a_premier.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05452)
Exact name of registrant as specified in charter: Putnam Premier 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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: July 31, 2016
Date of reporting period: October 31, 2015



Item 1. Schedule of Investments:













Putnam Premier Income Trust

The fund's portfolio
10/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (78.0%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (3.9%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, November 1, 2045 $24,000,000 $25,153,126
25,153,126
U.S. Government Agency Mortgage Obligations (74.1%)
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, December 1, 2045 5,000,000 5,582,813
     5 1/2s, TBA, November 1, 2045 5,000,000 5,585,938
     4 1/2s, TBA, November 1, 2045 5,000,000 5,417,969
     4s, TBA, November 1, 2045 2,000,000 2,129,219
     3 1/2s, TBA, December 1, 2045 55,000,000 57,120,509
     3 1/2s, TBA, November 1, 2045 55,000,000 57,247,267
     3s, TBA, December 1, 2045 148,000,000 149,283,441
     3s, TBA, November 1, 2045 188,000,000 190,041,567
472,408,723
Total U.S. government and agency mortgage obligations (cost $498,250,626) $497,561,849

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 2.125%, February 15, 2041(i) $163,260 $197,972
U.S. Treasury Notes
     2.000%, February 15, 2025(i) 154,000 152,854
     1.625%, July 31, 2020(i) 111,000 112,068
Total U.S. treasury obligations (cost $462,894) $462,894

MORTGAGE-BACKED SECURITIES (46.2%)(a)
Principal amount Value
Agency collateralized mortgage obligations (14.6%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 25.005s, 2037 $136,044 $217,986
     IFB Ser. 2979, Class AS, 23.556s, 2034 24,482 27,792
     IFB Ser. 3072, Class SM, 23.079s, 2035 265,168 406,407
     IFB Ser. 3072, Class SB, 22.932s, 2035 237,515 363,947
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 4,759,363 848,594
     Ser. 4000, Class PI, IO, 4 1/2s, 2042 2,697,839 457,284
     Ser. 4024, Class PI, IO, 4 1/2s, 2041 4,632,993 815,879
     Ser. 4462, IO, 4s, 2045 4,391,000 892,076
     Ser. 4193, Class PI, IO, 4s, 2043 6,920,305 1,096,882
     Ser. 4062, Class DI, IO, 4s, 2039 11,383,907 1,310,502
     Ser. 304, Class C53, IO, 4s, 2032 3,330,456 527,844
     Ser. 303, Class C19, IO, 3 1/2s, 2043 11,441,372 2,231,399
     Ser. 304, Class C22, IO, 3 1/2s, 2042 3,851,577 754,112
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 8,106,660 1,065,256
     Ser. 4122, Class CI, IO, 3 1/2s, 2042 7,345,523 965,239
     Ser. 4105, Class HI, IO, 3 1/2s, 2041 3,688,574 487,187
     Ser. 4379, Class CI, 3 1/2s, 2033 9,715,007 1,201,649
     Ser. 304, IO, 3 1/2s, 2027 6,401,746 692,861
     Ser. 304, Class C37, IO, 3 1/2s, 2027 4,742,510 506,310
     Ser. 4165, Class TI, IO, 3s, 2042 16,192,882 1,922,095
     Ser. 4183, Class MI, IO, 3s, 2042 7,277,692 859,495
     Ser. 4210, Class PI, IO, 3s, 2041 5,064,022 466,246
     Ser. 4437, Class DI, IO, 3s, 2032 7,549,588 816,714
     Ser. 304, Class C45, IO, 3s, 2027 6,101,220 634,666
     FRB Ser. T-57, Class 1AX, IO, 0.384s, 2043 3,748,653 39,668
     Ser. 3326, Class WF, zero %, 2035 3,052 2,460
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.718s, 2036 215,352 413,684
     IFB Ser. 07-53, Class SP, 23.478s, 2037 225,637 358,254
     IFB Ser. 08-24, Class SP, 22.561s, 2038 224,795 322,549
     IFB Ser. 05-75, Class GS, 19.659s, 2035 189,322 263,552
     IFB Ser. 05-83, Class QP, 16.882s, 2034 278,088 366,674
     IFB Ser. 13-41, Class SP, IO, 6.003s, 2040 2,692,687 327,538
     IFB Ser. 13-18, Class SB, IO, 5.953s, 2041 3,607,668 580,474
     Ser. 374, Class 6, IO, 5 1/2s, 2036 436,264 74,933
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.197s, 2025 758,000 750,420
     Ser. 12-132, Class PI, IO, 5s, 2042 6,333,027 1,156,411
     Ser. 378, Class 19, IO, 5s, 2035 1,353,679 263,967
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.747s, 2025 653,000 641,638
     Ser. 12-127, Class BI, IO, 4 1/2s, 2042 1,875,992 432,416
     Ser. 12-30, Class HI, IO, 4 1/2s, 2040 13,865,149 2,184,316
     Ser. 409, Class 81, IO, 4 1/2s, 2040 6,378,825 1,193,261
     Ser. 409, Class 82, IO, 4 1/2s, 2040 7,930,930 1,487,977
     Ser. 366, Class 22, IO, 4 1/2s, 2035 424,834 25,290
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 2,353,902 281,503
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.197s, 2025 1,604,000 1,525,448
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.197s, 2025 307,000 291,817
     Ser. 418, Class C24, IO, 4s, 2043 5,688,814 1,165,674
     Ser. 13-41, Class IP, IO, 4s, 2043 5,034,210 834,370
     Ser. 13-44, Class PI, IO, 4s, 2043 4,789,858 711,743
