser. 13-103, Class SK, IO, 5.726s, 2043 1,649,525 425,519
     IFB Ser. 13-128, Class CS, IO, 5.706s, 2043 2,793,152 704,070
     Ser. 374, Class 6, IO, 5 1/2s, 2036 257,513 44,946
     Ser. 12-132, Class PI, IO, 5s, 2042 5,842,675 1,120,567
     Ser. 10-13, Class EI, IO, 5s, 2038 3,291 5
     Ser. 378, Class 19, IO, 5s, 2035 803,649 156,712
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 699,740 164,278
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 4,582,801 726,466
     Ser. 409, Class 81, IO, 4 1/2s, 2040 3,364,123 626,480
     Ser. 409, Class 82, IO, 4 1/2s, 2040 2,226,828 416,007
     Ser. 366, Class 22, IO, 4 1/2s, 2035 266,543 16,291
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 1,585,709 193,044
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.194s, 2025 904,000 861,219
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.194s, 2025 299,000 285,742
     Ser. 418, Class C24, IO, 4s, 2043 2,044,920 420,551
     Ser. 13-41, Class IP, IO, 4s, 2043 2,190,157 370,180
     Ser. 13-44, Class PI, IO, 4s, 2043 2,064,145 308,251
     Ser. 12-96, Class PI, IO, 4s, 2041 933,283 146,479
     Ser. 406, Class 2, IO, 4s, 2041 2,075,513 369,441
     Ser. 406, Class 1, IO, 4s, 2041 1,468,352 269,149
     Ser. 409, Class C16, IO, 4s, 2040 2,558,793 458,134
     Ser. 418, Class C15, IO, 3 1/2s, 2043 4,502,333 898,620
     Ser. 13-35, Class IP, IO, 3s, 2042 2,745,968 290,579
     Ser. 13-53, Class JI, IO, 3s, 2041 3,006,002 355,370
     Ser. 13-23, Class PI, IO, 3s, 2041 3,195,159 275,199
     FRB Ser. 03-W10, Class 1, IO, 0.858s, 2043 435,041 10,876
     FRB Ser. 00-T6, IO, 0.717s, 2030 1,278,906 27,177
     Ser. 99-51, Class N, PO, zero %, 2029 12,729 11,456
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.934s, 2043 1,643,432 303,854
     IFB Ser. 13-99, Class VS, IO, 5.891s, 2043 1,016,722 223,587
     IFB Ser. 12-77, Class MS, IO, 5.884s, 2042 1,711,870 445,069
     IFB Ser. 11-70, Class SM, IO, 5.681s, 2041 2,880,899 517,438
     IFB Ser. 11-70, Class SH, IO, 5.681s, 2041 3,057,776 559,665
     Ser. 13-22, Class OI, IO, 5s, 2043 2,132,902 404,620
     Ser. 13-3, Class IT, IO, 5s, 2043 1,903,293 361,171
     Ser. 13-6, Class IC, IO, 5s, 2043 1,248,193 246,531
     Ser. 12-146, IO, 5s, 2042 2,923,602 588,697
     Ser. 13-130, Class IB, IO, 5s, 2040 1,320,689 125,563
     Ser. 13-16, Class IB, IO, 5s, 2040 1,483,693 82,860
     Ser. 11-41, Class BI, IO, 5s, 2040 1,162,316 100,961
     Ser. 10-35, Class UI, IO, 5s, 2040 1,698,090 323,540
     Ser. 10-20, Class UI, IO, 5s, 2040 1,485,630 268,156
     Ser. 10-9, Class UI, IO, 5s, 2040 6,617,776 1,255,081
     Ser. 09-121, Class UI, IO, 5s, 2039 3,149,738 620,561
     Ser. 15-79, Class GI, IO, 5s, 2039 1,332,728 271,543
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 4,310,704 776,198
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 877,746 157,213
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 2,528,339 453,028
     Ser. 13-183, Class JI, IO, 4 1/2s, 2043 1,953,520 250,269
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 562,421 90,432
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 283,098 38,518
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 2,940,738 517,599
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 3,034,902 518,944
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 3,061,065 532,625
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 1,483,670 252,676
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 1,151,149 268,137
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 686,662 69,806
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 3,152,974 286,763
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 711,260 37,761
     Ser. 15-40, IO, 4s, 2045 3,568,580 864,203
     Ser. 14-174, IO, 4s, 2044 1,829,053 360,839
     Ser. 13-165, Class IL, IO, 4s, 2043 1,616,325 277,588
     Ser. 12-47, Class CI, IO, 4s, 2042 2,939,728 496,288
     Ser. 13-102, Class IP, IO, 3 1/2s, 2043 2,424,971 230,103
     Ser. 13-76, IO, 3 1/2s, 2043 5,613,732 708,678
     Ser. 13-28, IO, 3 1/2s, 2043 1,946,838 257,272
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 2,624,586 356,707
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 4,119,526 540,441
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 2,875,542 393,719
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 2,494,572 506,338
     Ser. 15-69, Class IK, IO, 3 1/2s, 2038 3,195,344 494,543
     FRB Ser. 15-H08, Class CI, IO, 1.792s, 2065 2,319,420 271,807
     Ser. 13-H08, Class CI, IO, 1.667s, 2063 5,913,551 480,476
     Ser. 06-36, Class OD, PO, zero %, 2036 3,573 3,093
34,958,720
Commercial mortgage-backed securities (19.9%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 856,000 861,919
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.499s, 2051 27,413,425 181,559
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-6, Class G, 5.315s, 2047 829,000 829,498
     Ser. 05-4, Class C, 5.147s, 2045 927,000 931,635
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 15,639 15,413
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 06-PW11, Class AJ, 5.603s, 2039 155,000 156,066
     FRB Ser. 07-T26, Class AJ, 5.566s, 2045 848,000 842,835
     Ser. 05-PWR7, Class B, 5.214s, 2041 923,000 922,077
     Ser. 05-PWR9, Class C, 5.055s, 2042 499,000 499,000
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class B, 5.603s, 2039 673,000 671,573
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.325s, 2044 578,000 563,015
     FRB Ser. 07-CD5, Class XS, IO, 0.284s, 2044 20,826,763 52,720
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.76s, 2047 426,000 446,222
     FRB Ser. 11-C2, Class F, 5 1/4s, 2047 822,000 801,410
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 385,000 378,837
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.959s, 2046 1,126,000 1,143,594
COMM Mortgage Trust Ser. 06-C8, Class AJ, 5.377s, 2046 1,672,000 1,667,000
COMM Mortgage Trust 144A
     FRB Ser. 13-CR11, Class D, 5.338s, 2046 268,000 261,930
     FRB Ser. 14-CR18, Class D, 4.897s, 2047 500,000 454,510
     FRB Ser. 13-LC6, Class D, 4.429s, 2046 224,000 209,523
     Ser. 13-LC13, Class E, 3.719s, 2046 566,000 430,173
     Ser. 14-CR18, Class E, 3.6s, 2047 493,000 361,211
     FRB Ser. 07-C9, Class AJFL, 0.893s, 2049 254,000 249,227
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.918s, 2039 23,030,080 131,048
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 530,428 265,214
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.945s, 2050 329,000 281,053
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, Class X, IO, 0.966s, 2020 1,787,253 27,309
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 351,000 289,883
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class D, 4.986s, 2042 1,053,000 1,053,830
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 292,956 293,597
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.558s, 2046 699,000 656,137
     FRB Ser. 05-GG4, Class XC, IO, 0.713s, 2039 8,285,255 35,627
GS Mortgage Securities Trust 144A
     FRB Ser. 14-GC18, Class D, 5.113s, 2047 900,000 825,987
     Ser. 11-GC3, Class E, 5s, 2044 528,000 505,494
     FRB Ser. 13-GC13, Class D, 4.205s, 2046 548,000 504,977
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class E, 4.47s, 2047 381,000 310,615
     Ser. 14-C25, Class E, 3.332s, 2047 656,000 465,301
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.279s, 2051 556,500 570,234
     FRB Ser. 06-LDP6, Class B, 5.749s, 2043 790,000 786,919
     Ser. 06-LDP8, Class B, 5.52s, 2045 203,000 202,438
     FRB Ser. 05-LDP3, Class D, 5.515s, 2042 1,173,000 1,170,605
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 807,000 808,715
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.379s, 2051 449,000 457,165
     FRB Ser. 07-CB20, Class C, 6.379s, 2051 1,004,000 958,880
     FRB Ser. 11-C3, Class E, 5.734s, 2046 528,000 557,522
     FRB Ser. 11-C3, Class F, 5.734s, 2046 401,000 416,060
     FRB Ser. 13-C13, Class D, 4.191s, 2046 207,000 191,181
     Ser. 13-C13, Class E, 3.986s, 2046 818,000 674,673
     Ser. 13-C10, Class E, 3 1/2s, 2047 833,000 671,648
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 558,000 446,400
     FRB Ser. 07-CB20, Class X1, IO, 0.455s, 2051 38,984,493 220,535
LB Commercial Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031(F) 395,223 414,951
     Ser. 98-C4, Class J, 5.6s, 2035 379,000 398,405
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.953s, 2039 406,000 406,365
     Ser. 06-C3, Class AJ, 5.72s, 2039 465,000 466,855
     Ser. 06-C6, Class E, 5.541s, 2039 900,000 896,769
     FRB Ser. 06-C6, Class C, 5.482s, 2039 808,000 767,600
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3 1/2s, 2048 413,000 360,929
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, zero %, 2028 4,527 —
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.475s, 2051 269,000 290,660
     FRB Ser. 07-C1, Class A3, 6.032s, 2050 7,603 7,621
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.894s, 2049 876,519 98,608
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 937,000 940,804
     Ser. 06-4, Class AJ, 5.239s, 2049 505,000 506,313
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.855s, 2047 465,000 434,311
     Ser. 14-C15, Class F, 4s, 2047 440,000 332,534
     Ser. 14-C17, Class E, 3 1/2s, 2047 602,000 437,277
     Ser. 15-C24, Class D, 3.257s, 2048 383,000 286,886
     Ser. 14-C19, Class D, 3 1/4s, 2047 550,000 448,621
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class D, 5.862s, 2044 368,000 369,380
     Ser. 06-HQ9, Class C, 5.842s, 2044 1,320,000 1,348,240
     FRB Ser. 06-HQ8, Class D, 5.667s, 2044 513,000 511,625
     Ser. 07-HQ11, Class C, 5.558s, 2044 986,000 985,418
     Ser. 07-HQ11, Class BI, 5.538s, 2044 556,000 556,036
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.461s, 2043 302,000 298,769
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039 829,618 758,585
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 863,985 866,145
STRIPS III, Ltd. 144A FRB 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 495,434 123,859
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.199s, 2045 2,115,000 2,113,308
     FRB Ser. 06-C25, Class AJ, 5.9s, 2043 449,000 455,870
     FRB Ser. 07-C34, IO, 0.459s, 2046 11,621,167 87,159
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.936s, 2045 479,000 436,369
     FRB Ser. 13-LC12, Class D, 4.435s, 2046 510,000 491,272
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 14-C19, Class E, 5.137s, 2047 1,128,000 942,984
     Ser. 12-C6, Class E, 5s, 2045 525,000 480,895
     Ser. 11-C4, Class F, 5s, 2044 1,270,000 1,210,394
     FRB Ser. 13-UBS1, Class E, 4.785s, 2046 555,000 483,893
     FRB Ser. 13-C15, Class D, 4.63s, 2046 373,000 347,774
     Ser. 12-C7, Class F, 4 1/2s, 2045 2,626,000 2,409,618
     Ser. 14-C19, Class D, 4.234s, 2047 629,000 560,264
50,074,960
Residential mortgage-backed securities (non-agency) (12.3%)
Banc of America Funding Trust FRB Ser. 14-R7, Class 3A2, 2.651s, 2036 147,621 116,783
Banc of America Funding Trust 144A FRB Ser. 15-R2, Class 7A2, 0.474s, 2036 401,094 286,782
BCAP, LLC Trust
     FRB Ser. 15-RR5, Class 2A3, 1.253s, 2046 580,000 448,270
     FRB Ser. 12-RR5, Class 4A8, 0.369s, 2035 375,000 344,938
BCAP, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 5.915s, 2036 800,000 762,408
     FRB Ser. 09-RR5, Class 7A2, 5 1/2s, 2035 825,000 711,480
     FRB Ser. 13-RR1, Class 9A4, 5.499s, 2036 239,674 242,313
     FRB Ser. 11-RR2, Class 2A7, 2.775s, 2036 804,857 559,375
     FRB Ser. 09-RR11, Class 2A2, 2.66s, 2035 1,060,000 948,700
     FRB Ser. 15-RR2, Class 26A2, 2.652s, 2036 143,000 126,502
     FRB Ser. 11-RR3, Class 3A6, 2.249s, 2036 627,253 344,989
     FRB Ser. 10-RR7, Class 1610, 0.883s, 2047 436,582 261,382
     FRB Ser. 15-RR3, Class 5A3, 0.399s, 2046 500,000 350,940
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.119s, 2034 416,322 403,349
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 04-FR3, Class M6, 5.069s, 2034 33,576 19,146
     FRB Ser. 05-HE5, Class M3, 1.274s, 2035 800,000 656,000
     FRB Ser. 06-HE2, Class M1, 0.594s, 2036(F) 1,100,000 936,032
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-SD1, Class M2, 1.694s, 2036(F) 325,000 265,586
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.489s, 2025 (Bermuda) 387,000 387,484
Citigroup Mortgage Loan Trust 144A FRB Ser. 12-4, Class 3A2, 2.65s, 2036 699,785 619,344
Countrywide Alternative Loan Trust
     FRB Ser. 05-38, Class A1, 1.699s, 2035 393,854 357,186
     FRB Ser. 05-76, Class 2A1, 1.199s, 2036 449,273 388,621
     FRB Ser. 05-38, Class A3, 0.544s, 2035 1,108,042 956,462
     FRB Ser. 05-59, Class 1A1, 0.526s, 2035 826,593 660,969
     FRB Ser. 06-OC2, Class 2A3, 0.484s, 2036 142,450 127,492
Countrywide Asset-Backed Certificates Trust
     Ser. 05-3, Class MF1, 5.247s, 2035(F) 321,844 295,172
     Ser. 04-15, Class MF2, 5.213s, 2035 444,683 415,778
CSMC Trust 144A
     FRB Ser. 11-6R, Class 3A6, 2.858s, 2036 1,050,000 988,652
     FRB Ser. 13-2R, Class 4A2, 2.444s, 2036 921,097 732,272
     FRB Ser. 09-13R, Class 3A2, 2.249s, 2036 519,713 309,229
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.694s, 2025 1,295,921 1,486,578
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.394s, 2027 290,000 336,722
     Structured Agency Credit Risk Debt Notes Ser. 15-DNA2, Class B, 7.737s, 2027 692,000 699,128
First Franklin Mortgage Loan Trust FRB Ser. 05-FF4, Class M4, 1.169s, 2035 650,000 500,500
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 328,968 501,603
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 880,000 984,739
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 $681 681
GreenPoint Mortgage Funding Trust FRB Ser. 05-HY1, Class M1, 0.744s, 2035 500,000 361,950
GSAA Home Equity Trust FRB Ser. 05-9, Class M3, 0.724s, 2035 500,000 353,195
GSAA Trust FRB Ser. 05-8, Class M1, 0.684s, 2035 800,000 600,000
GSAMP Trust FRB Ser. 06-NC1, Class M1, 0.554s, 2036 1,050,000 745,500
JPMorgan Mortgage Acquisition Trust FRB Ser. 06-CH1, Class M3, 0.514s, 2036 800,000 549,760
Morgan Stanley Resecuritization Trust 144A
     Ser. 15-R4, Class CB2, 0.598s, 2047 410,000 295,200
     Ser. 15-R4, Class CB3, 0.598s, 2047 80,000 39,200
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.724s, 2035 334,204 295,541
     FRB Ser. 05-3, Class M1, 0.664s, 2035 329,497 291,966
     FRB Ser. 05-3, Class A2, 0.544s, 2035 470,710 421,286
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 270,581 272,442
Nomura Resecuritization Trust 144A
     FRB Ser. 10-6RA, Class 1A6, 2.65s, 2036 583,230 537,301
     FRB Ser. 15-4R, Class 1A14, 0.404s, 2047 475,000 274,313
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 05-WF3, Class M3, 0.774s, 2035 1,025,867 769,093
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR19, Class A1C3, 0.694s, 2045 1,966,007 1,730,086
     FRB Ser. 05-AR8, Class 2AC2, 0.654s, 2045 1,195,424 1,051,844
     FRB Ser. 05-AR13, Class A1B2, 0.624s, 2045 888,121 794,513
     FRB Ser. 05-AR17, Class A1B2, 0.604s, 2045 744,294 643,815
     FRB Ser. 05-AR19, Class A1C4, 0.594s, 2045 664,537 581,735
     FRB Ser. 05-AR8, Class 2AC3, 0.584s, 2045 426,205 372,814
     FRB Ser. 05-AR17, Class A1B3, 0.544s, 2045 1,154,537 996,871
     FRB Ser. 05-AR6, Class 2A1C, 0.534s, 2045 541,390 484,544
30,996,556
Total mortgage-backed securities (cost $114,368,247) $116,030,236

