| UNITED STATES SECURITIES AND EXCHANGE COMMISSION | ||
| Washington, D.C. 20549 | ||
FORM N-CSR | ||
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES | ||
| Investment Company Act file number: | (811-05635) |
| Exact name of registrant as specified in charter: | Putnam Diversified Income Trust |
| Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
| Name and address of agent for service: | Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109 |
| Copy to: | John W. Gerstmayr, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199-3600 |
| Registrant’s telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | September 30, 2014 |
| Date of reporting period: | October 1, 2013 — March 31, 2014 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam
Diversified Income
Trust
Semiannual report
3 | 31 | 14
| Message from the Trustees | 1 | |
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| About the fund | 2 | |
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| Performance snapshot | 4 | |
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| Interview with your fund’s portfolio manager | 5 | |
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| Your fund’s performance | 12 | |
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| Your fund’s expenses | 14 | |
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| Terms and definitions | 16 | |
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| Other information for shareholders | 17 | |
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| Trustee approval of management contract | 18 | |
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| Financial statements | 25 | |
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| Shareholder meeting results | 110 | |
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Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions and factors related to a specific issuer or industry. You can lose money by investing in the fund.
Message from the Trustees
Dear Fellow Shareholder:
While U.S. stocks and bonds have generally delivered modest returns so far in 2014, volatility has become more pronounced, driven in the early months of the year by unusually cold weather conditions, shifting expectations for U.S. Federal Reserve action, and rising geopolitical fears. Still, evidence exists that global economic growth is slowly strengthening, and we believe the United States, Europe, and Japan are poised to contribute to an extended recovery.
In our view, portfolio diversification becomes extraordinarily important in this kind of environment. Putnam’s active research and investment strategies can serve investors who are pursuing income and capital appreciation goals.
We are pleased to report that Putnam continues to garner recognition in the mutual fund industry. For 2013, Barron’s ranked Putnam second among 64 mutual fund families based on total returns across asset classes. Over the longer term of five years ended in December 2013, Putnam also ranked second out of 55 fund families.
We believe Putnam’s sound investment strategies can provide benefits to your portfolio. An experienced advisor can help you assess your individual needs, time horizon, and risk tolerance — and can help guide you toward your investment goals.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 4.00%; had they, returns would have been lower. See pages 5 and 12–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* Returns for the six-month period are not annualized, but cumulative.
| 4 | Diversified Income Trust |
Interview with your fund’s portfolio manager
Bill, what was the bond market environment like during the six months ended March 31, 2014?
Overall, it was a favorable environment for taking credit and prepayment risk, but there was occasional volatility. The period began on a note of uncertainty concerning congressional debate about the U.S. debt ceiling and a partial shutdown of the federal government. However, on October 17, 2013, President Obama signed a short-term bill that suspended the debt ceiling and funded the government through mid-January 2014, to end the government shutdown. The debt-ceiling issue was ultimately resolved in February 2014.
At its December policy meeting, the Federal Reserve surprised investors to some extent by announcing the first reduction in its bond-buying program somewhat earlier than the market was anticipating. The Fed agreed to lower its $85-billion-per-month pace of purchases by $10 billion beginning in January, citing improving labor-market conditions as its rationale. Bond yields spiked on the news, with the yield on the benchmark 10-year U.S. Treasury reaching 3.04% by year-end.
In January, with the central bank beginning the process of reducing its bond buying, lackluster economic data — most notably a disappointing reading on the Institute for Supply Management’s [ISM] Purchasing Managers Index — coupled with concern
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/14. See pages 4 and 12–13 for additional fund performance information. Index descriptions can be found on page 17.
| Diversified Income Trust | 5 |
about emerging-market [EM] currencies, caused investors to assume a more risk-averse posture. Asset flows shifted toward the relative safety of U.S. Treasuries, pushing the yield on the 10-year note down to 2.67%, its lowest level since mid-November. By February, however, with EM stress abating, market participants were encouraged by the resiliency of U.S. stocks as well as lower Treasury yields. Credit markets were also buoyed by investors largely dismissing weak economic data as a function of severe weather affecting some of the country’s most densely populated regions, and by the fact that the crisis in Ukraine remained localized.
The fund generated a solid return at net asset value for the six-month period. What factors fueled this favorable outcome?
Our prepayment and mortgage credit strategies were the biggest contributors to performance. We implemented our prepayment strategies with securities such as interest-only collateralized mortgage obligations [IO CMOs]. Lower policy risk coupled with mortgage rates that remained at elevated levels versus the past couple of years reduced the likelihood that the mortgages underlying our CMO holdings would be refinanced. As a result, slower prepayment speeds bolstered the securities’ values. Additionally, the fund was helped by our overall strategy of positioning the portfolio for higher mortgage rates.
Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/14. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating. Ratings may vary over time.
Credit quality includes bonds and represents only the fixed-income portion of the portfolio. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. The fund itself has not been rated by an independent rating agency.
| 6 | Diversified Income Trust |
Within mortgage credit, our holdings of commercial mortgage-backed securities [CMBS] and non-agency residential mortgage-backed securities [RMBS] were also major contributors. Within CMBS, the fund benefited from solid security selection in subordinated “mezzanine” bonds rated BBB/Baa, which offered higher yields at what we believed were acceptable risks. Mezzanine CMBS are lower in the capital structure of a package of securities backed by commercial mortgages, and provide a yield advantage over higher-rated bonds along with meaningful principal protection. Our non-agency RMBS investments rebounded from undervalued levels prior to the period, buoyed by investor demand for higher-yielding securities.
Elsewhere, our positions in high-yield corporate bonds provided a further boost to the fund’s return, as the asset class gained due to solid corporate fundamentals and consistent investor demand.
Overseas, security selection in EM debt moderately contributed to performance. The fund benefited most from investments in Argentina, where we held U.S.-dollar-denominated bonds.
This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 3/31/14. Short-term holdings, derivatives, and TBA commitments, if any, are excluded. Holdings may vary over time.
| Diversified Income Trust | 7 |
How was the fund positioned with respect to interest-rate sensitivity?
The fund was defensively positioned for a rising-rate environment, as its duration was negative on a net basis, particularly in the intermediate, 5- to 10-year portion of the Treasury yield curve. Rates in this portion of the curve are currently being dampened by Fed bond buying, and we believe intermediate-term rates will begin to rise as the central bank continues to reduce its bond purchases. Outside the United States, we had a long-duration position in Greece, as rates there continued to decline, which we held against a net short position in Germany, where rates remained low. All told, the fund’s duration and yield-curve positioning meaningfully aided performance for the period, led by our non-U.S. strategy.
How did your currency strategy affect performance?
Beneficial exposure to the euro and the Canadian dollar was more than offset by a negative return for the Brazilian real. As a result, our currency strategy was a modest detractor.
During 2013, we significantly reduced the fund’s currency risk by cutting back most of our active foreign currency positions. We felt this was prudent in light of heightened volatility in foreign-exchange markets.
How did you use derivatives during the period?
We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve. We also employed interest-rate swaps and
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
| 8 | Diversified Income Trust |
“swaptions” — which give us the option to enter into a swap contract — to hedge the interest-rate risk associated with our CMO holdings. Additionally, we used total return swaps as a hedging tool and to help manage the fund’s sector exposure, as well as credit default swaps to hedge the fund’s credit risk. Lastly, we utilized currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds.
What is your outlook for the coming months, and how are you positioning the fund?
In our view, Treasury yields, particularly in the intermediate part of the yield curve, are likely to move higher in 2014 as the U.S. economy continues to strengthen. However, we don’t believe rates are likely to rise so quickly that the shift will undermine economic growth. What’s more, we expect to see an improving U.S. growth trend reflected in Europe and in developing Asian countries.
In addition to weather, a significant inventory overhang was another factor in the weak economic readings we saw early this year, and it will take some time for this surplus to work its way through the system. In 2013’s third quarter, gross domestic product [GDP] was much stronger than anticipated, and fourth-quarter 2013 GDP was firmer than originally forecast, leading manufacturers to expand their inventories. However, the weather-related slowdown in the first quarter left manufacturers with excess inventory. Consequently, we believe that when growth picks up, the economy won’t immediately need production to sustain inventories, meaning it likely won’t get the cyclical boost it otherwise would if inventories were at a more normal level. Additionally, the launch of the Affordable Care Act has placed a drag on growth by requiring lower-paid individuals to spend more for health care, a less efficient area of the economy.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund.
| Diversified Income Trust | 9 |
Looking at the Fed, bond investors have been willing to give the central bank leeway to pursue a fairly aggressive stimulus policy. But this leeway is heavily dependent on maintaining low inflation, particularly in the area of wages. Currently, the Fed believes the non-accelerating inflation rate of unemployment [NAIRU] — the rate to which unemployment can fall without triggering wage inflation — is between 5.2% and 5.6%. However, our research suggests, and some institutions also are of the opinion, that the NAIRU may be significantly higher than this, primarily because of various structural problems hampering the labor participation rate, particularly in the younger demographic. As the unemployment rate moves downward, if wage inflation develops earlier than the Fed is anticipating, we could see the central bank reducing its stimulus efforts much faster than the markets are currently forecasting, which could lead to increased yield-curve volatility. In order to position the portfolio for this potential risk, we have underweight exposure to the 2- to 5-year portion of the yield curve, since that is the area of the curve that is most likely to be affected by adjustments in current Fed policy. Additionally, we will continue our efforts to minimize overall interest-rate risk in the portfolio.
As for other aspects of portfolio positioning, we plan to maintain our diversified exposure to CMBS and CMOs, we continue to like specific areas of the non-agency RMBS market, and while we remain generally positive in our outlook for credit risk, we’re taking an opportunistic approach to the high-yield market over the near term.
Thanks for your time and for bringing us up to date, Bill.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
Portfolio Manager D. William Kohli is Co-Head of Fixed Income at Putnam. He has an M.B.A. from the Haas School of Business at the University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1986.
In addition to Bill, your fund’s portfolio managers are Michael J. Atkin, Kevin F. Murphy, Michael V. Salm, and Paul D. Scanlon, CFA.
| 10 | Diversified Income Trust |
IN THE NEWS
A worldwide economic recovery is under way — with the United States at the helm — but it may not be smooth sailing. The International Monetary Fund (IMF) raised its global growth forecast for 2014 to 3.6% from 3.0% in 2013. Even with most acute threats diminished, the IMF’s “World Economic Outlook” characterized the global recovery as somewhat fragile. Among the key downside risks cited by the IMF is the danger of low inflation. Other challenges include high unemployment, elevated sovereign debt levels, geopolitical risks, financial sector reforms, and emerging-market concerns. The United States, according to the IMF, is pulling other economies along, thanks to an accommodative central bank, a recovering real estate sector, and expanding household wealth. The IMF predicted that growth in the eurozone this year would hit 1.2%, as a reduction in the pace of fiscal tightening adds to GDP. Japan should see growth from private investment and exports, but the economy may decelerate due to tightening fiscal policy, including a recent consumption tax rate hike. Meanwhile, emerging-market economies continue to struggle, but should improve as advanced economies purchase more imports. Lastly, China’s growth should continue at a rate of about 7.5% in 2014–2015 as its leaders seek to place the country on a steadier growth path and to slow credit growth without causing the economy to stall.
| Diversified Income Trust | 11 |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2014, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R5, R6, and Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 3/31/14
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |||||
| (inception dates) | (10/3/88) | (3/1/93) | (2/1/99) | (12/1/94) | (12/1/03) | (11/1/13) | (11/1/13) | (7/1/96) | ||||
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| Before | After | Before | After | Net | Net | Net | Net | |||||
| sales | sales | Before | After | Before | After | sales | sales | asset | asset | asset | asset | |
| charge | charge | CDSC | CDSC | CDSC | CDSC | charge | charge | value | value | value | value | |
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| Annual average | ||||||||||||
| (life of fund) | 6.83% | 6.66% | 6.56% | 6.56% | 6.01% | 6.01% | 6.53% | 6.39% | 6.54% | 6.99% | 6.99% | 6.99% |
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| 10 years | 65.83 | 59.20 | 56.42 | 56.42 | 53.46 | 53.46 | 61.75 | 56.49 | 60.90 | 69.29 | 69.31 | 69.31 |
| Annual average | 5.19 | 4.76 | 4.58 | 4.58 | 4.38 | 4.38 | 4.93 | 4.58 | 4.87 | 5.41 | 5.41 | 5.41 |
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| 5 years | 105.32 | 97.10 | 97.81 | 95.81 | 97.81 | 97.81 | 102.53 | 95.94 | 102.64 | 107.71 | 107.74 | 107.74 |
| Annual average | 15.47 | 14.54 | 14.62 | 14.38 | 14.62 | 14.62 | 15.16 | 14.40 | 15.17 | 15.74 | 15.75 | 15.75 |
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| 3 years | 15.83 | 11.20 | 13.33 | 10.42 | 13.29 | 13.29 | 14.96 | 11.23 | 15.04 | 16.72 | 16.73 | 16.73 |
| Annual average | 5.02 | 3.60 | 4.26 | 3.36 | 4.25 | 4.25 | 4.76 | 3.61 | 4.78 | 5.29 | 5.29 | 5.29 |
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| 1 year | 6.61 | 2.34 | 5.85 | 0.85 | 5.76 | 4.76 | 6.25 | 2.80 | 6.37 | 6.84 | 6.85 | 6.85 |
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| 6 months | 6.32 | 2.06 | 5.97 | 0.97 | 6.01 | 5.01 | 6.25 | 2.80 | 6.25 | 6.38 | 6.40 | 6.40 |
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Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R5, R6, and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable. Performance for class R5 and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class R5 and R6 shares; had it, returns would have been higher.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Class B share performance reflects conversion to class A shares after eight years.
| 12 | Diversified Income Trust |
Comparative index returns For periods ended 3/31/14
| Barclays U.S. Aggregate | Lipper Multi-Sector Income | |
| Bond Index | Funds category average* | |
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| Annual average (life of fund) | 6.74% | 7.24% |
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| 10 years | 54.75 | 77.04 |
| Annual average | 4.46 | 5.81 |
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| 5 years | 26.42 | 69.18 |
| Annual average | 4.80 | 10.93 |
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| 3 years | 11.67 | 16.73 |
| Annual average | 3.75 | 5.26 |
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| 1 year | –0.10 | 2.68 |
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| 6 months | 1.70 | 4.13 |
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Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/14, there were 241, 226, 156, 128, 88, and 5 funds, respectively, in this Lipper category.
Fund price and distribution information For the six-month period ended 3/31/14
| Distributions | Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | ||
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| Number | 6 | 6 | 6 | 6 | 6 | 5 | 5 | 6 | ||
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| Income | $0.222 | $0.192 | $0.192 | $0.210 | $0.212 | $0.194 | $0.195 | $0.234 | ||
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| Capital gains | — | — | — | — | — | — | — | — | ||
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| Total | $0.222 | $0.192 | $0.192 | $0.210 | $0.212 | $0.194 | $0.195 | $0.234 | ||
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| Before | After | Net | Net | Before | After | Net | Net | Net | Net | |
| sales | sales | asset | asset | sales | sales | asset | asset | asset | asset | |
| Share value | charge | charge | value | value | charge | charge | value | value | value | value |
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| 9/30/13 | $7.74 | $8.06 | $7.67 | $7.62 | $7.62 | $7.88 | $7.66 | — | — | $7.68 |
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| 11/1/13* | — | — | — | — | — | — | — | $7.77 | $7.77 | — |
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| 3/31/14 | 8.00 | 8.33 | 7.93 | 7.88 | 7.88 | 8.14 | 7.92 | 7.93 | 7.93 | 7.93 |
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| Before | After | Net | Net | Before | After | Net | Net | Net | Net | |
| Current rate | sales | sales | asset | asset | sales | sales | asset | asset | asset | asset |
| (end of period) | charge | charge | value | value | charge | charge | value | value | value | value |
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| Current dividend | ||||||||||
| rate 1 | 5.55% | 5.33% | 4.84% | 4.87% | 5.33% | 5.16% | 5.45% | 5.90% | 5.90% | 5.90% |
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| Current 30-day | ||||||||||
| SEC yield 2 | N/A | 4.59 | 4.03 | 4.04 | N/A | 4.38 | 4.55 | 4.99 | 5.12 | 5.06 |
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The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (4.00% for class A shares and 3.25% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
* Inception date of class R5 and R6 shares.
1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.
2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.
| Diversified Income Trust | 13 |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |
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| Total annual operating expenses for | ||||||||
| the fiscal year ended 9/30/13 | 0.99% | 1.74% | 1.74% | 1.24% | 1.24% | 0.71%* | 0.64%* | 0.74% |
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| Annualized expense ratio for the | ||||||||
| six-month period ended 3/31/14 | 0.99% | 1.74% | 1.74% | 1.24% | 1.24% | 0.72% | 0.65% | 0.74% |
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Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.
* Other expenses are based on expenses of class A shares for the fund’s last fiscal year, adjusted to reflect the lower investor servicing fees applicable to class R5 and class R6 shares.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from October 1, 2013 (or, in the case of class R5 and R6 shares, from November 1, 2013 (commencement of operations)), to March 31, 2014. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |
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| Expenses paid per $1,000*† | $5.09 | $8.94 | $8.94 | $6.38 | $6.38 | $3.05‡ | $2.75‡ | $3.81 |
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| Ending value (after expenses) | $1,063.20 | $1,059.70 | $1,060.10 | $1,062.50 | $1,062.50 | $1,046.30 | $1,046.40 | $1,064.00 |
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* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/14 (for class R5 and R6 shares, the period from 11/1/13 (commencement of operations) to 3/31/14). The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
‡ Had expenses for class R5 and R6 shares been shown for the entire period from 10/1/13 to 3/31/14, they would have been higher.
| 14 | Diversified Income Trust |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended March 31, 2014, use the following calculation method. To find the value of your investment on October 1, 2013, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y | |
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| Expenses paid per $1,000*† | $4.99 | $8.75 | $8.75 | $6.24 | $6.24 | $3.63 | $3.28 | $3.73 |
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| Ending value (after expenses) | $1,020.00 | $1,016.26 | $1,016.26 | $1,018.75 | $1,018.75 | $1,021.34 | $1,021.69 | $1,021.24 |
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* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/14 (for class R5 and R6 shares, the period from 11/1/13 (commencement of operations) to 3/31/14). The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
| Diversified Income Trust | 15 |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 4.00% maximum sales charge for class A shares and 3.25% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.
Class R5 and class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through”, is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches”. Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
• Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
| 16 | Diversified Income Trust |
Comparative indexes
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2013, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2014, Putnam employees had approximately $461,000,000 and the Trustees had approximately $109,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
| Diversified Income Trust | 17 |
Trustee approval of management contract
Putnam Investment Management (“Putnam Management”) serves as investment manager to your fund under a management contract. In addition, Putnam Management’s affiliate, Putnam Investments Limited (“PIL”), provides services to your fund under a sub-management contract between Putnam Management and PIL. Putnam Management is majority owned (directly and indirectly) by Power Corporation of Canada, a diversified international management and holding company with interests in companies in the financial services, communications and other business sectors. Until his death on October 8, 2013, The Honourable Paul G. Desmarais, both directly and through holding companies, controlled a majority of the voting shares of Power Corporation of Canada. Upon his death, Mr. Desmarais’ voting control of shares of Power Corporation of Canada was transferred to The Desmarais Family Residuary Trust (the “Transfer”). As a technical matter, the Transfer may have constituted an “assignment” within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”), causing your fund’s existing management and sub-management contracts to terminate automatically. On October 18, 2013, the Trustees, including all of the Trustees who are not “interested persons” (as this term is defined in the 1940 Act) of the Putnam funds (the “Independent Trustees”), approved interim management contracts between the Putnam funds and Putnam Management and the continuance of your fund’s sub-management contract to address this possibility and to avoid disruption of investment advisory and other services provided to the Putnam funds. At a subsequent meeting on November 22, 2013, the Trustees, including all of the Independent Trustees, approved new definitive management contracts between the Putnam funds and Putnam Management and determined to recommend their approval to the shareholders of the Putnam funds at a shareholder meeting called for February 27, 2014. The Trustees also approved new sub-management contracts, to be effective at the same time as the new definitive management contracts. The fund’s shareholders approved your fund’s new management contract at a special meeting on February 27, 2014.
In considering whether to approve your fund’s interim management contract and the continuance of your fund’s sub-management contract in October, and in considering whether to approve your fund’s new definitive management contract and its new sub-management contract in November, the Trustees took into account that they had recently approved the continuation (through June 30, 2014) of the fund’s previous management and sub-management contracts at their meeting in June 2013. The Trustees considered that the terms of the interim management contract and new definitive management contract were identical to those of the previous management contract, except for the effective dates and initial terms and for certain non-substantive changes. They also considered that the terms of the sub-management contract were identical to those of the previous sub-management contract, except for the effective dates and initial terms. In light of the substantial similarity between the proposed contracts and the previous versions of these contracts approved by the Trustees at their June 2013 meeting, the Trustees relied to a considerable extent on their review of these contracts in connection with their June meeting. In addition, the Trustees considered a number other factors relating to the Transfer, including, but not limited to, the following:
Information about the operations of The Desmarais Family Residuary Trust, including that Paul Desmarais, Jr. and André Desmarais,
| 18 | Diversified Income Trust |
Mr. Desmarais’ sons, were expected to exercise, jointly, voting control over the Power Corporation of Canada shares controlled by The Desmarais Family Residuary Trust.
That Paul Desmarais, Jr. and André Desmarais had been playing active managerial roles at Power Corporation of Canada, with responsibility for the oversight of Power Corporation of Canada’s subsidiaries, including Putnam Investments, since Power Corporation of Canada had acquired Putnam Investments in 2007, including serving as Directors of Putnam Investments, and that the Transfer would not affect their responsibilities as officers of Power Corporation of Canada.
The intention expressed by representatives of Power Corporation of Canada and its subsidiaries, Power Financial Corporation and Great-West Lifeco, that there would be no change to the operations or management of Putnam Investments, to Putnam Management’s management of the funds or to investment, advisory and other services provided to the funds by Putnam Management and its affiliates as a result of the Transfer.
Putnam Management’s assurances that, following the Transfer, Putnam Management would continue to provide the same level of services to each fund and that the Transfer will not have an adverse impact on the ability of Putnam Management and its affiliates to continue to provide high quality investment advisory and other services to the funds.
Putnam Management’s assurances that there are no current plans to make any changes to the operations of the funds, existing management fees, expense limitations, distribution arrangements, or the quality of any services provided to the funds or their shareholders, as a result of the Transfer.
The benefits that the funds have received and may potentially receive as a result of Putnam Management being a member of the Power Corporation of Canada group of companies, which promotes the stability of the Putnam organization.
Putnam Investments’ commitment to bear a reasonable share of the expenses incurred by the Putnam Funds in connection with the Transfer.
General conclusions in connection with the Trustees’ June 2013 approval of the fund’s management and sub-management contracts
As noted above, in connection with their deliberations in October and November 2013, in addition to the factors described above, the Trustees considered their recent approval of your fund’s management and sub-management contracts in June 2013. The Board oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management and sub-management contracts. The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Independent Trustees.
At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the
| Diversified Income Trust | 19 |
course of several months ending in June 2013, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.
In May 2013, the Contract Committee met in executive session to discuss and consider its preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 20, 2013 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2013, subject to certain changes in the sub-management contract noted below. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)
The Independent Trustees’ June 2013 approval was based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services to the fund, and
• That the fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the current fee arrangements in the management contracts for the Putnam funds were implemented at the beginning of 2010 following extensive review and discussion by the Trustees, as well as approval by shareholders.
As noted above, the Trustees considered administrative revisions to your fund’s sub-management contract. Putnam Management recommended that the sub-management contract be revised to reduce the sub-management fee that Putnam Management pays to PIL with respect to the portion of the portfolios of certain funds, but not your fund, that may be allocated to PIL from time to time. The Independent Trustees’ approval of this recommendation was based on their conclusion that these changes would have no practical
| 20 Diversified Income Trust |
effect on Putnam Management’s continued responsibility for the management of these funds or the costs borne by fund shareholders and would not result in any reduction in the nature and quality of services provided to the funds.
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to shareholders.
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet competitive standards, the Trustees and Putnam Management have implemented certain expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 32 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses). These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations did not apply. Putnam Management’s support for these expense limitations was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the second quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2012 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2012 reflected the most recent fiscal year-end data available in Lipper’s database at that time.
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In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the Putnam funds at that time.
The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that 2012 was a year of strong competitive performance for many of the Putnam funds, with only a relatively small number of exceptions. They noted that this strong performance was exemplified by the fact that the Putnam funds were recognized by Barron’s as the best performing mutual fund complex for 2012 — the second time in four years that Putnam Management has achieved
| 22 Diversified Income Trust |
this distinction for the Putnam funds. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2012 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.
For purposes of evaluating investment performance, the Trustees generally focus on competitive industry rankings for the one-year, three-year, and five-year periods. For a number of Putnam funds with relatively unique investment mandates, the Trustees evaluated performance based on comparisons of their total returns with the returns of selected investment benchmarks or targeted returns. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper Inc. peer group (Lipper Multi-Sector Income Funds) for the one-year, three-year and five-year periods ended December 31, 2012 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):
| One-year period | 2nd | ||
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| Three-year period | 4th | ||
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| Five-year period | 4th | ||
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Over the one-year, three-year and five-year periods ended December 31, 2012, there were 229, 156 and 129 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.) The Trustees expressed concern about your fund’s fourth quartile performance over the three-year and five-year periods ended December 31, 2012 and considered the circumstances that may have contributed to this disappointing performance. The Trustees considered Putnam Management’s view that the fund’s underperformance over these periods was due in significant part to the fund’s underperformance in 2008 and 2011. The Trustees considered Putnam Management’s observation that the fund’s investments in commercial and residential mortgage-backed securities significantly underperformed during the economic downturn in 2008. The Trustees also considered Putnam Management’s view that, in 2011, the fund’s performance suffered for a variety of reasons, including its relative emphasis on shorter duration investments, which reduced the fund’s sensitivity to interest rate changes but detracted from performance, its exposure to high yield, non-Agency residential mortgage-backed securities, and its exposure to emerging markets coupled with currency exposure to the Australian dollar.
The Trustees considered that, although the fund had not performed well over the three-year and five-year periods ended December 31, 2012, the fund ranked in the second quartile for the one-year period then ended, and that Putnam Management remained confident in the fund’s portfolio managers and their investment process. The Trustees also considered a number of other changes that Putnam Management had made in recent years in efforts to support and improve fund performance generally. In particular, the Trustees recognized that Putnam Management has adjusted the compensation structure for portfolio managers and research analysts so that only those who achieve top-quartile returns over a rolling three-year basis are eligible for full bonuses.
As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted
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that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to performance issues, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not provide any greater assurance of improved investment performance.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used primarily to acquire brokerage and research services that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services.