     Ser. 13-60, Class IP, IO, 4s, 2042 3,616,897 607,671
     Ser. 12-96, Class PI, IO, 4s, 2041 3,067,674 480,428
     Ser. 409, Class C16, IO, 4s, 2040 4,863,865 878,049
     Ser. 418, Class C15, IO, 3 1/2s, 2043 12,564,317 2,485,625
     Ser. 12-110, Class BI, IO, 3 1/2s, 2039 6,665,406 712,621
     Ser. 12-145, Class TI, IO, 3s, 2042 7,480,529 715,139
     Ser. 13-35, Class IP, IO, 3s, 2042 6,427,625 674,398
     Ser. 13-53, Class JI, IO, 3s, 2041 5,499,793 626,371
     Ser. 13-23, Class PI, IO, 3s, 2041 6,537,260 551,483
     FRB Ser. 03-W10, Class 1, IO, 0.804s, 2043 570,664 10,544
     FRB Ser. 00-T6, IO, 0.711s, 2030 2,809,335 59,698
     Ser. 99-51, Class N, PO, zero %, 2029 27,483 24,735
Government National Mortgage Association
     IFB Ser. 13-129, Class SN, IO, 5.956s, 2043 2,740,518 424,205
     IFB Ser. 11-70, Class SH, IO, 5.691s, 2041 4,733,001 751,127
     Ser. 14-122, Class IC, IO, 5s, 2044 3,968,767 767,956
     Ser. 14-25, Class MI, IO, 5s, 2043 3,292,823 655,996
     Ser. 13-22, Class IE, IO, 5s, 2043 4,587,092 886,896
     Ser. 13-22, Class OI, IO, 5s, 2043 4,340,599 837,649
     Ser. 13-3, Class IT, IO, 5s, 2043 3,871,853 747,113
     Ser. 13-6, Class IC, IO, 5s, 2043 3,551,083 682,447
     Ser. 12-146, IO, 5s, 2042 3,483,891 683,853
     Ser. 13-6, Class CI, IO, 5s, 2042 2,631,381 472,096
     Ser. 13-130, Class IB, IO, 5s, 2040 2,618,518 241,163
     Ser. 13-16, Class IB, IO, 5s, 2040 2,957,346 164,728
     Ser. 11-41, Class BI, IO, 5s, 2040 1,865,069 169,908
     Ser. 10-35, Class UI, IO, 5s, 2040 2,015,724 385,293
     Ser. 10-20, Class UI, IO, 5s, 2040 3,680,853 653,130
     Ser. 10-9, Class UI, IO, 5s, 2040 16,657,942 3,208,919
     Ser. 09-121, Class UI, IO, 5s, 2039 7,794,392 1,465,969
     Ser. 15-79, Class GI, IO, 5s, 2039 3,317,810 676,004
     Ser. 13-34, Class IH, IO, 4 1/2s, 2043 6,955,507 1,271,404
     Ser. 13-24, Class IC, IO, 4 1/2s, 2043 1,415,973 243,307
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 1,456,720 231,502
     Ser. 11-140, Class BI, IO, 4 1/2s, 2040 1,326,618 81,852
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 465,087 61,922
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 7,200,756 1,237,450
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 6,505,635 1,138,798
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 7,312,145 1,288,108
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 4,370,073 767,948
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 2,912,586 659,293
     Ser. 10-168, Class PI, IO, 4 1/2s, 2039 1,625,346 169,491
     Ser. 10-158, Class IP, IO, 4 1/2s, 2039 4,989,912 443,503
     Ser. 10-98, Class PI, IO, 4 1/2s, 2037 1,584,154 91,897
     Ser. 15-53, Class MI, IO, 4s, 2045 6,746,236 1,558,023
     Ser. 15-40, IO, 4s, 2045 7,782,845 1,868,739
     Ser. 14-174, IO, 4s, 2044 5,038,017 998,883
     Ser. 14-4, Class IC, IO, 4s, 2044 3,309,274 570,916
     Ser. 13-165, Class IL, IO, 4s, 2043 2,932,364 496,801
     Ser. 12-56, Class IB, IO, 4s, 2042 2,893,202 503,773
     Ser. 12-47, Class CI, IO, 4s, 2042 7,464,914 1,251,985
     Ser. 13-76, IO, 3 1/2s, 2043 13,064,099 1,535,815
     Ser. 13-28, IO, 3 1/2s, 2043 4,210,074 564,578
     Ser. 13-54, Class JI, IO, 3 1/2s, 2043 6,136,152 761,067
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 8,920,840 1,064,167
     Ser. 13-14, IO, 3 1/2s, 2042 12,525,361 1,424,259
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 6,553,457 800,308
     Ser. 12-140, Class IC, IO, 3 1/2s, 2042 7,303,885 1,457,855
     Ser. 12-113, Class ID, IO, 3 1/2s, 2042 3,477,262 717,220
     Ser. 15-52, Class KI, IO, 3 1/2s, 2040 11,061,799 1,603,297
     Ser. 15-96, Class NI, IO, 3 1/2s, 2039 7,641,350 978,093
     Ser. 15-124, Class DI, IO, 3 1/2s, 2038 5,901,100 903,517
     Ser. 14-44, Class IA, IO, 3 1/2s, 2028 9,298,408 1,044,583
     Ser. 15-H20, Class CI, IO, 2.252s, 2065 11,749,927 1,433,858
     Ser. 15-H15, Class BI, IO, 2.205s, 2065 7,138,695 903,491
     Ser. 15-H25, Class EI, IO, 1.838s, 2065 10,873,000 1,163,411
     Ser. 15-H20, Class AI, IO, 1.834s, 2065 11,283,307 1,359,300
     FRB Ser. 15-H08, Class CI, IO, 1.791s, 2065 8,637,817 994,699
     Ser. 15-H23, Class BI, IO, 1.703s, 2065 12,085,731 1,366,292
     Ser. 13-H08, Class CI, IO, 1.665s, 2063 15,755,029 1,280,096
     Ser. 06-36, Class OD, PO, zero %, 2036 8,290 7,106
93,264,280
Commercial mortgage-backed securities (20.4%)
Banc of America Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.695s, 2046 2,148,000 2,160,989
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.345s, 2051 134,923,006 841,785
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-5, Class D, 5.286s, 2045 1,456,000 1,455,714