CORPORATE BONDS AND NOTES (32.0%)(a)
Principal amount Value
Basic materials (2.8%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $209,000 $196,983
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) 160,000 173,200
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 86,000 69,660
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) 66,000 53,790
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 60,000 62,400
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 220,000 227,700
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 100,000 99,875
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 135,000 127,238
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 265,000 267,319
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 205,000 202,438
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 60,000 39,450
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 102,000 68,595
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 195,000 182,081
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 149,000 148,255
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 4,000 3,512
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 227,000 147,550
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 284,000 295,360
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 158,000 178,540
Hexion, Inc. company guaranty sr. notes 6 5/8s, 2020 172,000 146,200
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 270,000 215,325
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 203,000 176,387
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 112,000 96,040
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 81,000 55,080
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 256,000 265,600
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 149,000 150,490
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 200,000 154,000
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 200,000 2
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 90,000 73,800
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 130,000 128,700
NOVA Chemicals Corp. 144A sr. unsec. notes 5s, 2025 (Canada) 40,000 37,600
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 281,000 270,519
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 95,000 90,013
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 215,000 220,375
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 145,000 124,700
PQ Corp. 144A sr. notes 8 3/4s, 2018 111,000 111,694
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 128,000 137,600
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 225,000 200,813
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 216,000 216,540
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 45,000 45,675
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 35,000 38,325
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 170,000 169,363
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 54,000 53,393
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 109,000 132,708
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 135,000 132,638
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 50,000 45,844
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 25,000 22,875
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 30,000 28,425
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 120,000 111,600
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 72,000 61,560
Univar, Inc. 144A sr. unsec. notes 6 3/4s, 2023 50,000 46,375
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 130,000 135,200
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 73,000 72,818
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 70,000 64,925
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 198,000 194,040
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 227,000 224,163
6,995,351
Capital goods (2.0%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 470,000 468,825
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 508,000 558,800
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 120,000 116,700
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 113,000 111,305
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 125,000 126,250
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 87,000 80,475
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 105,000 102,113
Berry Plastics Escrow, LLC/Berry Plastics Escrow Corp. 144A notes 6s, 2022(FWC) 60,000 60,150
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 55,000 47,025
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) 52,000 39,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 247,000 266,760
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 100,000 109,000
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 94,000 94,940
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 195,000 157,950
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 85,000 86,700
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 237,000 230,556
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 305,000 324,063
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 208,000 171,600
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 70,000 70,000
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 150,000 132,375
Oshkosh Corp. company guaranty sr. sub. unsec. notes 5 3/8s, 2025 85,000 84,575
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 389,000 394,835
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 78,000 74,880
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 264,000 273,240
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 270,000 261,225
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 50,000 52,125
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 85,000 79,887
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 114,000 108,656
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 215,000 196,994
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 150,000 141,750
5,022,754
Communication services (3.7%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 200,000 192,500
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 400,000 365,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 66,000 58,740
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 13,000 13,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 499,000 501,495
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 35,000 32,813
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 85,000 77,988
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 145,000 126,875
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 50,000 46,531
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 5,000 4,403
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 257,000 271,829
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 90,000 93,150
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 160,000 126,200
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 146,000 129,575
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 180,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 127,000 107,871
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 20,000 16,650
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 60,000 50,100
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 90,000 87,075
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 60,000 58,500
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 136,000 133,280
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 105,000 81,900
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 189,000 174,353
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 154,000 100,100
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 284,000 187,440
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 60,000 58,875
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 26,000 26,910
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 65,000 66,821
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 130,000 126,425
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) EUR 100,000 110,902
Numericable-SFR SAS 144A sr. bonds 6 1/4s, 2024 (France) $200,000 191,000
Numericable-SFR SAS 144A sr. notes 6s, 2022 (France) 600,000 576,000
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 221,000 218,238
SBA Communications Corp. sr. sub. unsec. notes 4 7/8s, 2022 179,000 175,644
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 70,000 72,100
Sprint Capital Corp. company guaranty 6 7/8s, 2028 182,000 130,585
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 363,000 380,896
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 418,000 338,319
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 175,000 143,281
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 218,000 215,275
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 85,000 86,488
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 135,000 129,600
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 258,000 255,420
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 240,000 233,400
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 120,000 115,800
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 365,000 438,282
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 110,000 129,521
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 93,600 109,818
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 98,100 114,550
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $201,000 196,729
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 261,000 398,776
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $239,000 220,776
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 379,000 381,843
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 125,000 137,803
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 $149,000 115,475
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 172,000 123,943
9,236,863
Consumer cyclicals (5.4%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 115,000 115,575
AMC Entertainment, Inc. 144A sr. unsec. notes 5 3/4s, 2025 95,000 92,388
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 157,000 160,140
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 231,000 224,070
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 97,000 57,230
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 109,000 110,635
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 250,000 246,875
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 125,000 120,625
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 150,000 159,750
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 228,000 225,150
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 45,113
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 120,000 121,500
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 67,000 65,660
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 65,000 62,075
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 50,000 52,250
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 162,000 164,430
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 395,000 396,481
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 133,000 95,428
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 95,000 91,438
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 383,000 385,873
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 175,000 171,938
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 60,000 62,250
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 45,000 46,143
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 410,000 435,092
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 33,000 30,969
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 150,000 132,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 180,000 182,250
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 70,000 70,525
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 258,000 264,450
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 335,000 257,306
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 3,500,000 171,367
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $157,000 159,496
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 105,000 105,263
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 268,000 225,187
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 278,000 239,080
Interactive Data Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2019 42,000 42,000
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 105,000 108,150
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 68,000 68,000
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 29,000 26,100
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 115,000 92,000
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 248,000 229,400
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 246,000 273,368
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 105,000 110,381
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 70,000 72,713
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 84,000 84,840
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 157,000 167,205
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 243,000 235,904
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 65,000 66,300
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 310,000 300,700
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 118,000 117,115
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 210,000 216,825
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 168,000 165,480
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 181,000 185,073
Navistar International Corp. sr. notes 8 1/4s, 2021 106,000 85,065
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 125,000 123,750
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 244,000 251,320
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 100,000 103,000
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 253,000 253,000
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 77,000 80,850
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 125,000 127,188
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 203,000 205,538
Owens Corning company guaranty sr. unsec. unsub. notes 4.2s, 2024 165,000 163,882
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 200,000 201,750
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 200,000 200,500
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 140,000 137,200
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 140,000 142,275
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 183,000 174,994
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 35,000 34,388
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 48,000 49,920
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 145,000 142,825
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 51,000 47,430
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 285,000 248,663
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 45,000 32,288
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 145,000 142,825
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 87,000 87,435
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 30,000 29,325
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 213,000 193,564
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 150,000 150,375
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 184,000 187,680
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 25,000 25,938
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 301,000 301,000
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 15,000 15,919
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 15,000 15,825
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 95,000 96,900
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 140,000 149,450
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 80,000 82,000
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 169,000 158,860
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 70,000 66,938
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 300,000 298,500
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 120,000 123,000
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 3,000 3,045
TEGNA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 63,000 61,740
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 335,000 387,947
Tri Pointe Holdings, Inc. sr. unsec. notes 5 7/8s, 2024 $150,000 147,000
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 130,000 126,100
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 107,000 111,280
13,876,028
Consumer staples (2.3%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 199,000
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 250,000 261,250
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 195,000 188,766
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 70,000 68,425
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 340,000 345,100
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 60,000 60,150
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 225,000 216,000
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 104,000 102,440
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 375,000 343,125
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 60,000 59,850
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 285,000 282,863
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 125,638
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 233,000 223,680
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 50,000 49,750
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 135,000 137,194
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 394,000 236,400
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 200,000 184,000
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 83,000 86,528
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 460,000 477,250
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 60,000 61,500
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 414,000 441,945
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 80,000 78,600
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 145,000 141,375
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 290,000 281,300
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 175,000 173,688
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 55,000 58,300
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 143,000 136,923
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 125,000 117,031
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 328,000 326,975
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 165,000 132,825
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 85,000 88,188
5,686,059
Energy (4.7%)
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 135,000 116,100
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 95,000 83,363
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 150,000 132,000
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 96,000 75,840
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 18,000 14,580
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 370,000 220,381
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 100,000 64,312
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 195,000 61,425
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 283,500 158,760
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 115,000 75,002
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 95,000 61,988
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 61,000 42,509
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 300,000 294,750
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 207,000 196,650
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 116,000 110,490
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 90,000 60,525
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 43,000 27,198
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 85,000 50,575
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 135,000 39,825
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 160,000 134,000
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 82,000 71,976
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 41,000 36,275
FTS International, Inc. 144A company guaranty sr. FRN 7.837s, 2020 53,000 39,236
Gazprom OAO Via Gaz Capital SA sr. unsec. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 335,000 322,438
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 240,000 231,000
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 690,000 762,450
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 62,000 60,915
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 150,000 51,000
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 382,000 114,600
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 180,000 189,225
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 45,000 43,875
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 70,000 59,500
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 158,000 54,510
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 166,000 36,520
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 94,000 19,505
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 120,000 33,000
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 315,000 80,325
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) 430,000 440,004
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 300,000 90,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 100,000 97,000
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 95,000 86,925
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 110,000 84,150
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 155,000 122,807
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 113,000 36,160
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 85,000 11,050
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 284,000 36,920
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 200,000 189,994
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 285,000 260,019
Petrobras Global Finance BV company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 52,000 33,800
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 3,220,000 1,432,900
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 1,065,000 336,540
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 711,000 490,590
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 1,270,000 854,075
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 760,000 243,162
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 380,000 356,250
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 85,000 78,003
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 475,000 384,303
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 60,000 52,800
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 95,000 82,650
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 100,000 88,750
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 100,000 92,750
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 100,000 89,000
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 95,000 91,913
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 (In default)(NON) 535,000 8,025
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 185,000 112,156
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 170,000 163,625
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 20,000 8,000
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 130,000 119,600
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 50,000 27,726
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $60,000 45,000
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 45,000 25,200
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 30,000 12,600
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 220,000 183,700
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 210,000 181,650
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 165,000 167,882
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 305,000 280,600
11,724,908
Financials (5.2%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 165,000 160,875
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 293,000 339,423
American International Group, Inc. jr. sub. FRB 8.175s, 2058 72,000 95,220
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 630,000 711,170
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $1,295,000 1,053,806
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 50,000 48,500
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 80,000 81,600
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB 5.919s, perpetual maturity (Spain) 39,000 39,488
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 75,000 76,035
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 99,000 99,510
CIT Group, Inc. sr. unsec. notes 5s, 2023 125,000 124,375
CIT Group, Inc. sr. unsec. notes 5s, 2022 325,000 324,594
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 175,000 183,313
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 70,000 69,606
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 85,000 86,275
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 90,000 91,800
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 118,000 38,940
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 134,000 131,990
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 94,000
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 250,000 312,188
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 115,000 121,900
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 150,000 151,500
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 78,000 35,880
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB 5.13s, perpetual maturity (United Kingdom) EUR 208,000 233,581
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) $53,000 51,145
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 220,000 210,100
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 195,000 196,219
iStar, Inc. sr. unsec. notes 5s, 2019(R) 10,000 9,500
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) 125,000 139,688
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 102,000 106,590
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 265,000 277,919
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 91,000
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 270,000 224,100
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 101,000 90,395
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 94,000 97,290
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 116,000 118,320
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 102,000 102,000
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 60,000 54,000
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 245,000 232,750
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 300,000 315,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8s, perpetual maturity (United Kingdom) 200,000 201,500
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 200,000 199,562
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.092s, perpetual maturity (United Kingdom) EUR 150,000 176,828
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) $105,000 105,834
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 900,000 929,250
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 250,000 251,250
Societe Generale SA 144A jr. unsec. sub. FRB 7 7/8s, perpetual maturity (France) 200,000 195,000
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes Ser. MTN, 6.9s, 2017 175,000 182,875
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 155,000 151,513
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 230,000 230,863
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 25,000 19,688
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 200,000 246,945
Ukreximbank Via Biz Finance PLC 144A sr. unsec. bonds 9 5/8s, 2022 (Ukraine) $250,000 218,750
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 198,000 193,793
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 255,000 242,250
VTB Bank OJSC 144A jr. unsec. sub. FRN 9 1/2s, perpetual maturity (Russia) 1,000,000 908,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,548,000 1,589,977
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 140,000 119,700
13,186,663
Health care (2.6%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 225,000 234,000
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 85,000 83,725
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 176,000 168,520
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 50,000 50,000
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 135,000 134,325
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 30,000 30,525
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 42,000 42,945
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 40,000 40,848
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 120,000 105,000
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 245,000 210,700
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 212,000 214,120
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 277,000 274,230
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 158,000 151,878
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland) 200,000 194,250
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2023 (Ireland) 200,000 197,500
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 156,000 159,120
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 50,000 49,500
HCA, Inc. sr. notes 6 1/2s, 2020 497,000 541,730
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 74,000 83,250
Hologic, Inc. 144A sr. unsec. notes 5 1/4s, 2022 42,000 42,420
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 150,000 145,875
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 242,000 254,100
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 132,000 118,140
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 135,000 136,468
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 478,000 497,718
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 279,000 287,370
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 109,000 108,183
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 50,000 50,250
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 42,000 41,370
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 117,000 114,075
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 342,000 364,658
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 164,000 173,020
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 35,000 35,350
Tenet Healthcare Corp. 144A company guaranty sr. FRN 3.837s, 2020 155,000 153,934
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 40,000 40,800
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 160,000 159,800
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 80,000 76,000
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 150,000 142,875
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 167,000 159,485
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 158,000 153,260
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 265,000 275,600
6,496,917
Technology (1.3%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 85,000 88,719
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 148,000 68,450
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 463,000 366,928
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 70,000 67,157
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 79,000 89,764
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 78,000 85,215
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 160,000 177,600
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 139,000 144,213
First Data Corp. 144A sr. notes 5 3/8s, 2023 150,000 148,500
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 115,000 120,175
Infor US, Inc. 144A sr. notes 5 3/4s, 2020 51,000 50,745
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 325,000 298,188
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 210,000 210,000
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 65,000 65,631
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 181,000 178,511
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 188,000 172,922
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 430,000 417,100
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 230,000 275,773
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 $213,000 226,845
3,252,436
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 190,000 172,425
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 268,000 265,320
437,745
Utilities and power (1.8%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 390,000 345,150
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 180,000 186,750
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 85,000 74,375
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 335,000 313,225
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 50,000 52,125
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 40,000 41,450
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 290,000 288,273
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 20,000 20,175
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 468,000 469,170
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 10,000 10,100
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 345,000 409,878
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 134,882 143,650
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 201,000 199,995
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 70,000 51,668
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 70,000 56,000
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 345,000 296,700
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 261,000 242,730
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 65,000 60,125
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 400,000 405,500
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 85,000 74,588
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 175,000 179,335
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 155,000 149,963
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 85,000 82,990
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 69,000 63,787
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 199,000 191,040
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 119,000 46,113
4,454,855
Total corporate bonds and notes (cost $90,013,141) $80,370,579