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Financial statements
A guide to financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
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The fund’s portfolio 3/31/14 (Unaudited)
| MORTGAGE-BACKED SECURITIES (46.1%)* | Principal amount | Value |
|
| ||
| Agency collateralized mortgage obligations (19.8%) | ||
| Federal Home Loan Mortgage Corp. | ||
| IFB Ser. 3182, Class SP, 27.98s, 2032 | $933,563 | $1,393,446 |
| IFB Ser. 3408, Class EK, 25.169s, 2037 | 501,809 | 724,674 |
| IFB Ser. 2979, Class AS, 23.705s, 2034 | 192,327 | 246,178 |
| IFB Ser. 3998, Class KS, IO, 6.545s, 2027 | 21,639,517 | 3,516,421 |
| IFB Ser. 3861, Class PS, IO, 6.445s, 2037 | 13,024,446 | 1,944,420 |
| IFB Ser. 4218, Class PS, IO, 6.095s, 2042 | 28,420,936 | 4,922,595 |
| IFB Ser. 4105, Class LS, IO, 5.995s, 2041 | 17,865,732 | 3,444,513 |
| IFB Ser. 12-4147, Class CS, IO, 5.945s, 2042 | 36,143,930 | 8,262,278 |
| IFB Ser. 4104, Class S, IO, 5.945s, 2042 | 15,224,417 | 3,522,221 |
| IFB Ser. 319, Class S2, IO, 5.845s, 2043 | 29,157,074 | 6,728,578 |
| IFB Ser. 4240, Class SA, IO, 5.845s, 2043 | 132,988,428 | 30,478,288 |
| IFB Ser. 4245, Class AS, IO, 5.845s, 2043 | 56,642,414 | 12,673,570 |
| IFB Ser. 317, Class S3, IO, 5.825s, 2043 | 62,492,610 | 14,115,402 |
| IFB Ser. 310, Class S4, IO, 5.795s, 2043 | 18,526,339 | 4,638,625 |
| IFB Ser. 311, Class S1, IO, 5.795s, 2043 | 110,007,041 | 24,201,989 |
| IFB Ser. 308, Class S1, IO, 5.795s, 2043 | 45,054,664 | 10,935,668 |
| IFB Ser. 14-326, Class S2, IO, 5.792s, 2044 | 157,265,000 | 36,659,667 |
| IFB Ser. 14-325, Class S1, IO, 5.79s, 2044 | 51,734,568 | 11,265,202 |
| IFB Ser. 315, Class S1, IO, 5.765s, 2043 | 38,375,668 | 8,731,370 |
| IFB Ser. 14-327, Class S8, IO, 5.76s, 2044 | 17,386,635 | 3,797,241 |
| IFB Ser. 314, Class AS, IO, 5.735s, 2043 | 59,653,301 | 12,971,557 |
| Ser. 3687, Class CI, IO, 5s, 2038 | 18,721,012 | 2,928,528 |
| Ser. 3632, Class CI, IO, 5s, 2038 | 3,919,455 | 368,742 |
| Ser. 3626, Class DI, IO, 5s, 2037 | 969,065 | 15,670 |
| Ser. 4122, Class TI, IO, 4 1/2s, 2042 | 24,576,438 | 5,593,597 |
| Ser. 4000, Class PI, IO, 4 1/2s, 2042 | 33,631,463 | 6,985,255 |
| Ser. 4024, Class PI, IO, 4 1/2s, 2041 | 43,114,588 | 9,377,552 |
| Ser. 4193, Class PI, IO, 4s, 2043 | 86,796,823 | 15,515,019 |
| Ser. 4213, Class GI, IO, 4s, 2041 | 48,599,759 | 8,568,137 |
| Ser. 4220, Class IE, IO, 4s, 2028 | 21,603,263 | 2,844,286 |
| Ser. 13-303, Class C19, IO, 3 1/2s, 2043 | 63,195,068 | 14,782,585 |
| Ser. 304, Class C22, IO, 3 1/2s, 2042 | 34,855,510 | 8,147,475 |
| Ser. 4141, Class IM, IO, 3 1/2s, 2042 | 66,599,749 | 12,653,886 |
| Ser. 4141, Class IQ, IO, 3 1/2s, 2042 | 34,683,023 | 6,589,705 |
| Ser. 4122, Class CI, IO, 3 1/2s, 2042 | 33,596,558 | 5,375,550 |
| Ser. 4105, Class HI, IO, 3 1/2s, 2041 | 14,772,585 | 2,306,296 |
| Ser. 4165, Class TI, IO, 3s, 2042 | 38,762,947 | 5,388,050 |
| Ser. 4210, Class PI, IO, 3s, 2041 | 31,032,347 | 3,462,046 |
| Ser. 304, Class C45, IO, 3s, 2027 | 74,732,948 | 9,216,815 |
| Ser. T-56, Class A, IO, 0.524s, 2043 | 254,645 | 4,347 |
| Ser. T-57, Class 1AX, IO, 0.395s, 2043 | 17,002,575 | 184,333 |
| Ser. T-56, Class 1, IO, zero %, 2043 | 297,751 | 23 |
| Ser. T-56, Class 2, IO, zero %, 2043 | 285,135 | 891 |
| Ser. T-56, Class 3, IO, zero %, 2043 | 8,736,533 | 683 |
| Ser. 3314, PO, zero %, 2036 | 136,161 | 126,593 |
| 26 Diversified Income Trust |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value |
|
| ||
| Agency collateralized mortgage obligations cont. | ||
| Federal Home Loan Mortgage Corp. | ||
| Ser. 1208, Class F, PO, zero %, 2022 | $75,782 | $70,097 |
| FRB Ser. 3326, Class WF, zero %, 2035 | 59,167 | 50,884 |
|
| ||
| Federal National Mortgage Association | ||
| IFB Ser. 06-8, Class HP, 24.001s, 2036 | 1,346,338 | 2,058,794 |
| IFB Ser. 05-45, Class DA, 23.854s, 2035 | 2,821,726 | 4,200,266 |
| IFB Ser. 05-83, Class QP, 16.993s, 2034 | 428,040 | 551,619 |
| Ser. 98-T2, Class A4, IO, 6 1/2s, 2036 | 81,527 | 13,143 |
| IFB Ser. 13-101, Class HS, IO, 6.346s, 2043 | 32,562,079 | 8,492,190 |
| IFB Ser. 13-81, Class US, IO, 6.096s, 2043 | 40,755,765 | 7,426,923 |
| IFB Ser. 13-10, Class KS, IO, 6.046s, 2043 | 32,439,811 | 6,653,405 |
| IFB Ser. 12-128, Class YS, IO, 6.046s, 2042 | 35,280,612 | 6,434,831 |
| IFB Ser. 13-81, Class QS, IO, 6.046s, 2041 | 32,299,335 | 5,577,944 |
| IFB Ser. 13-41, Class SP, IO, 6.046s, 2040 | 15,874,707 | 2,579,005 |
| IFB Ser. 13-9, Class JS, IO, 5.996s, 2043 | 33,190,168 | 7,678,031 |
| IFB Ser. 12-128, Class ST, IO, 5.996s, 2042 | 32,593,981 | 7,350,595 |
| IFB Ser. 13-18, Class SB, IO, 5.996s, 2041 | 28,442,097 | 4,769,740 |
| IFB Ser. 13-124, Class SB, IO, 5.796s, 2043 | 33,949,094 | 7,606,719 |
| IFB Ser. 13-92, Class SA, IO, 5.796s, 2043 | 36,883,391 | 8,897,749 |
| IFB Ser. 411, Class S1, IO, 5.796s, 2042 | 44,381,844 | 9,438,687 |
| IFB Ser. 13-103, Class SK, IO, 5.766s, 2043 | 25,264,155 | 5,750,033 |
| IFB Ser. 13-128, Class CS, IO, 5.746s, 2043 | 51,426,603 | 11,498,988 |
| IFB Ser. 13-101, Class CS, IO, 5.746s, 2043 | 32,907,220 | 7,313,630 |
| IFB Ser. 13-102, Class SH, IO, 5.746s, 2043 | 60,140,201 | 13,038,396 |
| Ser. 399, Class 2, IO, 5 1/2s, 2039 | 123,776 | 22,028 |
| Ser. 374, Class 6, IO, 5 1/2s, 2036 | 4,735,721 | 914,231 |
| Ser. 12-132, Class PI, IO, 5s, 2042 | 52,354,944 | 11,248,983 |
| Ser. 398, Class C5, IO, 5s, 2039 | 2,943,891 | 448,355 |
| Ser. 10-13, Class EI, IO, 5s, 2038 | 1,276,967 | 35,576 |
| Ser. 378, Class 19, IO, 5s, 2035 | 4,795,732 | 995,114 |
| Ser. 12-30, Class HI, IO, 4 1/2s, 2040 | 36,602,732 | 7,286,872 |
| Ser. 409, Class 81, IO, 4 1/2s, 2040 | 35,207,806 | 6,829,415 |
| Ser. 404, Class 2, IO, 4 1/2s, 2040 | 345,256 | 73,906 |
| Ser. 366, Class 22, IO, 4 1/2s, 2035 | 4,429,018 | 336,340 |
| Ser. 418, Class C24, IO, 4s, 2043 | 60,800,723 | 14,463,920 |
| Ser. 13-41, Class IP, IO, 4s, 2043 | 51,049,981 | 9,725,532 |
| Ser. 13-44, Class PI, IO, 4s, 2043 | 24,292,008 | 4,084,094 |
| Ser. 13-60, Class IP, IO, 4s, 2042 | 19,524,244 | 3,546,681 |
| Ser. 13-1, Class PI, IO, 4s, 2042 | 41,578,537 | 8,130,267 |
| Ser. 12-96, Class PI, IO, 4s, 2041 | 8,289,855 | 1,483,055 |
| Ser. 406, Class 2, IO, 4s, 2041 | 33,876,549 | 7,076,811 |
| Ser. 406, Class 1, IO, 4s, 2041 | 23,300,411 | 4,930,367 |
| Ser. 409, Class C16, IO, 4s, 2040 | 23,356,109 | 4,700,371 |
| Ser. 405, Class 2, IO, 4s, 2040 | 374,359 | 70,600 |
| Ser. 418, Class C15, IO, 3 1/2s, 2043 | 125,683,502 | 29,074,126 |
| Ser. 13-70, Class CI, IO, 3 1/2s, 2043 | 19,715,676 | 2,655,702 |
| Ser. 13-40, Class YI, IO, 3 1/2s, 2042 | 44,049,455 | 7,102,975 |
| Ser. 12-145, Class TI, IO, 3s, 2042 | 37,022,634 | 4,150,237 |
| Diversified Income Trust | 27 |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value |
|
| ||
| Agency collateralized mortgage obligations cont. | ||
| Federal National Mortgage Association | ||
| Ser. 13-35, Class IP, IO, 3s, 2042 | $22,809,038 | $2,630,167 |
| Ser. 13-53, Class JI, IO, 3s, 2041 | 37,533,225 | 5,037,663 |
| Ser. 13-30, Class IP, IO, 3s, 2041 | 39,615,268 | 4,140,192 |
| Ser. 03-W10, Class 1, IO, 1.102s, 2043 | 7,467,646 | 221,112 |
| Ser. 00-T6, IO, 0.74s, 2030 | 8,691,829 | 184,701 |
| Ser. 01-T1, Class 1, IO, 0.715s, 2040 | 1,018,861 | 20,843 |
| Ser. 01-50, Class B1, IO, 0.419s, 2041 | 421,215 | 5,660 |
| Ser. 02-W8, Class 1, IO, 0.319s, 2042 | 12,453,739 | 147,888 |
| Ser. 99-51, Class N, PO, zero %, 2029 | 118,793 | 106,913 |
|
| ||
| Government National Mortgage Association | ||
| IFB Ser. 10-151, Class SL, IO, 6.543s, 2039 | 18,210,355 | 3,176,979 |
| IFB Ser. 10-163, Class SI, IO, 6.474s, 2037 | 24,637,869 | 3,849,692 |
| IFB Ser. 11-41, Class SM, IO, 6.443s, 2041 | 17,001,141 | 3,224,240 |
| IFB Ser. 11-11, Class PS, IO, 6.443s, 2040 | 23,333,471 | 3,908,333 |
| IFB Ser. 10-15, Class SA, IO, 6.443s, 2039 | 16,465,617 | 2,743,995 |
| IFB Ser. 10-55, Class SG, IO, 6.343s, 2040 | 24,967,481 | 4,760,550 |
| IFB Ser. 11-56, Class MI, IO, 6.293s, 2041 | 77,685,100 | 17,720,748 |
| IFB Ser. 10-67, Class SE, IO, 6.293s, 2040 | 15,046,944 | 2,837,854 |
| IFB Ser. 12-149, Class LS, IO, 6.093s, 2042 | 28,881,418 | 4,682,255 |
| IFB Ser. 13-37, Class S, IO, 6.073s, 2043 | 22,885,086 | 4,014,044 |
| IFB Ser. 13-113, Class SL, IO, 6.073s, 2042 | 39,102,373 | 6,830,696 |
| IFB Ser. 13-98, Class DS, IO, 6.045s, 2042 | 29,943,767 | 5,510,355 |
| IFB Ser. 13-87, Class AS, IO, 6.043s, 2043 | 50,814,015 | 8,892,503 |
| IFB Ser. 13-87, Class SA, IO, 6.043s, 2043 | 36,713,602 | 5,983,151 |
| IFB Ser. 13-167, Class SG, IO, 5.993s, 2043 | 85,647,643 | 14,618,759 |
| IFB Ser. 13-129, Class SN, IO, 5.993s, 2043 | 29,531,528 | 4,999,983 |
| IFB Ser. 13-122, Class DS, IO, 5.993s, 2043 | 40,226,363 | 6,471,674 |
| IFB Ser. 13-165, Class LS, IO, 5.993s, 2043 | 20,140,103 | 3,517,066 |
| IFB Ser. 10-20, Class SC, IO, 5.993s, 2040 | 114,822,988 | 20,823,149 |
| IFB Ser. 13-99, Class VS, IO, 5.945s, 2043 | 29,398,666 | 5,449,043 |
| Ser. 13-149, Class MS, IO, 5.943s, 2039 | 52,443,527 | 8,357,925 |
| IFB Ser. 14-4, Class SG, IO, 5.943s, 2044 | 72,116,785 | 13,234,872 |
| IFB Ser. 13-147, Class SA, IO, 5.943s, 2043 | 30,214,251 | 5,344,901 |
| IFB Ser. 12-77, Class MS, IO, 5.943s, 2042 | 25,895,142 | 6,151,132 |
| IFB Ser. 11-128, Class TS, IO, 5.895s, 2041 | 19,119,369 | 3,854,465 |
| IFB Ser. 13-99, Class AS, IO, 5.893s, 2043 | 14,392,764 | 3,272,195 |
| IFB Ser. 10-158, Class SA, IO, 5.893s, 2040 | 12,343,887 | 2,227,454 |
| IFB Ser. 10-151, Class SA, IO, 5.893s, 2040 | 29,658,580 | 5,355,746 |
| IFB Ser. 10-113, Class SM, IO, 5.893s, 2040 | 32,582,275 | 5,498,194 |
| IFB Ser. 10-121, Class SE, IO, 5.843s, 2040 | 30,055,662 | 4,996,814 |
| IFB Ser. 10-89, Class SD, IO, 5.773s, 2040 | 11,393,867 | 1,993,927 |
| IFB Ser. 11-70, Class SM, IO, 5.735s, 2041 | 32,221,000 | 7,819,070 |
| IFB Ser. 11-70, Class SH, IO, 5.735s, 2041 | 33,097,000 | 8,047,205 |
| Ser. 14-4, Class PI, IO, 5s, 2043 | 26,334,416 | 5,736,953 |
| Ser. 14-25, Class MI, IO, 5s, 2043 | 28,303,988 | 6,447,649 |
| Ser. 13-3, Class IT, IO, 5s, 2043 | 16,902,629 | 3,690,130 |
| Ser. 13-6, Class IC, IO, 5s, 2043 | 14,519,566 | 3,110,817 |
| 28 Diversified Income Trust |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value |
|
| ||
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 12-146, Class IO, IO, 5s, 2042 | $31,316,603 | $7,053,125 |
| Ser. 13-6, Class CI, IO, 5s, 2042 | 10,861,492 | 2,218,025 |
| Ser. 13-130, Class IB, IO, 5s, 2040 | 31,577,372 | 4,322,535 |
| Ser. 13-16, Class IB, IO, 5s, 2040 | 45,005,491 | 4,882,533 |
| Ser. 11-41, Class BI, IO, 5s, 2040 | 30,698,249 | 3,913,545 |
| Ser. 10-35, Class UI, IO, 5s, 2040 | 83,541,535 | 19,318,980 |
| Ser. 10-20, Class UI, IO, 5s, 2040 | 39,350,883 | 7,935,893 |
| Ser. 10-9, Class UI, IO, 5s, 2040 | 229,266,098 | 49,376,891 |
| Ser. 09-121, Class UI, IO, 5s, 2039 | 84,773,397 | 19,895,469 |
| Ser. 13-34, Class IH, IO, 4 1/2s, 2043 | 50,681,055 | 11,702,458 |
| Ser. 13-24, Class IC, IO, 4 1/2s, 2043 | 8,323,816 | 1,836,484 |
| Ser. 13-24, Class IK, IO, 4 1/2s, 2043 | 25,810,516 | 5,566,554 |
| Ser. 11-140, Class BI, IO, 4 1/2s, 2040 | 21,650,353 | 2,565,350 |
| Ser. 13-167, Class IO, IO, 4 1/2s, 2040 | 47,738,646 | 8,296,671 |
| Ser. 10-35, Class AI, IO, 4 1/2s, 2040 | 30,703,620 | 6,260,161 |
| Ser. 10-35, Class QI, IO, 4 1/2s, 2040 | 74,928,073 | 15,459,158 |
| Ser. 10-9, Class QI, IO, 4 1/2s, 2040 | 156,082,467 | 32,966,873 |
| Ser. 09-121, Class QI, IO, 4 1/2s, 2039 | 31,439,790 | 6,956,682 |
| Ser. 10-168, Class PI, IO, 4 1/2s, 2039 | 21,175,385 | 3,695,105 |
| Ser. 10-158, Class IP, IO, 4 1/2s, 2039 | 29,999,580 | 4,865,332 |
| Ser. 10-98, Class PI, IO, 4 1/2s, 2037 | 10,948,698 | 1,350,631 |
| Ser. 14-4, Class BI, IO, 4s, 2044 | 25,220,968 | 7,111,052 |
| Ser. 14-4, Class IC, IO, 4s, 2044 | 34,733,959 | 7,541,437 |
| Ser. 13-165, Class IL, IO, 4s, 2043 | 18,586,848 | 3,241,360 |
| Ser. 13-27, Class IJ, IO, 4s, 2043 | 24,690,590 | 5,447,238 |
| Ser. 13-24, Class PI, IO, 4s, 2042 | 11,225,140 | 2,101,346 |
| Ser. 12-106, Class QI, IO, 4s, 2042 | 33,072,339 | 6,215,946 |
| Ser. 12-56, Class IB, IO, 4s, 2042 | 15,724,321 | 3,682,056 |
| Ser. 13-102, Class IP, IO, 3 1/2s, 2043 | 30,620,446 | 4,593,128 |
| Ser. 13-76, Class IO, IO, 3 1/2s, 2043 | 88,804,359 | 15,836,481 |
| Ser. 13-28, Class IO, IO, 3 1/2s, 2043 | 27,670,017 | 4,340,734 |
| Ser. 13-54, Class JI, IO, 3 1/2s, 2043 | 52,242,234 | 8,838,864 |
| Ser. 13-37, Class JI, IO, 3 1/2s, 2043 | 49,555,271 | 7,996,239 |
| Ser. 13-27, Class PI, IO, 3 1/2s, 2042 | 37,096,189 | 6,461,043 |
| Ser. 12-140, Class IC, IO, 3 1/2s, 2042 | 60,328,238 | 13,573,974 |
| Ser. 12-92, Class AI, IO, 3 1/2s, 2042 | 31,269,048 | 5,464,579 |
| Ser. 12-48, Class AI, IO, 3 1/2s, 2036 | 25,903,669 | 5,069,089 |
| Ser. 13-37, Class UI, IO, 3s, 2042 | 30,405,946 | 4,361,429 |
| Ser. 13-41, Class MI, IO, 3s, 2041 | 29,259,884 | 4,050,738 |
| Ser. 06-36, Class OD, PO, zero %, 2036 | 29,468 | 25,692 |
| Ser. 06-64, PO, zero %, 2034 | 100,498 | 98,960 |
|
| ||
| Structured Asset Securities Corp. 144A | ||
| Ser. 98-RF3, Class A, IO, 6.1s, 2028 | 341,623 | 44,411 |
| IFB Ser. 07-4, Class 1A3, IO, 6.023s, 2045 | 115,499,564 | 20,212,424 |
|
| ||
| 1,180,843,526 | ||
| Diversified Income Trust 29 |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value | |
|
| |||
| Commercial mortgage-backed securities (16.5%) | |||
| Banc of America Commercial Mortgage Trust | |||
| Ser. 06-4, Class AJ, 5.695s, 2046 | $16,242,000 | $16,856,614 | |
| Ser. 06-1, Class B, 5.49s, 2045 | 4,164,000 | 4,267,392 | |
| FRB Ser. 05-1, Class B, 5.29s, 2042 | 6,655,000 | 6,838,013 | |
| FRB Ser. 05-6, Class B, 5.182s, 2047 | 7,000,000 | 7,372,211 | |
|
| |||
| Banc of America Commercial Mortgage Trust 144A | |||
| Ser. 01-1, Class K, 6 1/8s, 2036 | 2,302,576 | 1,116,749 | |
| Ser. 07-5, Class XW, IO, 0.42s, 2051 | 162,889,940 | 1,664,735 | |
|
| |||
| Bear Stearns Commercial Mortgage Securities Trust | |||
| FRB Ser. 07-PW17, Class AJ, 5.888s, 2050 F | 3,285,000 | 3,244,364 | |
| FRB Ser. 07-PW16, Class AJ, 5.716s, 2040 | 12,200,000 | 12,276,250 | |
| FRB Ser. 06-PW11, Class AJ, 5.44s, 2039 | 1,580,000 | 1,629,622 | |
| Ser. 05-PWR7, Class D, 5.304s, 2041 | 4,190,000 | 3,916,812 | |
| Ser. 05-PWR7, Class C, 5.235s, 2041 | 4,945,000 | 4,722,173 | |
| Ser. 05-PWR7, Class B, 5.214s, 2041 | 7,239,000 | 7,313,869 | |
| Ser. 05-PWR9, Class C, 5.055s, 2042 | 3,745,000 | 3,567,487 | |
| Ser. 05-PWR9, Class AJ, 4.985s, 2042 | 1,723,000 | 1,788,646 | |
|
| |||
| Bear Stearns Commercial Mortgage Securities Trust 144A FRB | |||
| Ser. 06-PW11, Class C, 5.44s, 2039 | 3,536,000 | 3,456,440 | |
|
| |||
| CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, | |||
| Class E, 5.56s, 2047 | 19,282,000 | 19,490,438 | |
|
| |||
| Citigroup Commercial Mortgage Trust | |||
| FRB Ser. 06-C4, Class B, 5.783s, 2049 | 10,998,000 | 10,596,573 | |
| Ser. 06-C5, Class AJ, 5.482s, 2049 | 7,567,000 | 7,586,379 | |
| FRB Ser. 05-C3, Class B, 5.029s, 2043 | 16,007,000 | 14,992,156 | |
|
| |||
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, | |||
| Class D, 4.878s, 2045 | 6,762,000 | 6,527,359 | |
|
| |||
| Citigroup/Deutsche Bank Commercial Mortgage Trust 144A | |||
| FRB Ser. 07-CD5, Class E, 6.116s, 2044 | 8,486,000 | 8,401,140 | |
| Ser. 07-CD5, Class XS, IO, 0.042s, 2044 | 130,764,402 | 582,307 | |
|
| |||
| COMM Mortgage Trust Ser. 07-C9, Class AJ, 5.65s, 2049 | 2,860,000 | 2,977,546 | |
|
| |||
| COMM Mortgage Trust 144A | |||
| FRB Ser. 12-LC4, Class D, 5.648s, 2044 | 7,782,000 | 7,866,824 | |
| FRB Ser. 13-CR11, Class D, 5.172s, 2046 | 10,518,000 | 9,975,408 | |
| FRB Ser. 13-LC13, Class D, 5.05s, 2046 | 18,552,000 | 17,348,199 | |
| FRB Ser. 13-LC6, Class D, 4.29s, 2046 | 5,725,000 | 5,070,107 | |
| FRB Ser. 13-CR6, Class D, 4.176s, 2046 | 4,300,000 | 3,752,168 | |
| FRB Ser. 13-CR8, Class D, 3.971s, 2046 | 9,068,000 | 7,709,462 | |
| FRB Ser. 07-C9, Class AJFL, 0.844s, 2049 | 14,635,000 | 13,054,420 | |
|
| |||
| Cornerstone Titan PLC 144A FRB Ser. 05-CT1A, Class D, 1.565s, | |||
| 2014 (Ireland) | GBP | 42,903 | 70,811 |
|
| |||
| Credit Suisse First Boston Commercial Mortgage Trust | |||
| Ser. 05-C5, Class C, 5.1s, 2038 | $4,077,000 | 4,172,015 | |
|
| |||
| Credit Suisse First Boston Mortgage Securities Corp. | |||
| FRB Ser. 05-C4, Class D, 5.384s, 2038 | 5,737,000 | 5,836,824 | |
| Ser. 05-C5, Class F, 5.1s, 2038 | 4,760,000 | 4,593,400 | |
|
| |||
| 30 Diversified Income Trust |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value | |
|
| |||
| Commercial mortgage-backed securities cont. | |||
| Credit Suisse First Boston Mortgage Securities Corp. 144A | |||
| Ser. 02-CP5, Class H, 6.326s, 2035 | $9,440,000 | $9,335,405 | |
| Ser. 02-CP5, Class M, 5 1/4s, 2035 | 1,239,809 | 49,853 | |
|
| |||
| Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, | |||
| IO, 0.733s, 2039 | 198,831,928 | 3,234,260 | |
|
| |||
| Credit Suisse Mortgage Capital Certificates 144A FRB | |||
| Ser. 08-C1, Class AJ, 5.978s, 2041 F | 11,935,000 | 10,078,798 | |
|
| |||
| Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) | 4,612,291 | 189,104 | |
|
| |||
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, | |||
| 5.418s, 2044 | 25,036,000 | 25,363,476 | |
|
| |||
| FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, | |||
| 1.023s, 2020 | 12,993,350 | 221,017 | |
|
| |||
| First Union Commercial Mortgage Trust 144A Ser. 99-C1, | |||
| Class G, 5.35s, 2035 | 3,121,100 | 2,021,515 | |
|
| |||
| GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, | |||
| Class AJ, 5.278s, 2044 | 6,282,269 | 6,209,520 | |
|
| |||
| GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, | |||
| Class B, 4.965s, 2041 | 4,022,000 | 4,017,978 | |
|
| |||
| Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, | |||
| Class D, 4.986s, 2042 | 16,043,000 | 16,165,793 | |
|
| |||
| GS Mortgage Securities Trust | |||
| Ser. 06-GG8, Class AJ, 5.622s, 2039 | 3,663,000 | 3,626,832 | |
| Ser. 05-GG4, Class AJ, 4.782s, 2039 | 11,884,000 | 12,062,574 | |
|
| |||
| GS Mortgage Securities Trust 144A | |||
| FRB Ser. 12-GC6, Class D, 5.639s, 2045 | 4,217,265 | 4,251,003 | |
| FRB Ser. 11-GC3, Class D, 5.544s, 2044 | 23,639,177 | 24,241,757 | |
| FRB Ser. GC10, Class D, 4.415s, 2046 | 11,011,000 | 9,809,700 | |
| Ser. 05-GG4, Class XC, IO, 0.706s, 2039 | 334,451,764 | 1,672,259 | |
|
| |||
| Guggenheim Structured Real Estate Funding, Ltd. 144A FRB | |||
| Ser. 05-2A, Class E, 2.154s, 2030 (Cayman Islands) | 2,453,000 | 1,666,814 | |
|
| |||
| JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, | |||
| Class D, 4.088s, 2045 | 15,060,000 | 13,151,756 | |
|
| |||
| JPMorgan Chase Commercial Mortgage Securities Trust | |||
| FRB Ser. 07-CB20, Class AJ, 6.101s, 2051 F | 12,711,000 | 12,932,603 | |
| FRB Ser. 06-LDP7, Class B, 5.845s, 2045 | 9,729,000 | 8,656,902 | |
| Ser. 06-LDP6, Class AJ, 5.565s, 2043 | 20,859,000 | 21,336,671 | |
| Ser. 06-LDP8, Class B, 5.52s, 2045 | 5,447,000 | 5,439,919 | |
| FRB Ser. 06-LDP6, Class B, 5.503s, 2043 | 11,811,500 | 11,693,385 | |
| FRB Ser. 05-LDP3, Class D, 5.193s, 2042 | 7,191,000 | 7,154,326 | |
| FRB Ser. 04-CBX, Class B, 5.021s, 2037 | 2,344,000 | 2,369,658 | |
| FRB Ser. 05-LDP2, Class E, 4.981s, 2042 | 13,871,000 | 13,046,343 | |
| FRB Ser. 04-C3, Class C, 4.981s, 2042 | 4,777,000 | 4,717,288 | |
| FRB Ser. 13-LC11, Class D, 4.242s, 2046 | 16,608,000 | 14,623,972 | |
| FRB Ser. 13-C10, Class D, 4.16s, 2047 | 6,108,000 | 5,382,772 | |
|
| |||
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | |||
| FRB Ser. 07-CB20, Class C, 6.201s, 2051 | 9,324,000 | 8,718,779 | |
| FRB Ser. 11-C3, Class E, 5.544s, 2046 | 24,309,000 | 25,344,627 | |
| FRB Ser. 12-C6, Class E, 5.202s, 2045 | 22,910,000 | 22,646,851 | |
| FRB Ser. 12-C8, Class E, 4.668s, 2045 | 6,205,000 | 5,856,420 | |
| Diversified Income Trust | 31 |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value | |
|
| |||
| Commercial mortgage-backed securities cont. | |||
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | |||
| FRB Ser. 12-LC9, Class E, 4.427s, 2047 | $6,975,000 | $6,412,975 | |
| FRB Ser. 13-C13, Class D, 4.056s, 2046 | 13,946,000 | 12,067,438 | |
| FRB Ser. 13-C13, Class E, 3.986s, 2046 | 9,387,000 | 7,206,150 | |
| Ser. 07-CB20, Class X1, IO, 0.144s, 2051 | 230,294,564 | 2,166,381 | |
|
| |||
| LB Commercial Conduit Mortgage Trust 144A | |||
| Ser. 99-C1, Class G, 6.41s, 2031 | 8,260,023 | 8,552,994 | |
| Ser. 98-C4, Class J, 5.6s, 2035 | 3,535,000 | 3,915,013 | |
|
| |||
| LB-UBS Commercial Mortgage Trust | |||
| Ser. 06-C3, Class AJ, 5.72s, 2039 | 9,917,000 | 10,041,954 | |
| Ser. 06-C6, Class E, 5.541s, 2039 | 9,358,000 | 8,746,923 | |
| Ser. 07-C1, Class AJ, 5.484s, 2040 | 10,857,000 | 11,142,539 | |
| FRB Ser. 06-C6, Class C, 5.482s, 2039 | 4,186,000 | 4,081,350 | |
| FRB Ser. 05-C2, Class D, 5.204s, 2040 | 4,875,000 | 4,712,175 | |
|
| |||
| Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, | |||
| 2.37s, 2028 | 274,886 | 25 | |
|
| |||
| Merrill Lynch Mortgage Trust | |||
| FRB Ser. 08-C1, Class AJ, 6.326s, 2051 | 4,285,000 | 4,646,226 | |
| FRB Ser. 05-CKI1, Class C, 5.283s, 2037 | 10,136,000 | 10,187,694 | |
| FRB Ser. 05-CIP1, Class C, 5.204s, 2038 | 5,991,000 | 5,526,698 | |
| FRB Ser. 05-CIP1, Class B, 5.174s, 2038 | 5,395,000 | 5,179,200 | |
| Ser. 04-KEY2, Class D, 5.046s, 2039 | 4,390,000 | 4,407,560 | |
| Ser. 05-MCP1, Class D, 5.023s, 2043 | 4,029,000 | 3,931,498 | |
|
| |||
| Mezz Cap Commercial Mortgage Trust 144A | |||
| Ser. 04-C1, Class X, IO, 8.628s, 2037 | 509,435 | 19,104 | |
| Ser. 07-C5, Class X, IO, 4.753s, 2049 | 5,597,560 | 334,174 | |
|
| |||
| ML-CFC Commercial Mortgage Trust | |||
| Ser. 06-3, Class AJ, 5.485s, 2046 | 3,901,000 | 3,887,737 | |
| Ser. 06-4, Class AJ, 5.239s, 2049 | 8,108,000 | 8,006,650 | |
|
| |||
| ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, | |||
| Class AJFX, 5.147s, 2049 | 9,331,000 | 8,997,883 | |
|
| |||
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | |||
| FRB Ser. 13-C11, Class D, 4.419s, 2046 | 10,372,000 | 9,183,369 | |
| Ser. 13-C8, Class D, 4.172s, 2048 | 6,644,000 | 5,814,164 | |
| Ser. 13-C10, Class D, 4.083s, 2046 | 8,270,000 | 7,139,408 | |
|
| |||
| Morgan Stanley Capital I Trust | |||
| Ser. 07-HQ11, Class C, 5.558s, 2044 | 10,422,000 | 10,135,395 | |
| FRB Ser. 06-HQ8, Class D, 5.498s, 2044 | 8,329,000 | 7,415,309 | |
| Ser. 06-HQ10, Class AJ, 5.389s, 2041 | 10,341,000 | 10,424,762 | |
|
| |||
| Morgan Stanley Capital I Trust 144A | |||
| FRB Ser. 04-RR, Class F7, 6s, 2039 | 9,377,486 | 8,943,777 | |
| FRB Ser. 11-C3, Class E, 5.183s, 2049 | 8,481,870 | 8,544,551 | |
|
| |||
| N-Star Real Estate CDO, Ltd. 144A FRB Ser. 1A, Class C1A, | |||
| 3.233s, 2038 | 2,016,779 | 1,815,101 | |
|
| |||
| STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) | 1,590,000 | 1,192,500 | |
|
| |||
| TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 | 4,233,255 | 1,058,314 | |
|
| |||
| 32 Diversified Income Trust |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value | |
|
| |||
| Commercial mortgage-backed securities cont. | |||
| UBS-Barclays Commercial Mortgage Trust 144A | |||
| FRB Ser. 12-C3, Class D, 4.959s, 2049 | $9,598,000 | $8,680,044 | |
| Ser. 13-C6, Class D, 4.354s, 2046 | 2,662,000 | 2,347,085 | |
|
| |||
| Wachovia Bank Commercial Mortgage Trust | |||
| FRB Ser. 06-C26, Class AJ, 5.992s, 2045 | 21,124,000 | 21,449,310 | |
| FRB Ser. 06-C25, Class AJ, 5.722s, 2043 | 11,577,000 | 12,053,972 | |
| Ser. 06-C24, Class AJ, 5.658s, 2045 | 15,521,000 | 15,609,470 | |
| FRB Ser. 05-C21, Class D, 5.24s, 2044 | 24,100,000 | 24,634,225 | |
| FRB Ser. 05-C20, Class B, 5.239s, 2042 | 15,494,522 | 15,871,180 | |
| Ser. 07-C34, IO, 0.307s, 2046 | 68,820,049 | 832,723 | |
|
| |||
| Wachovia Bank Commercial Mortgage Trust 144A | |||
| FRB Ser. 04-C10, Class H, 5.543s, 2041 | 6,983,000 | 6,983,000 | |
| FRB Ser. 04-C11, Class G, 5.497s, 2041 | 5,825,000 | 5,854,125 | |
| FRB Ser. 04-C10, Class J, 5.007s, 2041 | 7,401,000 | 7,401,000 | |
|
| |||
| Wells Fargo Commercial Mortgage Trust 144A FRB | |||
| Ser. 13-LC12, Class D, 4.304s, 2046 | 17,519,111 | 15,529,846 | |
|
| |||
| WF-RBS Commercial Mortgage Trust 144A | |||
| FRB Ser. 12-C6, Class D, 5.563s, 2045 | 5,394,000 | 5,387,258 | |
| FRB Ser. 13-C17, Class D, 5.127s, 2046 F | 20,406,000 | 19,109,430 | |
| FRB Ser. 12-C6, Class E, 5s, 2045 | 7,840,000 | 6,776,112 | |
| FRB Ser. 12-C9, Class D, 4.803s, 2045 | 7,612,000 | 7,161,370 | |
| FRB Ser. 13-C18, Class D, 4.676s, 2046 | 7,475,000 | 6,757,283 | |
| FRB Ser. 13-C15, Class D, 4.486s, 2046 F | 21,385,004 | 19,152,008 | |
| FRB Ser. 13-C12, Class D, 4.357s, 2048 | 10,575,000 | 9,499,311 | |
| Ser. 14-C19, Class D, 4.306s, 2047 | 8,178,000 | 6,951,022 | |
| FRB Ser. 13-C14, Class D, 4.002s, 2046 | 12,895,000 | 11,215,168 | |
|
| |||
| 983,016,776 | |||
| Residential mortgage-backed securities (non-agency) (9.8%) | |||
| American Home Mortgage Investment Trust FRB Ser. 07-1, | |||
| Class GA1A, 0.314s, 2047 | 24,923,311 | 19,004,025 | |
|
| |||
| Banc of America Funding Corp. FRB Ser. 06-G, Class 2A5, | |||
| 0.437s, 2036 | 3,876,506 | 3,488,855 | |
|
| |||
| Barclays Capital, LLC Trust | |||
| Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 | 1,925,034 | 1,075,324 | |
| Ser. 13-RR1, Class 9A4, 9.481s, 2036 | 2,377,000 | 2,390,074 | |
| Ser. 13-RR1, Class 2A4, 9.181s, 2036 | 4,934,858 | 4,700,453 | |
| Ser. 13-RR1, Class 4A2, 4s, 2037 | 3,205,944 | 3,255,636 | |
| Ser. 12-RR10, Class 8A2, 4s, 2036 | 3,835,154 | 3,806,391 | |
| FRB Ser. 12-RR10, Class 9A2, 2.654s, 2035 | 9,361,295 | 8,256,662 | |
| Ser. 13-RR1, Class 1A2, 2.428s, 2035 | 5,838,493 | 4,761,291 | |
|
| |||
| Barclays Capital, LLC Trust 144A | |||
| FRB Ser. 12-RR12, Class 2A3, 12.267s, 2035 | 3,548,939 | 3,282,769 | |
| FRB Ser. 13-RR2, Class 3A2, 7.493s, 2036 | 3,193,000 | 2,969,490 | |
| Ser. 12-RR12, Class 2A2, 4s, 2035 | 2,511,836 | 2,496,263 | |
| FRB Ser. 12-RR1, Class 1A4, 2.701s, 2037 | 6,584,908 | 5,169,153 | |
| FRB Ser. 09-RR6, Class 1A2, 2.43s, 2035 | 7,751,421 | 6,646,844 | |
| FRB Ser. 12-RR1, Class 6A5, 0.344s, 2046 | 5,320,000 | 4,700,220 | |
| FRB Ser. 12-RR11, Class 5A3, zero %, 2037 | 1,613,083 | 993,659 | |
|
| |||
| Diversified Income Trust | 33 |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value | |
|
| |||
| Residential mortgage-backed securities (non-agency) cont. | |||
| Bear Stearns Alt-A Trust FRB Ser. 05-9, Class 11A1, 0.674s, 2035 | $14,447,953 | $11,513,574 | |
|
| |||
| Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, | |||
| Class M6, 5.029s, 2034 | 265,627 | 36,203 | |
|
| |||
| Citigroup Mortgage Loan Trust, Inc. 144A | |||
| FRB Ser. 13-7, Class 3A2, 2 1/2s, 2035 | 6,500,000 | 5,362,500 | |
| FRB Ser. 11-12, Class 2A2, 0.524s, 2035 | 8,520,000 | 7,240,296 | |
|
| |||
| Countrywide Alternative Loan Trust | |||
| Ser. 06-4CB, Class 1A6, 6s, 2036 | 6,170,946 | 5,347,495 | |
| Ser. 06-J2, Class A10, 6s, 2036 | 6,211,746 | 5,552,059 | |
| Ser. 05-20CB, Class 3A7, 5 1/2s, 2035 | 5,567,675 | 5,074,936 | |
| Ser. 05-11CB, Class 2A5, 5 1/2s, 2035 | 7,055,039 | 6,596,462 | |
| FRB Ser. 05-76, Class 2A1, 1.129s, 2036 | 9,503,399 | 8,344,269 | |
| FRB Ser. 05-38, Class A3, 0.504s, 2035 | 36,853,684 | 31,690,483 | |
| FRB Ser. 05-59, Class 1A1, 0.487s, 2035 | 11,845,214 | 9,416,945 | |
| FRB Ser. 05-56, Class 4A1, 0.464s, 2035 | 15,821,839 | 13,132,127 | |
| FRB Ser. 05-81, Class A1, 0.434s, 2037 | 9,913,740 | 7,633,580 | |
| FRB Ser. 07-OA10, Class 2A1, 0.404s, 2047 | 8,035,045 | 6,671,578 | |
|
| |||
| Countrywide Home Loans | |||
| FRB Ser. 06-3, Class 1A1, 0.394s, 2036 | 13,249,216 | 11,145,903 | |
| FRB Ser. 06-OA5, Class 1A1, 0.354s, 2046 | 6,546,981 | 5,311,042 | |
|
| |||
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, | |||
| Class 1A4, 0.554s, 2037 | 5,000,000 | 3,827,500 | |
|
| |||
| Granite Mortgages PLC | |||
| FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) | GBP | 2,706,624 | 4,543,032 |
| FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) | EUR | 7,263,000 | 10,123,937 |
|
| |||
| Green Tree Home Improvement Loan Trust | |||
| Ser. 95-D, Class B2, 7.45s, 2025 | $32,044 | 31,966 | |
| Ser. 95-F, Class B2, 7.1s, 2021 | 35,710 | 35,622 | |
|
| |||
| GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, | |||
| 4.778s, 2036 | 15,159,080 | 15,234,875 | |
|
| |||
| Harborview Mortgage Loan Trust FRB Ser. 05-10, Class 2A1A, | |||
| 0.466s, 2035 | 31,393,847 | 27,096,030 | |
|
| |||
| IndyMac INDX Mortgage Loan Trust FRB Ser. 06-AR15, Class A1, | |||
| 0.274s, 2036 | 8,346,494 | 6,405,934 | |
|
| |||
| Jefferies Resecuritization Trust 144A FRB Ser. 09-R3, Class 3A2, | |||
| 5.081s, 2035 | 9,896,266 | 8,634,492 | |
|
| |||
| JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, | |||
| 2.755s, 2035 | 3,683,188 | 3,167,542 | |
|
| |||
| Merrill Lynch Alternative Note Asset Trust FRB Ser. 07-OAR2, | |||
| Class A1, 0.334s, 2037 | 7,719,964 | 6,909,368 | |
|
| |||
| MortgageIT Trust | |||
| FRB Ser. 05-3, Class M1, 0.624s, 2035 | 6,267,473 | 5,499,707 | |
| FRB Ser. 05-3, Class A2, 0.504s, 2035 | 7,729,922 | 6,802,331 | |
|
| |||
| Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, | |||
| 0.544s, 2035 | 12,601,735 | 11,530,587 | |
|
| |||
| Residential Accredit Loans, Inc. | |||
| FRB Ser. 06-QO7, Class 2A1, 0.981s, 2046 | 41,084,338 | 28,913,103 | |
| FRB Ser. 06-QO7, Class 1A1, 0.929s, 2046 | 47,488,166 | 30,748,588 | |
| FRB Ser. 06-QO5, Class 2A1, 0.344s, 2046 | 24,965,191 | 18,911,132 | |
|
| |||
| 34 Diversified Income Trust |
| MORTGAGE-BACKED SECURITIES (46.1%)* cont. | Principal amount | Value | |
|
| |||
| Residential mortgage-backed securities (non-agency) cont. | |||
| WAMU Mortgage Pass-Through Certificates | |||
| FRB Ser. 06-AR1, Class 2A1B, 1.201s, 2046 | $15,601,344 | $13,885,196 | |
| FRB Ser. 06-AR3, Class A1B, 1.131s, 2046 | 21,787,733 | 17,767,896 | |
| FRB Ser. 06-AR4, Class 1A1B, 1.071s, 2046 | 9,535,192 | 8,104,913 | |
| FRB Ser. 05-AR19, Class A1C3, 0.654s, 2045 | 17,525,485 | 15,071,917 | |
| FRB Ser. 05-AR13, Class A1C3, 0.644s, 2045 | 35,332,894 | 30,439,288 | |
| FRB Ser. 05-AR8, Class 2AC2, 0.614s, 2045 | 10,908,742 | 9,637,874 | |
| FRB Ser. 05-AR11, Class A1B2, 0.604s, 2045 | 6,393,097 | 5,593,960 | |
| FRB Ser. 05-AR13, Class A1B2, 0.584s, 2045 | 7,997,301 | 7,197,571 | |
| FRB Ser. 05-AR17, Class A1B2, 0.564s, 2045 | 1,692,555 | 1,489,449 | |
| FRB Ser. 05-AR15, Class A1B2, 0.564s, 2045 | 11,121,784 | 9,704,424 | |
| FRB Ser. 05-AR19, Class A1C4, 0.554s, 2045 | 6,558,784 | 5,706,142 | |
| FRB Ser. 05-AR11, Class A1B3, 0.554s, 2045 | 12,728,277 | 11,137,242 | |
| FRB Ser. 05-AR8, Class 2AC3, 0.544s, 2045 | 3,781,263 | 3,327,511 | |
| FRB Ser. 05-AR1, Class A1B, 0.544s, 2045 | 5,856,513 | 5,206,908 | |
| FRB Ser. 05-AR15, Class A1B3, 0.494s, 2045 | 6,908,361 | 5,993,349 | |
| FRB Ser. 05-AR6, Class 2A1C, 0.494s, 2045 | 13,952,808 | 12,487,763 | |
| FRB Ser. 05-AR6, Class 2AB3, 0.424s, 2045 | 3,759,970 | 3,402,773 | |
| FRB Ser. 12-RR2, Class 1A2, 0.336s, 2047 | 16,977,455 | 12,138,880 | |
|
| |||
| 583,775,363 | |||
| Total mortgage-backed securities (cost $2,582,844,117) | $2,747,635,665 | ||