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036 38,777 38,311
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.566s, 2045(F) 2,750,000 2,727,521
     Ser. 05-PWR7, Class D, 5.304s, 2041 1,026,000 1,024,584
     Ser. 05-PWR7, Class B, 5.214s, 2041 1,641,000 1,637,718
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.522s, 2039 1,877,000 1,873,490
     FRB Ser. 06-PW11, Class C, 5.522s, 2039 1,554,000 1,551,032
     FRB Ser. 06-PW14, Class XW, IO, 0.644s, 2038 37,355,952 101,608
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.12s, 2044 2,160,000 2,084,250
     FRB Ser. 07-CD5, Class XS, IO, 0.156s, 2044 48,160,513 113,401
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.574s, 2047 1,068,000 1,110,063
     FRB Ser. 11-C2, Class F, 5 1/4s, 2047 2,000,000 1,926,800
Citigroup Commercial Mortgage Trust Ser. 06-C5, Class AJ, 5.482s, 2049 1,022,000 1,006,620
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.457s, 2046 529,000 487,103
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.766s, 2046 6,171,000 6,267,422
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.796s, 2049 1,138,000 1,136,169
     Ser. 06-C8, Class AJ, 5.377s, 2046 2,849,000 2,844,442
COMM Mortgage Trust 144A
     FRB Ser. 13-CR11, Class D, 5.17s, 2046 646,000 616,930
     FRB Ser. 13-LC6, Class D, 4.286s, 2046 475,000 443,765
     Ser. 13-LC13, Class E, 3.719s, 2046 1,331,000 1,012,342
     Ser. 14-CR18, Class E, 3.6s, 2047 1,371,000 1,005,464
     FRB Ser. 07-C9, Class AJFL, 0.885s, 2049 642,000 632,389
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.716s, 2039 45,450,148 440,866
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) 1,231,299 615,650
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.801s, 2050 1,071,000 892,280
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.422s, 2044 359,000 376,663
FFCA Secured Franchise Loan Trust 144A FRB Ser. 00-1, Class X, IO, 0.964s, 2020 3,881,171 59,304
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035 891,000 743,105
GCCFC Commercial Mortgage Trust
     FRB Ser. 05-GG3, Class E, 5.087s, 2042 1,371,000 1,369,396
     FRB Ser. 05-GG3, Class D, 4.986s, 2042 970,317 970,956
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.284s, 2044 5,173,000 5,179,466
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041 545,785 546,981
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.411s, 2046 1,084,000 1,001,714
     FRB Ser. 05-GG4, Class XC, IO, 0.576s, 2039 12,463,214 49,853
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.631s, 2045 156,000 161,301
     FRB Ser. 13-GC16, Class E, 5.316s, 2046 1,693,000 1,571,951
     Ser. 11-GC3, Class E, 5s, 2044 1,347,000 1,288,141
     FRB Ser. 14-GC18, Class D, 4.948s, 2047 3,247,000 2,920,404
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C14, Class E, 4.562s, 2046 1,068,000 955,540
     FRB Ser. 14-C18, Class E, 4.31s, 2047 914,000 696,011
     FRB Ser. 14-C25, Class D, 3.949s, 2047 1,838,000 1,517,269
     Ser. 14-C25, Class E, 3.332s, 2047 1,823,000 1,294,539
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.076s, 2051 1,703,000 1,740,176
     FRB Ser. 06-LDP7, Class B, 5.911s, 2045 1,231,000 615,500
     FRB Ser. 06-LDP6, Class B, 5.56s, 2043 1,841,000 1,829,883
     Ser. 06-LDP8, Class B, 5.52s, 2045 736,000 734,292
     FRB Ser. 05-LDP2, Class E, 4.981s, 2042 1,965,000 1,933,560
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.176s, 2051 1,087,000 1,093,631
     FRB Ser. 07-CB20, Class C, 6.176s, 2051 1,904,000 1,818,986
     FRB Ser. 11-C3, Class F, 5.549s, 2046 1,113,000 1,138,154
     FRB Ser. 12-C8, Class E, 4.665s, 2045 536,000 512,898
     FRB Ser. 13-C13, Class D, 4.056s, 2046 528,000 479,741
     Ser. 13-C13, Class E, 3.986s, 2046 1,537,000 1,193,019
     Ser. 13-C10, Class E, 3 1/2s, 2047 1,865,000 1,481,743
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 1,249,000 995,203
     FRB Ser. 07-CB20, Class X1, IO, 0.315s, 2051 90,243,714 471,550
LB Commercial Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 706,205 734,953
     Ser. 98-C4, Class J, 5.6s, 2035 965,000 1,009,873
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class AJ, 5.72s, 2039 910,000 911,620
     Ser. 06-C6, Class E, 5.541s, 2039 1,750,000 1,745,888
     Ser. 06-C6, Class D, 5.502s, 2039 3,168,000 3,151,305
     Ser. 07-C1, Class AJ, 5.484s, 2040 188,000 188,451
     FRB Ser. 06-C6, Class C, 5.482s, 2039 3,000,000 2,850,000
     Ser. 06-C1, Class AJ, 5.276s, 2041 944,000 962,616
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.357s, 2048 977,000 814,417
Merrill Lynch Mortgage Investors Trust FRB Ser. 96-C2, Class JS, IO, zero %, 2028 10,107 1
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.266s, 2051 428,000 460,284