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (10.7%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 8.28s, 2033 (Argentina) (In default)(NON) $672,978 $667,931
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) 1,660,000 1,672,450
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 651,000 669,879
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 150,000 151,125
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) 1,017,880 875,376
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 1,770,774 1,784,055
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) (units) BRL 1,350 329,043
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $2,075,000 2,012,750
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 235,500,000 352,129
Costa Rica (Republic of) 144A unsec. notes 7s, 2044 (Costa Rica) $200,000 178,750
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) 400,000 420,000
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 360,000 387,128
Egypt (Government of) 144A sr. unsec. notes 5 7/8s, 2025 (Egypt) 200,000 188,500
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 274,000 271,945
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 947,185 786,164
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 2,280,000 2,209,595
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 1,896,000 1,867,113
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2038 (Greece)(STP) EUR 562,543 354,145
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2037 (Greece)(STP) EUR 50,102 31,700
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2036 (Greece)(STP) EUR 452,051 290,202
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2035 (Greece)(STP) EUR 396,222 256,616
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2034 (Greece)(STP) EUR 204,967 134,409
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2033 (Greece)(STP) EUR 171,524 114,004
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2032 (Greece)(STP) EUR 246,577 166,800
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2031 (Greece)(STP) EUR 84,480 58,264
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2030 (Greece)(STP) EUR 1,075,053 753,541
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2029 (Greece)(STP) EUR 127,387 90,967
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2028 (Greece)(STP) EUR 1,070,533 776,881
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2027 (Greece)(STP) EUR 408,920 301,800
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2026 (Greece)(STP) EUR 1,119,402 841,276
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2025 (Greece)(STP) EUR 2,672,753 2,063,844
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 393,427 306,192
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 1,173,192 926,561
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) $575,000 603,100
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 200,000 180,500
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 200,000 183,000
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 235,000 235,000
Turkey (Republic of) unsec. bonds 6s, 2041 (Turkey) 975,000 949,377
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) (In default)(NON) 1,805,000 1,427,087
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 220,000 205,700
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 265,000 86,523
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 1,215,000 619,650
Total foreign government and agency bonds and notes (cost $29,509,149) $26,781,072