| CORPORATE BONDS AND NOTES (30.7%)* | Principal amount | Value | |
|
| |||
| Basic materials (2.2%) | |||
| ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) | $5,135,000 | $6,502,194 | |
|
| |||
| ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) | 2,090,000 | 2,160,538 | |
|
| |||
| ArcelorMittal SA sr. unsec. unsub. notes 5s, 2017 (France) | 500,000 | 530,625 | |
|
| |||
| Ashland, Inc. company guaranty sr. unsec. unsub. notes | |||
| 4 3/4s, 2022 | 2,921,000 | 2,869,883 | |
|
| |||
| Ashland, Inc. sr. unsec. unsub. notes 3s, 2016 | 3,880,000 | 3,952,750 | |
|
| |||
| Atkore International, Inc. company guaranty sr. notes | |||
| 9 7/8s, 2018 | 1,256,000 | 1,350,200 | |
|
| |||
| Beverage Packaging Holdings Luxembourg II SA/Beverage | |||
| Packaging Holdings II Issuer, Inc. 144A company guaranty | |||
| sr. unsec. notes 5 5/8s, 2016 (Luxembourg) | 1,375,000 | 1,409,375 | |
|
| |||
| Boise Cascade Co. company guaranty sr. unsec. notes | |||
| 6 3/8s, 2020 | 2,742,000 | 2,933,940 | |
|
| |||
| Celanese US Holdings, LLC company guaranty sr. unsec. unsub. | |||
| notes 4 5/8s, 2022 (Germany) | 2,990,000 | 2,945,150 | |
|
| |||
| Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) | 3,529,000 | 3,793,675 | |
|
| |||
| Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, | |||
| 2022 (Mexico) | 955,000 | 1,120,931 | |
|
| |||
| Cemex Finance, LLC 144A company guaranty sr. notes 6s, | |||
| 2024 (Mexico) | 1,415,000 | 1,418,538 | |
|
| |||
| Cemex SAB de CV 144A company guaranty sr. notes 9 1/2s, | |||
| 2018 (Mexico) | 845,000 | 973,863 | |
|
| |||
| Cemex SAB de CV 144A company guaranty sr. notes 7 1/4s, | |||
| 2021 (Mexico) | 4,650,000 | 5,080,125 | |
|
| |||
| Diversified Income Trust | 35 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Basic materials cont. | |||
| Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, | |||
| 2019 (Mexico) | $2,485,000 | $2,643,419 | |
|
| |||
| Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, | |||
| 2019 (Mexico) | 200,000 | 207,250 | |
|
| |||
| CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. | |||
| notes 8s, 2021 | 2,902,000 | 3,112,395 | |
|
| |||
| Exopack Holdings SA 144A company guaranty sr. unsec. notes | |||
| 7 7/8s, 2019 (Luxembourg) | 3,030,000 | 3,200,438 | |
|
| |||
| Ferro Corp. sr. unsec. notes 7 7/8s, 2018 | 1,674,000 | 1,766,070 | |
|
| |||
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | |||
| notes 7s, 2021 (Canada) | 1,386,000 | 1,410,255 | |
|
| |||
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, | |||
| 2019 (Australia) | 2,084,000 | 2,292,400 | |
|
| |||
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, | |||
| 2018 (Australia) | 2,572,000 | 2,707,030 | |
|
| |||
| FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes | |||
| 6 7/8s, 2022 (Australia) | 1,041,000 | 1,121,678 | |
|
| |||
| Graphic Packaging International, Inc. company guaranty | |||
| sr. unsec. notes 4 3/4s, 2021 | 1,198,000 | 1,199,498 | |
|
| |||
| HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 | 4,275,000 | 4,665,094 | |
|
| |||
| HD Supply, Inc. company guaranty sr. unsec. unsub. notes | |||
| 11 1/2s, 2020 | 1,972,000 | 2,346,680 | |
|
| |||
| Hexion U.S. Finance Corp. company guaranty sr. notes | |||
| 6 5/8s, 2020 | 1,980,000 | 2,049,300 | |
|
| |||
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
| company guaranty sr. notes 8 7/8s, 2018 | 4,499,000 | 4,678,960 | |
|
| |||
| Huntsman International, LLC company guaranty sr. unsec. sub. | |||
| notes 8 5/8s, 2021 | 4,125,000 | 4,620,000 | |
|
| |||
| Huntsman International, LLC company guaranty sr. unsec. sub. | |||
| notes 8 5/8s, 2020 | 816,000 | 895,560 | |
|
| |||
| Huntsman International, LLC company guaranty sr. unsec. | |||
| unsub. notes 4 7/8s, 2020 | 4,945,000 | 4,975,906 | |
|
| |||
| IAMGOLD Corp. 144A company guaranty sr. unsec. notes | |||
| 6 3/4s, 2020 (Canada) | 383,000 | 340,870 | |
|
| |||
| Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, | |||
| 2020 (United Kingdom) | 1,205,000 | 1,319,475 | |
|
| |||
| INEOS Group Holdings SA 144A company guaranty sr. unsec. | |||
| notes 6 1/8s, 2018 (Luxembourg) | 5,545,000 | 5,732,144 | |
|
| |||
| INEOS Group Holdings SA 144A company guaranty sr. unsec. | |||
| notes 5 7/8s, 2019 (Luxembourg) | 900,000 | 919,125 | |
|
| |||
| JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 | 2,472,000 | 2,855,160 | |
|
| |||
| Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. | |||
| notes 7 1/2s, 2020 | 2,634,000 | 2,917,155 | |
|
| |||
| Momentive Performance Materials, Inc. company guaranty sr. | |||
| notes 8 7/8s, 2020 | 3,381,000 | 3,659,933 | |
|
| |||
| New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) | 1,785,000 | 1,817,808 | |
|
| |||
| Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 | 2,325,000 | 2,598,188 | |
|
| |||
| Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, | |||
| 2017 (Sweden) | 3,540,000 | 3,787,800 | |
|
| |||
| PQ Corp. 144A sr. notes 8 3/4s, 2018 | 2,603,000 | 2,843,778 | |
|
| |||
| 36 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Basic materials cont. | |||
| Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A | |||
| company guaranty sr. unsec. notes 10s, 2020 | $435,000 | $486,113 | |
|
| |||
| Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty | |||
| sr. notes 9s, 2017 | 1,649,000 | 1,778,859 | |
|
| |||
| Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 | 1,764,000 | 1,944,810 | |
|
| |||
| Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 | 1,065,000 | 1,072,988 | |
|
| |||
| Smurfit Kappa Acquisitions 144A company guaranty sr. notes | |||
| 4 7/8s, 2018 (Ireland) | 985,000 | 1,035,659 | |
|
| |||
| Smurfit Kappa Treasury Funding, Ltd. company guaranty | |||
| sr. unsub. notes 7 1/2s, 2025 (Ireland) | 82,000 | 92,660 | |
|
| |||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6 3/8s, 2022 | 305,000 | 331,688 | |
|
| |||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6 1/8s, 2019 | 1,405,000 | 1,527,938 | |
|
| |||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
| 5 1/4s, 2023 | 700,000 | 712,250 | |
|
| |||
| Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, | |||
| 2020 (Belgium) | 3,110,000 | 3,506,525 | |
|
| |||
| TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 | 2,240,000 | 2,455,600 | |
|
| |||
| Tronox Finance, LLC company guaranty sr. unsec. unsub. notes | |||
| 6 3/8s, 2020 | 1,862,000 | 1,913,205 | |
|
| |||
| USG Corp. 144A company guaranty sr. unsec. notes | |||
| 5 7/8s, 2021 | 1,735,000 | 1,843,438 | |
|
| |||
| Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. | |||
| bonds 6s, 2023 | 1,105,000 | 1,099,475 | |
|
| |||
| 129,526,364 | |||
| Capital goods (1.9%) | |||
| ADS Waste Holdings, Inc. company guaranty sr. unsec. notes | |||
| 8 1/4s, 2020 | 7,524,000 | 8,182,350 | |
|
| |||
| American Axle & Manufacturing, Inc. company guaranty | |||
| sr. unsec. notes 7 3/4s, 2019 | 4,031,000 | 4,660,844 | |
|
| |||
| American Axle & Manufacturing, Inc. company guaranty | |||
| sr. unsec. notes 6 5/8s, 2022 | 3,425,000 | 3,711,844 | |
|
| |||
| B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 | 2,733,000 | 2,996,051 | |
|
| |||
| B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 | 2,425,000 | 2,494,719 | |
|
| |||
| Berry Plastics Corp. company guaranty unsub. notes | |||
| 9 3/4s, 2021 | 500,000 | 580,625 | |
|
| |||
| BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 | 2,290,000 | 2,421,675 | |
|
| |||
| BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017 ‡‡ | 1,010,000 | 1,063,025 | |
|
| |||
| Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) | 1,008,000 | 1,018,080 | |
|
| |||
| Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) | 1,091,000 | 1,137,368 | |
|
| |||
| Briggs & Stratton Corp. company guaranty sr. unsec. notes | |||
| 6 7/8s, 2020 | 3,624,000 | 4,022,640 | |
|
| |||
| Crown Americas, LLC/Crown Americas Capital Corp. | |||
| IV company guaranty sr. unsec. notes 4 1/2s, 2023 | 2,906,000 | 2,775,230 | |
|
| |||
| Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 | 812,000 | 860,720 | |
|
| |||
| Exide Technologies sr. notes 8 5/8s, 2018 (In default) † | 537,000 | 408,120 | |
|
| |||
| Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, | |||
| 2020 (Luxembourg) | 1,545,000 | 1,595,213 | |
|
| |||
| GrafTech International, Ltd. company guaranty sr. unsec. notes | |||
| 6 3/8s, 2020 | 1,808,000 | 1,862,240 | |
|
| |||
| Diversified Income Trust | 37 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Capital goods cont. | |||
| KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg) | EUR | 590,000 | $893,396 |
|
| |||
| Kratos Defense & Security Solutions, Inc. company guaranty | |||
| sr. notes 10s, 2017 | $1,646,000 | 1,740,645 | |
|
| |||
| Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) | 3,324,000 | 4,414,382 | |
|
| |||
| Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes | |||
| 5 7/8s, 2022 | 4,338,000 | 4,619,970 | |
|
| |||
| MasTec, Inc. company guaranty sr. unsec. unsub. notes | |||
| 4 7/8s, 2023 | 5,532,000 | 5,421,360 | |
|
| |||
| Oshkosh Corp. 144A company guaranty sr. unsec. notes | |||
| 5 3/8s, 2022 | 5,277,000 | 5,369,348 | |
|
| |||
| Pittsburgh Glass Works, LLC 144A company guaranty | |||
| sr. notes 8s, 2018 | 5,859,000 | 6,371,663 | |
|
| |||
| Polypore International, Inc. company guaranty sr. unsec. notes | |||
| 7 1/2s, 2017 | 1,445,000 | 1,531,700 | |
|
| |||
| Rexam PLC unsec. sub. FRB bonds 6 3/4s, 2067 | |||
| (United Kingdom) | EUR | 560,000 | 823,327 |
|
| |||
| Rexel SA 144A company guaranty sr. unsec. unsub. notes | |||
| 6 1/8s, 2019 (France) | $484,000 | 510,620 | |
|
| |||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
| Reynolds Group Issuer Lu company guaranty sr. notes | |||
| 7 7/8s, 2019 | 1,325,000 | 1,455,844 | |
|
| |||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
| Reynolds Group Issuer Lu company guaranty sr. notes | |||
| 5 3/4s, 2020 | 4,685,000 | 4,907,538 | |
|
| |||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
| Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
| notes 9 7/8s, 2019 | 1,325,000 | 1,480,688 | |
|
| |||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
| Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
| notes 9s, 2019 | 3,375,000 | 3,611,250 | |
|
| |||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
| Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
| notes 8 1/4s, 2021 (New Zealand) | 4,095,000 | 4,468,669 | |
|
| |||
| Schaeffler Holding Finance BV 144A company guaranty | |||
| sr. notes 6 7/8s, 2018 (Netherlands) ‡‡ | 2,120,000 | 2,257,800 | |
|
| |||
| Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 | |||
| (Netherlands) ‡‡ | EUR | 1,020,000 | 1,493,028 |
|
| |||
| Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 | $1,830,000 | 2,008,425 | |
|
| |||
| Terex Corp. company guaranty sr. unsec. unsub. notes | |||
| 6 1/2s, 2020 | 415,000 | 451,313 | |
|
| |||
| Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 | 5,479,000 | 5,862,530 | |
|
| |||
| Thermadyne Holdings Corp. company guaranty sr. | |||
| notes 9s, 2017 | 1,687,000 | 1,809,308 | |
|
| |||
| Titan International, Inc. 144A company guaranty sr. bonds | |||
| 6 7/8s, 2020 | 1,120,000 | 1,187,200 | |
|
| |||
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | |||
| 7 1/2s, 2021 | 455,000 | 503,913 | |
|
| |||
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | |||
| 5 1/2s, 2020 | 3,764,000 | 3,829,870 | |
|
| |||
| TransDigm, Inc. company guaranty unsec. sub. notes | |||
| 7 3/4s, 2018 | 3,171,000 | 3,400,898 | |
|
| |||
| 38 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Capital goods cont. | |||
| Triumph Group, Inc. company guaranty sr. unsec. notes | |||
| 4 7/8s, 2021 | $1,395,000 | $1,374,075 | |
|
| |||
| Vander Intermediate Holding II Corp. 144A sr. unsec. notes | |||
| 9 3/4s, 2019 ‡‡ | 1,275,000 | 1,345,125 | |
|
| |||
| 112,934,629 | |||
| Communication services (3.6%) | |||
| Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 | 2,000,000 | 2,375,000 | |
|
| |||
| Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 | 244,000 | 278,770 | |
|
| |||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
| guaranty sr. unsec. notes 6 1/2s, 2021 | 3,134,000 | 3,322,040 | |
|
| |||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
| guaranty sr. unsec. notes 5 1/4s, 2022 | 6,802,000 | 6,733,980 | |
|
| |||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
| guaranty sr. unsec. unsub. notes 5 1/8s, 2023 | 4,219,000 | 4,081,883 | |
|
| |||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
| guaranty sr. unsub. notes 7s, 2019 | 1,347,000 | 1,424,453 | |
|
| |||
| CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 | 7,671,000 | 8,140,849 | |
|
| |||
| CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 | 380,000 | 399,475 | |
|
| |||
| Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 | 729,000 | 775,474 | |
|
| |||
| Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 | 4,459,000 | 4,531,459 | |
|
| |||
| CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 | 4,210,000 | 4,704,675 | |
|
| |||
| Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) | 4,855,000 | 5,182,713 | |
|
| |||
| Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) | 5,118,000 | 5,322,720 | |
|
| |||
| DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 | 2,657,000 | 2,975,840 | |
|
| |||
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes | |||
| 4 1/4s, 2018 | 3,588,000 | 3,744,975 | |
|
| |||
| Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 | 2,620,000 | 3,058,850 | |
|
| |||
| Frontier Communications Corp. sr. unsec. unsub. notes | |||
| 7 5/8s, 2024 | 475,000 | 496,375 | |
|
| |||
| Hughes Satellite Systems Corp. company guaranty sr. notes | |||
| 6 1/2s, 2019 | 1,949,000 | 2,139,028 | |
|
| |||
| Hughes Satellite Systems Corp. company guaranty sr. unsec. | |||
| notes 7 5/8s, 2021 | 3,750,000 | 4,228,125 | |
|
| |||
| Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, | |||
| 2017 (United Kingdom) | 4,928,000 | 5,125,120 | |
|
| |||
| Intelsat Jackson Holdings SA company guaranty sr. unsec. | |||
| bonds 6 5/8s, 2022 (Bermuda) | 770,000 | 800,800 | |
|
| |||
| Intelsat Jackson Holdings SA company guaranty sr. unsec. notes | |||
| 7 1/2s, 2021 (Bermuda) | 1,949,000 | 2,139,028 | |
|
| |||
| Intelsat Luxembourg SA 144A company guaranty sr. unsec. | |||
| notes 8 1/8s, 2023 (Luxembourg) | 4,016,000 | 4,256,960 | |
|
| |||
| Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, | |||
| 2021 (Luxembourg) | 9,639,000 | 10,145,048 | |
|
| |||
| Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, | |||
| 2018 (Luxembourg) | 2,470,000 | 2,612,025 | |
|
| |||
| Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, | |||
| 2018 (Germany) | EUR | 1,560,000 | 2,240,815 |
|
| |||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
| notes 8 5/8s, 2020 | $2,993,000 | 3,355,901 | |
|
| |||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
| notes 8 1/8s, 2019 | 515,000 | 565,213 | |
|
| |||
| Diversified Income Trust 39 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Communication services cont. | |||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
| notes 7s, 2020 | $183,000 | $198,326 | |
|
| |||
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes | |||
| 6 1/8s, 2021 | 895,000 | 944,225 | |
|
| |||
| Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes | |||
| 9 1/8s, 2019 | 386,000 | 413,020 | |
|
| |||
| Nil International Telecom SCA 144A company guaranty | |||
| sr. unsec. notes 7 7/8s, 2019 (Luxembourg) | 1,467,000 | 993,893 | |
|
| |||
| PAETEC Holding Corp. company guaranty sr. unsec. notes | |||
| 9 7/8s, 2018 | 3,202,000 | 3,514,195 | |
|
| |||
| Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 | |||
| (United Kingdom) | GBP | 2,520,000 | 4,411,279 |
|
| |||
| Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, | |||
| 2023 (Canada) | $2,618,000 | 2,624,545 | |
|
| |||
| Qwest Corp. sr. unsec. notes 6 3/4s, 2021 | 3,051,000 | 3,406,759 | |
|
| |||
| Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 1,375,000 | 1,518,894 | |
|
| |||
| SBA Telecommunications, Inc. company guaranty sr. unsec. | |||
| notes 8 1/4s, 2019 | 2,843,000 | 3,017,134 | |
|
| |||
| SBA Telecommunications, Inc. company guaranty sr. unsec. | |||
| unsub. notes 5 3/4s, 2020 | 520,000 | 544,700 | |
|
| |||
| Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 4,110,000 | 3,986,700 | |
|
| |||
| Sprint Communications, Inc. sr. unsec. unsub. notes | |||
| 8 3/8s, 2017 | 4,280,000 | 5,034,350 | |
|
| |||
| Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 | 3,538,000 | 3,847,575 | |
|
| |||
| Sprint Communications, Inc. 144A company guaranty sr. unsec. | |||
| notes 9s, 2018 | 4,427,000 | 5,412,008 | |
|
| |||
| Sprint Corp. 144A company guaranty sr. unsec. notes | |||
| 7 7/8s, 2023 | 5,079,000 | 5,586,900 | |
|
| |||
| Sprint Corp. 144A company guaranty sr. unsec. notes | |||
| 7 1/4s, 2021 | 7,480,000 | 8,153,200 | |
|
| |||
| Sunrise Communications International SA 144A company | |||
| guaranty sr. notes 7s, 2017 (Luxembourg) | EUR | 495,000 | 722,682 |
|
| |||
| Sunrise Communications International SA 144A company | |||
| guaranty sr. notes 7s, 2017 (Luxembourg) | CHF | 540,000 | 652,636 |
|
| |||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6.633s, 2021 | $800,000 | 859,000 | |
|
| |||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6 5/8s, 2023 | 3,915,000 | 4,159,688 | |
|
| |||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6.464s, 2019 | 900,000 | 963,000 | |
|
| |||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6 1/4s, 2021 | 4,663,000 | 4,948,609 | |
|
| |||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6 1/8s, 2022 | 2,582,000 | 2,701,418 | |
|
| |||
| Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, | |||
| 2024 (Luxembourg) | EUR | 2,690,000 | 4,077,429 |
|
| |||
| Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, | |||
| 2022 (Luxembourg) | EUR | 790,000 | 1,193,172 |
|
| |||
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
| sr. notes 7 1/2s, 2019 (Germany) | EUR | 1,855,000 | 2,771,049 |
|
| |||
| 40 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Communication services cont. | |||
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
| 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) | EUR | 2,130,000 | $3,097,370 |
|
| |||
| Unitymedia KabelBW GmbH company guaranty sr. notes | |||
| Ser. REGS, 9 5/8s, 2019 (Germany) | EUR | 2,398,000 | 3,616,554 |
|
| |||
| Unitymedia KabelBW GmbH 144A company guaranty notes | |||
| 9 1/2s, 2021 (Germany) | EUR | 665,000 | 1,056,782 |
|
| |||
| UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands) | EUR | 1,986,000 | 3,019,025 |
|
| |||
| Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, | |||
| 2022 (Canada) | $7,563,000 | 7,581,908 | |
|
| |||
| Virgin Media Finance PLC company guaranty sr. unsec. bonds | |||
| 8 7/8s, 2019 (United Kingdom) | GBP | 162,000 | 290,591 |
|
| |||
| Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 | |||
| (United Kingdom) | GBP | 2,160,000 | 3,817,467 |
|
| |||
| WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | |||
| company guaranty sr. unsec. notes 10 1/4s, 2019 | $6,125,000 | 6,951,875 | |
|
| |||
| Wind Acquisition Finance SA company guaranty sr. notes | |||
| Ser. REGS, 7 3/8s, 2018 (Luxembourg) | EUR | 301,000 | 438,371 |
|
| |||
| Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
| 7 3/8s, 2018 (Luxembourg) | EUR | 4,110,000 | 5,985,731 |
|
| |||
| Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
| 7 1/4s, 2018 (Luxembourg) | $1,135,000 | 1,197,425 | |
|
| |||
| Wind Acquisition Holdings Finance SA company guaranty | |||
| sr. notes Ser. REGS, 12 1/4s, 2017 (Luxembourg) | EUR | 1,241,900 | 1,796,311 |
|
| |||
| Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
| 7 7/8s, 2017 | $2,884,000 | 3,309,390 | |
|
| |||
| Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
| 7 3/4s, 2021 | 780,000 | 838,500 | |
|
| |||
| Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
| 6 3/8s, 2023 | 815,000 | 794,625 | |
|
| |||
| 215,605,905 | |||
| Consumer cyclicals (5.2%) | |||
| Academy, Ltd./Academy Finance Corp. 144A company | |||
| guaranty sr. unsec. notes 9 1/4s, 2019 | 360,000 | 392,400 | |
|
| |||
| AMC Entertainment, Inc. company guaranty sr. sub. notes | |||
| 9 3/4s, 2020 | 2,673,000 | 3,080,633 | |
|
| |||
| AMC Entertainment, Inc. 144A company guaranty sr. unsec. | |||
| sub. notes 5 7/8s, 2022 | 2,740,000 | 2,787,950 | |
|
| |||
| Autonation, Inc. company guaranty sr. unsec. notes | |||
| 6 3/4s, 2018 | 2,870,000 | 3,307,675 | |
|
| |||
| Autonation, Inc. company guaranty sr. unsec. unsub. notes | |||
| 5 1/2s, 2020 | 3,975,000 | 4,322,813 | |
|
| |||
| Beazer Homes USA, Inc. company guaranty sr. unsec. notes | |||
| 8 1/8s, 2016 | 275,000 | 305,250 | |
|
| |||
| Beazer Homes USA, Inc. company guaranty sr. unsec. notes | |||
| 7 1/4s, 2023 | 1,336,000 | 1,396,120 | |
|
| |||
| Bon-Ton Department Stores, Inc. (The) company guaranty notes | |||
| 10 5/8s, 2017 | 1,696,000 | 1,696,000 | |
|
| |||
| Bon-Ton Department Stores, Inc. (The) company guaranty | |||
| notes 8s, 2021 | 1,936,000 | 1,870,660 | |
|
| |||
| Boyd Gaming Corp. company guaranty sr. unsec. notes | |||
| 9 1/8s, 2018 | 600,000 | 650,400 | |
|
| |||
| Diversified Income Trust | 41 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| Brookfield Residential Properties, Inc. 144A company guaranty | |||
| sr. unsec. notes 6 1/2s, 2020 (Canada) | $2,409,000 | $2,565,585 | |
|
| |||
| Brookfield Residential Properties, Inc./Brookfield Residential | |||
| US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, | |||
| 2022 (Canada) | 3,125,000 | 3,227,594 | |
|
| |||
| Building Materials Corp. of America 144A company guaranty | |||
| sr. notes 7 1/2s, 2020 | 1,185,000 | 1,276,838 | |
|
| |||
| Building Materials Corp. of America 144A company guaranty | |||
| sr. notes 7s, 2020 | 2,425,000 | 2,600,813 | |
|
| |||
| Building Materials Corp. of America 144A sr. unsec. notes | |||
| 6 3/4s, 2021 | 1,965,000 | 2,132,025 | |
|
| |||
| Burlington Coat Factory Warehouse Corp. company guaranty | |||
| sr. unsec. notes 10s, 2019 | 1,865,000 | 2,081,806 | |
|
| |||
| Caesars Entertainment Operating Co., Inc. company guaranty | |||
| sr. notes 9s, 2020 | 1,185,000 | 1,063,538 | |
|
| |||
| Caesars Entertainment Operating Co., Inc. sr. notes | |||
| 11 1/4s, 2017 | 3,016,000 | 2,902,900 | |
|
| |||
| CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas | |||
| Capital Corp. 144A company guaranty sr. unsec. notes | |||
| 5 5/8s, 2024 | 4,362,000 | 4,471,050 | |
|
| |||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
| Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 | 855,000 | 912,969 | |
|
| |||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
| Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 | 945,000 | 956,813 | |
|
| |||
| Ceridian Corp. company guaranty sr. unsec. notes | |||
| 12 1/4s, 2015 ‡‡ | 261,000 | 262,958 | |
|
| |||
| Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | 4,905,000 | 4,941,788 | |
|
| |||
| Ceridian Corp. 144A sr. notes 8 7/8s, 2019 | 813,000 | 924,788 | |
|
| |||
| Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 | 4,412,000 | 5,084,830 | |
|
| |||
| Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes | |||
| 8 1/4s, 2021 | 2,348,000 | 2,656,175 | |
|
| |||
| Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty | |||
| notes 8 1/4s, 2021 | 860,000 | 971,800 | |
|
| |||
| Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty | |||
| notes 8s, 2019 | 1,080,000 | 1,183,950 | |
|
| |||
| Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
| 5 1/8s, 2022 | 438,000 | 438,000 | |
|
| |||
| Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
| 4 7/8s, 2023 | 3,261,000 | 3,134,636 | |
|
| |||
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
| 7 3/8s, 2021 | 566,000 | 627,553 | |
|
| |||
| Clear Channel Communications, Inc. company guaranty | |||
| sr. notes 9s, 2021 | 4,178,000 | 4,360,788 | |
|
| |||
| Clear Channel Communications, Inc. company guaranty | |||
| sr. notes 9s, 2019 | 1,721,000 | 1,807,050 | |
|
| |||
| Clear Channel Worldwide Holdings, Inc. company guaranty | |||
| sr. unsec. notes 7 5/8s, 2020 | 857,000 | 925,560 | |
|
| |||
| Clear Channel Worldwide Holdings, Inc. company guaranty | |||
| sr. unsec. unsub. notes 6 1/2s, 2022 | 5,336,000 | 5,702,850 | |
|
| |||
| CST Brands, Inc. company guaranty sr. unsec. notes 5s, 2023 | 2,131,000 | 2,093,708 | |
|
| |||
| 42 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| Cumulus Media Holdings, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 3/4s, 2019 | $2,310,000 | $2,460,150 | |
|
| |||
| Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 | 2,831,000 | 2,947,779 | |
|
| |||
| DH Services Luxembourg Sarl 144A company guaranty | |||
| sr. unsec. notes 7 3/4s, 2020 (Luxembourg) | 2,270,000 | 2,423,225 | |
|
| |||
| Entercom Radio, LLC company guaranty sr. unsec. sub. notes | |||
| 10 1/2s, 2019 | 2,391,000 | 2,749,650 | |
|
| |||
| FelCor Lodging LP company guaranty sr. notes 10s, 2014 R | 1,487,000 | 1,546,480 | |
|
| |||
| FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R | 3,355,000 | 3,602,431 | |
|
| |||
| FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023 R | 450,000 | 455,625 | |
|
| |||
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 | 2,635,000 | 3,006,862 | |
|
| |||
| Gannett Co., Inc. 144A company guaranty sr. unsec. notes | |||
| 5 1/8s, 2020 | 1,140,000 | 1,172,775 | |
|
| |||
| Gannett Co., Inc. 144A company guaranty sr. unsec. notes | |||
| 5 1/8s, 2019 | 1,605,000 | 1,685,250 | |
|
| |||
| Garda World Security Corp. 144A company guaranty sr. unsec. | |||
| unsub. notes 7 1/4s, 2021 (Canada) | 2,000,000 | 2,135,460 | |
|
| |||
| General Motors Co. 144A sr. unsec. unsub. notes 4 7/8s, 2023 | 3,000,000 | 3,075,000 | |
|
| |||
| Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 | 2,590,000 | 2,755,113 | |
|
| |||
| GLP Capital LP/GLP Financing II, Inc. 144A company guaranty | |||
| sr. unsec. notes 4 7/8s, 2020 | 3,020,000 | 3,099,275 | |
|
| |||
| GLP Capital LP/GLP Financing II, Inc. 144A company guaranty | |||
| sr. unsec. notes 4 3/8s, 2018 | 885,000 | 908,231 | |
|
| |||
| Gray Television, Inc. company guaranty sr. unsec. notes | |||
| 7 1/2s, 2020 | 4,092,000 | 4,439,820 | |
|
| |||
| Great Canadian Gaming Corp. 144A company guaranty | |||
| sr. unsec. notes 6 5/8s, 2022 (Canada) | CAD | 2,495,000 | 2,383,554 |
|
| |||
| Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A | |||
| sr. unsec. notes 7s, 2020 | $2,315,000 | 2,019,838 | |
|
| |||
| Grupo Televisa, S.A.B sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, | |||
| 2043 (Mexico) | MXN | 25,900,000 | 1,597,585 |
|
| |||
| Grupo Televisa, S.A.B. sr. unsec. bonds 6 5/8s, 2040 (Mexico) | $900,000 | 1,030,906 | |
|
| |||
| Grupo Televisa, S.A.B. sr. unsec. notes 6s, 2018 (Mexico) | 418,000 | 468,763 | |
|
| |||
| GTECH SpA jr. sub. FRN notes Ser. REGS, 8 1/4s, 2066 (Italy) | EUR | 2,387,000 | 3,566,521 |
|
| |||
| Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 | $2,903,000 | 3,135,240 | |
|
| |||
| Igloo Holdings Corp. 144A sr. unsec. unsub. notes | |||
| 8 1/4s, 2017 ‡‡ | 1,090,000 | 1,115,888 | |
|
| |||
| Interactive Data Corp. company guaranty sr. unsec. notes | |||
| 10 1/4s, 2018 | 925,000 | 1,000,156 | |
|
| |||
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes | |||
| 5 7/8s, 2021 | 1,008,000 | 1,023,120 | |
|
| |||
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. | |||
| notes 8 7/8s, 2020 | 1,235,000 | 1,341,519 | |
|
| |||
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. | |||
| notes 7 3/4s, 2019 | 4,588,000 | 4,926,365 | |
|
| |||
| ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, | |||
| 2016 (Denmark) | EUR | 1,205,275 | 1,672,899 |
|
| |||
| Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes | |||
| 9 3/4s, 2019 ‡‡ | $700,000 | 729,750 | |
|
| |||
| Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 | 6,330,000 | 6,567,375 | |
|
| |||
| Diversified Income Trust 43 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 | $1,060,000 | $1,152,750 | |
|
| |||
| L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 | 2,755,000 | 3,099,375 | |
|
| |||
| L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 | 1,325,000 | 1,401,188 | |
|
| |||
| Lamar Media Corp. company guaranty sr. sub. notes | |||
| 5 7/8s, 2022 | 2,567,000 | 2,721,020 | |
|
| |||
| Lamar Media Corp. 144A company guaranty sr. unsec. notes | |||
| 5 3/8s, 2024 | 2,250,000 | 2,306,250 | |
|
| |||
| Lender Processing Services, Inc. company guaranty sr. unsec. | |||
| unsub. notes 5 3/4s, 2023 | 3,125,000 | 3,328,125 | |
|
| |||
| Lennar Corp. company guaranty sr. unsec. unsub. notes | |||
| 4 3/4s, 2022 | 4,299,000 | 4,180,778 | |
|
| |||
| Lennar Corp. company guaranty sr. unsec. unsub. notes | |||
| 4 1/2s, 2019 | 1,370,000 | 1,393,975 | |
|
| |||
| M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | 2,330,000 | 2,513,488 | |
|
| |||
| Masonite International Corp. 144A company guaranty sr. notes | |||
| 8 1/4s, 2021 (Canada) | 2,705,000 | 2,985,644 | |
|
| |||
| Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, | |||
| 2020 (Canada) | 3,490,000 | 3,533,625 | |
|
| |||
| MGM Resorts International company guaranty sr. unsec. notes | |||
| 7 5/8s, 2017 | 2,555,000 | 2,915,894 | |
|
| |||
| MGM Resorts International company guaranty sr. unsec. notes | |||
| 6 7/8s, 2016 | 915,000 | 999,638 | |
|
| |||
| MGM Resorts International company guaranty sr. unsec. notes | |||
| 6 3/4s, 2020 | 4,748,000 | 5,264,345 | |
|
| |||
| MGM Resorts International company guaranty sr. unsec. unsub. | |||
| notes 7 3/4s, 2022 | 2,495,000 | 2,887,963 | |
|
| |||
| MGM Resorts International company guaranty sr. unsec. unsub. | |||
| notes 6 5/8s, 2021 | 1,210,000 | 1,327,975 | |
|
| |||
| MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 | 5,615,776 | 6,345,827 | |
|
| |||
| Navistar International Corp. sr. notes 8 1/4s, 2021 | 4,579,000 | 4,676,304 | |
|
| |||
| Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. | |||
| notes 8 3/4s, 2021 ‡‡ | 1,826,000 | 2,017,730 | |
|
| |||
| Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. | |||
| notes 8s, 2021 | 1,280,000 | 1,406,400 | |
|
| |||
| Neiman Marcus Group, LLC (The) company guaranty sr. notes | |||
| 7 1/8s, 2028 | 1,317,000 | 1,321,939 | |
|
| |||
| Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. | |||
| notes 6 7/8s, 2020 | 4,245,000 | 4,563,375 | |
|
| |||
| Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty | |||
| sr. unsec. notes 5 1/2s, 2021 (Luxembourg) | 3,936,000 | 4,113,120 | |
|
| |||
| Nielsen Finance, LLC/Nielsen Finance Co. company guaranty | |||
| sr. unsec. notes 4 1/2s, 2020 | 799,000 | 804,993 | |
|
| |||
| Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 | 2,343,000 | 2,571,443 | |
|
| |||
| Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 | 2,155,000 | 2,408,213 | |
|
| |||
| Owens Corning company guaranty sr. unsec. notes 9s, 2019 | 692,000 | 857,271 | |
|
| |||
| Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 | 3,735,000 | 3,669,638 | |