     FRB Ser. 05-CIP1, Class B, 5.369s, 2038 660,776 654,320
     Ser. 04-KEY2, Class D, 5.046s, 2039 2,993,000 2,971,362
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 8.867s, 2037 69,802 4,377
     FRB Ser. 07-C5, Class X, IO, 5.501s, 2049 2,015,694 221,122
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 1,969,000 1,974,572
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049 893,000 887,955
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.698s, 2047 1,073,000 953,643
     FRB Ser. 13-C10, Class E, 4.082s, 2046 1,634,000 1,421,090
     Ser. 14-C17, Class E, 3 1/2s, 2047 1,673,000 1,216,474
     Ser. 14-C19, Class D, 3 1/4s, 2047 1,200,000 971,671
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 2,480,000 2,526,908
     Ser. 07-HQ11, Class C, 5.558s, 2044 2,693,000 2,692,273
     FRB Ser. 06-HQ8, Class D, 5.495s, 2044 1,715,000 1,711,364
     Ser. 06-HQ10, Class B, 5.448s, 2041 1,600,000 1,527,276
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.268s, 2043 798,000 788,025
Morgan Stanley Capital I, Inc. 144A FRB Ser. 04-RR, Class F7, 6s, 2039 1,992,493 1,821,895
STRIPS III, Ltd. 144A FRB Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) 376,000 75,200
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 1,146,394 286,598
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.494s, 2046 1,040,000 975,842
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6s, 2045 3,584,000 3,579,269
     FRB Ser. 06-C25, Class AJ, 5.72s, 2043 638,000 646,166
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,025,000 1,029,203
     FRB Ser. 07-C34, IO, 0.303s, 2046 26,572,057 199,290
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 04-C15, Class G, 5.395s, 2041 1,500,000 1,398,090
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 12-LC5, Class E, 4.777s, 2045 1,094,000 976,067
     FRB Ser. 13-LC12, Class D, 4.299s, 2046 592,000 557,269
     Ser. 14-LC18, Class D, 3.957s, 2047 1,734,000 1,411,601
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.634s, 2044 122,000 128,952
     Ser. 12-C6, Class E, 5s, 2045 1,243,000 1,148,942
     Ser. 11-C4, Class F, 5s, 2044 1,993,000 2,028,874
     FRB Ser. 14-C19, Class E, 4.971s, 2047 2,746,000 2,295,204
     FRB Ser. 13-C18, Class D, 4.67s, 2046 924,000 900,062
     FRB Ser. 13-C15, Class D, 4.481s, 2046 1,688,000 1,550,910
     Ser. 14-C19, Class D, 4.234s, 2047 1,542,000 1,327,759
     Ser. 13-C12, Class E, 3 1/2s, 2048 1,628,000 1,309,889
129,788,560
Residential mortgage-backed securities (non-agency) (11.2%)
Banc of America Funding Trust FRB Ser. 14-R7, Class 3A2, 2.652s, 2036 312,943 247,225
BCAP, LLC Trust
     FRB Ser. 15-RR5, Class 2A3, 1.268s, 2046 1,380,000 1,060,502
     FRB Ser. 12-RR5, Class 4A8, 0.364s, 2035 900,000 827,711
BCAP, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 5.818s, 2036 1,350,000 1,282,851
     FRB Ser. 09-RR5, Class 7A2, 5 1/2s, 2035 1,448,773 1,248,843
     FRB Ser. 09-RR11, Class 2A2, 2.66s, 2035 1,970,000 1,763,150
     FRB Ser. 15-RR2, Class 26A2, 2.652s, 2036 528,000 465,501
     FRB Ser. 15-RR3, Class 5A3, 0.394s, 2046 1,558,000 1,086,674
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.122s, 2034 1,222,416 1,185,659
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 04-FR3, Class M6, 5.072s, 2034 76,336 45,366
     FRB Ser. 05-HE5, Class M3, 1.277s, 2035 2,017,000 1,653,940
     FRB Ser. 06-HE2, Class M1, 0.597s, 2036(F) 1,700,000 1,448,740
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-SD1, Class M2, 1.697s, 2036(F) 900,000 735,750
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 4.497s, 2025 (Bermuda) 1,062,000 1,054,035
Citigroup Mortgage Loan Trust 144A FRB Ser. 12-4, Class 3A2, 2.65s, 2036 1,638,947 1,450,550
Countrywide Alternative Loan Trust
     FRB Ser. 05-38, Class A3, 0.547s, 2035 2,620,664 2,265,564
     FRB Ser. 05-59, Class 1A1, 0.524s, 2035 4,599,440 3,660,800
     FRB Ser. 05-62, Class 1A1, 0.497s, 2035 1,916,216 1,580,878
     FRB Ser. 06-OC2, Class 2A3, 0.487s, 2036 776,382 694,861
     FRB Ser. 06-OA2, Class A5, 0.424s, 2046 1,481,992 1,141,134
Countrywide Asset-Backed Certificates Trust
     FRB Ser. 05-2, Class M4, 1.262s, 2035(F) 3,770,000 3,279,900
     FRB Ser. 05-16, Class MV2, 0.677s, 2036 950,000 717,250
CSMC Trust 144A
     FRB Ser. 11-6R, Class 3A6, 2.923s, 2036 3,200,000 3,001,027
     FRB Ser. 13-2R, Class 4A2, 2.451s, 2036 2,899,926 2,305,441
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.697s, 2025 2,746,833 3,188,250
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.397s, 2027 680,000 770,851
     Structured Agency Credit Risk Debt Notes Ser. 15-DNA2, Class B, 7.737s, 2027 1,706,000 1,649,702