SENIOR LOANS (2.5%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $216,822 $215,497
Asurion, LLC bank term loan FRN 8 1/2s, 2021 148,000 133,163
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 80,409 76,464
Asurion, LLC bank term loan FRN Ser. B4, 5s, 2022 94,763 89,639
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 66,781 63,609
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 140,056 114,146
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 217,475 167,999
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 994,505 925,422
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 1/2s, 2017 69,650 62,903
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 261,688 228,322
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021 146,765 142,240
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 98,497 97,348
Dell International, LLC bank term loan FRN Ser. B2, 4s, 2020 180,041 179,411
First Data Corp. bank term loan FRN 4.2s, 2021 12,896 12,878
First Data Corp. bank term loan FRN Ser. B, 3.7s, 2018 121,183 120,066
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 318,500 318,411
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 81,918 77,566
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 225,367 145,831
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.198s, 2021 231,475 231,210
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.948s, 2019 319,000 263,773
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 133,737 133,211
Jeld-Wen, Inc. bank term loan FRN Ser. B, 5s, 2022 95,000 94,683
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 80,000 79,383
Level 3 Financing, Inc. bank term loan FRN Ser. B2, 3 1/2s, 2022 125,000 124,037
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 88,875 88,320
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 150,000 146,063
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 283,709 277,390
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 79,000 77,815
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 123,438 121,308
Restaurant Brands International, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 (Canada) 148,136 147,713
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019 168,930 168,635
ROC Finance, LLC bank term loan FRN 5s, 2019 480,855 455,610
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 55,000 53,900
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 109,444 107,164
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.683s, 2017 499,637 192,360
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.683s, 2017 5,128 1,974
TransDigm, Inc. bank term loan FRN Ser. E, 3 1/2s, 2022 39,810 39,196
Univision Communications, Inc. bank term loan FRN 4s, 2020 295,971 293,094
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 119,410 117,520
Total senior loans (cost $7,004,967) $6,385,274

PURCHASED SWAP OPTIONS OUTSTANDING (1.2%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     (1.548)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.548 $84,204,500 $3,368
Barclays Bank PLC
     2.055/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.055 17,005,200 150,836
Citibank, N.A.
     2.12/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.12 17,005,200 217,837
     (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 34,590,200 12,452
Credit Suisse International
     2.07125/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.07125 25,507,800 243,089
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 3,749,700 237,731
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 3,749,700 138,866
     (2.42875)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.42875 25,507,800 5,357
Goldman Sachs International
     2.155/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.155 34,010,400 460,501
     2.0775/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.0775 34,010,400 423,089
     0.90/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.90 90,955,300 250,127
     1.992/3 month USD-LIBOR-BBA/Oct-25 Oct-15/1.992 34,010,400 204,403
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 3,603,400 71,600
     (2.234)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.234 34,010,400 57,478
     (2.5025)/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.5025 34,010,400 32,990
     (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 34,590,200 9,685
     (2.49)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.49 34,010,400 34
JPMorgan Chase Bank N.A.
     2.0775/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.0775 34,010,400 342,145
     0.98/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.98 43,170,500 162,753
Total purchased swap options outstanding (cost $3,136,941) $3,024,341

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 219 $220,095
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP 6,980 178,199
M/I Homes, Inc. Ser. A, $2.438 pfd. 5,132 130,609
Total preferred stocks (cost $496,591) $528,903

PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/$100.98 $9,000,000 $75,474
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/100.86 9,000,000 69,993
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/100.66 9,000,000 62,640
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/100.50 9,000,000 56,772
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Nov-15/101.25 9,000,000 59,265
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Nov-15/101.13 9,000,000 53,577
Total purchased options outstanding (cost $736,875) $377,721

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $125,000 $142,734
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 54,000 39,521
Total convertible bonds and notes (cost $171,968) $182,255

COMMON STOCKS (—%)(a)
Shares Value
Connacher Oil and Gas, Ltd. (Canada)(NON) 7,894 $3,549
Connacher Oil and Gas, Ltd. (Canada)(NON) 1,837 772
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 12,972 519
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 12,972 519
Tribune Media Co. Class 1C(F) 55,356 13,839
Total common stocks (cost $431,747) $19,198

SHORT-TERM INVESTMENTS (8.5%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.13%(AFF) Shares 6,815,566 $6,815,566
SSgA Prime Money Market Fund Class N 0.09%(P) Shares 110,000 110,000
U.S. Treasury Bills 0.06%, February 18, 2016(SEGSF)(SEGCCS) $1,429,000 1,428,870
U.S. Treasury Bills 0.16%, February 11, 2016(SEGSF)(SEGCCS) 1,248,000 1,247,885
U.S. Treasury Bills 0.03%, February 4, 2016(SEGSF)(SEGCCS) 1,696,000 1,695,888
U.S. Treasury Bills 0.09%, January 14, 2016(SEG)(SEGSF)(SEGCCS) 133,000 132,997
U.S. Treasury Bills 0.04%, October 22, 2015(SEG)(SEGSF)(SEGCCS) 2,137,000 2,136,956
U.S. Treasury Bills 0.02%, October 15, 2015(SEG)(SEGSF)(SEGCCS) 2,410,000 2,409,978
U.S. Treasury Bills 0.02%, October 8, 2015(SEG)(SEGSF)(SEGCCS) 3,669,000 3,668,985
U.S. Treasury Bills 0.01%, October 1, 2015 1,758,000 1,758,000
Total short-term investments (cost $21,404,235) $21,405,125