|
| |||
| Penske Automotive Group, Inc. company guaranty sr. unsec. | |||
| sub. notes 5 3/4s, 2022 | 3,797,000 | 3,967,865 | |
|
| |||
| Petco Animal Supplies, Inc. 144A company guaranty sr. notes | |||
| 9 1/4s, 2018 | 1,280,000 | 1,379,200 | |
|
| |||
| 44 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 ‡‡ | $665,000 | $681,625 | |
|
| |||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes | |||
| 7 7/8s, 2032 | 1,625,000 | 1,815,938 | |
|
| |||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. | |||
| notes 6s, 2035 | 280,000 | 261,100 | |
|
| |||
| Quiksilver, Inc./QS Wholesale, Inc. 144A sr. notes 7 7/8s, 2018 | 230,000 | 250,700 | |
|
| |||
| Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 | 3,275,000 | 3,307,750 | |
|
| |||
| Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 | 1,395,000 | 1,436,850 | |
|
| |||
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. | |||
| 144A sr. notes 9 1/2s, 2019 | 503,000 | 550,785 | |
|
| |||
| ROC Finance, LLC/ROC Finance 1 Corp. 144A notes | |||
| 12 1/8s, 2018 | 2,820,000 | 2,975,100 | |
|
| |||
| Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 | 3,139,000 | 3,496,061 | |
|
| |||
| Sabre, Inc. 144A sr. notes 8 1/2s, 2019 | 3,558,000 | 3,936,038 | |
|
| |||
| Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, | |||
| 2019 (Netherlands) | EUR | 2,595,000 | 4,021,876 |
|
| |||
| Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, | |||
| 2019 (Netherlands) | $260,000 | 290,550 | |
|
| |||
| Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, | |||
| 2017 (Netherlands) | 1,220,000 | 1,381,650 | |
|
| |||
| Schaeffler Finance BV 144A company guaranty sr. notes 4 3/4s, | |||
| 2021 (Netherlands) | 2,055,000 | 2,101,238 | |
|
| |||
| Sinclair Television Group, Inc. company guaranty sr. unsec. notes | |||
| 6 3/8s, 2021 | 2,019,000 | 2,099,760 | |
|
| |||
| Sinclair Television Group, Inc. company guaranty sr. unsec. notes | |||
| 6 1/8s, 2022 | 1,434,000 | 1,451,925 | |
|
| |||
| Sinclair Television Group, Inc. company guaranty sr. unsec. notes | |||
| 5 3/8s, 2021 | 353,000 | 350,353 | |
|
| |||
| Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 | 4,858,000 | 5,125,190 | |
|
| |||
| Sirius XM Holdings, Inc. 144A sr. unsec. notes 5 1/4s, 2022 | 200,000 | 206,000 | |
|
| |||
| Six Flags Entertainment Corp. 144A company guaranty | |||
| sr. unsec. unsub. notes 5 1/4s, 2021 | 5,129,000 | 5,167,468 | |
|
| |||
| Spectrum Brands, Inc. company guaranty sr. unsec. notes | |||
| 6 5/8s, 2022 | 90,000 | 98,100 | |
|
| |||
| Spectrum Brands, Inc. company guaranty sr. unsec. notes | |||
| 6 3/8s, 2020 | 215,000 | 232,738 | |
|
| |||
| Spectrum Brands, Inc. company guaranty sr. unsec. unsub. | |||
| notes 6 3/4s, 2020 | 1,125,000 | 1,219,219 | |
|
| |||
| Standard Pacific Corp. company guaranty sr. unsec. notes | |||
| 6 1/4s, 2021 | 2,300,000 | 2,449,500 | |
|
| |||
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP | |||
| Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 | 2,315,000 | 2,280,275 | |
|
| |||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. | |||
| 144A company guaranty sr. unsec. notes 5 5/8s, 2024 | 1,170,000 | 1,155,375 | |
|
| |||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. | |||
| 144A company guaranty sr. unsec. notes 5 1/4s, 2021 | 5,308,000 | 5,361,080 | |
|
| |||
| Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, | |||
| 2017 (United Kingdom) | GBP | 2,188,000 | 4,015,233 |
|
| |||
| Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company | |||
| guaranty sr. unsec. notes 9s, 2019 | $1,000,000 | 1,100,000 | |
|
| |||
| Diversified Income Trust 45 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| Travelport, LLC company guaranty sr. unsec. sub. notes | |||
| 11 7/8s, 2016 | $2,378,000 | $2,425,560 | |
|
| |||
| Travelport, LLC/Travelport Holdings, Inc. 144A company | |||
| guaranty sr. unsec. unsub. notes 13 7/8s, 2016 ‡‡ | 2,350,841 | 2,480,137 | |
|
| |||
| TRW Automotive, Inc. 144A company guaranty sr. notes | |||
| 7 1/4s, 2017 | 4,975,000 | 5,677,719 | |
|
| |||
| TRW Automotive, Inc. 144A company guaranty sr. unsec. notes | |||
| 4 1/2s, 2021 | 475,000 | 486,875 | |
|
| |||
| Univision Communications, Inc. 144A company guaranty | |||
| sr. unsec. notes 8 1/2s, 2021 | 2,339,000 | 2,590,443 | |
|
| |||
| Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 | 1,293,000 | 1,428,765 | |
|
| |||
| Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019 | 1,500,000 | 1,612,500 | |
|
| |||
| 307,797,698 | |||
| Consumer staples (1.9%) | |||
| Affinion Group, Inc. company guaranty sr. unsec. notes | |||
| 7 7/8s, 2018 | 4,005,000 | 3,744,675 | |
|
| |||
| Affinion Investments, LLC 144A company guaranty sr. unsec. | |||
| sub. notes 13 1/2s, 2018 | 883,320 | 896,570 | |
|
| |||
| Anheuser-Busch InBev Worldwide, Inc. company guaranty | |||
| sr. unsec. notes 9 3/4s, 2015 | BRL | 11,100,000 | 4,837,624 |
|
| |||
| Ashtead Capital, Inc. 144A company guaranty sr. notes | |||
| 6 1/2s, 2022 | $7,136,000 | 7,760,400 | |
|
| |||
| Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company | |||
| guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 2,280,000 | 2,297,100 | |
|
| |||
| B&G Foods, Inc. company guaranty sr. unsec. notes | |||
| 4 5/8s, 2021 | 970,000 | 960,300 | |
|
| |||
| Barry Callebaut Services NV 144A company guaranty sr. unsec. | |||
| notes 5 1/2s, 2023 (Belgium) | 3,105,000 | 3,178,012 | |
|
| |||
| Burger King Corp. company guaranty sr. unsec. notes | |||
| 9 7/8s, 2018 | 1,492,000 | 1,628,145 | |
|
| |||
| CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 | 1,365,000 | 1,412,775 | |
|
| |||
| Claire’s Stores, Inc. 144A company guaranty sr. notes | |||
| 6 1/8s, 2020 | 475,000 | 445,313 | |
|
| |||
| Claire’s Stores, Inc. 144A sr. notes 9s, 2019 | 2,890,000 | 3,001,988 | |
|
| |||
| Constellation Brands, Inc. company guaranty sr. unsec. notes | |||
| 4 1/4s, 2023 | 470,000 | 459,425 | |
|
| |||
| Constellation Brands, Inc. company guaranty sr. unsec. notes | |||
| 3 3/4s, 2021 | 2,850,000 | 2,785,875 | |
|
| |||
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
| notes 7 1/4s, 2016 | 2,401,000 | 2,707,128 | |
|
| |||
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
| notes 6s, 2022 | 1,349,000 | 1,490,645 | |
|
| |||
| Corrections Corp. of America company guaranty sr. unsec. notes | |||
| 4 5/8s, 2023 R | 2,171,000 | 2,095,015 | |
|
| |||
| Corrections Corp. of America company guaranty sr. unsec. notes | |||
| 4 1/8s, 2020 R | 1,337,000 | 1,320,288 | |
|
| |||
| Dean Foods Co. company guaranty sr. unsec. unsub. | |||
| notes 7s, 2016 | 2,498,000 | 2,747,800 | |
|
| |||
| DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | 4,296,000 | 4,682,640 | |
|
| |||
| Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 | 5,890,000 | 6,331,750 | |
|
| |||
| 46 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Consumer staples cont. | |||
| Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 | |||
| (United Kingdom) | GBP | 1,688,000 | $2,957,615 |
|
| |||
| ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, | |||
| 2023 (Brazil) | $1,220,000 | 1,153,084 | |
|
| |||
| Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 | 5,905,000 | 5,809,044 | |
|
| |||
| Hertz Corp. (The) company guaranty sr. unsec. notes | |||
| 7 1/2s, 2018 | 800,000 | 852,000 | |
|
| |||
| Hertz Corp. (The) company guaranty sr. unsec. notes | |||
| 6 1/4s, 2022 | 5,777,000 | 6,181,390 | |
|
| |||
| Hertz Corp. (The) company guaranty sr. unsec. notes | |||
| 5 7/8s, 2020 | 280,000 | 298,551 | |
|
| |||
| JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
| 8 1/4s, 2020 (Brazil) | 680,000 | 744,600 | |
|
| |||
| JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
| 7 1/4s, 2021 (Brazil) | 3,515,000 | 3,743,475 | |
|
| |||
| JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
| 7 1/4s, 2021 (Brazil) | 1,675,000 | 1,779,688 | |
|
| |||
| Landry’s Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 | 915,000 | 979,050 | |
|
| |||
| Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020 | 6,615,000 | 7,284,769 | |
|
| |||
| Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 | 1,645,000 | 1,795,106 | |
|
| |||
| Post Holdings, Inc. company guaranty sr. unsec. notes | |||
| 7 3/8s, 2022 | 263,000 | 282,725 | |
|
| |||
| Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 | 2,010,000 | 2,060,250 | |
|
| |||
| Revlon Consumer Products Corp. company guaranty sr. unsec. | |||
| notes 5 3/4s, 2021 | 4,388,000 | 4,409,940 | |
|
| |||
| Rite Aid Corp. company guaranty sr. unsec. unsub. notes | |||
| 9 1/4s, 2020 | 3,845,000 | 4,388,106 | |
|
| |||
| Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 | 595,000 | 660,450 | |
|
| |||
| Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 | 1,405,000 | 1,517,400 | |
|
| |||
| Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021 | 460,000 | 477,250 | |
|
| |||
| Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018 | 1,515,000 | 1,575,600 | |
|
| |||
| United Rentals North America, Inc. company guaranty sr. unsec. | |||
| notes 7 5/8s, 2022 | 4,016,000 | 4,507,960 | |
|
| |||
| United Rentals North America, Inc. company guaranty sr. unsec. | |||
| notes 5 3/4s, 2024 | 590,000 | 594,425 | |
|
| |||
| United Rentals North America, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 3/8s, 2020 | 920,000 | 1,015,450 | |
|
| |||
| United Rentals North America, Inc. company guaranty sr. unsec. | |||
| unsub. notes 6 1/8s, 2023 | 1,582,000 | 1,676,920 | |
|
| |||
| 111,528,316 | |||
| Energy (5.5%) | |||
| Access Midstream Partners LP/ACMP Finance Corp. company | |||
| guaranty sr. unsec. notes 5 7/8s, 2021 | 1,947,000 | 2,073,555 | |
|
| |||
| Access Midstream Partners LP/ACMP Finance Corp. company | |||
| guaranty sr. unsec. unsub. notes 6 1/8s, 2022 | 765,000 | 823,331 | |
|
| |||
| Access Midstream Partners LP/ACMP Finance Corp. company | |||
| guaranty sr. unsec. unsub. notes 4 7/8s, 2023 | 6,012,000 | 6,049,575 | |
|
| |||
| Alpha Natural Resources, Inc. company guaranty sr. unsec. | |||
| notes 6 1/4s, 2021 | 1,950,000 | 1,472,250 | |
|
| |||
| Antero Resources Finance Corp. 144A company guaranty | |||
| sr. unsec. notes 5 3/8s, 2021 | 1,938,000 | 1,967,070 | |
|
| |||
| Diversified Income Trust 47 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Energy cont. | |||
| Athlon Holdings LP/Athlon Finance Corp. 144A company | |||
| guaranty sr. unsec. notes 7 3/8s, 2021 | $1,992,000 | $2,121,480 | |
|
| |||
| Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 | 520,000 | 559,000 | |
|
| |||
| Aurora USA Oil & Gas Inc. 144A company guaranty sr. unsec. | |||
| notes 9 7/8s, 2017 | 1,560,000 | 1,719,900 | |
|
| |||
| Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes | |||
| 8 5/8s, 2018 | 3,906,000 | 4,189,185 | |
|
| |||
| Chaparral Energy, Inc. company guaranty sr. unsec. notes | |||
| 9 7/8s, 2020 | 1,640,000 | 1,865,500 | |
|
| |||
| Chaparral Energy, Inc. company guaranty sr. unsec. notes | |||
| 8 1/4s, 2021 | 260,000 | 286,000 | |
|
| |||
| Chesapeake Energy Corp. company guaranty sr. unsec. bonds | |||
| 6 1/4s, 2017 | EUR | 565,000 | 852,426 |
|
| |||
| Chesapeake Energy Corp. company guaranty sr. unsec. notes | |||
| 5 3/4s, 2023 | $475,000 | 502,906 | |
|
| |||
| Chesapeake Energy Corp. company guaranty sr. unsec. unsub. | |||
| notes 6 1/8s, 2021 | 215,000 | 234,350 | |
|
| |||
| Concho Resources, Inc. company guaranty sr. unsec. notes | |||
| 6 1/2s, 2022 | 3,280,000 | 3,575,200 | |
|
| |||
| Concho Resources, Inc. company guaranty sr. unsec. unsub. | |||
| notes 5 1/2s, 2023 | 2,672,000 | 2,778,880 | |
|
| |||
| Concho Resources, Inc. company guaranty sr. unsec. unsub. | |||
| notes 5 1/2s, 2022 | 896,000 | 934,080 | |
|
| |||
| Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada) | CAD | 2,355,000 | 1,693,555 |
|
| |||
| Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) | $558,000 | 446,400 | |
|
| |||
| CONSOL Energy, Inc. company guaranty sr. unsec. notes | |||
| 8 1/4s, 2020 | 1,829,000 | 1,986,751 | |
|
| |||
| CONSOL Energy, Inc. company guaranty sr. unsec. | |||
| notes 8s, 2017 | 7,000,000 | 7,306,250 | |
|
| |||
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | |||
| 8 1/4s, 2020 | 2,340,000 | 2,550,600 | |
|
| |||
| EXCO Resources, Inc. company guaranty sr. unsec. notes | |||
| 7 1/2s, 2018 | 2,050,000 | 2,060,250 | |
|
| |||
| Exterran Partners LP/EXLP Finance Corp. 144A company | |||
| guaranty sr. unsec. notes 6s, 2022 | 2,280,000 | 2,242,859 | |
|
| |||
| Forum Energy Technologies, Inc. 144A sr. unsec. notes | |||
| 6 1/4s, 2021 | 2,345,000 | 2,485,700 | |
|
| |||
| Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia) | 1,810,000 | 1,857,965 | |
|
| |||
| Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, | |||
| 2037 (Russia) | 1,280,000 | 1,318,400 | |
|
| |||
| Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes | |||
| 9 1/4s, 2019 (Russia) | 3,305,000 | 3,901,652 | |
|
| |||
| Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes | |||
| 8.146s, 2018 (Russia) | 740,000 | 833,388 | |
|
| |||
| Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. | |||
| notes 8 7/8s, 2019 | 4,595,000 | 4,755,825 | |
|
| |||
| Gulfport Energy Corp. company guaranty sr. unsec. unsub. | |||
| notes 7 3/4s, 2020 | 3,436,000 | 3,736,650 | |
|
| |||
| Halcon Resources Corp. company guaranty sr. unsec. unsub. | |||
| notes 9 3/4s, 2020 | 2,835,000 | 3,054,713 | |
|
| |||
| 48 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Energy cont. | |||
| Halcon Resources Corp. company guaranty sr. unsec. unsub. | |||
| notes 8 7/8s, 2021 | $5,523,000 | $5,730,113 | |
|
| |||
| Hercules Offshore, Inc. 144A company guaranty sr. unsec. notes | |||
| 7 1/2s, 2021 | 810,000 | 824,175 | |
|
| |||
| Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 | 795,000 | 864,563 | |
|
| |||
| Hiland Partners LP/Hiland Partners Finance Corp. 144A | |||
| company guaranty sr. notes 7 1/4s, 2020 | 1,625,000 | 1,767,188 | |
|
| |||
| Key Energy Services, Inc. company guaranty unsec. unsub. | |||
| notes 6 3/4s, 2021 | 1,492,000 | 1,568,465 | |
|
| |||
| Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. | |||
| notes 8 1/8s, 2019 | 540,000 | 598,725 | |
|
| |||
| Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. | |||
| notes 5 1/2s, 2022 | 4,565,000 | 4,673,419 | |
|
| |||
| Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, | |||
| 2020 (Canada) | 8,153,000 | 8,153,000 | |
|
| |||
| Linn Energy, LLC/Linn Energy Finance Corp. company guaranty | |||
| sr. unsec. notes 6 1/2s, 2019 | 2,945,000 | 3,070,163 | |
|
| |||
| Linn Energy, LLC/Linn Energy Finance Corp. 144A company | |||
| guaranty sr. unsec. notes 7 1/4s, 2019 | 5,945,000 | 6,197,663 | |
|
| |||
| Lukoil International Finance BV 144A company guaranty | |||
| sr. unsec. notes 6 1/8s, 2020 (Russia) | 5,000,000 | 5,175,000 | |
|
| |||
| Lukoil International Finance BV 144A company guaranty | |||
| sr. unsec. notes 4.563s, 2023 (Russia) | 1,700,000 | 1,559,427 | |
|
| |||
| Lukoil International Finance BV 144A company guaranty | |||
| sr. unsec. unsub. bonds 6.656s, 2022 (Russia) | 2,380,000 | 2,528,750 | |
|
| |||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes | |||
| 6 1/2s, 2021 (Canada) | 1,624,000 | 1,709,260 | |
|
| |||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes | |||
| 6 3/8s, 2023 (Canada) | 3,431,000 | 3,551,085 | |
|
| |||
| National JSC Naftogaz of Ukraine govt. guaranty unsec. notes | |||
| 9 1/2s, 2014 (Ukraine) | 22,465,000 | 21,229,425 | |
|
| |||
| Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 | 4,300,000 | 4,579,500 | |
|
| |||
| Newfield Exploration Co. sr. unsec. sub. notes 6 7/8s, 2020 | 1,000,000 | 1,065,000 | |
|
| |||
| Norther Blizzard Resources, inc. 144A company guaranty | |||
| sr. unsec. notes 7 1/4s, 2022 (Canada) | 725,000 | 746,750 | |
|
| |||
| Oasis Petroleum, Inc. company guaranty sr. unsec. notes | |||
| 6 7/8s, 2023 | 1,045,000 | 1,133,825 | |
|
| |||
| Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. | |||
| notes 6 7/8s, 2022 | 3,475,000 | 3,761,688 | |
|
| |||
| Offshore Group Investment, Ltd. company guaranty sr. notes | |||
| 7 1/2s, 2019 (Cayman Islands) | 2,250,000 | 2,396,878 | |
|
| |||
| Offshore Group Investment, Ltd. company guaranty sr. notes | |||
| 7 1/8s, 2023 (Cayman Islands) | 1,425,000 | 1,449,938 | |
|
| |||
| Peabody Energy Corp. company guaranty sr. unsec. notes | |||
| 7 3/8s, 2016 | 2,848,000 | 3,189,760 | |
|
| |||
| Pemex Project Funding Master Trust company guaranty unsec. | |||
| unsub. notes 6 5/8s, 2038 (Mexico) | 760,000 | 828,400 | |
|
| |||
| Pertamina Persero PT 144A sr. unsec. notes 5 1/4s, | |||
| 2021 (Indonesia) | 12,300,000 | 12,330,750 | |
|
| |||
| Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, | |||
| 2022 (Indonesia) | 720,000 | 692,100 | |
|
| |||
| Diversified Income Trust 49 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Energy cont. | |||
| Pertamina Persero PT 144A sr. unsec. unsub. notes 6s, | |||
| 2042 (Indonesia) | $1,425,000 | $1,261,125 | |
|
| |||
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, | |||
| 2023 (Indonesia) | 4,050,000 | 3,650,063 | |
|
| |||
| Petroleos de Venezuela SA company guaranty sr. unsec. notes | |||
| 5 1/4s, 2017 (Venezuela) | 21,355,000 | 16,146,943 | |
|
| |||
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | |||
| notes 5 3/8s, 2027 (Venezuela) | 10,370,000 | 5,496,100 | |
|
| |||
| Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, | |||
| 2016 (Venezuela) | 5,000,000 | 3,857,250 | |
|
| |||
| Petroleos de Venezuela SA sr. unsec. notes 4.9s, | |||
| 2014 (Venezuela) | 30,715,000 | 29,364,769 | |
|
| |||
| Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, | |||
| 2015 (Venezuela) | 16,885,000 | 14,539,842 | |
|
| |||
| Petroleos de Venezuela SA 144A company guaranty sr. notes | |||
| 8 1/2s, 2017 (Venezuela) | 25,641,000 | 21,474,338 | |
|
| |||
| Petroleos de Venezuela SA 144A company guaranty sr. unsec. | |||
| notes 12 3/4s, 2022 (Venezuela) | 1,000,000 | 907,500 | |
|
| |||
| Petroleos Mexicanos company guaranty sr. unsec. notes 6 1/2s, | |||
| 2041 (Mexico) | 1,000,000 | 1,095,000 | |
|
| |||
| Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. | |||
| notes 6 3/8s, 2045 (Mexico) | 1,865,000 | 2,017,456 | |
|
| |||
| Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. | |||
| notes 4 7/8s, 2024 (Mexico) | 1,665,000 | 1,716,263 | |
|
| |||
| Plains Exploration & Production Co. company guaranty | |||
| sr. unsec. notes 6 3/4s, 2022 | 2,583,000 | 2,854,215 | |
|
| |||
| Range Resources Corp. company guaranty sr. sub. notes | |||
| 6 3/4s, 2020 | 1,640,000 | 1,771,200 | |
|
| |||
| Range Resources Corp. company guaranty sr. unsec. sub. | |||
| notes 5s, 2022 | 790,000 | 805,800 | |
|
| |||
| Rosetta Resources, Inc. company guaranty sr. unsec. notes | |||
| 9 1/2s, 2018 | 3,321,000 | 3,491,201 | |
|
| |||
| Rosetta Resources, Inc. company guaranty sr. unsec. unsub. | |||
| notes 5 5/8s, 2021 | 3,111,000 | 3,180,998 | |
|
| |||
| Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 | 2,650,000 | 2,742,750 | |
|
| |||
| Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 | 2,885,000 | 3,187,925 | |
|
| |||
| Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 | 705,000 | 740,250 | |
|
| |||
| Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020 | 3,925,000 | 4,278,250 | |
|
| |||
| SandRidge Energy, Inc. company guaranty sr. unsec. unsub. | |||
| notes 7 1/2s, 2021 | 678,000 | 723,765 | |
|
| |||
| Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, | |||
| 2020 (Canada) | 2,090,000 | 2,289,240 | |
|
| |||
| Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 | 3,445,000 | 3,729,213 | |
|
| |||
| SM Energy Co. sr. unsec. notes 6 5/8s, 2019 | 1,105,000 | 1,182,350 | |
|
| |||
| SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 | 985,000 | 1,052,719 | |
|
| |||
| Tervita Corp. 144A company guaranty sr. notes 9s, | |||
| 2018 (Canada) | CAD | 590,000 | 543,035 |
|
| |||
| Tervita Corp. 144A sr. notes 8s, 2018 (Canada) | $2,590,000 | 2,615,900 | |
|
| |||
| Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) | 655,000 | 660,947 | |
|
| |||
| Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 | 1,915,000 | 2,029,900 | |
|
| |||
| 50 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Energy cont. | |||
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | |||
| notes 5 3/4s, 2021 | $5,725,000 | $6,147,219 | |
|
| |||
| WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 | 5,215,000 | 5,345,375 | |
|
| |||
| WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 | 1,942,000 | 2,077,940 | |
|
| |||
| 326,587,497 | |||
| Financials (5.0%) | |||
| Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 | 1,815,000 | 2,025,994 | |
|
| |||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. | |||
| notes 8.3s, 2015 | 4,595,000 | 4,859,213 | |
|
| |||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. | |||
| notes 8s, 2031 | 2,000,000 | 2,465,000 | |
|
| |||
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes | |||
| 7 1/2s, 2020 | 7,290,000 | 8,665,988 | |
|
| |||
| Ally Financial, Inc. unsec. sub. notes 8s, 2018 | 1,333,000 | 1,589,603 | |
|
| |||
| Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual | |||
| maturity (Ireland) | EUR | 7,000,000 | 10,511,466 |
|
| |||
| Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil) | $1,200,000 | 1,213,500 | |
|
| |||
| Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, | |||
| 2018 (Costa Rica) | 2,200,000 | 2,228,883 | |
|
| |||
| BBVA International Preferred SAU bank guaranty jr. unsec. sub. | |||
| FRN notes 5.919s, perpetual maturity (Spain) | 617,000 | 613,915 | |
|
| |||
| Boparan Finance PLC 144A company guaranty sr. unsec. unsub. | |||
| bonds 9 3/4s, 2018 (United Kingdom) | EUR | 1,030,000 | 1,526,509 |
|
| |||
| Boparan Finance PLC 144A company guaranty sr. unsec. unsub. | |||
| notes 9 7/8s, 2018 (United Kingdom) | GBP | 835,000 | 1,499,956 |
|
| |||
| CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes | |||
| 6 5/8s, 2020 | $2,575,000 | 2,748,813 | |
|
| |||
| CBRE Services, Inc. company guaranty sr. unsec. unsub. | |||
| notes 5s, 2023 | 782,000 | 782,978 | |
|
| |||
| CIT Group, Inc. sr. unsec. notes 5s, 2023 | 1,205,000 | 1,232,113 | |
|
| |||
| CIT Group, Inc. sr. unsec. notes 5s, 2022 | 4,115,000 | 4,269,313 | |
|
| |||
| CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 | 1,350,000 | 1,447,875 | |
|
| |||
| CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 | 1,960,000 | 1,981,446 | |
|
| |||
| CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 | 2,885,000 | 3,227,594 | |
|
| |||
| CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 | 1,710,000 | 1,842,525 | |
|
| |||
| CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 | 2,620,000 | 2,397,300 | |
|
| |||
| Commerzbank AG 144A unsec. sub. notes 8 1/8s, | |||
| 2023 (Germany) | 785,000 | 897,844 | |
|
| |||
| Community Choice Financial, Inc. company guaranty sr. notes | |||
| 10 3/4s, 2019 | 1,984,000 | 1,676,480 | |
|
| |||
| Credit Acceptance Corp. 144A company guaranty sr. unsec. | |||
| notes 6 1/8s, 2021 | 2,805,000 | 2,917,200 | |
|
| |||
| Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 | 3,250,000 | 3,688,750 | |
|
| |||
| Dresdner Funding Trust I 144A bonds 8.151s, 2031 | 3,659,000 | 4,152,965 | |
|
| |||
| E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 | 4,906,000 | 5,335,275 | |
|
| |||
| Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 | 3,400,000 | 3,629,500 | |
|
| |||
| HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. | |||
| FRB bonds 5.13s, perpetual maturity (Jersey) | EUR | 1,092,000 | 1,587,346 |
|
| |||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | |||
| company guaranty sr. unsec. notes 6s, 2020 | $5,500,000 | 5,830,000 | |
|
| |||
| Diversified Income Trust | 51 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Financials cont. | |||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | |||
| company guaranty sr. unsec. notes 5 7/8s, 2022 | $3,985,000 | $4,044,775 | |
|
| |||
| Industry & Construction Bank St. Petersburg OJSC Via Or-ICB | |||
| unsec. sub. FRN notes 5.01s, 2015 (Russia) | 1,695,000 | 1,646,828 | |
|
| |||
| International Lease Finance Corp. sr. unsec. unsub. notes | |||
| 5 7/8s, 2022 | 760,000 | 803,700 | |
|
| |||
| iStar Financial, Inc. company guaranty sr. unsec. unsub. notes | |||
| 4 7/8s, 2018 R | 1,475,000 | 1,511,875 | |
|
| |||
| iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R | 2,250,000 | 2,539,688 | |
|
| |||
| Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 | 2,775,000 | 3,004,981 | |
|
| |||
| Lloyds Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual | |||
| maturity (United Kingdom) | GBP | 1,080,000 | 2,988,615 |
|
| |||
| Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes | |||
| 6.657s, perpetual maturity (United Kingdom) | $2,300,000 | 2,311,500 | |
|
| |||
| MetLife Capital Trust X 144A jr. sub. FRB bonds 9 1/4s, 2068 | 935,000 | 1,227,188 | |
|
| |||
| MPT Operating Partnership LP/MPT Finance Corp. company | |||
| guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R | 2,405,000 | 2,573,350 | |
|
| |||
| National Money Mart Co. company guaranty sr. unsec. unsub. | |||
| notes 10 3/8s, 2016 (Canada) | 1,454,000 | 1,461,270 | |
|
| |||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
| guaranty sr. unsec. notes 7 7/8s, 2020 | 740,000 | 747,400 | |
|
| |||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
| guaranty sr. unsec. notes 6 1/2s, 2018 | 1,380,000 | 1,386,900 | |
|
| |||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
| guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 3,243,000 | 3,056,528 | |
|
| |||
| Neuberger Berman Group, LLC/Neuberger Berman Finance | |||
| Corp. 144A sr. unsec. notes 5 7/8s, 2022 | 3,375,000 | 3,594,375 | |
|
| |||
| Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 | 3,872,000 | 4,123,680 | |
|
| |||
| Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 | 1,774,000 | 1,876,005 | |
|
| |||
| PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 | 3,493,000 | 3,868,498 | |
|
| |||
| PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 | 3,210,000 | 3,298,275 | |
|
| |||
| Provident Funding Associates LP/PFG Finance Corp. 144A | |||
| company guaranty sr. unsec. notes 6 3/4s, 2021 | 3,128,000 | 3,116,270 | |
|
| |||
| Provident Funding Associates LP/PFG Finance Corp. 144A | |||
| sr. notes 10 1/8s, 2019 | 500,000 | 546,250 | |
|
| |||
| Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes | |||
| Ser. U, 7.64s, perpetual maturity (United Kingdom) | 6,465,000 | 6,561,975 | |
|
| |||
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds | |||
| 7.092s, perpetual maturity (United Kingdom) | EUR | 2,550,000 | 3,530,571 |
|
| |||
| Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 | |||
| (United Kingdom) | $1,495,000 | 1,530,810 | |
|
| |||
| Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sub. | |||
| FRN notes 6s, 2021 (Russia) | 5,350,000 | 5,229,625 | |
|
| |||
| Russian Agricultural Bank OJSC Via RSHB Capital SA 144A | |||
| unsec. notes sr. loan 9s, 2014 (Russia) | 2,875,000 | 2,903,750 | |
|
| |||
| Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, | |||
| 2022 (Russia) | 2,100,000 | 2,181,071 | |
|
| |||
| Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, | |||
| 2017 (Russia) | 5,010,000 | 5,165,310 | |
|
| |||
| SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 | 3,021,000 | 3,557,228 | |
|
| |||
| 52 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Financials cont. | |||
| Societe Generale SA 144A jr. unsec. sub. FRB bonds 7 7/8s, | |||
| perpetual maturity (France) | $2,540,000 | $2,655,570 | |
|
| |||
| Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 | 4,130,000 | 4,532,675 | |
|
| |||
| Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 | 1,295,000 | 1,434,213 | |
|
| |||
| Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 | 3,875,000 | 3,942,813 | |
|
| |||
| State Bank of India/London 144A sr. unsec. notes 4 1/2s, | |||
| 2015 (India) | 1,665,000 | 1,720,761 | |
|
| |||
| Stearns Holdings, Inc. 144A company guaranty sr. notes | |||
| 9 3/8s, 2020 | 2,000,000 | 2,095,000 | |
|
| |||
| TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes | |||
| 8 1/2s, 2018 | 796,000 | 871,620 | |
|
| |||
| UBS AG/Jersey Branch jr. unsec. sub. FRB bonds 4.28s, | |||
| perpetual maturity (Jersey) | EUR | 976,000 | 1,363,652 |
|
| |||
| UBS AG/Jersey Branch jr. unsec. sub. FRN notes Ser. EMTN, | |||
| 7.152s, perpetual maturity (Jersey) | EUR | 2,000,000 | 3,120,376 |
|
| |||
| Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds | |||
| 8 3/8s, 2015 (United Kingdom) | $3,400,000 | 2,988,702 | |
|
| |||
| USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 | 3,583,000 | 3,726,320 | |
|
| |||
| Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes | |||
| 5.942s, 2023 (Russia) | 3,100,000 | 2,929,500 | |
|
| |||
| Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. | |||
| notes 6.8s, 2025 (Russia) | 1,956,000 | 1,936,440 | |
|
| |||
| VTB Bank OJSC 144A jr. unsec. sub. FRN notes 9 1/2s, | |||
| perpetual maturity (Russia) | 1,600,000 | 1,616,340 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, | |||
| 6 1/4s, 2035 (Russia) | 4,335,000 | 4,454,213 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA 144A bank guaranty | |||
| sr. unsec. notes 6.551s, 2020 (Russia) | 5,000,000 | 5,175,000 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes | |||
| 6 7/8s, 2018 (Russia) | 22,451,000 | 23,854,188 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes | |||
| 6 1/4s, 2035 (Russia) | 23,618,000 | 24,267,495 | |
|
| |||
| VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds | |||
| 6.95s, 2022 (Russia) | 37,900,000 | 37,710,798 | |
|
| |||
| Walter Investment Management Corp. 144A company guaranty | |||
| sr. unsec. notes 7 7/8s, 2021 | 2,770,000 | 2,763,075 | |
|
| |||
| 300,392,386 | |||
| Health care (2.1%) | |||
| Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. | |||
| notes 6 1/8s, 2021 | 2,200,000 | 2,296,250 | |
|
| |||
| AmSurg Corp. company guaranty sr. unsec. unsub. notes | |||
| 5 5/8s, 2020 | 1,210,000 | 1,258,400 | |
|
| |||
| Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. | |||
| company guaranty sr. unsec. notes 7 3/4s, 2019 | 1,901,000 | 2,053,080 | |
|
| |||
| Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany) | EUR | 819,000 | 1,173,201 |
|
| |||
| Biomet, Inc. company guaranty sr. unsec. sub. notes | |||
| 6 1/2s, 2020 | $1,770,000 | 1,880,625 | |
|
| |||
| Biomet, Inc. company guaranty sr. unsec. unsub. notes | |||
| 6 1/2s, 2020 | 2,085,000 | 2,245,545 | |
|
| |||
| Capsugel FinanceCo SCA 144A company guaranty sr. unsec. | |||
| notes 9 7/8s, 2019 | EUR | 2,235,000 | 3,380,208 |
|
| |||
| Diversified Income Trust | 53 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Health care cont. | |||
| Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg) ‡‡ | $2,247,000 | $2,314,410 | |
|
| |||
| Catamaran Corp. company guaranty sr. unsec. bonds | |||
| 4 3/4s, 2021 | 1,470,000 | 1,490,213 | |
|
| |||
| CHS/Community Health Systems, Inc. company guaranty | |||