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 5.894s, 2028 715,000 727,870
Granite Mortgages PLC
     FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom) GBP 746,898 1,158,961
     FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom) EUR 2,002,000 2,201,614
Green Tree Home Improvement Loan Trust Ser. 95-F, Class B2, 7.1s, 2021 $1,240 1,239
GreenPoint Mortgage Funding Trust FRB Ser. 05-HY1, Class M1, 0.747s, 2035 1,563,637 1,130,666
GSAA Home Equity Trust
     FRB Ser. 05-9, Class M3, 0.727s, 2035 1,300,000 919,591
     FRB Ser. 05-9, Class M1, 0.677s, 2035 3,300,000 2,689,500
GSAA Trust FRB Ser. 05-8, Class M1, 0.687s, 2035 1,000,000 750,000
GSAMP Trust FRB Ser. 06-NC1, Class M1, 0.557s, 2036 1,682,000 1,194,220
Morgan Stanley Resecuritization Trust 144A
     Ser. 15-R4, Class CB2, 0.598s, 2047 860,000 619,200
     Ser. 15-R4, Class CB3, 0.598s, 2047 160,000 78,400
MortgageIT Trust
     FRB Ser. 05-3, Class M2, 0.727s, 2035 736,214 651,359
     FRB Ser. 05-3, Class A2, 0.547s, 2035 866,026 775,180
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 666,536 669,189
Nomura Resecuritization Trust 144A FRB Ser. 15-4R, Class 1A14, 0.404s, 2047 1,200,000 693,000
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR19, Class A1C3, 0.697s, 2045 4,527,085 3,983,835
     FRB Ser. 05-AR13, Class A1C3, 0.687s, 2045 7,206,199 6,156,555
     FRB Ser. 05-AR8, Class 2AC2, 0.657s, 2045 2,165,674 1,896,675
     FRB Ser. 05-AR13, Class A1B2, 0.627s, 2045 1,532,608 1,370,765
     FRB Ser. 05-AR17, Class A1B2, 0.607s, 2045 1,380,986 1,194,553
     FRB Ser. 05-AR19, Class A1C4, 0.597s, 2045 1,351,499 1,183,102
     FRB Ser. 05-AR8, Class 2AC3, 0.587s, 2045 753,294 655,761
     FRB Ser. 05-AR6, Class 2A1C, 0.537s, 2045 956,803 856,339
71,369,729
Total mortgage-backed securities (cost $295,736,043) $294,422,569

CORPORATE BONDS AND NOTES (32.9%)(a)
Principal amount Value
Basic materials (2.9%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $529,000 $525,033
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) 596,000 654,110
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 207,000 178,538
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) 265,000 225,913
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 155,000 163,138
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 155,000 167,013
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 471,000 489,840
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 245,000 252,963
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 340,000 340,850
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 430,000 462,250
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) 485,000 463,175
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico) 420,000 426,300
Cemex SAB de CV 144A company guaranty sr. notes 5.7s, 2025 (Mexico) 250,000 233,125
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 68,000 50,660
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 85,000 63,431
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 486,000 475,065
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 450,000 423,000
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 376,000 382,580
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 79,000 72,680
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) 463,000 337,701
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 118,000 87,910
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 681,000 725,265
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 357,000 403,856
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 730,000 636,925
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 546,000 513,595
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 100,000 93,000
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 615,000 645,369
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 207,000 140,760
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 526,000 552,300
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 367,000 383,515
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 274,000 219,200
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 346,000 3
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 187,000 159,885
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 320,000 321,136
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 755,000 756,888
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 245,000 237,038
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 653,000 674,223
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 125,000 106,875
PQ Corp. 144A sr. notes 8 3/4s, 2018 208,000 209,820
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 540,000 471,150