TOTAL INVESTMENTS
Total investments (cost $482,926,753)(b) $471,630,328













FORWARD CURRENCY CONTRACTS at 9/30/15 (aggregate face value $126,535,346) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 10/21/15 $255,296 $337,426 $(82,130)
British Pound Buy 12/16/15 307,749 311,519 (3,770)
Canadian Dollar Buy 10/21/15 794,073 826,930 (32,857)
Canadian Dollar Sell 10/21/15 794,073 808,529 14,456
Chilean Peso Sell 10/21/15 294,563 323,577 29,014
Euro Buy 12/16/15 1,190,090 1,205,215 (15,125)
Mexican Peso Buy 10/21/15 1,267,962 1,360,187 (92,225)
New Taiwan Dollar Sell 11/18/15 1,305,062 1,310,327 5,265
New Zealand Dollar Buy 10/21/15 711,890 674,901 36,989
Norwegian Krone Buy 12/16/15 116,141 119,979 (3,838)
Swedish Krona Sell 12/16/15 1,402,663 1,395,114 (7,549)
Barclays Bank PLC
Australian Dollar Buy 10/21/15 2,560,182 2,668,147 (107,965)
Australian Dollar Sell 10/21/15 2,560,182 2,658,908 98,726
British Pound Buy 12/16/15 64,272 65,054 (782)
Canadian Dollar Buy 10/21/15 3,271,599 3,329,801 (58,202)
Canadian Dollar Sell 10/21/15 3,271,599 3,307,154 35,555
Euro Sell 12/16/15 2,832,185 2,849,988 17,803
Japanese Yen Buy 11/18/15 175,622 140,206 35,416
Mexican Peso Buy 10/21/15 1,255,140 1,346,722 (91,582)
New Zealand Dollar Buy 10/21/15 3,101,712 3,169,937 (68,225)
New Zealand Dollar Sell 10/21/15 3,101,712 3,250,356 148,644
Norwegian Krone Sell 12/16/15 1,337,825 1,381,108 43,283
Singapore Dollar Sell 11/18/15 76,966 104,658 27,692
Swedish Krona Sell 12/16/15 745,371 741,884 (3,487)
Swiss Franc Buy 12/16/15 376,256 376,962 (706)
Citibank, N.A.
Australian Dollar Buy 10/21/15 161,620 161,409 211
Australian Dollar Sell 10/21/15 161,620 175,641 14,021
Brazilian Real Buy 10/2/15 119,006 121,771 (2,765)
Brazilian Real Sell 10/2/15 119,006 149,115 30,109
Brazilian Real Sell 1/5/16 115,250 118,053 2,803
British Pound Buy 12/16/15 548,504 555,141 (6,637)
Canadian Dollar Sell 10/21/15 565,697 557,943 (7,754)
Chilean Peso Buy 10/21/15 47,878 51,532 (3,654)
Chilean Peso Sell 10/21/15 47,878 47,231 (647)
Euro Buy 12/16/15 339,450 343,661 (4,211)
Japanese Yen Sell 11/18/15 628,709 608,125 (20,584)
Mexican Peso Buy 10/21/15 1,096,421 1,181,558 (85,137)
New Zealand Dollar Buy 10/21/15 829,549 826,858 2,691
New Zealand Dollar Sell 10/21/15 829,549 869,609 40,060
Norwegian Krone Buy 12/16/15 657,638 679,962 (22,324)
Swedish Krona Sell 12/16/15 1,414,225 1,407,996 (6,229)
Swiss Franc Sell 12/16/15 68,317 68,422 105
Credit Suisse International
Australian Dollar Buy 10/21/15 1,275,358 1,383,748 (108,390)
Australian Dollar Sell 10/21/15 1,275,358 1,336,934 61,576
British Pound Buy 12/16/15 889,220 900,007 (10,787)
Canadian Dollar Sell 10/21/15 606,382 590,434 (15,948)
Euro Sell 12/16/15 614,233 621,907 7,674
Japanese Yen Sell 11/18/15 47,514 25,916 (21,598)
New Zealand Dollar Buy 10/21/15 820,229 810,829 9,400
Norwegian Krone Sell 12/16/15 438,120 452,784 14,664
Singapore Dollar Sell 11/18/15 61,952 88,758 26,806
Swedish Krona Sell 12/16/15 495,533 493,258 (2,275)
Swiss Franc Sell 12/16/15 702,612 703,716 1,104
Deutsche Bank AG
Australian Dollar Buy 10/21/15 84,631 84,574 57
Australian Dollar Sell 10/21/15 84,631 91,913 7,282
British Pound Buy 12/16/15 37,051 37,500 (449)
Canadian Dollar Buy 10/21/15 717,123 713,625 3,498
Canadian Dollar Sell 10/21/15 717,123 761,317 44,194
Euro Sell 12/16/15 1,296,043 1,312,154 16,111
Japanese Yen Sell 11/18/15 1,292,567 1,250,365 (42,202)
New Zealand Dollar Buy 10/21/15 184,947 193,876 (8,929)
New Zealand Dollar Sell 10/21/15 184,947 184,343 (604)
Norwegian Krone Sell 12/16/15 474,210 490,194 15,984
Polish Zloty Sell 12/16/15 655,718 655,942 224
Swedish Krona Sell 12/16/15 12,304 12,254 (50)
Goldman Sachs International
Australian Dollar Buy 10/21/15 444,752 484,512 (39,760)
British Pound Buy 12/16/15 727,709 736,561 (8,852)
Canadian Dollar Sell 10/21/15 663,026 736,666 73,640
Euro Sell 12/16/15 1,252,745 1,268,441 15,696
Japanese Yen Sell 11/18/15 650,140 667,926 17,786
New Zealand Dollar Buy 10/21/15 66,203 65,984 219
New Zealand Dollar Sell 10/21/15 66,203 69,408 3,205
Norwegian Krone Sell 12/16/15 582,162 601,747 19,585
South African Rand Buy 10/21/15 22,505 24,776 (2,271)
Swedish Krona Buy 12/16/15 487,024 480,145 6,879
HSBC Bank USA, National Association
Australian Dollar Buy 10/21/15 98,865 98,747 118
Australian Dollar Sell 10/21/15 98,865 107,381 8,516
British Pound Sell 12/16/15 612,776 620,207 7,431
Canadian Dollar Buy 10/21/15 1,325,078 1,343,850 (18,772)
Canadian Dollar Sell 10/21/15 1,325,078 1,401,438 76,360
Euro Sell 12/16/15 3,084,144 3,122,484 38,340
Japanese Yen Sell 11/18/15 425,939 412,065 (13,874)
New Zealand Dollar Buy 10/21/15 601,701 630,881 (29,180)
New Zealand Dollar Sell 10/21/15 601,701 599,647 (2,054)
Swedish Krona Sell 12/16/15 299,963 298,758 (1,205)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 10/21/15 1,281,949 1,359,153 (77,204)
Australian Dollar Sell 10/21/15 1,281,949 1,333,860 51,911
British Pound Buy 12/16/15 128,846 130,421 (1,575)
Canadian Dollar Sell 10/21/15 1,328,450 1,362,097 33,647
Euro Sell 12/16/15 1,509,850 1,516,284 6,434
Japanese Yen Sell 11/18/15 130,569 207,554 76,985
Mexican Peso Buy 10/21/15 1,295,432 1,385,215 (89,783)
Mexican Peso Sell 10/21/15 1,295,432 1,302,060 6,628
New Taiwan Dollar Sell 11/18/15 1,284,644 1,329,217 44,573
New Zealand Dollar Buy 10/21/15 2,229,709 2,274,156 (44,447)
New Zealand Dollar Sell 10/21/15 2,211,961 2,318,731 106,770
Norwegian Krone Sell 12/16/15 1,542,783 1,600,807 58,024
Singapore Dollar Sell 11/18/15 66,021 92,593 26,572
South African Rand Buy 10/21/15 324,234 360,104 (35,870)
South Korean Won Sell 11/18/15 63,787 60,019 (3,768)
Swedish Krona Sell 12/16/15 1,105,609 1,100,857 (4,752)
Swiss Franc Buy 12/16/15 95,479 95,707 (228)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 10/21/15 1,916,087 2,056,026 (139,939)
Australian Dollar Sell 10/21/15 1,916,087 2,001,208 85,121
British Pound Buy 12/16/15 1,023,209 1,026,881 (3,672)
Canadian Dollar Sell 10/21/15 641,447 700,392 58,945
Euro Sell 12/16/15 3,744,808 3,782,444 37,636
Japanese Yen Sell 11/18/15 1,276,584 1,315,145 38,561
New Zealand Dollar Buy 10/21/15 754,727 735,966 18,761
Norwegian Krone Sell 12/16/15 1,122,121 1,156,616 34,495
Singapore Dollar Buy 11/18/15 238,546 228,032 10,514
South Korean Won Sell 11/18/15 19,641 29,571 9,930
Swedish Krona Buy 12/16/15 450,926 464,712 (13,786)
State Street Bank and Trust Co.
Australian Dollar Buy 10/21/15 1,010,666 1,098,397 (87,731)
Australian Dollar Sell 10/21/15 1,010,666 1,009,139 (1,527)
Brazilian Real Buy 10/2/15 1,184,664 1,466,649 (281,985)
Brazilian Real Sell 10/2/15 1,184,664 1,320,419 135,755
Brazilian Real Buy 1/5/16 348,194 331,499 16,695
British Pound Sell 12/16/15 138,676 140,356 1,680
Canadian Dollar Sell 10/21/15 278,053 334,839 56,786
Chilean Peso Buy 10/21/15 1,282,458 1,381,198 (98,740)
Chilean Peso Sell 10/21/15 1,282,458 1,364,004 81,546
Euro Sell 12/16/15 337,772 333,772 (4,000)
Hungarian Forint Buy 12/16/15 1,372,428 1,365,584 6,844
Japanese Yen Sell 11/18/15 225,133 190,434 (34,699)
New Zealand Dollar Buy 10/21/15 1,155,649 1,152,156 3,493
New Zealand Dollar Sell 10/21/15 1,155,649 1,211,639 55,990
Norwegian Krone Buy 12/16/15 12,378 12,796 (418)
Singapore Dollar Buy 11/18/15 103,697 64,422 39,275
Swedish Krona Sell 12/16/15 448,316 446,499 (1,817)
Swiss Franc Buy 12/16/15 432,020 432,724 (704)
UBS AG
Australian Dollar Buy 10/21/15 371,129 461,350 (90,221)
British Pound Buy 12/16/15 1,060,108 1,072,933 (12,825)
Canadian Dollar Sell 10/21/15 309,597 359,395 49,798
Chilean Peso Buy 10/21/15 1,575 1,697 (122)
Chilean Peso Sell 10/21/15 1,575 1,554 (21)
Euro Sell 12/16/15 2,477,630 2,508,763 31,133
Israeli Shekel Sell 10/21/15 8,975 9,350 375
Japanese Yen Sell 11/18/15 530,409 512,925 (17,484)
New Zealand Dollar Buy 10/21/15 1,154,755 1,172,400 (17,645)
New Zealand Dollar Sell 10/21/15 1,154,755 1,150,791 (3,964)
Norwegian Krone Buy 12/16/15 17,646 18,229 (583)
Swedish Krona Sell 12/16/15 677,759 674,476 (3,283)
WestPac Banking Corp.
Australian Dollar Buy 10/21/15 131,680 131,506 174
Australian Dollar Sell 10/21/15 131,680 143,090 11,410
Canadian Dollar Sell 10/21/15 1,216,285 1,272,224 55,939
Euro Sell 12/16/15 2,465,995 2,496,662 30,667
Japanese Yen Buy 11/18/15 88,318 41,061 47,257
New Zealand Dollar Buy 10/21/15 461,570 528,543 (66,973)
South Korean Won Sell 11/18/15 44,205 39,455 (4,750)
Total $189,415












FUTURES CONTRACTS OUTSTANDING at 9/30/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bund 10 yr (Long) 3 $523,580             Dec-15 $8,104
U.S. Treasury Bond 30 yr (Long) 49 7,709,844             Dec-15 75,451
U.S. Treasury Bond Ultra 30 yr (Long) 19 3,047,719             Dec-15 20,464
U.S. Treasury Note 10 yr (Short) 148 19,052,688             Dec-15 (237,258)
Total $(133,239)












WRITTEN SWAP OPTIONS OUTSTANDING at 9/30/15 (premiums $4,721,325) (Unaudited)


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

Bank of America N.A.
1.798/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.798 $84,204,500 $842
1.278/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.278 21,051,125 4,421

Barclays Bank PLC
(2.235)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.235 8,502,600 176,344

Citibank, N.A.
2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587 34,590,200 2,767
2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387 34,590,200 5,189
(2.31)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.31 8,502,600 229,825

Credit Suisse International
2.25/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.25 12,753,900 16,963
(2.25)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.25 12,753,900 278,673
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 3,749,700 382,061

Goldman Sachs International
2.3225/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.3225 17,005,200 340
2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625 69,180,400 6,226
(1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885 3,603,400 15,495
2.29/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.29 17,005,200 58,668
2.113/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.113 17,005,200 74,993
(0.725)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.725 90,955,300 104,599
(0.8125)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.8125 90,955,300 168,267
(2.113)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.113 17,005,200 206,273
(2.29)/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.29 17,005,200 437,884
(2.3225)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.3225 17,005,200 484,647

JPMorgan Chase Bank N.A.
(0.83)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.83 43,170,500 84,182
(0.905)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.905 43,170,500 120,446
(2.2625)/3 month USD-LIBOR-BBA/Oct-25 Oct-15/2.2625 17,005,200 389,929
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 8,886,000 1,153,074
Total $4,402,108












WRITTEN OPTIONS OUTSTANDING at 9/30/15 (premiums $722,813) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/$99.98 $9,000,000 $38,718
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.92 9,000,000 35,640
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.86 9,000,000 35,442
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.77 9,000,000 31,725
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.19 9,000,000 18,729
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.03 9,000,000 16,281
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/98.98 9,000,000 16,983
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/98.86 9,000,000 15,273
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Nov-15/100.25 9,000,000 21,501
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Nov-15/100.13 9,000,000 19,377
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Nov-15/99.25 9,000,000 6,579
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Nov-15/99.13 9,000,000 5,499
Total $261,747













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/15 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 $4,684,125 $(114,775) $12,600
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 4,684,125 (119,019) (4,965)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 8,512,300 (56,283) (16,863)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 17,024,600 (119,598) (40,706)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 4,684,125 (124,635) (55,455)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 4,684,125 (131,156) (70,107)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 20,516,500 135,922 105,824
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 20,516,500 131,156 96,653
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 17,024,600 52,129 (10,726)
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 34,049,200 108,957 (16,173)
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 20,516,500 118,120 (64,627)
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 20,516,500 116,944 (89,247)
Total $(2,238) $(153,792)












TBA SALE COMMITMENTS OUTSTANDING at 9/30/15 (proceeds receivable $106,093,516) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, October 1, 2045 $2,000,000       10/14/15 $2,168,125
Federal National Mortgage Association, 4s, October 1, 2045 1,000,000       10/14/15 1,066,563
Federal National Mortgage Association, 3 1/2s, October 1, 2045 22,000,000       10/14/15 22,945,314
Federal National Mortgage Association, 3s, October 1, 2045 79,000,000       10/14/15 80,049,214
Total $106,229,216