| sr. notes 5 1/8s, 2018 | 1,126,000 | 1,186,523 | |
|
| |||
| CHS/Community Health Systems, Inc. company guaranty | |||
| sr. unsec. unsub. notes 8s, 2019 | 721,000 | 792,199 | |
|
| |||
| CHS/Community Health Systems, Inc. 144A company guaranty | |||
| sr. notes 5 1/8s, 2021 | 475,000 | 486,875 | |
|
| |||
| CHS/Community Health Systems, Inc. 144A company guaranty | |||
| sr. unsec. notes 6 7/8s, 2022 | 570,000 | 595,650 | |
|
| |||
| ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, | |||
| 2019 (Luxembourg) ‡‡ | 2,429,000 | 2,501,870 | |
|
| |||
| ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, | |||
| 2017 (Luxembourg) | EUR | 865,000 | 1,260,438 |
|
| |||
| ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, | |||
| 2018 (Luxembourg) | $2,010,000 | 2,231,100 | |
|
| |||
| Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 | |||
| (United Kingdom) | GBP | 2,990,000 | 5,251,814 |
|
| |||
| Endo Finance, LLC 144A company guaranty sr. unsec. notes | |||
| 5 3/4s, 2022 | $2,205,000 | 2,262,881 | |
|
| |||
| Envision Healthcare Corp. company guaranty sr. unsec. notes | |||
| 8 1/8s, 2019 | 1,686,000 | 1,801,913 | |
|
| |||
| Fresenius Medical Care US Finance II, Inc. 144A company | |||
| guaranty sr. unsec. notes 5 5/8s, 2019 | 1,675,000 | 1,804,813 | |
|
| |||
| Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 | 2,160,000 | 2,365,200 | |
|
| |||
| Grifols Worldwide Operations, Ltd. 144A sr. unsec. notes 5 1/4s, | |||
| 2022 (Ireland) | 705,000 | 722,625 | |
|
| |||
| HCA, Inc. company guaranty sr. notes 5 7/8s, 2022 | 2,000,000 | 2,155,000 | |
|
| |||
| HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 | 1,801,000 | 1,807,754 | |
|
| |||
| HCA, Inc. sr. notes 6 1/2s, 2020 | 7,233,000 | 8,100,960 | |
|
| |||
| HCA, Inc. sr. unsec. notes 7 1/2s, 2022 | 741,000 | 846,593 | |
|
| |||
| Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 | 3,240,000 | 3,523,500 | |
|
| |||
| Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes | |||
| 7 3/8s, 2018 ‡‡ | 1,000,000 | 1,020,000 | |
|
| |||
| IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty | |||
| sr. unsec. notes 8 3/8s, 2019 | 1,591,000 | 1,698,393 | |
|
| |||
| IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 | 816,000 | 858,840 | |
|
| |||
| Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 ‡‡ | 2,140,000 | 2,249,675 | |
|
| |||
| Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. | |||
| notes 9 1/2s, 2019 | 1,349,000 | 1,500,763 | |
|
| |||
| JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, | |||
| 2022 (Netherlands) | 3,387,000 | 3,488,610 | |
|
| |||
| Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes | |||
| 10 1/2s, 2018 | 5,154,000 | 5,927,100 | |
|
| |||
| Kinetic Concepts, Inc./KCI USA, Inc. company guaranty | |||
| sr. unsec. notes 12 1/2s, 2019 | 1,213,000 | 1,410,113 | |
|
| |||
| MPH Acquisition Holdings, LLC 144A sr. unsec. notes | |||
| 6 5/8s, 2022 | 365,000 | 374,125 | |
|
| |||
| Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 | 1,083,000 | 1,175,055 | |
|
| |||
| 54 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Health care cont. | |||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. | |||
| notes 6 3/4s, 2022 R | $1,266,000 | $1,379,940 | |
|
| |||
| Omega Healthcare Investors, Inc. 144A sr. unsec. notes | |||
| 4.95s, 2024 R | 2,195,000 | 2,148,409 | |
|
| |||
| Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 3/8s, 2020 | 2,331,000 | 2,523,308 | |
|
| |||
| Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. | |||
| notes 6s, 2021 | 840,000 | 896,700 | |
|
| |||
| Service Corp. International/US sr. notes 7s, 2019 | 970,000 | 1,026,988 | |
|
| |||
| Service Corp. International/US sr. notes 7s, 2017 | 3,136,000 | 3,513,888 | |
|
| |||
| Service Corp. International/US sr. unsec. unsub. notes | |||
| 4 1/2s, 2020 | 1,933,000 | 1,884,675 | |
|
| |||
| Service Corp. International/US 144A sr. unsec. notes | |||
| 5 3/8s, 2022 | 3,168,000 | 3,207,600 | |
|
| |||
| Stewart Enterprises, Inc. company guaranty sr. unsec. notes | |||
| 6 1/2s, 2019 | 2,790,000 | 2,932,290 | |
|
| |||
| Teleflex, Inc. company guaranty sr. unsec. sub. notes | |||
| 6 7/8s, 2019 | 2,400,000 | 2,559,000 | |
|
| |||
| Tenet Healthcare Corp. company guaranty sr. bonds | |||
| 4 1/2s, 2021 | 1,825,000 | 1,783,938 | |
|
| |||
| Tenet Healthcare Corp. company guaranty sr. bonds | |||
| 4 3/8s, 2021 | 3,040,000 | 2,933,600 | |
|
| |||
| Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 | 2,677,000 | 2,954,739 | |
|
| |||
| Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 | 575,000 | 579,313 | |
|
| |||
| Tenet Healthcare Corp. 144A sr. notes 6s, 2020 | 4,967,000 | 5,314,690 | |
|
| |||
| Valeant Pharmaceuticals International 144A company guaranty | |||
| sr. notes 7s, 2020 | 350,000 | 378,875 | |
|
| |||
| Valeant Pharmaceuticals International 144A company guaranty | |||
| sr. unsec. notes 6 7/8s, 2018 | 900,000 | 956,250 | |
|
| |||
| Valeant Pharmaceuticals International 144A company guaranty | |||
| sr. unsec. notes 6 3/8s, 2020 | 2,560,000 | 2,771,200 | |
|
| |||
| Valeant Pharmaceuticals International 144A sr. notes | |||
| 6 3/4s, 2017 | 350,000 | 370,125 | |
|
| |||
| Valeant Pharmaceuticals International 144A sr. unsec. notes | |||
| 6 3/4s, 2018 | 2,270,000 | 2,497,000 | |
|
| |||
| WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 | 3,905,000 | 4,100,250 | |
|
| |||
| 124,205,092 | |||
| Technology (1.4%) | |||
| ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. | |||
| notes 6 3/8s, 2020 | 2,900,000 | 3,055,875 | |
|
| |||
| Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. | |||
| notes 6 3/4s, 2020 | 5,785,000 | 6,088,713 | |
|
| |||
| Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 | 1,786,000 | 1,656,515 | |
|
| |||
| Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 | 5,131,000 | 5,092,518 | |
|
| |||
| Epicor Software Corp. company guaranty sr. unsec. notes | |||
| 8 5/8s, 2019 | 597,000 | 652,969 | |
|
| |||
| First Data Corp. company guaranty sr. unsec. notes | |||
| 12 5/8s, 2021 | 6,818,000 | 8,113,420 | |
|
| |||
| First Data Corp. company guaranty sr. unsec. notes | |||
| 11 1/4s, 2021 | 4,240,000 | 4,838,900 | |
|
| |||
| Diversified Income Trust 55 |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Technology cont. | |||
| First Data Corp. company guaranty sr. unsec. sub. notes | |||
| 11 3/4s, 2021 | $3,890,000 | $4,084,500 | |
|
| |||
| First Data Corp. 144A company guaranty notes 8 1/4s, 2021 | 11,711,000 | 12,706,435 | |
|
| |||
| First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 | 1,245,000 | 1,338,375 | |
|
| |||
| Freescale Semiconductor, Inc. company guaranty sr. unsec. | |||
| notes 10 3/4s, 2020 | 4,449,000 | 5,160,840 | |
|
| |||
| Freescale Semiconductor, Inc. 144A company guaranty | |||
| sr. notes 5s, 2021 | 2,380,000 | 2,427,600 | |
|
| |||
| Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 | 2,336,000 | 2,464,480 | |
|
| |||
| Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 | 555,000 | 625,069 | |
|
| |||
| Infor US, Inc. company guaranty sr. unsec. unsub. notes | |||
| 11 1/2s, 2018 | 200,000 | 231,500 | |
|
| |||
| Iron Mountain, Inc. company guaranty sr. unsec. unsub. | |||
| notes 6s, 2023 | 3,445,000 | 3,660,313 | |
|
| |||
| Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 | 2,819,000 | 2,952,903 | |
|
| |||
| SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) | 6,620,000 | 6,586,900 | |
|
| |||
| SunGard Data Systems, Inc. company guaranty sr. unsec. sub. | |||
| notes 6 5/8s, 2019 | 1,315,000 | 1,390,613 | |
|
| |||
| SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 | 2,062,000 | 2,260,468 | |
|
| |||
| Syniverse Holdings, Inc. company guaranty sr. unsec. notes | |||
| 9 1/8s, 2019 | 3,115,000 | 3,387,563 | |
|
| |||
| Techem Energy Metering Service GmbH 144A sr. sub. bonds | |||
| 7 7/8s, 2020 (Germany) | EUR | 1,550,000 | 2,407,273 |
|
| |||
| Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, | |||
| 2021 (Germany) | EUR | 3,425,000 | 5,126,077 |
|
| |||
| 86,309,819 | |||
| Transportation (0.4%) | |||
| Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, | |||
| 2018 (Luxembourg) | CHF | 6,917,000 | 8,277,944 |
|
| |||
| Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, | |||
| 2018 (Luxembourg) | $1,475,000 | 1,567,188 | |
|
| |||
| Air Medical Group Holdings, Inc. company guaranty sr. notes | |||
| 9 1/4s, 2018 | 2,660,000 | 2,872,800 | |
|
| |||
| CHC Helicopter SA company guaranty sr. notes 9 1/4s, | |||
| 2020 (Canada) | 4,547,700 | 4,939,939 | |
|
| |||
| Swift Services Holdings, Inc. company guaranty sr. | |||
| notes 10s, 2018 | 3,645,000 | 4,004,944 | |
|
| |||
| Watco Cos., LLC/Watco Finance Corp. 144A company guaranty | |||
| sr. unsec. notes 6 3/8s, 2023 | 3,035,000 | 3,080,525 | |
|
| |||
| 24,743,340 | |||
| Utilities and power (1.5%) | |||
| AES Corp. (VA) sr. unsec. notes 8s, 2020 | 5,164,000 | 6,093,520 | |
|
| |||
| AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 | 5,000,000 | 5,918,750 | |
|
| |||
| AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 | 1,960,000 | 2,234,400 | |
|
| |||
| AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 | 965,000 | 925,194 | |
|
| |||
| Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 | 4,425,000 | 4,834,313 | |
|
| |||
| Calpine Corp. 144A company guaranty sr. notes 6s, 2022 | 2,765,000 | 2,903,250 | |
|
| |||
| 56 Diversified Income Trust |
| CORPORATE BONDS AND NOTES (30.7%)* cont. | Principal amount | Value | |
|
| |||
| Utilities and power cont. | |||
| Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 | $510,000 | $515,100 | |
|
| |||
| Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. | |||
| unsub. notes 6 7/8s, 2019 (Brazil) | 3,625,000 | 3,915,000 | |
|
| |||
| Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. | |||
| unsub. notes 5 3/4s, 2021 (Brazil) | 500,000 | 492,500 | |
|
| |||
| Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 | 2,495,000 | 2,824,410 | |
|
| |||
| El Paso, LLC company guaranty sr. notes 7s, 2017 | 4,910,000 | 5,540,130 | |
|
| |||
| El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 | 2,976,000 | 3,852,777 | |
|
| |||
| Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | |||
| sr. notes 10s, 2020 | 7,570,000 | 7,967,425 | |
|
| |||
| Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | |||
| 144A sr. notes 10 1/4s, 2020 | 7,000,000 | 7,376,250 | |
|
| |||
| Energy Transfer Equity LP company guaranty sr. unsec. notes | |||
| 7 1/2s, 2020 | 2,415,000 | 2,762,156 | |
|
| |||
| EP Energy, LLC/EP Energy Finance, Inc. sr. unsec. notes | |||
| 9 3/8s, 2020 | 2,584,000 | 2,984,520 | |
|
| |||
| EP Energy, LLC/Everest Acquisition Finance, Inc. company | |||
| guaranty sr. notes 6 7/8s, 2019 | 2,122,000 | 2,291,760 | |
|
| |||
| EP Energy, LLC/Everest Acquisition Finance, Inc. company | |||
| guaranty sr. unsec. unsub. notes 7 3/4s, 2022 | 485,000 | 544,413 | |
|
| |||
| FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 | 605,000 | 586,813 | |
|
| |||
| GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 | 2,237,000 | 2,281,740 | |
|
| |||
| GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 | 530,000 | 541,925 | |
|
| |||
| Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 | 1,368,000 | 1,368,000 | |
|
| |||
| Majapahit Holding BV 144A company guaranty sr. unsec. unsub. | |||
| notes 8s, 2019 (Indonesia) | 3,850,000 | 4,480,438 | |
|
| |||
| NRG Energy, Inc. company guaranty sr. unsec. notes | |||
| 7 7/8s, 2021 | 6,000,000 | 6,600,000 | |
|
| |||
| Regency Energy Partners LP/Regency Energy Finance Corp. | |||
| company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 499,000 | 535,178 | |
|
| |||
| Regency Energy Partners LP/Regency Energy Finance Corp. | |||
| company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 | 4,233,000 | 4,391,738 | |
|
| |||
| Regency Energy Partners LP/Regency Energy Finance Corp. | |||
| company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 1,140,000 | 1,148,550 | |
|
| |||
| Regency Energy Partners LP/Regency Energy Finance Corp. | |||
| company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 | 955,000 | 888,150 | |
|
| |||
| Texas Competitive/Texas Competitive Electric Holdings Co., LLC | |||
| 144A company guaranty sr. notes 11 1/2s, 2020 | 1,440,000 | 1,105,200 | |
|
| |||
| Vattenfall AB jr. unsec. sub. FRB bonds 5 1/4s, perpetual | |||
| maturity (Sweden) | EUR | 819,000 | 1,165,382 |
|
| |||
| 89,068,982 | |||
| Total corporate bonds and notes (cost $1,765,102,215) | $1,828,700,028 | ||
| Diversified Income Trust | 57 |
| U.S. GOVERNMENT AND AGENCY | |||
| MORTGAGE OBLIGATIONS (12.4%)* | Principal amount | Value | |
|
| |||
| U.S. Government Guaranteed Mortgage Obligations (—%) | |||
| Government National Mortgage Association Pass-Through Certificates | |||
| 6 1/2s, November 20, 2038 | $632,357 | $714,997 | |
|
| |||
| 714,997 | |||
| U.S. Government Agency Mortgage Obligations (12.4%) | |||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | |||
| 4 1/2s, TBA, April 1, 2044 | 5,000,000 | 5,330,078 | |
| 3s, March 1, 2043 ## | 1,962,950 | 1,877,454 | |
|
| |||
| Federal National Mortgage Association Pass-Through Certificates | |||
| 5 1/2s, TBA, April 1, 2044 | 23,000,000 | 25,386,250 | |
| 4 1/2s, with due dates from November 1, 2043 to January 1, 2044 ## | 33,952,817 | 36,298,130 | |
| 4 1/2s, TBA, May 1, 2044 | 130,000,000 | 138,251,958 | |
| 4 1/2s, TBA, April 1, 2044 | 165,000,000 | 176,034,375 | |
| 4s, TBA, May 1, 2044 | 115,000,000 | 119,123,831 | |
| 4s, TBA, April 1, 2044 | 155,000,000 | 161,115,231 | |
| 3 1/2s, TBA, April 1, 2044 | 17,000,000 | 17,102,265 | |
| 3s, with due dates from January 1, 2043 to August 1, 2043 | 9,608,224 | 9,217,475 | |
| 3s, TBA, May 1, 2044 | 24,000,000 | 23,100,938 | |
| 3s, TBA, April 1, 2044 | 26,000,000 | 25,100,156 | |
|
| |||
| 737,938,141 | |||
| Total U.S. government and agency mortgage obligations (cost $739,733,469) | $738,653,138 | ||
| U.S. TREASURY OBLIGATIONS (—%)* | Principal amount | Value | |
|
| |||
| U.S. Treasury Inflation Protected Securities 2 1/8s, February 15, 2040 i | $1,094,711 | $1,319,981 | |
|
| |||
| U.S. Treasury Notes | |||
| 1 3/4s, May 15, 2023 i | 438,000 | 409,004 | |
| 1s, May 31, 2018 i | 170,000 | 167,384 | |
| 1/2s, July 31, 2017 i | 178,000 | 174,597 | |
|
| |||
| Total U.S. treasury obligations (cost $2,070,966) | $2,070,966 | ||
| FOREIGN GOVERNMENT AND AGENCY | |||
| BONDS AND NOTES (8.2%)* | Principal amount/units | Value | |
|
| |||
| Argentina (Republic of) sr. unsec. bonds 8.28s, | |||
| 2033 (Argentina) | $2,586,760 | $1,967,231 | |
|
| |||
| Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) | 17,225,000 | 15,933,125 | |
|
| |||
| Argentina (Republic of) sr. unsec. unsub. bonds 7s, | |||
| 2015 (Argentina) | 43,325,000 | 42,198,550 | |
|
| |||
| Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, | |||
| 2033 (Argentina) | 50,760,786 | 38,578,197 | |
|
| |||
| Bahamas (Commonwealth of) 144A sr. unsec. notes 5 3/4s, | |||
| 2024 (Bahamas) | 1,800,000 | 1,810,332 | |
|
| |||
| Banco Nacional de Desenvolvimento Economico e Social 144A | |||
| sr. unsec. notes 5 3/4s, 2023 (Brazil) | 5,000,000 | 5,156,752 | |
|
| |||
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, | |||
| 2021 (Brazil) | 3,755,000 | 3,994,194 | |
|
| |||
| Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) | units | 7,250 | 3,105,770 |
|
| |||
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes | |||
| 11 3/4s, 2015 (Argentina) | $25,600,000 | 25,024,000 | |
|
| |||
| 58 Diversified Income Trust |
| FOREIGN GOVERNMENT AND AGENCY | |||
| BONDS AND NOTES (8.2%)* cont. | Principal amount | Value | |
|
| |||
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes | |||
| 10 7/8s, 2021 (Argentina) | $3,300,000 | $2,897,400 | |
|
| |||
| Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) | 10,550,000 | 11,011,563 | |
|
| |||
| Financing of Infrastructural Projects State Enterprise 144A govt. | |||
| guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) | 2,700,000 | 2,349,000 | |
|
| |||
| Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon) | 6,300,000 | 6,678,000 | |
|
| |||
| Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) | 1,276,000 | 1,299,389 | |
|
| |||
| Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) | 5,289,897 | 4,840,256 | |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2042 (Greece) †† | EUR | 6,626,517 | 5,964,718 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2041 (Greece) †† | EUR | 6,166,517 | 5,540,974 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2040 (Greece) †† | EUR | 6,892,517 | 6,202,253 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2039 (Greece) †† | EUR | 7,279,517 | 6,571,757 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2038 (Greece) †† | EUR | 13,709,518 | 12,405,868 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2037 (Greece) †† | EUR | 7,342,517 | 6,655,134 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2036 (Greece) †† | EUR | 10,611,517 | 9,629,211 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2035 (Greece) †† | EUR | 10,509,517 | 9,570,243 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2034 (Greece) †† | EUR | 9,258,517 | 8,476,585 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2033 (Greece) †† | EUR | 6,359,517 | 5,850,983 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2032 (Greece) †† | EUR | 8,429,521 | 7,853,009 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2031 (Greece) †† | EUR | 5,972,522 | 5,623,949 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2030 (Greece) †† | EUR | 15,206,522 | 14,485,155 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2029 (Greece) †† | EUR | 5,899,522 | 5,692,158 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2028 (Greece) †† | EUR | 11,021,522 | 10,730,388 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2027 (Greece) †† | EUR | 6,667,522 | 6,617,332 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2026 (Greece) †† | EUR | 10,624,522 | 10,740,241 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2025 (Greece) †† | EUR | 21,467,522 | 22,069,841 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2024 (Greece) †† | EUR | 14,863,863 | 15,606,079 |
|
| |||
| Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, | |||
| stepped-coupon 2s (3s, 2/24/15), 2023 (Greece) †† | EUR | 10,029,758 | 10,795,883 |
|
| |||
| Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, | |||
| 2018 (Hungary) | $3,740,000 | 3,804,068 | |
|
| |||
| Diversified Income Trust 59 |
| FOREIGN GOVERNMENT AND AGENCY | |||
| BONDS AND NOTES (8.2%)* cont. | Principal amount | Value | |
|
| |||
| Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, | |||
| 2023 (Indonesia) | $7,275,000 | $6,519,855 | |
|
| |||
| Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, | |||
| 2037 (Indonesia) | 3,255,000 | 3,446,166 | |
|
| |||
| International Bank for Reconstruction & Development sr. disc. | |||
| unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation) | RUB | 123,450,000 | 3,459,522 |
|
| |||
| Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq) | $2,905,000 | 2,556,400 | |
|
| |||
| Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland) | EUR | 22,029,000 | 34,997,289 |
|
| |||
| Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland) | $3,500,000 | 3,819,375 | |
|
| |||
| Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, | |||
| 2017 (Portugal) | EUR | 4,199,000 | 6,176,957 |
|
| |||
| Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, | |||
| 2030 (Russia) | $700,652 | 790,434 | |
|
| |||
| Russia (Federation of) 144A sr. unsec. notes 4 1/2s, | |||
| 2022 (Russia) | 1,925,000 | 1,917,781 | |
|
| |||
| Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, | |||
| 2030 (Russia) | 1,315,200 | 1,498,013 | |
|
| |||
| Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia) | 1,250,000 | 1,250,181 | |
|
| |||
| Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, | |||
| 2024 (Serbia) | 755,246 | 756,152 | |
|
| |||
| Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain) | EUR | 4,199,000 | 6,567,543 |
|
| |||
| Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka) | $1,300,000 | 1,347,983 | |
|
| |||
| Turkey (Republic of) sr. unsec. bonds 5 3/4s, 2024 (Turkey) | 11,500,000 | 11,758,750 | |
|
| |||
| Turkey (Republic of) sr. unsec. bonds 5 5/8s, 2021 (Turkey) | 6,800,000 | 7,019,980 | |
|
| |||
| Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey) | 5,015,000 | 5,815,544 | |
|
| |||
| Turkey (Republic of) unsec. notes 6 3/4s, 2040 (Turkey) | 5,080,000 | 5,326,939 | |
|
| |||
| Ukraine (Government of) 144A sr. unsec. bonds 7.95s, | |||
| 2014 (Ukraine) | 10,620,000 | 10,409,724 | |
|
| |||
| Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, | |||
| 2017 (Ukraine) | 5,035,000 | 4,929,265 | |
|
| |||
| Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, | |||
| 2038 (Venezuela) | 2,900,000 | 1,783,500 | |
|
| |||
| Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds | |||
| 9 1/4s, 2027 (Venezuela) | 6,555,000 | 4,950,139 | |
|
| |||
| Venezuela (Bolivarian Republic of) 144A unsec. bonds 13 5/8s, | |||
| 2018 (Venezuela) | 4,935,000 | 4,947,535 | |
|
| |||
| Total foreign government and agency bonds and notes (cost $427,913,008) | $489,774,615 | ||
| SENIOR LOANS (1.9%)* c | Principal amount | Value | |
|
| |||
| Basic materials (0.1%) | |||
| Atkore International, Inc. bank term loan FRN 4 1/2s, 2021 | $1,800,000 | $1,796,625 | |
|
| |||
| Exopack, LLC bank term loan FRN Ser. B, 5 1/4s, 2019 | 100,000 | 101,125 | |
|
| |||
| Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 | 1,231,900 | 1,231,900 | |
|
| |||
| Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) | 1,015,000 | 1,038,472 | |
|
| |||
| Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020 | 621,135 | 624,327 | |
|
| |||
| WR Grace & Co. bank term loan FRN 3s, 2021 | 1,687,368 | 1,683,501 | |
|
| |||
| WR Grace & Co. bank term loan FRN Ser. DD, 3s, 2021 U | 602,632 | 601,250 | |
|
| |||
| 7,077,200 | |||
| 60 Diversified Income Trust |
| SENIOR LOANS (1.9%)* c cont. | Principal amount | Value | |
|
| |||
| Communication services (—%) | |||
| Asurion, LLC bank term loan FRN Ser. B1, 4 1/2s, 2019 | $1,790,627 | $1,793,363 | |
|
| |||
| 1,793,363 | |||
| Consumer cyclicals (0.9%) | |||
| Burlington Coat Factory Warehouse Corp. bank term loan FRN | |||
| Ser. B2, 4 1/4s, 2017 | 684,910 | 687,264 | |
|
| |||
| Caesars Entertainment Operating Co., Inc. bank term loan FRN | |||
| Ser. B6, 5.488s, 2018 | 10,603,735 | 9,998,993 | |
|
| |||
| CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 | 2,846,811 | 2,853,928 | |
|
| |||
| Clear Channel Communications, Inc. bank term loan FRN Ser. D, | |||
| 6.918s, 2019 | 10,049,000 | 9,827,922 | |
|
| |||
| Garda World Security Corp. bank term loan FRN Ser. B, 4s, | |||
| 2020 (Canada) | 1,198,426 | 1,198,426 | |
|
| |||
| Garda World Security Corp. bank term loan FRN Ser. DD, 4s, | |||
| 2020 (Canada) | 306,574 | 306,574 | |
|
| |||
| Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 | 4,183,254 | 4,006,775 | |
|
| |||
| Hilton Worldwide Finance, LLC bank term loan FRN | |||
| Ser. B, 4s, 2020 | 2,999,211 | 3,002,960 | |
|
| |||
| Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 | 488,532 | 494,639 | |
|
| |||
| Neiman Marcus Group, Ltd., Inc. bank term loan FRN 5s, 2020 | 3,975,038 | 4,006,269 | |
|
| |||
| Neiman Marcus Group, Ltd., Inc. bank term loan FRN | |||
| 4 1/4s, 2020 | 1,075,000 | 1,078,527 | |
|
| |||
| ROC Finance, LLC bank term loan FRN 5s, 2019 | 5,003,818 | 4,884,978 | |
|
| |||
| Travelport, LLC bank term loan FRN 9 1/2s, 2016 | 7,200,289 | 7,441,052 | |
|
| |||
| Travelport, LLC bank term loan FRN 8 3/8s, 2016 ‡‡ | 745,267 | 762,346 | |
|
| |||
| Travelport, LLC bank term loan FRN 6 1/4s, 2019 | 744,375 | 760,813 | |
|
| |||
| Tribune Co. bank term loan FRN Ser. B, 4s, 2020 | 2,194,500 | 2,193,403 | |
|
| |||
| Univision Communications, Inc. bank term loan FRN | |||
| 4 1/2s, 2020 | 1,000,000 | 998,958 | |
|
| |||
| 54,503,827 | |||
| Consumer staples (0.1%) | |||
| CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 | 2,400,000 | 2,382,000 | |
|
| |||
| Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021 | 1,435,000 | 1,426,031 | |
|
| |||
| H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 | 1,409,350 | 1,416,573 | |
|
| |||
| Revlon Consumer Products Corp. bank term loan FRN | |||
| Ser. B, 4s, 2019 | 1,516,200 | 1,518,095 | |
|
| |||
| WNA Holdings, Inc. bank term loan FRN 8 1/2s, 2020 | 1,000,000 | 1,015,000 | |
|
| |||
| 7,757,699 | |||
| Energy (0.2%) | |||
| Chesapeake Energy Corp. bank term loan FRN Ser. B, | |||
| 5 3/4s, 2017 | 2,091,000 | 2,136,414 | |
|
| |||
| Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 | 3,260,000 | 3,385,161 | |
|
| |||
| FTS International, Inc. bank term loan FRN Ser. B, 8 1/2s, 2016 | 1,709,927 | 1,734,037 | |
|
| |||
| Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018 ‡‡ | 1,500,000 | 1,530,000 | |
|
| |||
| 8,785,612 | |||
| Financials (0.1%) | |||
| iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 R | 893,799 | 896,313 | |
|
| |||
| Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019 | 2,000,000 | 2,002,500 | |
|
| |||
| 2,898,813 | |||
| Health care (0.2%) | |||
| Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 | 1,239,313 | 1,239,313 | |
|
| |||
| CHS/Community Health Systems, Inc. bank term loan FRN | |||
| Ser. D, 4 1/4s, 2021 | 2,184,525 | 2,201,577 | |
|
| |||
| Diversified Income Trust | 61 |
| SENIOR LOANS (1.9%)* c cont. | Principal amount | Value | |
|
| |||
| Health care cont. | |||
| Emergency Medical Services Corp. bank term loan FRN | |||
| Ser. B, 4s, 2018 | $2,115,095 | $2,115,095 | |
|
| |||
| Grifols Worldwide Operations USA, Inc. bank term loan FRN | |||
| 3.236s, 2021 | 2,265,000 | 2,262,169 | |
|
| |||
| Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada) | 2,050,000 | 2,037,614 | |
|
| |||
| Valeant Pharmaceuticals International, Inc. bank term loan FRN | |||
| Ser. E, 4 1/2s, 2020 | 1,269,007 | 1,273,893 | |
|
| |||
| 11,129,661 | |||
| Technology (0.2%) | |||
| Avaya, Inc. bank term loan FRN Ser. B6, 8s, 2018 | 3,315,298 | 3,318,235 | |
|
| |||
| Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 | 4,217,125 | 4,183,915 | |
|
| |||
| First Data Corp. bank term loan FRN 4.17s, 2018 | 824,435 | 825,901 | |
|
| |||
| First Data Corp. bank term loan FRN 4.155s, 2021 | 61,131 | 61,208 | |
|
| |||
| Freescale Semiconductor, Inc. bank term loan FRN | |||
| Ser. B5, 5s, 2021 | 3,701,400 | 3,734,676 | |
|
| |||
| 12,123,935 | |||
| Transportation (0.1%) | |||
| Air Medical Group Holdings, Inc. bank term loan FRN | |||
| 8 3/8s, 2018 ‡‡ | 3,750,000 | 3,703,125 | |
|
| |||
| 3,703,125 | |||
| Utilities and power (—%) | |||
| Texas Competitive Electric Holdings Co., LLC bank term loan | |||
| FRN 4.73s, 2017 | 4,000,000 | 2,880,000 | |
|
| |||
| 2,880,000 | |||
| Total senior loans (cost $112,307,666) | $112,653,235 | ||
| PURCHASED OPTIONS | Expiration date/ | Contract | |
| OUTSTANDING (0.2%)* | strike price | amount | Value |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Call) | Jun-14/$99.75 | $190,000,000 | $1,800,250 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Call) | Jun-14/99.56 | 190,000,000 | 2,131,420 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Put) | Jun-14/100.59 | 190,000,000 | 2,311,160 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Put) | Jun-14/100.34 | 190,000,000 | 2,049,530 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Put) | May-14/100.41 | 198,000,000 | 1,417,284 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Put) | May-14/100.20 | 198,000,000 | 1,227,006 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Put) | May-14/100.00 | 198,000,000 | 1,056,528 |
|
| |||
| Federal National Mortgage Association 30 yr 3.5s TBA | |||
| commitments (Put) | Apr-14/101.03 | 198,000,000 | 890,802 |
|
| |||
| Total purchased options outstanding (cost $14,390,859) | $12,883,980 | ||
| 62 Diversified Income Trust |
| PURCHASED SWAP OPTIONS OUTSTANDING (0.1%)* | ||||
| Counterparty | ||||
| Fixed right % to receive or (pay)/ | Expiration | Contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
|
| ||||
| Barclays Bank PLC | ||||
| 1.80/6 month EUR-EURIBOR_Reuters/Jun-24 | Jun-14/1.80 | EUR | 185,695,000 | $1,752,385 |
|
| ||||
| Goldman Sachs International | ||||
| 1.80/6 month EUR-EURIBOR_Reuters/Jun-24 | Jun-14/1.80 | EUR | 185,695,000 | 1,752,386 |
|
| ||||
| Total purchased swap options outstanding (cost $3,119,726) | $3,504,771 | |||
| CONVERTIBLE BONDS AND NOTES (—%)* | Principal amount | Value | ||
|
| ||||
| iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R | $910,000 | $1,281,963 | ||
|
| ||||
| Total convertible bonds and notes (cost $978,272) | $1,281,963 | |||
| SHORT-TERM INVESTMENTS (12.6%)* | Principal amount/shares | Value | ||
|
| ||||
| Federal Home Loan Bank unsec. discount notes with | ||||
| an effective yield of 0.10%, April 9, 2014 | $25,000,000 | $24,999,444 | ||
|
| ||||
| Federal Home Loan Bank unsec. discount notes with | ||||
| an effective yield of 0.10%, April 2, 2014 | 16,000,000 | 15,999,956 | ||
|
| ||||
| Federal Home Loan Mortgage Corp. unsec. discount notes with | ||||
| an effective yield of 0.15%, October 6, 2014 | 22,034,000 | 22,027,103 | ||
|
| ||||
| Federal National Mortgage Association unsec. discount notes | ||||
| with an effective yield of 0.11%, November 17, 2014 | 21,400,000 | 21,390,434 | ||
|
| ||||
| Federal National Mortgage Association unsec. discount notes | ||||
| with an effective yield of 0.10%, April 21, 2014 | 29,000,000 | 28,998,389 | ||
|
| ||||
| Putnam Money Market Liquidity Fund 0.06% L | shares | 188,837,512 | 188,837,512 | |
|
| ||||
| Putnam Short Term Investment Fund 0.07% L | shares | 208,435,859 | 208,435,859 | |
|
| ||||
| U.S. Treasury Bills with an effective yield of 0.10%, | ||||
| May 1, 2014 § | $5,000,000 | 4,999,571 | ||
|
| ||||
| U.S. Treasury Bills with effective yields ranging from 0.10% | ||||
| to 0.14%, August 21, 2014 # Δ § | 56,953,000 | 56,940,072 | ||
|
| ||||
| U.S. Treasury Bills with effective yields ranging from 0.10% | ||||
| to 0.11%, July 24, 2014 # § | 41,079,000 | 41,073,454 | ||
|
| ||||
| U.S. Treasury Bills with effective yields ranging from 0.08% | ||||
| to 0.09%, May 29, 2014 # Δ § | 134,268,000 | 134,248,849 | ||
|
| ||||
| Total short-term investments (cost $747,913,654) | $747,950,643 | |||
| TOTAL INVESTMENTS | ||||
|
| ||||
| Total investments (cost $6,396,373,952) | $6,685,109,004 | |||
| Diversified Income Trust 63 |
Key to holding’s currency abbreviations
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
HUF Hungarian Forint
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
PLN Polish Zloty
RUB Russian Ruble
USD /$ United States Dollar
Key to holding’s abbreviations
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
JSC Joint Stock Company
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
TBA To Be Announced Commitments
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2013 through March 31, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $5,956,582,971.