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 502,000 512,040
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 105,000 110,775
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 247,000 276,023
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 320,000 334,400
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 140,000 143,850
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 129,000 132,548
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) 200,000 210,000
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 278,000 339,599
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 285,000 292,838
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 95,000 98,325
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 110,000 108,625
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 45,000 43,763
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 70,000 69,475
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 142,000 129,575
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 25,000 20,440
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 285,000 302,100
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 266,000 273,648
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 125,000 120,000
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 476,000 491,470
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 553,000 575,120
18,310,692
Capital goods (2.0%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,115,000 1,169,356
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 974,000 1,088,445
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 280,000 276,500
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 415,000 419,150
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 315,000 325,238
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 524,000 489,940
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 240,000 247,200
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 154,000 152,460
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 155,000 161,975
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 553,000 604,153
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 145,000 158,231
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 237,000 244,110
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 818,000 654,400
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 195,000 202,800
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 167,023
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 $591,000 603,189
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 158,000 213,666
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 605,000 624,663
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 419,000 350,913
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 315,000 321,300
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 365,000 343,556
Oshkosh Corp. company guaranty sr. sub. unsec. notes 5 3/8s, 2025 215,000 216,075
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 744,000 760,740
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 80,000 80,400
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 555,000 578,033
Rexam PLC unsec. sub. FRB 6 3/4s, 2067 (United Kingdom) EUR 135,000 148,824
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 $662,000 655,512
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 105,000 110,775
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 95,000 96,663
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 570,000 571,425
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 540,000 529,875
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 330,000 332,267
12,898,857
Communication services (4.1%)
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) 400,000 401,000
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 1,000,000 962,500
Altice SA 144A company guaranty sr. unsec. notes 7 5/8s, 2025 (Luxembourg) 350,000 321,125
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 472,000 501,500
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 400,000 390,000
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 45,000 47,250
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 223,000 233,593
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 618,000 624,180
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 820,000 820,000
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 348,000 345,355
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 95,000 95,108
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 432,000 415,040
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 12,000 11,529
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 697,000 750,146