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/15 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Deutsche Bank AG
BRL 23,054,400 $—      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% $(172,758)
ILS 1,070,000 —      6/26/25 2.39% 3 month TELBOR03 (12,457)
ILS 1,070,000 —      6/29/25 2.404% 3 month TELBOR03 (12,722)
ILS 3,210,000 —      7/1/25 2.4517% 3 month TELBOR03 (41,413)
ILS 4,280,000 —      7/2/25 2.45625% 3 month TELBOR03 (55,593)
PLN 10,159,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (409,723)
PLN 5,065,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (206,556)
PLN 4,320,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (171,689)
PLN 1,150,000 —      6/26/25 6 month PLN-WIBOR-WIBO 2.89% 12,097
PLN 1,150,000 —      6/29/25 6 month PLN-WIBOR-WIBO 2.88% 11,792
PLN 3,450,000 —      6/30/25 6 month PLN-WIBOR-WIBO 2.87% 34,529
PLN 3,450,000 —      7/1/25 6 month PLN-WIBOR-WIBO 3.0266% 47,334
PLN 3,450,000 —      7/2/25 6 month PLN-WIBOR-WIBO 3.00% 45,118
ZAR 19,118,000 —      1/26/25 3 month ZAR-JIBAR-SAFEX 7.09% (110,567)
ZAR 12,745,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.08% (73,809)
ZAR 23,459,000 —      8/25/25 8.3575% 3 month ZAR-JIBAR-SAFEX (1,104)
Goldman Sachs International
KRW 1,442,000,000 —      11/6/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 27,866
JPMorgan Chase Bank N.A.
BRL 23,286,506 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (207,361)
BRL 10,063,108 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (54,447)
PLN 492,000 —      3/12/25 6 month PLN-WIBOR-WIBO 2.4199% 1,369
PLN 22,122,000 —      8/20/17 6 month PLN-WIBOR-WIBO 1.71% 6,862
PLN 1,138,000 —      8/21/17 6 month PLN-WIBOR-WIBO 1.71% 355
ZAR 13,223,000 —      1/22/25 3 month ZAR-JIBAR-SAFEX 7.14% (72,664)
ZAR 39,669,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.0633% (232,947)
ZAR 81,000 —      3/10/25 7.9101% 3 month ZAR-JIBAR-SAFEX 163
ZAR 24,486,000 —      8/21/25 8.28% 3 month ZAR-JIBAR-SAFEX 7,751
ZAR 183,249,000 —      8/18/17 7.06% 3 month ZAR-JIBAR-SAFEX (6,263)
ZAR 36,729,000 —      8/24/25 8.44% 3 month ZAR-JIBAR-SAFEX (16,985)
ZAR 45,812,250 —      9/9/17 3 month ZAR-JIBAR-SAFEX 7.185% 6,353
Total$—     $(1,657,469)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$8,496,000 $(44,240)     9/30/25 3 month USD-LIBOR-BBA 2.1575% $72,094
8,496,000 116,333      9/30/25 2.3975% 3 month USD-LIBOR-BBA (189,782)
8,496,000 (74,826)     9/30/25 3 month USD-LIBOR-BBA 2.2775% 136,403
358,949,000 (E) 1,878,714      12/16/17 1.25% 3 month USD-LIBOR-BBA (875,859)
251,000 (E) (3,532)     12/16/25 3 month USD-LIBOR-BBA 2.35% 3,080
12,753,900 105,689      9/29/25 2.235% 3 month USD-LIBOR-BBA (161,812)
4,251,300 84,881      9/29/45 2.703% 3 month USD-LIBOR-BBA (76,736)
138,332,000 (E) 123,008      12/16/20 1.70% 3 month USD-LIBOR-BBA (1,354,930)
8,334,000 (E) 17,661      12/16/45 3 month USD-LIBOR-BBA 2.70% 284,982
8,002,000 (106)     9/29/25 2.162% 3 month USD-LIBOR-BBA (113,566)
4,367,000 (58)     9/30/25 2.07% 3 month USD-LIBOR-BBA (24,292)
AUD 6,732,000 (2,201)     9/28/25 3.00% 6 month AUD-BBR-BBSW (45,630)
CAD 19,544,000 (58)     6/17/17 0.92% 3 month CAD-BA-CDOR (30,281)
CAD 22,247,000 (166)     6/17/20 3 month CAD-BA-CDOR 1.24% 96,199
CAD 851,000 (9)     4/17/25 1.89% 3 month CAD-BA-CDOR (7,534)
CAD 3,404,000 (36)     4/17/25 1.91875% 3 month CAD-BA-CDOR (37,112)
CAD 3,022,000 (33)     4/17/25 1.89375% 3 month CAD-BA-CDOR (27,564)
CAD 7,609,000 (89)     6/17/25 2.253% 3 month CAD-BA-CDOR (241,489)
CAD 3,639,000 (39)     5/21/25 3 month CAD-BA-CDOR 2.1875% 103,291
CAD 2,258,000 (24)     6/29/25 3 month CAD-BA-CDOR 2.255% 70,591
CAD 1,380,000 (15)     6/29/25 3 month CAD-BA-CDOR 2.27% 44,611
CAD 1,325,000 (13)     7/29/25 3 month CAD-BA-CDOR 2.03% 19,463
CAD 4,366,000 32,548      7/17/25 3 month CAD-BA-CDOR 2.035% 100,589
CAD 1,192,000 (12)     7/23/25 3 month CAD-BA-CDOR 2.0125% 16,341
CAD 2,116,000 (21)     8/5/25 1.9575% 3 month CAD-BA-CDOR (19,575)
CAD 1,327,000 (13)     8/7/25 1.9625% 3 month CAD-BA-CDOR (12,640)
CAD 1,230,000 (12)     8/14/25 3 month CAD-BA-CDOR 1.9375% 9,142
CAD 17,288,000 (49)     8/27/17 3 month CAD-BA-CDOR 0.6825% (27,479)
CAD 3,805,000 (38)     8/27/25 1.9375% 3 month CAD-BA-CDOR (26,185)
CAD 1,415,000 (14)     9/3/25 1.8925% 3 month CAD-BA-CDOR (4,786)
CAD 1,388,000 (14)     9/10/25 3 month CAD-BA-CDOR 1.90% 4,967
CAD 1,362,000 (14)     9/15/25 1.915% 3 month CAD-BA-CDOR (6,026)
CAD 27,060,000 (77)     9/18/17 3 month CAD-BA-CDOR 0.755% (17,529)
CAD 11,124,000 (68)     9/18/20 1.165% 3 month CAD-BA-CDOR (2,219)
CAD 13,530,000 (39)     9/18/17 3 month CAD-BA-CDOR 0.7475% (10,282)
CAD 13,529,000 (39)     9/21/17 3 month CAD-BA-CDOR 0.7575% (8,482)
CAD 1,435,000 (14)     9/24/25 1.855% 3 month CAD-BA-CDOR 362
CHF 13,110,000 (52)     5/5/17 6 month CHF-LIBOR-BBA 0.60875% (26,446)
CHF 2,590,000 (36)     5/5/25 6 month CHF-LIBOR-BBA 0.22% 22,381
CHF 2,590,000 (37)     5/19/25 0.29% 6 month CHF-LIBOR-BBA (39,436)
CHF 13,110,000 (54)     5/19/17 0.63% 6 month CHF-LIBOR-BBA 20,083
CHF 1,326,000 (19)     5/26/25 0.28% 6 month CHF-LIBOR-BBA (18,317)
CHF 5,448,000 (76)     7/10/25 6 month CHF-LIBOR-BBA 0.31% 81,201
CHF 673,000 (9)     7/27/25 0.3075% 6 month CHF-LIBOR-BBA (9,112)
CHF 817,000 (11)     8/28/25 0.23% 6 month CHF-LIBOR-BBA (3,174)
CHF 625,000 (9)     7/22/25 6 month CHF-LIBOR-BBA 0.34% 10,739
CHF 685,000 (9)     8/10/25 6 month CHF-LIBOR-BBA 0.3025% 8,405
CHF 2,613,000 (36)     8/26/25 0.1525% 6 month CHF-LIBOR-BBA 10,700
CHF 617,000 (8)     9/4/25 0.265% 6 month CHF-LIBOR-BBA (4,401)
CHF 697,000 (9)     10/1/25 0.225% 6 month CHF-LIBOR-BBA (1,149)
EUR 1,486,000 (E) 5,281      12/16/17 0.25% 6 month EUR-EURIBOR-REUTERS (914)
EUR 9,451,000 (E) (43,782)     12/16/20 6 month EUR-EURIBOR-REUTERS 0.50% 14,195
EUR 367,000 (E) (11,930)     12/16/25 0.75% 6 month EUR-EURIBOR-REUTERS (1,762)
GBP 31,000 (E) 305      12/16/25 2.00% 6 month GBP-LIBOR-BBA (314)
JPY 33,102,000 (11)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 31,944
JPY 64,818,000 (22)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 62,042
JPY 1,817,500,000 (71)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 98,348
JPY 397,700,000 (69)     3/14/44 1.795% 6 month JPY-LIBOR-BBA (381,217)
JPY 32,090,000 (6)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 31,057
JPY 37,000,000 (11)     11/7/44 6 month JPY-LIBOR-BBA 1.5025% 13,700
JPY 219,000,000 (66)     11/7/44 6 month JPY-LIBOR-BBA 1.495% 77,536
JPY 1,143,000,000 (81)     11/7/19 0.2475% 6 month JPY-LIBOR-BBA (40,015)
JPY 674,500,000 (48)     11/7/19 0.25% 6 month JPY-LIBOR-BBA (24,248)
JPY 11,690,000 (4)     11/7/44 6 month JPY-LIBOR-BBA 1.4975% 4,202
JPY 36,112,000 (4)     5/1/25 0.51% 6 month JPY-LIBOR-BBA (1,295)
JPY 1,165,852,000 (70)     5/20/25 0.583% 6 month JPY-LIBOR-BBA (107,060)
JPY 932,896,000 (55)     5/26/25 6 month JPY-LIBOR-BBA 0.595% 93,182
JPY 339,074,000 (37)     5/26/25 0.614% 6 month JPY-LIBOR-BBA (39,254)
JPY 284,877,000 (16)     6/4/25 6 month JPY-LIBOR-BBA 0.619% 33,613
JPY 281,503,000 (30)     6/8/25 0.6725% 6 month JPY-LIBOR-BBA (45,394)
JPY 307,534,000 (32)     6/10/25 0.674% 6 month JPY-LIBOR-BBA (49,864)
JPY 306,324,000 (33)     6/12/25 0.6775% 6 month JPY-LIBOR-BBA (50,413)
JPY 869,439,000 (51)     6/17/25 6 month JPY-LIBOR-BBA 0.689% 150,176
JPY 264,881,000 (15)     6/25/25 0.622% 6 month JPY-LIBOR-BBA (30,594)
JPY 932,895,000 (55)     7/2/25 6 month JPY-LIBOR-BBA 0.6325% 114,083
JPY 207,389,000 (23)     9/14/25 0.525% 6 month JPY-LIBOR-BBA (3,417)
JPY 305,191,000 (18)     7/15/25 0.6275% 6 month JPY-LIBOR-BBA (35,251)
JPY 278,194,000 (16)     8/7/25 6 month JPY-LIBOR-BBA 0.575% 18,598
JPY 299,778,000 (32)     8/14/25 6 month JPY-LIBOR-BBA 0.558% 15,297
JPY 289,419,000 (32)     9/8/25 0.545% 6 month JPY-LIBOR-BBA (10,023)
JPY 278,009,000 (31)     9/10/25 0.5375% 6 month JPY-LIBOR-BBA (7,772)
JPY 630,101,000 (69)     9/28/25 0.48% 6 month JPY-LIBOR-BBA 14,776
NOK 5,905,000 (10)     6/25/25 2.3775% 6 month NOK-NIBOR-NIBR (32,224)
NOK 5,635,000 (9)     6/29/25 6 month NOK-NIBOR-NIBR 2.37% 30,163
NOK 5,668,000 (9)     7/2/25 6 month NOK-NIBOR-NIBR 2.375% 30,477
NOK 5,833,000 (10)     7/9/25 6 month NOK-NIBOR-NIBR 2.265% 24,460
NOK 5,280,000 (9)     7/21/25 6 month NOK-NIBOR-NIBR 2.21% 18,652
NOK 4,881,000 (8)     9/4/25 6 month NOK-NIBOR-NIBR 2.07125% 9,094
NOK 5,618,000 (9)     7/28/25 6 month NOK-NIBOR-NIBR 2.14% 15,408
NOK 3,853,000 (6)     8/18/25 2.00% 6 month NOK-NIBOR-NIBR (4,457)
NOK 5,178,000 (8)     9/7/25 6 month NOK-NIBOR-NIBR 2.05% 8,369
NOK 5,398,000 (9)     9/15/25 6 month NOK-NIBOR-NIBR 2.015% 6,314
NOK 5,137,000 (8)     9/18/25 2.1275% 6 month NOK-NIBOR-NIBR (12,223)
NOK 5,049,000 (8)     9/28/25 6 month NOK-NIBOR-NIBR 1.9425% 1,854
NZD 4,325,000 (44)     4/23/25 3 month NZD-BBR-FRA 3.7275% 91,224
NZD 4,380,000 (44)     4/22/25 3 month NZD-BBR-FRA 3.705% 87,090
NZD 1,144,000 (10)     7/2/25 3.9025% 3 month NZD-BBR-FRA (27,163)
NZD 921,000 (8)     7/3/25 3.95% 3 month NZD-BBR-FRA (24,163)
NZD 2,287,000 (21)     7/2/25 3.9525% 3 month NZD-BBR-FRA (60,572)
NZD 971,000 (8)     9/14/25 3 month NZD-BBR-FRA 3.5825% 5,036
NZD 959,000 (8)     9/14/25 3 month NZD-BBR-FRA 3.655% 8,757
NZD 5,368,000 (46)     7/20/25 3.81% 3 month NZD-BBR-FRA (99,071)
NZD 936,000 (8)     7/24/25 3.765% 3 month NZD-BBR-FRA (14,901)
NZD 984,000 (9)     8/7/25 3 month NZD-BBR-FRA 3.65% 9,237
NZD 952,000 (8)     8/11/25 3 month NZD-BBR-FRA 3.65% 8,917
NZD 982,000 (9)     8/13/25 3 month NZD-BBR-FRA 3.6775% 10,652
NZD 957,000 (8)     8/31/25 3.61% 3 month NZD-BBR-FRA (6,606)
NZD 947,000 (8)     9/8/25 3 month NZD-BBR-FRA 3.6125% 6,528
NZD 511,000 (4)     9/11/25 3 month NZD-BBR-FRA 3.65% 4,550
NZD 886,000 (7)     9/16/25 3.60% 3 month NZD-BBR-FRA (5,429)
NZD 1,014,000 (8)     9/18/25 3.665% 3 month NZD-BBR-FRA (9,739)
NZD 1,008,000 (8)     9/28/25 3.555% 3 month NZD-BBR-FRA (3,434)
NZD 953,000 (8)     9/23/25 3.60% 3 month NZD-BBR-FRA (5,684)
SEK 11,498,000 (18)     5/19/25 3 month SEK-STIBOR-SIDE 1.3225% 7,972
SEK 17,580,000 (29)     6/23/25 1.5525% 3 month SEK-STIBOR-SIDE (53,114)
SEK 4,976,000 (8)     7/29/25 1.32% 3 month SEK-STIBOR-SIDE (642)
SEK 4,865,000 (7)     8/6/25 3 month SEK-STIBOR-SIDE 1.34% 1,312
SEK 4,082,000 (6)     7/23/25 1.4275% 3 month SEK-STIBOR-SIDE (5,698)
SEK 5,121,000 (8)     8/11/25 1.3575% 3 month SEK-STIBOR-SIDE (2,221)
SEK 3,604,000 (6)     8/27/25 1.3025% 3 month SEK-STIBOR-SIDE 1,154
SEK 5,439,000 (9)     8/28/25 3 month SEK-STIBOR-SIDE 1.3075% (1,478)
SEK 4,115,000 (7)     9/22/25 3 month SEK-STIBOR-SIDE 1.35% (56)
SEK 11,866,000 (19)     9/25/25 3 month SEK-STIBOR-SIDE 1.315% (5,302)
SEK 56,634,000 (25)     9/25/17 3 month SEK-STIBOR-SIDE 0.17% (530)
SEK 11,866,000 (19)     9/28/25 3 month SEK-STIBOR-SIDE 1.3075% (6,634)
SEK 56,634,000 (25)     9/28/17 3 month SEK-STIBOR-SIDE 0.17125% (194)
SEK 4,956,000 (8)     9/30/25 3 month SEK-STIBOR-SIDE 1.34125% (920)
Total$2,180,895     $(2,359,494)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$302,606 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $431
837,419 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,281)
581,935 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 829
540,061 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 938
1,894,542 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (17,359)
1,628,565 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,853)
211,238 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 917
332,550 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 577
2,327,847 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,042
493,414 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (4,464)
1,420,597 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,361)
1,777,478 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,086
544,708 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 2,363
68,745 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (507)
226,466 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 393
264,873 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 667
1,662,748 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,887
1,108,068 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,622)
1,212,617 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 5,261
237,429 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 338
1,832,158 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,989
7,615,718 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,224
1,577,283 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,739
265,141 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 378
859,712 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,224
623,391 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 888
3,392,629 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,027)
653,907 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (2,501)
496,173 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (682)
248,118 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (341)
248,118 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (341)
497,919 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (684)
1,293,205 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,778)
497,919 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (684)
293,415 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,688)
774,008 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (6,563)
465,758 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (3,949)
497,827 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 864
590,965 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (5,011)
1,077,579 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,550)
772,304 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (5,700)
110,788 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (818)
994,155 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,367)
272,091 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (644)
1,573,625 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 20,229
396,067 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 688
1,487,481 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,519)
2,895,647 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 26,531
732,216 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (5,186)
EUR 2,664,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco (3,001)
EUR 1,332,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco (375)
EUR 1,895,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco 531