† Non-income-producing security.
†† 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.‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
# 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.
Δ 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.
§ 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.
## Forward commitment, in part or in entirety (Note 1).
| 64 Diversified Income Trust |
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 (Notes 1 and 6).
F Security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs.
i Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the at the close of the reporting period.
R Real Estate Investment Trust.
U This security, in part or in entirety, represents an unfunded loan commitment (Note 7).
At the close of the reporting period, the fund maintained liquid assets totaling $1,747,451,186 to cover certain derivatives contracts and delayed delivery securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA’s.
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 | 82.9% | Canada | 1.0% | |
|
|
| |||
| Greece | 2.8 | Ireland | 0.7 | |
|
|
| |||
| Russia | 2.1 | Ukraine | 0.6 | |
|
|
| |||
| Argentina | 1.9 | Indonesia | 0.5 | |
|
|
| |||
| Venezuela | 1.5 | Germany | 0.5 | |
|
|
| |||
| Luxembourg | 1.1 | Other | 3.4 | |
|
|
| |||
| United Kingdom | 1.0 | Total | 100.0% | |
|
|
||||
| FORWARD CURRENCY CONTRACTS at 3/31/14 (aggregate face value $1,860,576,882) (Unaudited) | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Bank of America N.A. | ||||||
| Australian Dollar | Buy | 4/16/14 | $1,443,685 | $894,999 | $548,686 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 7,988,806 | 7,946,085 | (42,721) | |
|
| ||||||
| Chilean Peso | Buy | 4/16/14 | 172,214 | 186,908 | (14,694) | |
|
| ||||||
| Colombian Peso | Buy | 4/16/14 | 14,874,035 | 14,669,199 | 204,836 | |
|
| ||||||
| Singapore Dollar | Sell | 5/21/14 | 8,243,792 | 8,131,572 | (112,220) | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 10,837,206 | 10,789,489 | (47,717) | |
|
| ||||||
| Barclays Bank PLC | ||||||
| Australian Dollar | Buy | 4/16/14 | 21,655,920 | 20,899,829 | 756,091 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 21,655,920 | 20,529,514 | (1,126,406) | |
|
| ||||||
| Brazilian Real | Buy | 4/2/14 | 7,839,401 | 7,299,043 | 540,358 | |
|
| ||||||
| Diversified Income Trust 65 |
| FORWARD CURRENCY CONTRACTS at 3/31/14 (aggregate face value $1,860,576,882) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Barclays Bank PLC cont. | ||||||
| Brazilian Real | Sell | 4/2/14 | $7,839,401 | $7,327,539 | $(511,862) | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 23,831,146 | 23,768,382 | (62,764) | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 51,452 | 512,340 | 460,888 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 26,000,241 | 26,132,546 | 132,305 | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 27,127,826 | 27,636,501 | 508,675 | |
|
| ||||||
| Mexican Peso | Buy | 4/16/14 | 4,595,904 | 4,501,563 | 94,341 | |
|
| ||||||
| Mexican Peso | Buy | 7/17/14 | 7,576,796 | 7,558,490 | 18,306 | |
|
| ||||||
| New Zealand Dollar | Buy | 4/16/14 | 29,054,469 | 28,760,683 | 293,786 | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 13,919,909 | 14,265,465 | 345,556 | |
|
| ||||||
| Singapore Dollar | Sell | 5/21/14 | 3,528,113 | 3,480,187 | (47,926) | |
|
| ||||||
| South African Rand | Sell | 4/16/14 | 8,563,040 | 8,271,504 | (291,536) | |
|
| ||||||
| Swedish Krona | Sell | 6/18/14 | 799,443 | 518,981 | (280,462) | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 19,756,817 | 19,658,386 | (98,431) | |
|
| ||||||
| Citibank, N.A. | ||||||
| Australian Dollar | Buy | 4/16/14 | 14,685,615 | 14,112,249 | 573,366 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 14,685,615 | 14,448,523 | (237,092) | |
|
| ||||||
| Brazilian Real | Buy | 4/2/14 | 17,075,584 | 16,284,809 | 790,775 | |
|
| ||||||
| Brazilian Real | Sell | 4/2/14 | 17,075,584 | 15,964,791 | (1,110,793) | |
|
| ||||||
| Brazilian Real | Sell | 7/2/14 | 8,266,555 | 8,112,960 | (153,595) | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 7,665,535 | 8,177,457 | 511,922 | |
|
| ||||||
| Chilean Peso | Sell | 4/16/14 | 7,935,308 | 7,707,083 | (228,225) | |
|
| ||||||
| Euro | Sell | 6/18/14 | 14,103,695 | 14,113,382 | 9,687 | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 14,324,253 | 14,321,885 | (2,368) | |
|
| ||||||
| New Zealand Dollar | Buy | 4/16/14 | 29,370,349 | 29,127,148 | 243,201 | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 13,755,664 | 13,803,587 | 47,923 | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 26,041,008 | 25,930,438 | (110,570) | |
|
| ||||||
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 4/16/14 | 14,381,257 | 13,867,363 | 513,894 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 14,381,257 | 13,546,049 | (835,208) | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 7,166,606 | 7,181,127 | 14,521 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 31,675,988 | 32,020,768 | 344,780 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 16,331,233 | 16,321,420 | (9,813) | |
|
| ||||||
| Indian Rupee | Buy | 5/21/14 | 8,036,210 | 7,359,572 | 676,638 | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 17,951,626 | 18,196,110 | 244,484 | |
|
| ||||||
| Mexican Peso | Buy | 4/16/14 | 3,084,620 | 3,185,927 | (101,307) | |
|
| ||||||
| New Zealand Dollar | Buy | 4/16/14 | 14,648,376 | 14,269,686 | 378,690 | |
|
| ||||||
| Norwegian Krone | Buy | 6/18/14 | 14,815,434 | 14,768,677 | 46,757 | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 14,815,434 | 14,660,509 | (154,925) | |
|
| ||||||
| Singapore Dollar | Sell | 5/21/14 | 8,377,828 | 8,264,237 | (113,591) | |
|
| ||||||
| South African Rand | Buy | 4/16/14 | 8,679,849 | 8,354,314 | 325,535 | |
|
| ||||||
| South African Rand | Sell | 4/16/14 | 8,679,849 | 8,042,850 | (636,999) | |
|
| ||||||
| South Korean Won | Sell | 5/21/14 | 86,106 | 98,540 | 12,434 | |
|
| ||||||
| 66 Diversified Income Trust |
| FORWARD CURRENCY CONTRACTS at 3/31/14 (aggregate face value $1,860,576,882) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| Credit Suisse International cont. | ||||||
| Swedish Krona | Buy | 6/18/14 | $16,892,108 | $17,357,959 | $(465,851) | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 16,603,798 | 16,530,877 | (72,921) | |
|
| ||||||
| Deutsche Bank AG | ||||||
| Australian Dollar | Buy | 4/16/14 | 14,444,816 | 14,283,716 | 161,100 | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 13,482,789 | 13,588,170 | 105,381 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 12,141,679 | 12,650,684 | 509,005 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 18,899,561 | 18,761,424 | (138,137) | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 17,433,748 | 17,675,089 | 241,341 | |
|
| ||||||
| New Zealand Dollar | Buy | 4/16/14 | 14,793,661 | 14,555,250 | 238,411 | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 14,180,497 | 14,158,296 | (22,201) | |
|
| ||||||
| Swedish Krona | Buy | 6/18/14 | 14,090,470 | 14,230,703 | (140,233) | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 21,637,965 | 21,521,715 | (116,250) | |
|
| ||||||
| Goldman Sachs International | ||||||
| Australian Dollar | Buy | 4/16/14 | 28,944,944 | 27,885,581 | 1,059,363 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 28,944,944 | 28,142,956 | (801,988) | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 26,399,907 | 26,384,904 | (15,003) | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 16,835,657 | 17,413,137 | 577,480 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 5,915,489 | 5,838,902 | (76,587) | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 13,884,652 | 13,959,590 | 74,938 | |
|
| ||||||
| HSBC Bank USA, National Association | ||||||
| Australian Dollar | Buy | 4/16/14 | 8,519,983 | 8,215,528 | 304,455 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 8,519,982 | 8,176,446 | (343,536) | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 14,802,576 | 14,750,005 | (52,571) | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 11,291,680 | 11,517,437 | 225,757 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 22,391,220 | 22,350,581 | (40,639) | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 13,085,703 | 13,265,677 | 179,974 | |
|
| ||||||
| Swedish Krona | Buy | 6/18/14 | 12,635,825 | 12,683,431 | (47,606) | |
|
| ||||||
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Sell | 4/16/14 | 14,761,682 | 14,270,172 | (491,510) | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 3,514,489 | 3,522,237 | 7,748 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 19,937,064 | 19,985,562 | 48,498 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 27,301,968 | 27,164,024 | (137,944) | |
|
| ||||||
| Hungarian Forint | Sell | 6/18/14 | 8,408,932 | 8,290,546 | (118,386) | |
|
| ||||||
| Indian Rupee | Buy | 5/21/14 | 8,639,647 | 8,275,701 | 363,946 | |
|
| ||||||
| Mexican Peso | Buy | 4/16/14 | 7,016,357 | 6,941,426 | 74,931 | |
|
| ||||||
| New Taiwan Dollar | Sell | 5/21/14 | 8,385,210 | 8,409,178 | 23,968 | |
|
| ||||||
| New Zealand Dollar | Buy | 4/16/14 | 14,634,247 | 14,116,115 | 518,132 | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 13,547,942 | 13,556,808 | 8,866 | |
|
| ||||||
| Russian Ruble | Sell | 6/18/14 | 3,534,026 | 3,420,179 | (113,847) | |
|
| ||||||
| Swedish Krona | Buy | 6/18/14 | 14,818,078 | 14,912,087 | (94,009) | |
|
| ||||||
| Swedish Krona | Sell | 6/18/14 | 14,818,078 | 14,792,827 | (25,251) | |
|
| ||||||
| Diversified Income Trust | 67 |
| FORWARD CURRENCY CONTRACTS at 3/31/14 (aggregate face value $1,860,576,882) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| JPMorgan Chase Bank N.A. cont. | ||||||
| Swiss Franc | Sell | 6/18/14 | $21,705,537 | $21,610,940 | $(94,597) | |
|
| ||||||
| Thai Baht | Sell | 5/21/14 | 14,411,265 | 14,380,559 | (30,706) | |
|
| ||||||
| Royal Bank of Scotland PLC (The) | ||||||
| Canadian Dollar | Buy | 4/16/14 | 38,912,907 | 38,858,975 | 53,932 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 38,912,907 | 39,381,404 | 468,497 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 3,596,073 | 3,568,787 | (27,286) | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 8,107,667 | 8,159,671 | 52,004 | |
|
| ||||||
| Mexican Peso | Buy | 4/16/14 | 7,630,713 | 7,557,345 | 73,368 | |
|
| ||||||
| Mexican Peso | Sell | 4/16/14 | 7,630,713 | 7,610,866 | (19,847) | |
|
| ||||||
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Buy | 4/16/14 | 29,162,303 | 28,174,058 | 988,245 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 29,162,303 | 28,145,058 | (1,017,245) | |
|
| ||||||
| Brazilian Real | Buy | 4/2/14 | 8,827,193 | 8,161,410 | 665,783 | |
|
| ||||||
| Brazilian Real | Sell | 4/2/14 | 8,827,193 | 8,256,276 | (570,917) | |
|
| ||||||
| British Pound | Buy | 6/18/14 | 24,513,116 | 24,379,206 | 133,910 | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 24,513,116 | 24,546,186 | 33,070 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 28,445,905 | 28,710,715 | 264,810 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 9,042,388 | 9,036,443 | (5,945) | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 13,298,857 | 13,445,503 | 146,646 | |
|
| ||||||
| Mexican Peso | Buy | 4/16/14 | 6,814,087 | 6,741,928 | 72,159 | |
|
| ||||||
| New Taiwan Dollar | Sell | 5/21/14 | 8,385,210 | 8,405,574 | 20,364 | |
|
| ||||||
| New Zealand Dollar | Buy | 4/16/14 | 29,534,357 | 29,023,258 | 511,099 | |
|
| ||||||
| Norwegian Krone | Buy | 6/18/14 | 29,505,618 | 29,282,972 | 222,646 | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 29,505,619 | 29,326,277 | (179,342) | |
|
| ||||||
| Singapore Dollar | Sell | 5/21/14 | 8,053,470 | 7,945,380 | (108,090) | |
|
| ||||||
| Swedish Krona | Buy | 6/18/14 | 14,831,102 | 14,972,441 | (141,339) | |
|
| ||||||
| Swedish Krona | Sell | 6/18/14 | 14,831,102 | 14,792,658 | (38,444) | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 19,476,569 | 19,392,560 | (84,009) | |
|
| ||||||
| UBS AG | ||||||
| Australian Dollar | Buy | 4/16/14 | 14,305,191 | 13,890,536 | 414,655 | |
|
| ||||||
| Australian Dollar | Sell | 4/16/14 | 14,305,191 | 13,458,359 | (846,832) | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 12,802,651 | 12,925,873 | 123,222 | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 19,608,187 | 20,200,880 | 592,693 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 23,646,801 | 23,628,434 | (18,367) | |
|
| ||||||
| Japanese Yen | Sell | 5/21/14 | 13,298,857 | 13,447,558 | 148,701 | |
|
| ||||||
| Mexican Peso | Buy | 4/16/14 | 6,879,039 | 6,936,568 | (57,529) | |
|
| ||||||
| Norwegian Krone | Sell | 6/18/14 | 12,812,883 | 12,794,031 | (18,852) | |
|
| ||||||
| South African Rand | Buy | 4/16/14 | 8,679,849 | 8,353,966 | 325,883 | |
|
| ||||||
| South African Rand | Sell | 4/16/14 | 8,679,849 | 8,094,255 | (585,594) | |
|
| ||||||
| Swedish Krona | Buy | 6/18/14 | 14,015,348 | 14,062,279 | (46,931) | |
|
| ||||||
| Swiss Franc | Sell | 6/18/14 | 20,370,057 | 20,275,157 | (94,900) | |
|
| ||||||
| 68 Diversified Income Trust |
| FORWARD CURRENCY CONTRACTS at 3/31/14 (aggregate face value $1,860,576,882) (Unaudited) cont. | ||||||
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type | date | Value | face value | (depreciation) |
|
| ||||||
| WestPac Banking Corp. | ||||||
| Australian Dollar | Buy | 4/16/14 | $14,203,553 | $13,549,900 | $653,653 | |
|
| ||||||
| British Pound | Sell | 6/18/14 | 17,975,163 | 17,973,628 | (1,535) | |
|
| ||||||
| Canadian Dollar | Sell | 4/16/14 | 12,557,273 | 12,989,332 | 432,059 | |
|
| ||||||
| Euro | Sell | 6/18/14 | 4,709,221 | 4,594,090 | (115,131) | |
|
| ||||||
| Total | $6,009,995 | |||||
| FUTURES CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) | |||||
| Unrealized | |||||
| Number of | Expiration | appreciation/ | |||
| contracts | Value | date | (depreciation) | ||
|
| |||||
| Australian Government Treasury | |||||
| Bond 10 yr (Short) | 16 | $1,714,548 | Jun-14 | $(14,508) | |
|
| |||||
| Euro-Bobl 5 yr (Short) | 77 | 13,299,126 | Jun-14 | (1,273) | |
|
| |||||
| Euro-Bund 10 yr (Short) | 297 | 58,665,636 | Jun-14 | (135,842) | |
|
| |||||
| Euro-Buxl 30 yr (Short) | 269 | 47,798,406 | Jun-14 | (74,859) | |
|
| |||||
| Euro-Dollar 90 day (Short) | 5,999 | 1,486,477,213 | Sep-15 | 2,022,628 | |
|
| |||||
| Japanese Government Bond | |||||
| 10 yr (Long) | 19 | 26,621,906 | Jun-14 | (13,053) | |
|
| |||||
| Japanese Government Bond | |||||
| 10 yr Mini (Long) | 25 | 3,503,125 | Jun-14 | (1,804) | |
|
| |||||
| U.S. Treasury Bond 30 yr (Long) | 195 | 25,977,656 | Jun-14 | 363,936 | |
|
| |||||
| U.S. Treasury Note 5 yr (Short) | 868 | 103,251,313 | Jun-14 | 497,571 | |
|
| |||||
| U.S. Treasury Note 10 yr (Short) | 8,473 | 1,046,415,500 | Jun-14 | 4,246,686 | |
|
| |||||
| Total | $6,889,482 | ||||
| WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/14 (premiums $55,127,522) (Unaudited) | ||||
| Counterparty | ||||
| Fixed Obligation % to receive or (pay)/ | Expiration | Contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
|
| ||||
| Bank of America N.A. | ||||
| (2.60)/3 month USD-LIBOR-BBA/Jan-25 | Jan-15/2.60 | $397,509,100 | $2,365,179 | |
|
| ||||
| Barclays Bank PLC | ||||
| 2.10/6 month EUR-EURIBOR_Reuters/Jun-24 | Jun-14/2.10 | EUR | 185,695,000 | 534,670 |
|
| ||||
| Goldman Sachs International | ||||
| 2.40/3 month USD-LIBOR-BBA/Jun-19 | Jun-14/2.40 | $531,171,233 | 419,625 | |
|
| ||||
| 2.10/6 month EUR-EURIBOR_Reuters/Jun-24 | Jun-14/2.10 | EUR | 185,695,000 | 534,670 |
|
| ||||
| JPMorgan Chase Bank N.A. | ||||
| (2.60)/3 month USD-LIBOR-BBA/Feb-25 | Feb-15/2.60 | $198,754,000 | 1,204,449 | |
|
| ||||
| (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 | Mar-18/6.00 | 270,610,000 | 46,497,022 | |
|
| ||||
| Total | $51,555,615 | |||
| Diversified Income Trust 69 |
| WRITTEN OPTIONS OUTSTANDING at 3/31/14 (premiums $12,780,391) (Unaudited) | ||||
| Expiration | Contract | |||
| date/strike price | amount | Value | ||
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Call) | Jun-14/$100.94 | $190,000,000 | $614,080 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Call) | Jun-14/100.75 | 190,000,000 | 743,090 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Call) | Jun-14/100.34 | 190,000,000 | 1,203,650 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Call) | Jun-14/100.16 | 190,000,000 | 1,379,970 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | Jun-14/99.59 | 190,000,000 | 1,309,480 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | Jun-14/99.34 | 190,000,000 | 1,163,560 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | Jun-14/98.59 | 190,000,000 | 670,510 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | Jun-14/98.34 | 190,000,000 | 565,440 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | May-14/99.41 | 198,000,000 | 601,524 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | May-14/99.20 | 198,000,000 | 529,650 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | May-14/99.00 | 198,000,000 | 440,550 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | May-14/98.41 | 198,000,000 | 209,088 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | May-14/98.20 | 198,000,000 | 165,330 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | May-14/98.00 | 198,000,000 | 128,898 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | Apr-14/100.03 | 198,000,000 | 101,376 | |
|
| ||||
| Federal National Mortgage Association | ||||
| 30 yr 3.5s TBA commitments (Put) | Apr-14/99.03 | 198,000,000 | 2,178 | |
|
| ||||
| Total | $9,828,374 | |||
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) | ||||
| Counterparty | Unrealized | |||
| Fixed right or obligation % to receive or (pay)/ | Expiration | Contract | appreciation/ | |
| Floating rate index/Maturity date | date/strike | amount | (depreciation) | |
|
| ||||
| Goldman Sachs International | ||||
| (1.56)/3 month USD-LIBOR-BBA/ | ||||
| Oct-17 (Purchased) | Oct-14/1.56 | $1,309,478,000 | $(13,095) | |
|
| ||||
| 1.03/6 month EUR-EURIBOR_Reuters/ | ||||
| Oct-17 (Written) | Oct-14/1.03 | EUR | 1,047,586,000 | 2,006,058 |
|
| ||||
| 1.575/3 month USD-LIBOR-BBA/ | ||||
| Jun-19 (Purchased) | Jun-14/1.575 | $531,171,233 | (701,146) | |
|
| ||||
| 70 Diversified Income Trust |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||
| Counterparty | Unrealized | |||
| Fixed right or obligation % to receive or (pay)/ | Expiration | Contract | appreciation/ | |
| Floating rate index/Maturity date | date/strike | amount | (depreciation) | |
|
| ||||
| JPMorgan Chase Bank N.A. | ||||
| (1.115)/3 month USD-LIBOR-BBA/ | ||||
| Oct-16 (Purchased) | Oct-14/1.115 | $523,793,000 | $(31,428) | |
|
| ||||
| 0.862/6 month EUR-EURIBOR_Reuters/ | ||||
| Oct-16 (Written) | Oct-14/0.862 | EUR | 392,846,000 | 465,436 |
|
| ||||
| Total | $1,725,825 | |||
| TBA SALE COMMITMENTS OUTSTANDING at 3/31/14 (proceeds receivable $367,959,297) (Unaudited) | ||||
| Principal | Settlement | |||
| Agency | amount | date | Value | |
|
| ||||
| Federal Home Loan Mortgage Corporation, 4 1/2s, | ||||
| April 1, 2044 | $5,000,000 | 4/10/14 | $5,330,078 | |
|
| ||||
| Federal National Mortgage Association, 4 1/2s, | ||||
| April 1, 2044 | 165,000,000 | 4/10/14 | 176,034,375 | |
|
| ||||
| Federal National Mortgage Association, 4s, April 1, 2044 | 155,000,000 | 4/10/14 | 161,115,230 | |
|
| ||||
| Federal National Mortgage Association, 3s, April 1, 2044 | 26,000,000 | 4/10/14 | 25,100,156 | |
|
| ||||
| Total | $367,579,839 | |||
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| Swap counterparty/ | premium | Termination | made by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
|
| |||||||
| Bank of America N.A. | |||||||
| MYR | 164,465,000 | $— | 3/19/19 | 4.0275% | 3 month MYR- | $205,386 | |
| KLIBOR-BNM | |||||||
|
| |||||||
| Deutsche Bank AG | |||||||
| MYR | 164,465,000 | — | 3/19/19 | 4.035% | 3 month MYR- | 188,280 | |
| KLIBOR-BNM | |||||||
|
| |||||||
| PLN | 167,112,000 | — | 3/17/24 | 4.1072% | 6 month PLN- | (474,257) | |
| WIBOR-WIBO | |||||||
|
| |||||||
| PLN | 83,320,000 | — | 3/18/24 | 4.12875% | 6 month PLN- | (284,279) | |
| WIBOR-WIBO | |||||||
|
| |||||||
| PLN | 76,955,000 | — | 3/27/24 | 4.045% | 6 month PLN- | (75,729) | |
| WIBOR-WIBO | |||||||
|
| |||||||
| Goldman Sachs International | |||||||
| CAD | 26,533,000 | — | 5/30/23 | 2.534% | 3 month CAD- | 306,397 | |
| BA-CDOR | |||||||
|
| |||||||
| EUR | 414,401,000 | — | 8/30/14 | 1 year EUR-EONIA- | 0.11% | (201,396) | |
| OIS-COMPOUND | |||||||
|
| |||||||
| EUR | 414,401,000 | — | 8/30/14 | 0.309% | 3 month EUR- | (929,281) | |
| EURIBOR- | |||||||
| REUTERS | |||||||
|
| |||||||
| EUR | 414,401,000 | — | 8/31/14 | 1 year EUR-EONIA- | 0.11% | (200,007) | |
| OIS-COMPOUND | |||||||
|
| |||||||
| EUR | 414,401,000 | — | 8/31/14 | 0.314% | 3 month EUR- | (963,171) | |
| EURIBOR- | |||||||
| REUTERS | |||||||
|
| |||||||
| Diversified Income Trust | 71 |
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| 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) | ||
|
| |||||||
| Goldman Sachs International cont. | |||||||
| EUR | 414,401,000 | $— | 9/3/14 | 1 year EUR-EONIA- | 0.086% | $(343,855) | |
| OIS-COMPOUND | |||||||
|
| |||||||
| EUR | 414,401,000 | — | 9/3/14 | 0.283% | 3 month EUR- | (782,403) | |
| EURIBOR- | |||||||
| REUTERS | |||||||
|
| |||||||
| JPMorgan Chase Bank N.A. | |||||||
| CAD | 22,875,000 | — | 2/6/24 | 3 month CAD-BA- | 2.855% | 102,320 | |
| CDOR | |||||||
|
| |||||||
| HUF | 2,390,000,000 | — | 2/4/19 | 4.79% | 6 month | (374,779) | |
| HUF-BUBOR- | |||||||
| REUTERS | |||||||
|
| |||||||
| HUF | 4,780,000,000 | — | 2/5/19 | 4.7275% | 6 month | (686,807) | |
| HUF-BUBOR- | |||||||
| REUTERS | |||||||
|
| |||||||
| HUF | 6,635,000,000 | — | 2/11/19 | 4.41% | 6 month | (510,226) | |
| HUF-BUBOR- | |||||||
| REUTERS | |||||||
|
| |||||||
| PLN | 31,950,000 | — | 2/4/19 | 6 month PLN- | 4.04% | 237,663 | |
| WIBOR-WIBO | |||||||
|
| |||||||
| PLN | 63,900,000 | — | 2/5/19 | 6 month PLN- | 3.9775% | 414,391 | |
| WIBOR-WIBO | |||||||
|
| |||||||
| PLN | 87,640,000 | — | 2/11/19 | 6 month PLN- | 3.805% | 332,003 | |
| WIBOR-WIBO | |||||||
|
| |||||||
| Total | $— | $(4,039,750) | |||||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
|
| |||||||
| EUR | 618,200,000 E | $(1,894) | 12/4/16 | 6 month EUR- | 0.926% | $1,290,931 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 618,200,000 E | (3,121) | 11/25/16 | 6 month EUR- | 0.915% | 1,268,412 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 618,200,000 E | (3,121) | 11/25/16 | 6 month EUR- | 0.925% | 1,352,727 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 618,200,000 E | (2,730) | 12/5/16 | 6 month EUR- | 0.918% | 1,196,412 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 618,200,000 E | (3,131) | 11/27/16 | 6 month EUR- | 0.942% | 1,481,318 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| $91,139,500 E | 263,113 | 6/18/16 | 3 month USD- | 0.75% | 140,257 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 2,079,959,000 E | 10,186,000 | 6/18/19 | 3 month USD- | 2.00% | 5,726,569 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 389,841,400 E | 2,798,572 | 6/18/24 | 3 month USD- | 3.00% | 592,069 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 72 Diversified Income Trust |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
|
| |||||||
| $118,520,300 E | $(2,661,423) | 6/18/44 | 3 month USD- | 3.75% | $1,304,977 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 79,710,600 E | (749) | 5/23/19 | 3 month USD- | 1.875% | 131,251 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 169,960,000 E | 1,082,339 | 6/18/17 | 3 month USD- | 1.505% | (24,101) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 91,261,000 E | 6,019 | 6/15/17 | 3 month USD- | 1.84% | 290,114 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 796,133,000 E | (631,362) | 6/18/16 | 3 month USD- | 0.65% | (1,148,053) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 933,884,000 E | 4,170,393 | 6/18/19 | 3 month USD- | 1.90% | 6,691,879 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 237,792,000 E | 925,515 | 6/18/24 | 3 month USD- | 2.90% | 132,716 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 207,433,800 | (2,738) | 3/27/24 | 3 month USD- | 2.87% | (450,451) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 139,494,100 E | (1,967) | 5/23/24 | 3 month USD- | 2.845% | (801,129) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 67,856,500 E | (638) | 5/27/19 | 3 month USD- | 1.885% | 106,779 | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 104,098,400 E | (1,468) | 5/27/24 | 3 month USD- | 2.86% | (503,118) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| 1,983,760,000 E | (11,009) | 6/17/17 | 3 month USD- | 1.617% | (635,895) | ||
| LIBOR-BBA | |||||||
|
| |||||||
| EUR | 29,639,000 E | 188,076 | 6/18/16 | 6 month EUR- | 0.75% | 1,391 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 899,464,000 E | (44,247,311) | 6/18/19 | 6 month EUR- | 1.75% | (443,478) | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 381,671,000 E | 26,662,665 | 6/18/24 | 6 month EUR- | 2.50% | (6,153,076) | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 1,110,477,000 E | (5,658) | 12/5/16 | 6 month EUR- | 1.1275% | (5,361,658) | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 698,100,000 E | (3,597) | 12/4/16 | 6 month EUR- | 0.725% | 227,220 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 224,242,000 E | (3,465) | 1/11/17 | 6 month EUR- | 1.148% | 1,037,619 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 520,032,000 E | (2,653) | 1/21/17 | 6 month EUR- | 1.031% | 1,514,729 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 928,017,000 E | (7,046) | 7/28/17 | 1 month EUR- | 0.8575% | (2,400,366) | |
| EONIA-OIS- | |||||||
| COMPOUND | |||||||
|
| |||||||
| EUR | 1,480,367,000 E | (1,153,101) | 8/12/17 | 1 month EUR- | 0.80% | 1,159,610 | |
| EONIA-OIS- | |||||||
| COMPOUND | |||||||
|
| |||||||
| EUR | 308,260,000 E | 195,559 | 2/18/24 | 6 month EUR- | 2.85% | (3,804,450) | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 10,102,000 E | (52) | 3/3/17 | 6 month EUR- | 0.839% | (2,459) | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| Diversified Income Trust | 73 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| Upfront | Payments | Payments | Unrealized | ||||
| premium | Termination | made by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
| EUR | 1,396,200,000 E | $(7,218) | 11/27/16 | 6 month EUR- | 0.729% | $242,834 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| EUR | 698,100,000 E | (3,597) | 12/4/16 | 6 month EUR- | 0.728% | 198,368 | |
| EURIBOR-REUTERS | |||||||
|
| |||||||
| GBP | 915,413,000 E | 2,466,215 | 6/18/16 | 6 month GBP- | 1.25% | 1,072,858 | |
| LIBOR-BBA | |||||||
|
| |||||||
| GBP | 324,817,000 E | (3,086,977) | 6/18/19 | 6 month GBP- | 2.25% | (486,604) | |
| LIBOR-BBA | |||||||
|
| |||||||
| JPY | 549,269,000 | (184) | 3/24/44 | 6 month JPY- | 1.80% | (45,977) | |
| LIBOR-BBA | |||||||
|
| |||||||
| JPY | 1,075,535,000 | (361) | 3/24/44 | 6 month JPY- | 1.79625% | (99,875) | |
| LIBOR-BBA | |||||||
|
| |||||||
| JPY | 29,832,600,000 | (1,171) | 3/14/19 | 6 month JPY- | 0.3175% | (135,515) | |
| LIBOR-BBA | |||||||
|
| |||||||
| JPY | 6,527,300,000 | (1,139) | 3/14/44 | 6 month JPY- | 1.795% | 589,450 | |
| LIBOR-BBA | |||||||
|
| |||||||
| JPY | 532,486,000 | (95) | 3/24/44 | 6 month JPY- | 1.80125% | (42,862) | |
| LIBOR-BBA | |||||||
|
| |||||||
| Total | $(2,904,510) | $5,211,423 | |||||
| E Extended effective date. | |||||||
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) | |||||||
| Upfront | Payments | Total return | Unrealized | ||||
| premium | Termination | received (paid) by | received by | appreciation/ | |||
| Notional amount | received (paid) | date | fund per annum | or paid by fund | (depreciation) | ||
|
| |||||||
| Bank of America N.A. | |||||||
| $14,755,181 | $— | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | $(6,771) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Barclays Bank PLC | |||||||
| 5,387,931 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 2,764 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,724,792 | — | 1/12/41 | 3.50% (1 month | Synthetic TRS Index | 1,573 | ||
| USD-LIBOR) | 3.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,351,373 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (1,928) | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,724,792 | — | 1/12/41 | 3.50% (1 month | Synthetic MBX Index | 5,222 | ||
| USD-LIBOR) | 3.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,349,075 | — | 1/12/41 | 4.00% (1 month | Synthetic MBX Index | (7,733) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 74 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||||
| 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 cont. | ||||||
| $2,139,052 | $— | 1/12/41 | 4.50% (1 month | Synthetic MBX Index | $1,874 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 7,955,856 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (3,269) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,688,242 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 3,431 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,981,893 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 2,132 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 68,241,572 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (59,978) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 10,444,330 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (6,631) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,291,922 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 1,174 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,984,719 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (1,895) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,632,754 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | 1,941 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,058,121 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 1,056 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 25,717,438 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 9,168 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,115,627 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (6,544) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 17,520,446 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (52,921) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 19,689,928 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 7,019 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,918,308 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (3,757) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 904,416 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (3,698) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| Diversified Income Trust | 75 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||||
| 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 cont. | ||||||
| $2,395,109 | $— | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | $854 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,155,756 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (354) | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 26,781,791 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (80,895) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 19,510,165 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (12,386) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 7,394,907 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (22,336) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,561,707 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 1,827 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 527,851 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | (253) | |