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 205,000 216,788
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 250,000 219,873
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 124,000 120,280
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 480,000 424,800
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 610,000 549,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 305,000 291,733
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 160,000 142,880
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 115,000 103,644
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 348,000 364,746
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 465,000 482,438
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 142,000 147,413
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 190,000 150,100
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 323,000 291,508
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 278,000 164,715
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 532,000 313,880
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 140,000 143,500
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 150,000 158,063
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 475,000 483,313
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 170,000 172,125
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) EUR 110,000 123,986
Numericable-SFR SAS 144A sr. bonds 6 1/4s, 2024 (France) $450,000 450,000
Numericable-SFR SAS 144A sr. notes 6s, 2022 (France) 1,075,000 1,075,000
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 413,000 421,301
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 382,000 410,687
SBA Communications Corp. sr. sub. unsec. notes 4 7/8s, 2022 420,000 429,429
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 125,000 130,469
Sprint Capital Corp. company guaranty 6 7/8s, 2028 745,000 618,350
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 695,000 709,769
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 238,000 221,340
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 656,000 721,187
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 929,000 859,325
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 465,000 427,219
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 658,000 672,805
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 175,000 180,031
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 320,000 320,800
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 480,000 493,800
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 455,000 461,825
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 291,000 290,091
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 680,000 823,438
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 200,000 237,524
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes 5 5/8s, 2023 (Germany) EUR 219,600 257,783
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. notes Ser. REGS, 5 3/4s, 2023 (Germany) EUR 233,100 273,631
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany) EUR 481,500 561,865
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $662,000 686,825
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 481,500 783,373
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 $609,000 580,073
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 811,000 809,986
Wind Acquisition Finance SA 144A company guaranty sr. notes 4s, 2020 (Luxembourg) EUR 290,000 324,518
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) $225,000 226,688
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 254,000 218,440
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 534,000 423,195
Ziggo Bond Finance BV 144A sr. unsec. notes 4 5/8s, 2025 (Netherlands) EUR 115,000 118,089
26,201,967
Consumer cyclicals (5.5%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 $255,000 263,925
AMC Entertainment, Inc. 144A sr. unsec. notes 5 3/4s, 2025 240,000 241,800
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 385,000 388,850
Asbury Automotive Gorup, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 110,000 116,325
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 512,000 559,169
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 430,000 402,050
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 222,000 125,430
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 344,000 364,640
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 535,000 536,338
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 225,000 219,375
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 570,000 586,388
CalAtlantic Group, Inc. company guaranty sr. unsec. notes 5 7/8s, 2024 195,000 204,750