Citibank, N.A.
$1,011,949 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,757
2,327,847 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,042
1,583,601 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,750

Credit Suisse International
665,099 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,155
706,062 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,671)
1,076,412 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (9,127)
1,107,723 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 14,240
1,220,457 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 15,689
1,052,417 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (8,923)
2,007,313 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (17,020)
1,527,960 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (11,300)
805,681 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (5,959)
403,245 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (2,982)
3,298,028 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (24,391)
724,103 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (5,129)
1,391,414 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (9,855)
955,329 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (6,766)
1,393,442 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (9,869)

Deutsche Bank AG
706,062 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,671)

Goldman Sachs International
906,101 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (8,198)
320,360 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,364)
2,078,522 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (18,071)
2,078,522 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (18,071)
494,500 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,170)
185,759 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (439)
132,514 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (1,199)
1,382,384 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,232)
347,617 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (3,145)
695,169 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (6,289)
345,264 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (817)
677,435 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,603)
414,266 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (980)
31,773 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (75)
84,663 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (200)
22,722 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (168)
434,485 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,207)
2,706,475 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (23,531)
354,996 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (3,212)
2,339,571 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (20,341)
359,015 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,289)
1,620,182 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 20,828
2,435,312 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (17,249)
3,144,000 —      2/24/25 (2.01%) USA Non Revised Consumer Price Index- Urban (CPI-U) (127,142)
1,662,375 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (12,294)
1,327,147 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (9,815)
814,588 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (6,024)
699,000 —      3/12/25 (1.925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (19,663)
EUR 9,589,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (48,323)
EUR 3,166,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (15,955)
EUR 2,664,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 8,097
EUR 2,664,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 4,584
EUR 2,664,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco 387
GBP 1,821,000 —      2/20/25 (2.895%) GBP Non-revised UK Retail Price Index 28,594
GBP 405,000 —      3/10/25 (2.8675%) GBP Non-revised UK Retail Price Index 1,256