| USD-LIBOR | 4.50% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 28,944,386 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX Index | 34,411 | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 106,101,008 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 37,823 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 29,956,023 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 10,679 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,721,189 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 2,422 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 15,310,038 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 7,853 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 11,099,477 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX Index | 5,694 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 104,688 | — | 1/12/39 | (6.00%)1 month | Synthetic TRS Index | (112) | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,730,521 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 2,028 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 12,306,395 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 5,647 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 76 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||||
| 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 cont. | ||||||
| $39,989,762 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $(120,789) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 8,911,442 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | (25,972) | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 27,681,045 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 12,703 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,093,587 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (15,205) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,046,436 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (7,602) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,046,436 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (7,602) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,114,449 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (15,257) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 15,880,816 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (39,626) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 6,114,653 | — | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | (15,257) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 11,357,147 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 8,434 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 6,837,247 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 5,078 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 5,270,368 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 1,879 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 8,671,739 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 6,440 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 12,701,542 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (38,365) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 12,386,831 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (50,644) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,777,300 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (7,267) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| Diversified Income Trust | 77 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||||
| 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 cont. | ||||||
| $12,207,729 | $— | 1/12/39 | (5.50%) 1 month | Synthetic MBX Index | $(30,461) | |
| USD-LIBOR | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 7,135,882 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (21,554) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 19,752,474 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 16,199 | |
| USD-LIBOR | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,400,422 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (16,312) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,822,645 | — | 1/12/44 | 3.00% (1 month | Synthetic MBX Index | 20,799 | |
| USD-LIBOR) | 3.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,497,557 | (7,024) | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (10,647) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,744,638 | 9,873 | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (1,306) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 70,250,000 | — | 3/20/24 | (2.505%) | USA Non Revised | (347,457) | |
| Consumer Price | ||||||
| Index-Urban (CPI-U) | ||||||
|
| ||||||
| 338,447,000 | — | 3/20/16 | 1.795% | USA Non Revised | 59,228 | |
| Consumer Price | ||||||
| Index-Urban (CPI-U) | ||||||
|
| ||||||
| 54,498,000 | — | 3/21/24 | (2.505%) | USA Non Revised | (269,493) | |
| Consumer Price | ||||||
| Index-Urban (CPI-U) | ||||||
|
| ||||||
| Citibank, N.A. | ||||||
| 3,195,516 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 1,139 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 19,222,475 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 6,852 | |
| USD-LIBOR) | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 13,293,781 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 6,101 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 209,600,000 | — | 2/3/16 | 1.795% | USA Non Revised | (129,952) | |
| Consumer Price | ||||||
| Index-Urban (CPI-U) | ||||||
|
| ||||||
| 23,690,858 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 10,872 | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 78 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| 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) | ||
|
| |||||||
| Citibank, N.A. cont. | |||||||
| $52,400,000 | $— | 1/31/16 | 1.795% | USA Non Revised | $(34,584) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| EUR | 134,930,000 | — | 2/21/19 | (1.235%) | Eurostat Eurozone | (606,361) | |
| HICP excluding | |||||||
| tobacco | |||||||
|
| |||||||
| EUR | 70,320,000 | — | 2/21/24 | 1.69% | Eurostat Eurozone | 527,201 | |
| HICP excluding | |||||||
| tobacco | |||||||
|
| |||||||
| $340,349,000 | — | 3/27/16 | 1.7475% | USA Non Revised | (136,140) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| 70,645,000 | — | 3/27/24 | (2.4825%) | USA Non Revised | (241,253) | ||
| Consumer Price | |||||||
| Index-Urban (CPI-U) | |||||||
|
| |||||||
| Credit Suisse International | |||||||
| 11,286,591 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 4,023 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 58,957,753 | — | 1/12/41 | 4.50% (1 month | Synthetic MBX Index | 33,183 | ||
| USD-LIBOR) | 4.50% 30 year Ginnie | ||||||
| Mae II pools | |||||||
|
| |||||||
| 2,351,373 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 838 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 12,127,603 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (36,632) | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 152,795 | — | 1/12/40 | 5.00% (1 month | Synthetic TRS Index | 18 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 488,639 | — | 1/12/34 | 5.00% (1 month | Synthetic MBX Index | 250 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 623,487 | — | 1/12/36 | 5.00% (1 month | Synthetic MBX Index | 222 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 520,819 | — | 1/12/39 | 5.00% (1 month | Synthetic MBX Index | 186 | ||
| USD-LIBOR) | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,787,518 | — | 1/12/42 | 4.50% (1 month | Synthetic TRS Index | (2,588) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,787,518 | — | 1/12/42 | 4.50% (1 month | Synthetic MBX Index | 2,876 | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Diversified Income Trust 79 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| 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) | ||
|
| |||||||
| Credit Suisse International cont. | |||||||
| $4,521,905 | $— | 1/12/43 | 3.00% (1 month | Synthetic TRS Index | $3,539 | ||
| USD-LIBOR) | 3.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 20,844,207 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 9,566 | ||
| USD-LIBOR | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 19,996,715 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 9,177 | ||
| USD-LIBOR | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 21,319,504 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 9,784 | ||
| USD-LIBOR | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 22,261,971 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 10,216 | ||
| USD-LIBOR | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 8,158,779 | — | 1/12/41 | (4.50%) 1 month | Synthetic TRS Index | 3,744 | ||
| USD-LIBOR | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 20,166,909 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 14,977 | ||
| USD-LIBOR) | 5.00% 30 year Ginnie | ||||||
| Mae II pools | |||||||
|
| |||||||
| 20,210,992 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 16,575 | ||
| USD-LIBOR | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 24,790,056 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS Index | 20,330 | ||
| USD-LIBOR | 5.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 33,251,346 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 24,693 | ||
| USD-LIBOR) | 5.00% 30 year Ginnie | ||||||
| Mae II pools | |||||||
|
| |||||||
| 4,822,645 | — | 1/12/44 | 3.00% (1 month | Synthetic TRS Index | 6,786 | ||
| USD-LIBOR) | 3.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| EUR | 40,450,000 | — | 3/27/19 | (1.1913%) | Eurostat Eurozone | (88,381) | |
| HICP excluding | |||||||
| tobacco | |||||||
|
| |||||||
| EUR | 134,930,000 | — | 2/20/19 | (1.2225%) | Eurostat Eurozone | (487,952) | |
| HICP excluding | |||||||
| tobacco | |||||||
|
| |||||||
| EUR | 70,320,000 | — | 2/20/24 | 1.68% | Eurostat Eurozone | 430,034 | |
| HICP excluding | |||||||
| tobacco | |||||||
|
| |||||||
| EUR | 40,450,000 | — | 3/24/19 | (1.1925%) | Eurostat Eurozone | (89,162) | |
| HICP excluding | |||||||
| tobacco | |||||||
|
| |||||||
| 80 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| 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) | ||
|
| |||||||
| Credit Suisse International cont. | |||||||
| GBP | 34,210,000 | $— | 3/20/19 | 3.05% | GBP Non-revised UK | $(151,708) | |
| Retail Price Index | |||||||
|
| |||||||
| GBP | 34,210,000 | — | 3/25/19 | 3.0413% | GBP Non-revised UK | (177,373) | |
| Retail Price Index | |||||||
|
| |||||||
| Deutsche Bank AG | |||||||
| $3,532,013 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX Index | (2,242) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 12,127,603 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (36,632) | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 374,792 | — | 1/12/34 | 5.50% (1 month | Synthetic MBX Index | 1,052 | ||
| USD-LIBOR) | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 650,410 | — | 1/12/36 | 5.50% (1 month | Synthetic MBX Index | 1,825 | ||
| USD-LIBOR) | 5.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Goldman Sachs International | |||||||
| 12,849,273 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (13,749) | ||
| USD-LIBOR) | 6.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,349,075 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (2,065) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,139,052 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (982) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 4,213,332 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (17,226) | ||
| USD-LIBOR) | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 19,883,514 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (8,170) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 19,883,514 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (8,170) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 29,520,202 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (13,547) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 26,703,499 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (12,254) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 6,098,871 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (18,422) | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 2,291,207 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (6,921) | ||
| USD-LIBOR | 6.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Diversified Income Trust | 81 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||||
| 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) | |
|
| ||||||
| Goldman Sachs International cont. | ||||||
| $49,717,132 | $— | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | $(22,816) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,501,574 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (4,817) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,515,950 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (4,579) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 13,907,048 | — | 1/12/40 | 4.00% (1 month | Synthetic TRS Index | (12,209) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,433,071 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (1,533) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 8,970,172 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (9,599) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,041,412 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX Index | (5,950) | |
| USD-LIBOR | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,627,647 | — | 1/12/38 | 6.50% (1 month | Synthetic MBX Index | 7,937 | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,707,740 | — | 1/12/40 | (5.00%) 1 month | Synthetic MBX Index | (1,902) | |
| USD-LIBOR | 5.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,789,555 | — | 1/12/39 | 5.50% (1 month | Synthetic MBX Index | 4,465 | |
| USD-LIBOR) | 5.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,103,986 | — | 1/12/40 | (4.50%) 1 month | Synthetic MBX Index | (3,690) | |
| USD-LIBOR | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 20,867,304 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (18,341) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 4,540,777 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (13,715) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 8,354,807 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (25,236) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 446,675 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 332 | |
| USD-LIBOR) | 5.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 616,393 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS Index | (325) | |
| USD-LIBOR | 4.00% 30 year Ginnie | |||||
| Mae II pools | ||||||
|
| ||||||
| 82 Diversified Income Trust |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | ||||||
| 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) | |
|
| ||||||
| Goldman Sachs International cont. | ||||||
| $5,449,134 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | $(16,459) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 2,816,939 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (11,517) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 416,078 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (1,257) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 1,109,979 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (3,353) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 379,089 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (1,145) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 16,142 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (66) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,468,033 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS Index | (22,356) | |
| USD-LIBOR) | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 21,660,557 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (8,900) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 3,132,964 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX Index | (9,463) | |
| USD-LIBOR | 6.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 5,832,051 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS Index | (6,241) | |
| USD-LIBOR) | 6.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 12,914,388 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (5,927) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 28,223,832 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS Index | (11,597) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 14,755,181 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (6,771) | |
| USD-LIBOR) | 4.50% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 19,521,284 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (17,157) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 13,790,950 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (12,121) | |
| USD-LIBOR) | 4.00% 30 year Fannie | |||||
| Mae pools | ||||||
|
| ||||||
| 382,660,000 | — | 3/3/19 | 2.13% | USA Non Revised | 627,562 | |
| Consumer Price | ||||||
| Index-Urban (CPI-U) | ||||||
|
| ||||||
| Diversified Income Trust 83 |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| 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) | ||
|
| |||||||
| JPMorgan Chase Bank N.A. | |||||||
| $30,904,902 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | $(27,163) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| 19,733,183 | — | 1/12/41 | 4.50% (1 month | Synthetic TRS Index | (9,056) | ||
| USD-LIBOR) | 4.50% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Royal Bank of Scotland PLC (The) | |||||||
| 2,349,075 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS Index | (2,065) | ||
| USD-LIBOR) | 4.00% 30 year Fannie | ||||||
| Mae pools | |||||||
|
| |||||||
| Total | $2,849 | $(1,858,362) | |||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
|
| |||||||
| Bank of America N.A. | |||||||
| CMBX NA | BBB–/P | $39,713 | $581,000 | 5/11/63 | 300 bp | $31,976 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 79,608 | 1,321,000 | 5/11/63 | 300 bp | 62,016 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 163,473 | 2,648,000 | 5/11/63 | 300 bp | 128,210 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 155,838 | 2,734,000 | 5/11/63 | 300 bp | 119,430 | |
| BBB– Index | |||||||
|
| |||||||
| Barclays Bank PLC | |||||||
| CMBX NA | BBB–/P | 411,735 | 3,714,000 | 5/11/63 | 300 bp | 362,277 | |
| BBB– Index | |||||||
|
| |||||||
| Irish Gov’t, 4.50%, | — | (336,426) | 4,199,000 | 9/20/17 | (100 bp) | (401,231) | |
| 4/18/20 | |||||||
|
| |||||||
| Obrigacoes Do | — | (685,119) | 4,199,000 | 9/20/17 | (100 bp) | (633,527) | |
| Tesouro, 5.45%, | |||||||
| 9/23/13 | |||||||
|
| |||||||
| Credit Suisse International | |||||||
| CMBX NA | BBB–/P | 202,017 | 2,538,000 | 5/11/63 | 300 bp | 168,219 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 199,232 | 2,735,000 | 5/11/63 | 300 bp | 162,811 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 32,415 | 2,792,000 | 5/11/63 | 300 bp | (4,765) | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 47,813 | 3,112,000 | 5/11/63 | 300 bp | 6,372 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 254,058 | 3,184,000 | 5/11/63 | 300 bp | 211,658 | |
| BBB– Index | |||||||
|
| |||||||
| 84 Diversified Income Trust |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
|
| |||||||
| Credit Suisse International cont. | |||||||
| CMBX NA | BBB–/P | $361,220 | $3,197,000 | 5/11/63 | 300 bp | $318,647 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 211,953 | 3,222,000 | 5/11/63 | 300 bp | 169,047 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 249,546 | 3,223,000 | 5/11/63 | 300 bp | 206,627 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 56,804 | 3,224,000 | 5/11/63 | 300 bp | 13,871 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 98,311 | 3,231,000 | 5/11/63 | 300 bp | 55,285 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 306,092 | 3,994,000 | 5/11/63 | 300 bp | 252,905 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 254,058 | 6,191,000 | 5/11/63 | 300 bp | 171,615 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA BB Index | — | (32,354) | 6,193,000 | 5/11/63 | (500 bp) | 74,337 | |
|
| |||||||
| CMBX NA BB Index | — | (62,472) | 3,577,000 | 5/11/63 | (500 bp) | (848) | |
|
| |||||||
| CMBX NA BB Index | — | (18,808) | 2,062,000 | 5/11/63 | (500 bp) | 16,715 | |
|
| |||||||
| CMBX NA BB Index | — | (70,192) | 3,619,000 | 5/11/63 | (500 bp) | (7,845) | |
|
| |||||||
| CMBX NA | BBB–/P | 122,967 | 1,424,000 | 5/11/63 | 300 bp | 104,004 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 166,893 | 1,918,000 | 5/11/63 | 300 bp | 141,351 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 149,128 | 3,116,000 | 5/11/63 | 300 bp | 107,633 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 155,182 | 3,592,000 | 5/11/63 | 300 bp | 107,349 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 97,963 | 4,117,000 | 5/11/63 | 300 bp | 43,138 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 165,144 | 8,748,000 | 5/11/63 | 300 bp | 48,650 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 189,437 | 8,748,000 | 5/11/63 | 300 bp | 72,943 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | BBB–/P | 379,119 | 15,496,000 | 5/11/63 | 300 bp | 172,764 | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | — | (149,480) | 3,185,000 | 1/17/47 | (300 bp) | (34,130) | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | — | (186,517) | 3,184,000 | 1/17/47 | (300 bp) | (71,203) | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | — | (173,722) | 3,075,000 | 1/17/47 | (300 bp) | (62,356) | |
| BBB– Index | |||||||
|
| |||||||
| CMBX NA | — | (187,124) | 3,075,000 | 1/17/47 | (300 bp) | (75,757) | |
| BBB– Index | |||||||
|
| |||||||
| Spain Gov’t, 5.50%, | — | (495,028) | 4,199,000 | 9/20/17 | (100 bp) | (532,896) | |
| 7/30/17 | |||||||
|
| |||||||
| Diversified Income Trust 85 |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/14 (Unaudited) cont. | |||||||
| Upfront | Payments | ||||||
| premium | Termi- | received | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | (paid) by fund | appreciation/ | ||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |
|
| |||||||
| Deutsche Bank AG | |||||||
| Republic of | Caa1 | $334,446 | $2,860,000 | 3/20/17 | 500 bp | $(615,069) | |
| Argentina, 8.28%, | |||||||
| 12/31/33 | |||||||
|
| |||||||
| Total | $2,486,923 | $890,223 | |||||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2014. Securities rated by Putnam are indicated by “/P.”
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 |
|
| |||
| Convertible bonds and notes | $— | $1,281,963 | $— |
|
| |||
| Corporate bonds and notes | — | 1,828,700,028 | — |
|
| |||
| Foreign government and agency bonds and notes | — | 489,774,615 | — |
|
| |||
| Mortgage-backed securities | — | 2,747,635,665 | — |
|
| |||
| Purchased options outstanding | — | 12,883,980 | — |
|
| |||
| Purchased swap options outstanding | — | 3,504,771 | — |
|
| |||
| Senior loans | — | 112,653,235 | — |
|
| |||
| U.S. government and agency mortgage obligations | — | 738,653,138 | — |
|
| |||
| U.S. treasury obligations | — | 2,070,966 | — |
|
| |||
| Short-term investments | 397,273,371 | 350,677,272 | — |
|
| |||
| Totals by level | $397,273,371 | $6,287,835,633 | $— |
| 86 Diversified Income Trust |
| Valuation inputs | |||
|
| |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
|
| |||
| Forward currency contracts | $— | $6,009,995 | $— |
|
| |||
| Futures contracts | 6,889,482 | — | — |
|
| |||
| Written options outstanding | — | (9,828,374) | — |
|
| |||
| Written swap options outstanding | — | (51,555,615) | — |
|
| |||
| Forward premium swap option contracts | — | 1,725,825 | — |
|
| |||
| TBA sale commitments | — | (367,579,839) | — |
|
| |||
| Interest rate swap contracts | — | 4,076,183 | — |
|
| |||
| Total return swap contracts | — | (1,861,211) | — |
|
| |||
| Credit default contracts | — | (1,596,700) | — |
|
| |||
| Totals by level | $6,889,482 | $(420,609,736) | $— |
At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund’s portfolio.
The accompanying notes are an integral part of these financial statements.
| Diversified Income Trust | 87 |
Statement of assets and liabilities 3/31/14 (Unaudited)
| ASSETS | |||||||
|
| |||||||
| Investment in securities, at value (Note 1): | |||||||
| Unaffiliated issuers (identified cost $5,999,100,581) | $6,287,835,633 | ||||||
| Affiliated issuers (identified cost $397,273,371) (Note 5) | 397,273,371 | ||||||
|
| |||||||
| Cash | 25,809,458 | ||||||
|
| |||||||
| Foreign currency (cost $342,051) (Note 1) | 349,533 | ||||||
|
| |||||||
| Interest and other receivables | 73,499,878 | ||||||
|
| |||||||
| Receivable for shares of the fund sold | 37,412,596 | ||||||
|
| |||||||
| Receivable for investments sold | 47,875,479 | ||||||
|
| |||||||
| Receivable for sales of delayed delivery securities (Notes 1, 6 and 7) | 270,597,169 | ||||||
|
| |||||||
| Receivable for variation margin (Note 1) | 62,451,640 | ||||||
|
| |||||||
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 2,471,494 | ||||||
|
| |||||||
| Unrealized appreciation on forward currency contracts (Note 1) | 19,759,128 | ||||||
|
| |||||||
| Unrealized appreciation on OTC swap contracts (Note 1) | 7,189,997 | ||||||
|
| |||||||
| Premium paid on OTC swap contracts (Note 1) | 2,404,266 | ||||||
|
| |||||||
| Prepaid assets | 252,680 | ||||||
|
| |||||||
| Total assets | 7,235,182,322 | ||||||
| LIABILITIES | |||||||
|
| |||||||
| Payable for investments purchased | 103,741,003 | ||||||
|
| |||||||
| Payable for purchases of delayed delivery securities (Notes 1, 6 and 7) | 639,269,496 | ||||||
|
| |||||||
| Payable for shares of the fund repurchased | 8,786,341 | ||||||
|
| |||||||
| Payable for compensation of Manager (Note 2) | 2,662,263 | ||||||
|
| |||||||
| Payable for investor servicing fees (Note 2) | 1,272,693 | ||||||
|
| |||||||
| Payable for custodian fees (Note 2) | 42,058 | ||||||
|
| |||||||
| Payable for Trustee compensation and expenses (Note 2) | 860,624 | ||||||
|
| |||||||
| Payable for administrative services (Note 2) | 8,960 | ||||||
|
| |||||||
| Payable for distribution fees (Note 2) | 2,640,960 | ||||||
|
| |||||||
| Payable for variation margin (Note 1) | 55,976,003 | ||||||
|
| |||||||
| Unrealized depreciation on forward currency contracts (Note 1) | 13,749,133 | ||||||
|
| |||||||
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 745,669 | ||||||
|
| |||||||
| Written options outstanding, at value (premiums $67,907,913) (Notes 1 and 3) | 61,383,989 | ||||||
|
| |||||||
| Premium received on OTC swap contracts (Note 1) | 4,894,038 | ||||||
|
| |||||||
| Unrealized depreciation on OTC swap contracts (Note 1) | 12,197,886 | ||||||
|
| |||||||
| TBA sale commitments, at value (proceeds receivable $367,959,297) (Note 1) | 367,579,839 | ||||||
|
| |||||||
| Collateral on certain derivative contracts, at value (Note 1) | 2,070,966 | ||||||
|
| |||||||
| Other accrued expenses | 717,430 | ||||||
|
| |||||||
| Total liabilities | 1,278,599,351 | ||||||
| Net assets | $5,956,582,971 | ||||||
|
| |||||||
(Continued on next page)
| 88 Diversified Income Trust |
Statement of assets and liabilities (Continued)
| REPRESENTED BY | |||||||
|
| |||||||
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $6,409,811,123 | ||||||
|
| |||||||
| Undistributed net investment income (Note 1) | 33,244,250 | ||||||
|
| |||||||
| Accumulated net realized loss on investments and foreign currency transactions (Note 1) | (796,923,177) | ||||||
|
| |||||||
| Net unrealized appreciation of investments and assets and liabilities in foreign currencies | 310,450,775 | ||||||
|
| |||||||
| Total — Representing net assets applicable to capital shares outstanding | $5,956,582,971 | ||||||
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |||||||
|
| |||||||
| Net asset value and redemption price per class A share | |||||||
| ($2,889,329,186 divided by 361,229,881 shares) | $8.00 | ||||||
|
| |||||||
| Offering price per class A share (100/96.00 of $8.00)* | $8.33 | ||||||
|
| |||||||
| Net asset value and offering price per class B share ($84,258,993 divided by 10,630,823 shares)** | $7.93 | ||||||
|
| |||||||
| Net asset value and offering price per class C share ($949,347,122 divided by 120,538,583 shares)** | $7.88 | ||||||
|
| |||||||
| Net asset value and redemption price per class M share | |||||||
| ($231,504,912 divided by 29,376,458 shares) | $7.88 | ||||||
|
| |||||||
| Offering price per class M share (100/96.75 of $7.88)† | $8.14 | ||||||
|
| |||||||
| Net asset value, offering price and redemption price per class R share | |||||||
| ($5,575,649 divided by 704,344 shares) | $7.92 | ||||||
|
| |||||||
| Net asset value, offering price and redemption price per class R5 share | |||||||
| ($10,465 divided by 1,319 shares) | $7.93 | ||||||
|
| |||||||
| Net asset value, offering price and redemption price per class R6 share | |||||||
| ($13,791,803 divided by 1,738,385 shares) | $7.93 | ||||||
|
| |||||||
| Net asset value, offering price and redemption price per class Y share | |||||||
| ($1,782,764,841 divided by 224,802,155 shares) | $7.93 | ||||||
|
| |||||||
* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
† On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
The accompanying notes are an integral part of these financial statements.
| Diversified Income Trust 89 |
Statement of operations Six months ended 3/31/14 (Unaudited)
| INVESTMENT INCOME | |
|
| |
| Interest (including interest income of $130,792 from investments in affiliated issuers) (Note 5) | $157,281,714 |
| EXPENSES | |
|
| |
| Compensation of Manager (Note 2) | 14,226,617 |
|
| |
| Investor servicing fees (Note 2) | 3,618,287 |
|
| |
| Custodian fees (Note 2) | 100,630 |
|
| |
| Trustee compensation and expenses (Note 2) | 182,506 |
|
| |
| Distribution fees (Note 2) | 8,403,867 |
|
| |
| Administrative services (Note 2) | 83,312 |
|
| |
| Other | 1,112,693 |
|
| |
| Total expenses | 27,727,912 |
| Expense reduction (Note 2) | (10,268) |
|
| |
| Net expenses | 27,717,644 |
| Net investment income | 129,564,070 |
|
| |
| Net realized loss on investments (Notes 1 and 3) | (1,088,284) |
|
| |
| Net realized loss on swap contracts (Note 1) | (64,409,484) |
|
| |
| Net realized loss on futures contracts (Note 1) | (15,425,865) |
|
| |
| Net realized loss on foreign currency transactions (Note 1) | (36,966,769) |
|
| |
| Net realized gain on written options (Notes 1 and 3) | 16,468,358 |
|
| |
| Net unrealized appreciation of assets and liabilities in foreign currencies during the period | 25,928,817 |
|
| |
| Net unrealized appreciation of investments, futures contracts, swap contracts, written options | |
| and TBA sale commitments during the period | 265,047,463 |
|
| |
| Net gain on investments | 189,554,236 |
| Net increase in net assets resulting from operations | $319,118,306 |
|
| |
The accompanying notes are an integral part of these financial statements.
| 90 Diversified Income Trust |
Statement of changes in net assets
| INCREASE IN NET ASSETS | Six months ended 3/31/14* | Year ended 9/30/13 |
|
| ||
| Operations: | ||
| Net investment income | $129,564,070 | $198,177,674 |
|
| ||
| Net realized gain (loss) on investments | ||
| and foreign currency transactions | (101,422,044) | 102,199,625 |
|
| ||
| Net unrealized appreciation (depreciation) of investments | ||
| and assets and liabilities in foreign currencies | 290,976,280 | (55,977,998) |
|
| ||
| Net increase in net assets resulting from operations | 319,118,306 | 244,399,301 |
|
| ||
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
|
| ||
| Class A | (72,061,548) | (107,949,966) |
|
| ||
| Class B | (2,011,280) | (3,827,212) |
|
| ||
| Class C | (20,843,670) | (33,071,053) |
|
| ||
| Class M | (6,284,443) | (13,668,889) |
|
| ||
| Class R | (137,469) | (240,459) |
|
| ||
| Class R5 | (252) | — |
|
| ||
| Class R6 | (201,312) | — |
|
| ||
| Class Y | (45,113,309) | (43,650,103) |
|
| ||
| Increase from capital share transactions (Note 4) | 1,188,198,897 | 1,232,719,805 |
|
| ||
| Total increase in net assets | 1,360,663,920 | 1,274,711,424 |
| NET ASSETS | ||
|
| ||
| Beginning of period | 4,595,919,051 | 3,321,207,627 |
|
| ||
| End of period (including undistributed net investment | ||
| income of $33,244,250 and $50,333,463, respectively) | $5,956,582,971 | $4,595,919,051 |
|
| ||
| *Unaudited |
The accompanying notes are an integral part of these financial statements.