JPMorgan Chase Bank N.A.
$3,312,061 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (30,347)
2,514,528 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (23,039)
522,300 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (4,786)
1,620,182 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 20,828
EUR 5,102,000 —      5/25/20 (1.115%) Eurostat Eurozone HICP excluding tobacco (78,342)
EUR 5,023,000 —      5/25/25 1.445% Eurostat Eurozone HICP excluding tobacco 154,575
EUR 1,332,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco (5,175)
EUR 1,332,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco (3,825)
Total$—     $(369,303)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
     CMBX NA BBB- Index BBB-/P $5,468 $80,000 5/11/63 300 bp $3,404
     CMBX NA BBB- Index BBB-/P 10,546 175,000 5/11/63 300 bp 6,031
     CMBX NA BBB- Index BBB-/P 21,545 349,000 5/11/63 300 bp 12,541
     CMBX NA BBB- Index BBB-/P 20,577 361,000 5/11/63 300 bp 11,263
Barclays Bank PLC
     CMBX NA BBB- Index BBB-/P 35,808 323,000 5/11/63 300 bp 27,474
Credit Suisse International
     CMBX NA BB Index — (42,255) 2,394,000 5/11/63 (500 bp) 40,497
     CMBX NA BB Index — (1,136) 117,000 1/17/47 (500 bp) 5,038
     CMBX NA BBB- Index BBB-/P 52,836 3,650,000 5/11/63 300 bp (41,334)
     CMBX NA BBB- Index BBB-/P 41,793 3,815,000 5/11/63 300 bp (56,634)
     CMBX NA BBB- Index BBB-/P 61,781 4,704,000 5/11/63 300 bp (59,582)
     CMBX NA BBB- Index BBB-/P 8,252 142,000 1/17/47 300 bp —
     CMBX NA BBB- Index BBB-/P 149,592 4,203,000 1/17/47 300 bp (84,934)
     CMBX NA BBB- Index BBB-/P 368,252 10,736,000 1/17/47 300 bp (230,816)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P 55 21,000 5/11/63 300 bp (487)
     CMBX NA BBB- Index BBB-/P (2,220) 321,000 5/11/63 300 bp (10,502)
     CMBX NA BBB- Index BBB-/P 458 46,000 1/17/47 300 bp (2,109)
     CMBX NA BBB- Index BBB-/P 360 101,000 1/17/47 300 bp (5,275)
     CMBX NA BBB- Index BBB-/P 360 101,000 1/17/47 300 bp (5,275)
     CMBX NA BBB- Index BBB-/P 934 120,000 1/17/47 300 bp (5,762)
     CMBX NA BBB- Index BBB-/P 902 211,000 1/17/47 300 bp (10,872)
     CMBX NA BBB- Index BBB-/P 752 211,000 1/17/47 300 bp (11,022)
     CMBX NA BBB- Index BBB-/P 752 211,000 1/17/47 300 bp (11,022)
     CMBX NA BBB- Index BBB-/P 331 306,000 1/17/47 300 bp (16,744)
     CMBX NA BBB- Index BBB-/P 1,271 324,000 1/17/47 300 bp (16,808)
     CMBX NA BB Index — (3,036) 355,000 5/11/63 (500 bp) 9,235
     CMBX NA BB Index — (1,941) 183,000 5/11/63 (500 bp) 4,385
     CMBX NA BB Index — (1,297) 135,000 5/11/63 (500 bp) 3,370
     CMBX NA BB Index — 2,058 91,000 5/11/63 (500 bp) 5,203
     CMBX NA BB Index — 707 42,000 5/11/63 (500 bp) 2,159
     CMBX NA BB Index — 390 38,000 5/11/63 (500 bp) 1,703
     CMBX NA BB Index — 46 38,000 5/11/63 (500 bp) 1,360
     CMBX NA BB Index — (1,210) 117,000 1/17/47 (500 bp) 4,963
     CMBX NA BB Index — (124) 62,000 1/17/47 (500 bp) 3,148
     CMBX NA BBB- Index — (2,705) 298,000 5/11/63 (300 bp) 4,983
     CMBX NA BBB- Index BBB-/P (217) 27,000 5/11/63 300 bp (913)
     CMBX NA BBB- Index BBB-/P (83) 31,000 5/11/63 300 bp (883)
     CMBX NA BBB- Index BBB-/P (1,189) 109,000 5/11/63 300 bp (4,001)
     CMBX NA BBB- Index BBB-/P (851) 212,000 5/11/63 300 bp (6,320)
     CMBX NA BBB- Index BBB-/P 1,271 213,000 5/11/63 300 bp (4,225)
     CMBX NA BBB- Index BBB-/P (1,993) 213,000 5/11/63 300 bp (7,488)
     CMBX NA BBB- Index BBB-/P (2,136) 213,000 5/11/63 300 bp (7,632)
     CMBX NA BBB- Index BBB-/P (2,136) 213,000 5/11/63 300 bp (7,632)
     CMBX NA BBB- Index BBB-/P 2,719 238,000 5/11/63 300 bp (3,422)
     CMBX NA BBB- Index BBB-/P (4,116) 247,000 5/11/63 300 bp (10,488)
     CMBX NA BBB- Index BBB-/P 3,731 177,000 1/17/47 300 bp (6,146)
     CMBX NA BBB- Index BBB-/P 5,449 182,000 1/17/47 300 bp (4,707)
     CMBX NA BBB- Index BBB-/P 9,030 298,000 1/17/47 300 bp (7,599)
     CMBX NA BBB- Index BBB-/P 9,657 326,000 1/17/47 300 bp (8,533)
     CMBX NA BBB- Index BBB-/P 18,800 590,000 1/17/47 300 bp (14,122)
     CMBX NA BBB- Index BBB-/P 25,296 817,000 1/17/47 300 bp (20,293)
JPMorgan Securities LLC
     CMBX NA BBB- Index — (9,525) 397,000 5/11/63 (300 bp) 817
     CMBX NA BBB- Index — (5,102) 198,000 5/11/63 (300 bp) 56
     CMBX NA BBB- Index BBB-/P 10,955 198,000 1/17/47 300 bp (143)
     CMBX NA BBB- Index BBB-/P 8,293 327,000 1/17/47 300 bp (9,954)
     CMBX NA BBB- Index BBB-/P 20,939 397,000 1/17/47 300 bp (1,313)
Total$818,694$(547,362)
*   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, 2015. 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
ILS Israeli Shekel
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
USD / $ United States Dollar
ZAR South African Rand
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
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 or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
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, 2015 through September 30, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $251,440,551.
(b) The aggregate identified cost on a tax basis is $488,008,369, resulting in gross unrealized appreciation and depreciation of $6,177,455 and $22,555,496, respectively, or net unrealized depreciation of $16,378,041.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $6,212,821 $117,295,250 $116,692,505 $9,635 $6,815,566
* 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) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $179,561,993 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 88.4%
Greece 2.4
Argentina 1.7
Russia 1.3
Venezuela 0.9
United Kingdom 0.8
Canada 0.7
Brazil 0.5
Other 3.3
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
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 for hedging currency exposures and to gain exposure to currencies.
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, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
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, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
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, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral 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 $4,934,454 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $4,988,607 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 4,321 — 1,038
Total common stocks 4,321 — 14,877
Convertible bonds and notes — 182,255 —
Corporate bonds and notes — 80,370,571 8
Foreign government and agency bonds and notes — 26,781,072 —
Mortgage-backed securities — 112,859,138 3,171,098
Preferred stocks 178,199 350,704 —
Purchased options outstanding — 377,721 —
Purchased swap options outstanding — 3,024,341 —
Senior loans — 6,385,274 —
U.S. government and agency mortgage obligations — 216,525,624 —
Short-term investments 6,925,566 14,479,559 —
Totals by level $7,108,086 $461,336,259 $3,185,983



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $189,415 $—
Futures contracts (133,239) — —
Written options outstanding — (261,747) —
Written swap options outstanding — (4,402,108) —
Forward premium swap option contracts — (153,792) —
TBA sale commitments — (106,229,216) —
Interest rate swap contracts — (6,197,858) —
Total return swap contracts — (369,303) —
Credit default contracts — (1,366,056) —
Totals by level $(133,239) $(118,790,665) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

The following is a reconciliation of Level 3 assets as of the close of the reporting period:

 Investments in securities:Balance as of December 31, 2014Accrued discounts/ premiumsRealized gain/(loss)Change in net unrealized appreciation/ (depreciation)#PurchasesSalesTotal transfers into Level 3†Total transfers out of Level 3†Balance as of September 30, 2015
Common stocks*:
    Consumer cyclicals$13,839$—$—$—$—$—$—$—$13,839
    Energy$1,038———————1,038
Total common stocks $14,877 — ——————$14,877
Corporate bonds and notes$8———————$8
Mortgage-backed securities$—(36,508)—5,8452,256,585—945,176—$3,171,098
Totals: $14,885 $(36,508) $—$5,845$2,256,585$—$945,176$—$3,185,983


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
† Transfers during the reporting period are accounted for using the end of period market value and did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
# Includes $5,845 related to Level 3 securities still held at period end.
During the reporting period, transfers between level 1 and level 2 within the fair value hierarchy, if any, (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. Transfers are accounted for using the end of period pricing valuation method.
Level 3 securities, which are fair valued by Putnam, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $152,047 $1,518,103
Foreign exchange contracts 2,389,516 2,200,101
Interest rate contracts 6,697,741 14,813,726
Total $9,239,304 $18,531,930


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 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)$49,100,000
Purchased swap option contracts (contract amount)$624,100,000
Written TBA commitment option contracts (contract amount)$92,000,000
Written swap option contracts (contract amount)$652,300,000
Futures contracts (number of contracts)400
Forward currency contracts (contract amount)$252,300,000
OTC interest rate swap contracts (notional)$81,900,000
Centrally cleared interest rate swap contracts (notional)$1,213,700,000
OTC total return swap contracts (notional)$150,900,000
OTC credit default contracts (notional)$27,600,000
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. JPMorgan Securities LLC 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*#  $—  $—  $—  $—  $—  $ 150,870  $ 27,866  $—  $ 22,853  $—  $—  $—  $—  $—  $—  $ 201,589
Centrally cleared interest rate swap contracts§  —  —  958,478  —  —  — — — — — — — — — —  958,478
OTC Total return swap contracts*#  —  93,014  —  8,549  31,084  —  63,746 —  175,403 — — — — — —  371,796
OTC Credit default contracts*#  —  —  —  —  88,926  —  47,621 — —  15,500 — — — — —  152,047
Futures contracts§  —  —  —  —  —  — — — — —  13 — — — —  13
Forward currency contracts#  85,724  407,119  —  90,000  121,224  87,350  137,010  130,765  411,544 — —  293,963  398,064  81,306  145,447  2,389,516
Forward premium swap option contracts#  —  —  —  —  —  — — —  215,077 — — — — — —  215,077
Purchased swap options#  3,368  150,836  —  230,289  625,043  —  1,509,907 —  504,898 — — — — — —  3,024,341
Purchased options#  —  —  —  —  —  — — —  377,721 — — — — — —  377,721
Total Assets  $89,092  $650,969  $958,478  $328,838  $866,277  $238,220  $1,786,150  $130,765  $1,707,496  $15,500  $13  $293,963  $398,064  $81,306  $145,447  $7,690,578
Liabilities:
OTC Interest rate swap contracts*#  $—  $—  $—  $—  $—  $ 1,268,391  $—  $—  $590,667  $—  $—  $—  $—  $—  $—  $ 1,859,058
Centrally cleared interest rate swap contracts§  —  —  781,207  —  —  — — — — — — — — — —  781,207
OTC Total return swap contracts*#  —  95,856  —  —  112,992  1,671  385,066 —  145,514 — — — — — —  741,099
OTC Credit default contracts*#  24,897  8,334  —  —  1,155,806  —  277,469 — —  51,597 — — — — —  1,518,103
Futures contracts§  —  —  —  —  —  — — — — —  34,747 — — — —  34,747
Forward currency contracts#  237,494  330,949  —  159,942  158,998  52,234  50,883  65,085  257,627 — —  157,397  511,621  146,148  71,723  2,200,101
Forward premium swap option contracts#  —  —  —  —  —  — — —  368,869 — — — — — —  368,869
Written swap options#  5,263  176,344  —  237,781  677,697  —  1,557,392 —  1,747,631 — — — — — —  4,402,108
Written options#  —  —  —  —  —  — — —  261,747 — — — — — —  261,747
Total Liabilities  $267,654  $611,483  $781,207  $397,723  $2,105,493  $1,322,296  $2,270,810  $65,085  $3,372,055  $51,597  $34,747  $157,397  $511,621  $146,148  $71,723  $12,167,039
Total Financial and Derivative Net Assets  $(178,562)  $39,486  $177,271  $(68,885)  $(1,239,216)  $(1,084,076)  $(484,660)  $65,680  $(1,664,559)  $(36,097)  $(34,734)  $136,566  $(113,557)  $(64,842)  $73,724  $(4,476,461)
Total collateral received (pledged)##†  $(178,562) $— $—  $(68,885)  $(1,189,846)  $(1,084,076)  $(483,972) $—  $(1,612,969) $— $—  $110,000  $(113,557)  $(48,990) $—
Net amount $—  $39,486  $177,271 $—  $(49,370) $—  $(688)  $65,680  $(51,590)  $(36,097)  $(34,734)  $26,566 $—  $(15,852)  $73,724
* 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 25, 2015

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: November 25, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: November 25, 2015