| Diversified Income Trust | 91 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS: | LESS DISTRIBUTIONS: | RATIOS AND SUPPLEMENTAL DATA: | |||||||||||||
|
| |||||||||||||||
| Ratio | |||||||||||||||
| Net asset | Net realized | Ratio | of net investment | ||||||||||||
| value, | and unrealized | Total from | From | Total return | Net assets, | of expenses | income (loss) | ||||||||
| beginning | Net investment | gain (loss) | investment | net investment | From | Total | Redemption | Non-recurring | Net asset value, | at net asset | end of period | to average | to average | Portfolio | |
| Period ended | of period | income (loss) a | on investments | operations | income | return of capital | distributions | fees | reimbursements | end of period | value (%) b | (in thousands) | net assets (%) c | net assets (%) | turnover (%) d |
|
| |||||||||||||||
| Class A | |||||||||||||||
| March 31, 2014** | $7.74 | .20 | .28 | .48 | (.22) | — | (.22) | — | — | $8.00 | 6.32* | $2,889,329 | .49* | 2.51* | 52* |
| September 30, 2013 | 7.59 | .44 | .15 | .59 | (.44) | — | (.44) | — | — | 7.74 | 7.93 | 2,286,977 | .99 | 5.58 | 180 |
| September 30, 2012 | 7.35 | .42 | .27 | .69 | (.15) | (.30) | (.45) | — | — | 7.59 | 9.58 | 1,788,786 | .99 | 5.67 | 120 |
| September 30, 2011 | 8.08 | .45 | (.58) | (.13) | (.60) | — | (.60) | — | — e,f | 7.35 | (2.04) | 2,162,131 | .98 | 5.57 | 165 |
| September 30, 2010 | 7.89 | .72 | .63 | 1.35 | (1.16) | — | (1.16) | — e | — | 8.08 | 18.39 | 2,328,480 | 1.01 g | 8.96 | 95 |
| September 30, 2009 | 8.10 | .49 | (.02) | .47 | (.68) | — | (.68) | — e | — e,h | 7.89 | 8.23 | 1,334,298 | 1.13 g,i | 7.44 i | 223 |
|
| |||||||||||||||
| Class B | |||||||||||||||
| March 31, 2014** | $7.67 | .17 | .28 | .45 | (.19) | — | (.19) | — | — | $7.93 | 5.97* | $84,259 | .87* | 2.12* | 52* |
| September 30, 2013 | 7.53 | .38 | .14 | .52 | (.38) | — | (.38) | — | — | 7.67 | 7.03 | 79,540 | 1.74 | 4.85 | 180 |
| September 30, 2012 | 7.29 | .37 | .26 | .63 | (.13) | (.26) | (.39) | — | — | 7.53 | 8.82 | 75,534 | 1.74 | 4.92 | 120 |
| September 30, 2011 | 8.01 | .39 | (.57) | (.18) | (.54) | — | (.54) | — | — e,f | 7.29 | (2.69) | 81,208 | 1.73 | 4.88 | 165 |
| September 30, 2010 | 7.83 | .66 | .62 | 1.28 | (1.10) | — | (1.10) | — e | — | 8.01 | 17.50 | 96,346 | 1.76 g | 8.36 | 95 |
| September 30, 2009 | 8.04 | .42 | — e | .42 | (.63) | — | (.63) | — e | — e,h | 7.83 | 7.43 | 83,497 | 1.88 g,i | 6.41 i | 223 |
|
| |||||||||||||||
| Class C | |||||||||||||||
| March 31, 2014** | $7.62 | .17 | .28 | .45 | (.19) | — | (.19) | — | — | $7.88 | 6.01* | $949,347 | .87* | 2.13* | 52* |
| September 30, 2013 | 7.48 | .37 | .16 | .53 | (.39) | — | (.39) | — | — | 7.62 | 7.09 | 749,897 | 1.74 | 4.84 | 180 |
| September 30, 2012 | 7.25 | .36 | .26 | .62 | (.13) | (.26) | (.39) | — | — | 7.48 | 8.73 | 644,638 | 1.74 | 4.93 | 120 |
| September 30, 2011 | 7.97 | .38 | (.56) | (.18) | (.54) | — | (.54) | — | — e,f | 7.25 | (2.68) | 776,778 | 1.73 | 4.82 | 165 |
| September 30, 2010 | 7.80 | .64 | .63 | 1.27 | (1.10) | — | (1.10) | — e | — | 7.97 | 17.47 | 797,345 | 1.76 g | 8.10 | 95 |
| September 30, 2009 | 8.03 | .48 | (.07) | .41 | (.64) | — | (.64) | — e | — e,h | 7.80 | 7.27 | 298,231 | 1.88 g,i | 7.12 i | 223 |
|
| |||||||||||||||
| Class M | |||||||||||||||
| March 31, 2014** | $7.62 | .18 | .29 | .47 | (.21) | — | (.21) | — | — | $7.88 | 6.25* | $231,505 | .62* | 2.35* | 52* |
| September 30, 2013 | 7.48 | .41 | .15 | .56 | (.42) | — | (.42) | — | — | 7.62 | 7.60 | 233,513 | 1.24 | 5.35 | 180 |
| September 30, 2012 | 7.25 | .40 | .25 | .65 | (.14) | (.28) | (.42) | — | — | 7.48 | 9.29 | 260,630 | 1.24 | 5.43 | 120 |
| September 30, 2011 | 7.97 | .43 | (.57) | (.14) | (.58) | — | (.58) | — | — e,f | 7.25 | (2.22) | 312,812 | 1.23 | 5.44 | 165 |
| September 30, 2010 | 7.79 | .70 | .62 | 1.32 | (1.14) | — | (1.14) | — e | — | 7.97 | 18.13 | 436,826 | 1.26 g | 8.92 | 95 |
| September 30, 2009 | 8.02 | .45 | (.01) | .44 | (.67) | — | (.67) | — e | — e,h | 7.79 | 7.81 | 460,240 | 1.38 g,i | 6.98 i | 223 |
|
| |||||||||||||||
| Class R | |||||||||||||||
| March 31, 2014** | $7.66 | .19 | .28 | .47 | (.21) | — | (.21) | — | — | $7.92 | 6.25* | $5,576 | .62* | 2.38* | 52* |
| September 30, 2013 | 7.52 | .41 | .15 | .56 | (.42) | — | (.42) | — | — | 7.66 | 7.55 | 4,611 | 1.24 | 5.35 | 180 |
| September 30, 2012 | 7.28 | .40 | .26 | .66 | (.14) | (.28) | (.42) | — | — | 7.52 | 9.38 | 4,307 | 1.24 | 5.44 | 120 |
| September 30, 2011 | 8.00 | .43 | (.57) | (.14) | (.58) | — | (.58) | — | — e,f | 7.28 | (2.21) | 4,315 | 1.23 | 5.34 | 165 |
| September 30, 2010 | 7.82 | .70 | .62 | 1.32 | (1.14) | — | (1.14) | — e | — | 8.00 | 18.08 | 4,185 | 1.26 g | 8.82 | 95 |
| September 30, 2009 | 8.06 | .48 | (.05) | .43 | (.67) | — | (.67) | — e | — e,h | 7.82 | 7.68 | 2,956 | 1.38 g,i | 7.20 i | 223 |
|
| |||||||||||||||
| Class R5 | |||||||||||||||
| March 31, 2014 †** | $7.77 | .17 | .18 | .35 | (.19) | — | (.19) | — | — | $7.93 | 4.63* | $10 | .30* | 2.22* | 52* |
|
| |||||||||||||||
| Class R6 | |||||||||||||||
| March 31, 2014 †** | $7.77 | .17 | .19 | .36 | (.20) | — | (.20) | — | — | $7.93 | 4.64* | $13,792 | .27* | 2.22* | 52* |
|
| |||||||||||||||
| Class Y | |||||||||||||||
| March 31, 2014** | $7.68 | .21 | .27 | .48 | (.23) | — | (.23) | — | — | $7.93 | 6.40* | $1,782,765 | .37* | 2.65* | 52* |
| September 30, 2013 | 7.54 | .45 | .16 | .61 | (.47) | — | (.47) | — | — | 7.68 | 8.18 | 1,241,380 | .74 | 5.79 | 180 |
| September 30, 2012 | 7.30 | .44 | .27 | .71 | (.16) | (.31) | (.47) | — | — | 7.54 | 9.98 | 547,313 | .74 | 5.92 | 120 |
| September 30, 2011 | 8.04 | .46 | (.58) | (.12) | (.62) | — | (.62) | — | — e,f | 7.30 | (1.89) | 814,084 | .73 | 5.79 | 165 |
| September 30, 2010 | 7.85 | .73 | .64 | 1.37 | (1.18) | — | (1.18) | — e | — | 8.04 | 18.84 | 991,846 | .76 g | 9.18 | 95 |
| September 30, 2009 | 8.08 | .60 | (.13) | .47 | (.70) | — | (.70) | — e | — e,h | 7.85 | 8.26 | 331,995 | .88 g,i | 8.61 i | 223 |
|
| |||||||||||||||
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 92 Diversified Income Trust | Diversified Income Trust | 93 |
Financial highlights (Continued)
* Not annualized.
† For the period November 1, 2013 (commencement of operations) to March 31, 2014.
** Unaudited.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset arrangements (Note 2). Also excludes acquired funds, if any.
d Portfolio turnover excludes TBA purchase and sale commitments.
e Amount represents less than $0.01 per share.
f Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the Securities and Exchange Commission (the SEC) which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011.
g Includes interest accrued in connection with certain terminated derivatives contracts, which amounted to less than 0.01% and 0.04% of average net assets for the periods ended September 30, 2010 and September 30, 2009, respectively.
h Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Bear Stearns & Co., Inc. and Bear Stearns Securities Corp., which amounted to less than $0.01 per share outstanding on May 21, 2009. i Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of 0.03% of average net assets.
The accompanying notes are an integral part of these financial statements.
| 94 Diversified Income Trust |
Notes to financial statements 3/31/14 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, 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. Unless otherwise noted, the “reporting period” represents the period from October 1, 2013 through March 31, 2014.
Putnam Diversified Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The investment objective of the fund is to seek as high a level of current income as Putnam Management believes is consistent with preservation of capital. The fund invests mainly in bonds that are securitized debt instruments (such as mortgage-backed investments) and other obligations of companies and governments worldwide, are either investment-grade or below-investment-grade in quality (sometimes referred to as “junk bonds”) and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments.
The fund offers class A, class B, class C, class M, class R, class R5, class R6 and class Y shares. The fund began offering class R5 and class R6 shares on November 1, 2013. Class A and class M shares are sold with a maximum front-end sales charge of 4.00% and 3.25%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R5, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R5 and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R5, class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (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
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investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis. Interest income, net of any applicable withholding taxes, is recorded on the accrual basis.
All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.
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Securities purchased or sold on a forward commitment or delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
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.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses 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 option 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.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts to gain exposure to interest rates.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. 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.
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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.” Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The 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. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum
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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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and 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. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. 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.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $1,468,163 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts
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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 $48,393,066 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $49,003,569.
TBA purchase commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at 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.
TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at 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. 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. Based on market circumstances, Putnam Management will determine whether to deliver the underlying securities or to dispose of the TBA commitments prior to settlement. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or
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unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
At September 30, 2013, the fund had a capital loss carryover of $653,212,759 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:
| Loss carryover | |||
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| Short-term | Long-term | Total | Expiration |
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| $220,229,988 | $90,999,923 | $311,229,911 | * |
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| 13,963,696 | N/A | 13,963,696 | September 30, 2015 |
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| 18,714,447 | N/A | 18,714,447 | September 30, 2016 |
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| 146,525,581 | N/A | 146,525,581 | September 30, 2017 |
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| 162,779,124 | N/A | 162,779,124 | September 30, 2018 |
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* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer $2,363,509 of certain losses recognized during the period from November 1, 2012 to September 30, 2013 to its fiscal year ending September 30, 2014.
The aggregate identified cost on a tax basis is $6,444,482,418, resulting in gross unrealized appreciation and depreciation of $283,393,677 and $42,767,091, respectively, or net unrealized appreciation of $240,626,586.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:
| 0.700% | of the first $5 billion, | 0.500% | of the next $50 billion, | |
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| 0.650% | of the next $5 billion, | 0.480% | of the next $50 billion, | |
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| 0.600% | of the next $10 billion, | 0.470% | of the next $100 billion and | |
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| 0.550% | of the next $10 billion, | 0.465% | of any excess thereafter. | |
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The fund’s shareholders approved the fund’s current management contract with Putnam Management effective February 27, 2014. Shareholders were asked to approve the fund’s management contract following the death on October 8, 2013 of The Honourable Paul G. Desmarais, who had controlled directly and indirectly a majority of
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the voting shares of Power Corporation of Canada, the ultimate parent company of Putnam Management. The substantive terms of the management contract, including terms relating to fees, are identical to the terms of the fund’s previous management contract and reflect the rates provided in the table above.
Putnam Management has contractually agreed, through June 30, 2014, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing (except for Class R5 and R6 shares) based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Class R5 shares pay a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%. Class R6 shares pay a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $1,771,066 | Class R5 | 5 | |
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| Class B | 56,611 | Class R6 | 1,598 | |
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| Class C | 582,822 | Class Y | 1,042,351 | |
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| Class M | 160,344 | Total | $3,618,287 | |
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| Class R | 3,490 | |||
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The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $10,268 under the expense offset arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $3,341, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam
| 102 Diversified Income Trust |
Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.50% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:
| Class A | $3,195,587 | Class M | 578,628 | |
|
|
| |||
| Class B | 408,635 | Class R | 12,595 | |
|
|
| |||
| Class C | 4,208,422 | Total | $8,403,867 | |
|
|
| |||
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $286,057 and $6,997 from the sale of class A and class M shares, respectively, and received $9,600 and $7,640 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% and 0.40% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $2,424 and no monies on class A and class M redemptions, respectively.
Note 3: Purchases and sales of securities
During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments and TBA commitments aggregated $3,520,770,287 and $2,358,884,287, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.
Written option transactions during the reporting period are summarized as follows:
| Written swap | Written | ||||
| option contract | swap option | Written option | Written option | ||
| amounts | premiums | contract amount | premiums | ||
|
| |||||
| Written options outstanding | |||||
| at the beginning of the | USD | 635,219,000 | $7,774,922 | — | $— |
| reporting period | EUR | — | $— | — | $— |
|
| |||||
| Options opened | USD | 3,715,572,393 | 57,965,510 | 4,466,000,000 | 18,602,735 |
| EUR | 3,162,160,000 | 1,657,721 | — | — | |
|
| |||||
| Options exercised | USD | — | — | — | — |
| EUR | — | — | — | — | |
|
| |||||
| Options expired | USD | — | — | — | — |
| EUR | — | — | — | — | |
|
| |||||
| Options closed | USD | (2,952,747,000) | (12,270,631) | (1,362,000,000) | (5,822,344) |
| EUR | (1,350,338,000) | — | — | — | |
|
| |||||
| Written options outstanding | |||||
| at the end of the | USD | 1,398,044,333 | $53,469,801 | 3,104,000,000 | $12,780,391 |
| reporting period | EUR | 1,811,822,000 | $1,657,721 | — | $— |
|
| |||||
Note 4: Capital shares
At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
| Six months ended 3/31/14 | Year ended 9/30/13 | |||
|
| ||||
| Class A | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 107,438,355 | $845,601,348 | 129,418,898 | $1,015,583,813 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 7,996,982 | 62,787,214 | 11,886,840 | 92,853,468 |
|
| ||||
| 115,435,337 | 908,388,562 | 141,305,738 | 1,108,437,281 | |
|
| ||||
| Shares repurchased | (49,785,194) | (391,395,031) | (81,360,043) | (635,608,804) |
|
| ||||
| Net increase | 65,650,143 | $516,993,531 | 59,945,695 | $472,828,477 |
|
| ||||
| Diversified Income Trust 103 |
| Six months ended 3/31/14 | Year ended 9/30/13 | |||
|
| ||||
| Class B | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 1,146,651 | $8,933,986 | 2,276,843 | $17,693,379 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 209,674 | 1,631,246 | 386,949 | 2,996,413 |
|
| ||||
| 1,356,325 | 10,565,232 | 2,663,792 | 20,689,792 | |
|
| ||||
| Shares repurchased | (1,098,414) | (8,569,006) | (2,327,358) | (18,083,274) |
|
| ||||
| Net increase | 257,911 | $1,996,226 | 336,434 | $2,606,518 |
|
| ||||
| Six months ended 3/31/14 | Year ended 9/30/13 | |||
|
| ||||
| Class C | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 28,813,271 | $223,453,871 | 30,859,482 | $238,559,237 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 2,002,629 | 15,486,923 | 2,982,542 | 22,962,134 |
|
| ||||
| 30,815,900 | 238,940,794 | 33,842,024 | 261,521,371 | |
|
| ||||
| Shares repurchased | (8,678,072) | (67,221,661) | (21,593,059) | (166,372,262) |
|
| ||||
| Net increase | 22,137,828 | $171,719,133 | 12,248,965 | $95,149,109 |
|
| ||||
| Six months ended 3/31/14 | Year ended 9/30/13 | |||
|
| ||||
| Class M | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 523,540 | $4,055,307 | 761,625 | $5,850,923 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 70,989 | 549,235 | 121,880 | 938,304 |
|
| ||||
| 594,529 | 4,604,542 | 883,505 | 6,789,227 | |
|
| ||||
| Shares repurchased | (1,846,512) | (14,304,735) | (5,080,011) | (39,122,630) |
|
| ||||
| Net decrease | (1,251,983) | $(9,700,193) | (4,196,506) | $(32,333,403) |
|
| ||||
| Six months ended 3/31/14 | Year ended 9/30/13 | |||
|
| ||||
| Class R | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 165,729 | $1,292,698 | 218,582 | $1,695,430 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 16,057 | 124,779 | 27,810 | 215,028 |
|
| ||||
| 181,786 | 1,417,477 | 246,392 | 1,910,458 | |
|
| ||||
| Shares repurchased | (79,425) | (619,493) | (217,508) | (1,693,869) |
|
| ||||
| Net increase | 102,361 | $797,984 | 28,884 | $216,589 |
|
| ||||
| For the period 11/1/13 | ||||
| (commencement of operations) to 3/31/14 | ||||
|
| ||||
| Class R5 | Shares | Amount | ||
|
| ||||
| Shares sold | 1,287 | $10,000 | ||
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 32 | 252 | ||
|
| ||||
| 1,319 | 10,252 | |||
|
| ||||
| Shares repurchased | — | — | ||
|
| ||||
| Net increase | 1,319 | $10,252 | ||
|
| ||||
| 104 Diversified Income Trust |
| For the period 11/1/13 | ||||
| (commencement of operations) to 3/31/14 | ||||
|
| ||||
| Class R6 | Shares | Amount | ||
|
| ||||
| Shares sold | 1,789,920 | $14,084,014 | ||
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 25,754 | 201,312 | ||
|
| ||||
| 1,815,674 | 14,285,326 | |||
|
| ||||
| Shares repurchased | (77,289) | (607,639) | ||
|
| ||||
| Net increase | 1,738,385 | $13,677,687 | ||
|
| ||||
| Six months ended 3/31/14 | Year ended 9/30/13 | |||
| Class Y | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 98,234,494 | $767,221,451 | 127,860,513 | $995,219,435 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 3,452,325 | 26,884,054 | 3,236,036 | 25,099,924 |
|
| ||||
| 101,686,819 | 794,105,505 | 131,096,549 | 1,020,319,359 | |
|
| ||||
| Shares repurchased | (38,626,264) | (301,401,228) | (41,960,532) | (326,066,844) |
|
| ||||
| Net increase | 63,060,555 | $492,704,277 | 89,136,017 | $694,252,515 |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| Shares owned | Percentage of ownership | Value | |
|
| |||
| Class R5 | 1,319 | 100.00% | $10,465 |
|
| |||
| Class R6 | 1,320 | 0.08 | 10,468 |
|
| |||
Note 5: Affiliated transactions
Transactions during the reporting period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership or control, were as follows:
| Fair value at the | Fair value at | ||||
| beginning of | the end of | ||||
| the reporting | Investment | the reporting | |||
| Name of affiliate | period | Purchase cost | Sale proceeds | income | period |
|
| |||||
| Putnam Money Market | |||||
| Liquidity Fund* | $166,284,163 | $196,251,197 | $173,697,848 | $52,136 | $188,837,512 |
|
| |||||
| Putnam Short Term | |||||
| Investment Fund* | 54,735,660 | 906,779,794 | 753,079,595 | 78,656 | 208,435,859 |
|
| |||||
| Totals | $221,019,823 | $1,103,030,991 | $926,777,443 | $130,792 | $397,273,371 |
|
| |||||
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: Senior loan commitments
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.
| Diversified Income Trust 105 |
Note 7: Unfunded loan commitments
As of the close of the reporting period, the fund had unfunded loan commitments of $602,632, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:
| Borrower | Unfunded commitments | |||
|
| ||||
| WR Grace & Co. | $602,632 | |||
| Totals | $602,632 | |||
Note 8: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher yielding, lower rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 9: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows based on an average of the holdings at the end of each fiscal quarter:
| Purchased TBA commitment option contracts (contract amount) | $665,100,000 |
|
| |
| Purchased swap option contracts (contract amount) | $2,349,700,000 |
|
| |
| Written TBA commitment option contracts (contract amount) (Note 3) | $1,330,300,000 |
|
| |
| Written swap option contracts (contract amount) (Note 3) | $3,059,900,000 |
|
| |
| Futures contracts (number of contracts) | 11,000 |
|
| |
| Forward currency contracts (contract amount) | $3,534,500,000 |
|
| |
| OTC interest rate swap contracts (notional) | $6,820,200,000 |
|
| |
| Centrally cleared interest rate swap contracts (notional) | $22,398,200,000 |
|
| |
| OTC total return swap contracts (notional) | $3,133,400,000 |
|
| |
| OTC credit default contracts (notional) | $114,100,000 |
|
| |
| 106 Diversified Income Trust |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period
| Asset derivatives | Liability derivatives | |||
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
|
| ||||
| Credit contracts | Receivables | $771,174 | Payables | $2,367,874 |
|
| ||||
| Foreign exchange | ||||
| contracts | Receivables | 19,759,128 | Payables | 13,749,133 |
|
| ||||
| Investments, | ||||
| Receivables, Net | Payables, Net | |||
| assets — Unrealized | assets — Unrealized | |||
| Interest rate contracts | appreciation | 96,015,214* | depreciation | 130,180,173* |
|
| ||||
| Total | $116,545,516 | $146,297,180 | ||
* Includes cumulative appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
|
| |||||
| Credit contracts | $— | $— | $— | $2,741,488 | $2,741,488 |
|
| |||||
| Foreign exchange | |||||
| contracts | — | — | (35,902,549) | — | $(35,902,549) |
|
| |||||
| Interest rate contracts | (6,122,939) | (15,425,865) | — | (67,150,972) | $(88,699,776) |
|
| |||||
| Total | $(6,122,939) | $(15,425,865) | $(35,902,549) | $(64,409,484) | $(121,860,837) |
|
| |||||
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
|
| |||||
| Credit contracts | $— | $— | $— | $4,593,303 | $4,593,303 |
|
| |||||
| Foreign exchange | |||||
| contracts | — | — | 25,988,995 | — | $25,988,995 |
|
| |||||
| Interest rate contracts | 7,342,397 | 12,261,540 | — | 55,174,485 | $74,778,422 |
|
| |||||
| Total | $7,342,397 | $12,261,540 | $25,988,995 | $59,767,788 | $105,360,720 |
|
| |||||
| Diversified Income Trust 107 |
Note 10: Offsetting of financial and derivative assets and liabilities
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 or borrowing transactions associated with securities sold short, see Note 1,
if any. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are
subject to the master netting agreements in the Statement of assets and liabilities.
| 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 Futures, 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*# | $205,386 | $— | $— | $— | $— | $188,280 | $306,397 | $— | $1,086,377 | $— | $— | $— | $— | $— | $1,786,440 |
|
| |||||||||||||||
| Centrally cleared interest rate swap contracts§ | — | — | 62,281,605 | — | — | — | — | — | — | — | — | — | — | — | 62,281,605 |
|
| |||||||||||||||
| OTC Total return swap contracts*# | — | 277,352 | — | 552,165 | 601,017 | 2,877 | 640,296 | — | — | — | — | — | — | — | 2,073,707 |
|
| |||||||||||||||
| OTC Credit default swap contracts*# | — | 51,592 | — | — | 719,582 | — | — | — | — | — | — | — | — | — | 771,174 |
|
| |||||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | — | — | 170,035 | — | — | — | — | 170,035 |
|
| |||||||||||||||
| Forward currency contracts# | 753,522 | 3,150,306 | — | 2,176,874 | 2,557,733 | 1,255,238 | 1,711,781 | 710,186 | 1,046,089 | — | 647,801 | 3,058,732 | 1,605,154 | 1,085,712 | 19,759,128 |
|
| |||||||||||||||
| Forward premium swap option contracts# | — | — | — | — | — | — | 2,006,058 | — | 465,436 | — | — | — | — | — | 2,471,494 |
|
| |||||||||||||||
| Purchased swap options**# | — | 1,752,385 | — | — | — | — | 1,752,386 | — | — | — | — | — | — | — | 3,504,771 |
|
| |||||||||||||||
| Purchased options**# | — | — | — | — | — | — | — | — | 12,883,980 | — | — | — | — | — | 12,883,980 |
|
| |||||||||||||||
| Total Assets | $958,908 | $5,231,635 | $62,281,605 | $2,729,039 | $3,878,332 | $1,446,395 | $6,416,918 | $710,186 | $15,481,882 | $170,035 | $647,801 | $3,058,732 | $1,605,154 | $1,085,712 | $105,702,334 |
|
| |||||||||||||||
| Liabilities: | |||||||||||||||
|
| |||||||||||||||
| OTC Interest rate swap contracts*# | $— | $— | $— | $— | $— | $834,265 | $3,420,113 | $— | $1,571,812 | $— | $— | $— | $— | $— | $5,826,190 |
|
| |||||||||||||||
| Centrally cleared interest rate swap contracts§ | — | — | 55,837,913 | — | — | — | — | — | — | — | — | — | — | — | 55,837,913 |
|
| |||||||||||||||
| OTC Total return swap contracts*# | 6,771 | 1,308,355 | — | 1,148,290 | 1,033,796 | 38,874 | 360,548 | — | 36,219 | — | 2,065 | — | — | — | 3,934,918 |
|
| |||||||||||||||
| OTC Credit default swap contracts*# | 97,000 | 114,263 | — | — | 1,207,096 | 949,515 | — | — | — | — | — | — | — | — | 2,367,874 |
|
| |||||||||||||||
| Futures contracts§ | — | — | — | — | — | — | — | — | — | 138,090 | — | — | — | — | 138,090 |
|
| |||||||||||||||
| Forward currency contracts# | 217,352 | 2,419,387 | — | 1,842,643 | 2,390,615 | 416,821 | 893,578 | 484,352 | 1,106,250 | — | 47,133 | 2,145,331 | 1,669,005 | 116,666 | 13,749,133 |
|
| |||||||||||||||
| Forward premium swap option contracts# | — | — | — | — | — | — | 714,241 | — | 31,428 | — | — | — | — | — | 745,669 |
|
| |||||||||||||||
| Written swap options# | 2,365,179 | 534,670 | — | — | — | — | 954,295 | — | 47,701,471 | — | — | — | — | — | 51,555,615 |
|
| |||||||||||||||
| Written options# | — | — | — | — | — | — | — | — | 9,828,374 | — | — | — | — | — | 9,828,374 |
|
| |||||||||||||||
| Total Liabilities | $2,686,302 | $4,376,675 | $55,837,913 | $2,990,933 | $4,631,507 | $2,239,475 | $6,342,775 | $484,352 | $60,275,554 | $138,090 | $49,198 | $2,145,331 | $1,669,005 | $116,666 | $143,983,776 |
|
| |||||||||||||||
| Total Financial and Derivative Net Assets | $(1,727,394) | $854,960 | $6,443,692 | $(261,894) | $(753,175) | $(793,080) | $74,143 | $225,834 | $(44,793,672) | $31,945 | $598,603 | $913,401 | $(63,851) | $969,046 | $(38,281,442) |
|
| |||||||||||||||
| Total collateral received (pledged)##† | $(1,727,394) | $854,960 | $— | $174,597 | $980,332 | $(793,080) | $(318,968) | $167,384 | $(44,793,672) | $— | $487,831 | $— | $— | $— | $(44,968,010) |
|
| |||||||||||||||
| Net amount | $— | $— | $6,443,692 | $(436,491) | $(1,733,507) | $— | $393,111 | $58,450 | $— | $31,945 | $110,772 | $913,401 | $(63,851) | $969,046 | $6,686,568 |
|
| |||||||||||||||
*Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
**Included with Investments in securities on the Statement of assets and liabilities.
†Additional collateral may be required from certain brokers based on individual agreements.
#Covered by master netting agreement. (Note 1)
##Any over-collateralization of total financial and derivative net assets is not shown.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, 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.
| 108 Diversified Income Trust | Diversified Income Trust 109 |
Shareholder meeting results (Unaudited)
February 27, 2014 special meeting
At the meeting, each of the nominees for Trustees was elected as follows:
| Votes for | Votes withheld | |
|
| ||
| Liaquat Ahamed | 426,661,978 | 14,506,625 |
|
| ||
| Ravi Akhoury | 426,831,941 | 14,336,662 |
|
| ||
| Barbara M. Baumann | 427,342,303 | 13,826,299 |
|
| ||
| Jameson A. Baxter | 427,269,882 | 13,898,720 |
|
| ||
| Charles B. Curtis | 427,382,387 | 13,786,215 |
|
| ||
| Robert J. Darretta | 427,270,332 | 13,898,270 |
|
| ||
| Katinka Domotorffy | 427,073,757 | 14,094,845 |
|
| ||
| John A. Hill | 427,463,167 | 13,705,435 |
|
| ||
| Paul L. Joskow | 427,342,928 | 13,825,674 |
|
| ||
| Kenneth R. Leibler | 427,311,724 | 13,856,878 |
|
| ||
| Robert E. Patterson | 427,414,750 | 13,753,852 |
|
| ||
| George Putnam, III | 427,340,023 | 13,828,579 |
|
| ||
| Robert L. Reynolds | 427,348,547 | 13,820,055 |
|
| ||
| W. Thomas Stephens | 427,326,756 | 13,841,846 |
|
| ||
A proposal to approve a new management contract between the fund and Putnam Management was approved as follows:
| Votes | Votes | Broker | |
| for | against | Abstentions | non-votes |
|
| |||
| 322,068,812 | 6,559,867 | 16,306,577 | 96,233,346 |
|
| |||
March 27, 2014 special meeting
A proposal to adopt an Amended and Restated Declaration of Trust, with respect to which the February 27, 2014 meeting had been adjourned, was approved as follows:
| Votes | Votes | Broker | |
| for | against | Abstentions | non-votes |
|
| |||
| 321,136,359 | 36,068,894 | 19,462,071 | 86,544,401 |
|
| |||
All tabulations are rounded to the nearest whole number.
| 110 Diversified Income Trust |
The Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.
| Growth | International Value Fund |
| Growth Opportunities Fund | Multi-Cap Value Fund |
| International Growth Fund | Small Cap Value Fund |
| Multi-Cap Growth Fund | |
| Small Cap Growth Fund | Income |
| Voyager Fund | American Government Income Fund |
| Diversified Income Trust | |
| Blend | Emerging Markets Income Fund |
| Asia Pacific Equity Fund | Floating Rate Income Fund |
| Capital Opportunities Fund | Global Income Trust |
| Capital Spectrum Fund | High Yield Advantage Fund |
| Emerging Markets Equity Fund | High Yield Trust |
| Equity Spectrum Fund | Income Fund |
| Europe Equity Fund | Money Market Fund* |
| Global Equity Fund | Short Duration Income Fund |
| International Capital Opportunities Fund | U.S. Government Income Trust |
| International Equity Fund | |
| Investors Fund | Tax-free income |
| Low Volatility Equity Fund | AMT-Free Municipal Fund |
| Multi-Cap Core Fund | Intermediate-Term Municipal Income Fund |
| Research Fund | Short-Term Municipal Income Fund |
| Strategic Volatility Equity Fund | Tax Exempt Income Fund |
| Tax Exempt Money Market Fund* | |
| Value | Tax-Free High Yield Fund |
| Convertible Securities Fund | |
| Equity Income Fund | State tax-free income funds: |
| George Putnam Balanced Fund | Arizona, California, Massachusetts, Michigan, |
| Global Dividend Fund | Minnesota, New Jersey, New York, Ohio, |
| The Putnam Fund for Growth and Income | and Pennsylvania. |
* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.
| Diversified Income Trust | 111 |
| Absolute Return | Putnam RetirementReady® Funds — portfolios |
| Absolute Return 100 Fund® | with automatically adjusting allocations to |
| Absolute Return 300 Fund® | stocks, bonds, and money market instruments, |
| Absolute Return 500 Fund® | becoming more conservative over time. |
| Absolute Return 700 Fund® | RetirementReady 2055 Fund |
| Global Sector | RetirementReady 2050 Fund |
| Global Consumer Fund | RetirementReady 2045 Fund |
| Global Energy Fund | RetirementReady 2040 Fund |
| Global Financials Fund | RetirementReady 2035 Fund |
| Global Health Care Fund | RetirementReady 2030 Fund |
| Global Industrials Fund | RetirementReady 2025 Fund |
| Global Natural Resources Fund | RetirementReady 2020 Fund |
| Global Sector Fund | RetirementReady 2015 Fund |
| Global Technology Fund | |
| Global Telecommunications Fund | Putnam Retirement Income Lifestyle |
| Global Utilities Fund | Funds — portfolios with managed |
| allocations to stocks, bonds, and money | |
| Asset Allocation | market investments to generate |
| Putnam Global Asset Allocation Funds — | retirement income. |
| portfolios with allocations to stocks, bonds, | |
| and money market instruments that are | Retirement Income Fund Lifestyle 1 |
| adjusted dynamically within specified ranges | Retirement Income Fund Lifestyle 2 |
| as market conditions change. | Retirement Income Fund Lifestyle 3 |
| Dynamic Asset Allocation Balanced Fund | |
| Dynamic Asset Allocation | |
| Conservative Fund | |
| Dynamic Asset Allocation Growth Fund | |
| Dynamic Risk Allocation Fund |
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
| 112 Diversified Income Trust |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| Diversified Income Trust 113 |
Putnam’s commitment to confidentiality
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Within the Putnam organization, your information is shared with those who need it to service your account or provide you with information about other Putnam products or services. Under certain circumstances, we must also share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. It is also our policy to share account information with your financial advisor, if you've provided us with information about your advisor and that person is listed on your Putnam account.
If you would like clarification about our confidentiality policies or have any questions or concerns, please don't hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:00 a.m. to 8:00 p.m. Eastern Time.
| 114 Diversified Income Trust |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Robert R. Leveille |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
| Management, LLC | Liaquat Ahamed | Chief Compliance Officer |
| One Post Office Square | Ravi Akhoury | |
| Boston, MA 02109 | Barbara M. Baumann | Michael J. Higgins |
| Charles B. Curtis | Vice President, Treasurer | |
| Investment Sub-Manager | Robert J. Darretta | and Clerk |
| Putnam Investments Limited | Katinka Domotorffy | |
| 57–59 St James’s Street | John A. Hill | Janet C. Smith |
| London, England SW1A 1LD | Paul L. Joskow | Vice President, |
| Kenneth R. Leibler | Principal Accounting Officer, | |
| Marketing Services | Robert E. Patterson | and Assistant Treasurer |
| Putnam Retail Management | George Putnam, III | |
| One Post Office Square | Robert L. Reynolds | Susan G. Malloy |
| Boston, MA 02109 | W. Thomas Stephens | Vice President and |
| Assistant Treasurer | ||
| Custodian | Officers | |
| State Street Bank | Robert L. Reynolds | James P. Pappas |
| and Trust Company | President | Vice President |
| Legal Counsel | Jonathan S. Horwitz | Mark C. Trenchard |
| Ropes & Gray LLP | Executive Vice President, | Vice President and |
| Principal Executive Officer, and | BSA Compliance Officer | |
| Compliance Liaison | ||
| Nancy E. Florek | ||
| Steven D. Krichmar | Vice President, Director of | |
| Vice President and | Proxy Voting and Corporate | |
| Principal Financial Officer | Governance, Assistant Clerk, | |
| and Associate Treasurer | ||
| Robert T. Burns | ||
| Vice President and | ||
| Chief Legal Officer |
| Diversified Income Trust 115 |
This report is for the information of shareholders of Putnam Diversified Income Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| 116 Diversified Income Trust |
| Item 2. Code of Ethics: |
| Not applicable |
| Item 3. Audit Committee Financial Expert: |
| Not applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not applicable |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
| Item 6. Schedule of Investments: |
| The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
| Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
| Item 11. 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 12. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) 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. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| Putnam Diversified Income Trust |
| By (Signature and Title): |
| /s/Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: May 29, 2014 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By (Signature and Title): |
| /s/Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
| Date: May 29, 2014 |
| By (Signature and Title): |
| /s/Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
| Date: May 29, 2014 |