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 562,000 604,150
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 100,000 102,250
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 235,000 244,988
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 165,000 165,825
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 140,000 138,075
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 83,000 87,773
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 298,000 306,940
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 865,000 901,763
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 254,000 168,910
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 661,000 684,135
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 440,000 445,500
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 155,000 163,331
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 105,000 109,463
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 705,000 754,350
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 80,000 79,203
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 313,000 273,875
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 400,000 412,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 145,000 150,075
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 616,000 642,919
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 600,000 466,886
Grupo Televisa SAB sr. unsec. bonds 6 5/8s, 2040 (Mexico) $195,000 213,342
Grupo Televisa SAB sr. unsec. unsub. notes Ser. EMTN, 7 1/4s, 2043 (Mexico) MXN 6,600,000 336,477
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $842,000 875,680
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 615,000 505,838
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 674,000 570,373
Interactive Data Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2019 98,000 99,838
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 355,000 373,638
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 168,000 167,160
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 71,000 64,965
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 280,000 211,400
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 535,000 488,188
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 457,000 518,695
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 190,000 207,100
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 130,000 137,800
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 187,000 194,013
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 374,000 390,830
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 580,000 580,000
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 200,000 207,500
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 256,000 261,440
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 175,000 182,875
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 640,000 630,000
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 95,000 95,713
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 410,000 436,650
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 378,000 385,560
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 348,000 370,620
Navistar International Corp. sr. notes 8 1/4s, 2021 265,000 206,700
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 260,000 261,950
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 721,000 748,903
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 220,000 228,525
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 598,000 617,435
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 371,000 393,260
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 315,000 326,813
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 459,000 473,918
Owens Corning company guaranty sr. unsec. notes 9s, 2019 211,000 248,187
Owens Corning company guaranty sr. unsec. unsub. notes 4.2s, 2024 390,000 384,173
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 513,000 523,260
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 439,000 453,268
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 330,000 334,950
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 235,000 243,519
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 265,000 306,738
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 388,000 388,000
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 80,000 82,600
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 80,000 83,400
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 555,000 588,300
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 365,000 370,475
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 122,000 111,020
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 680,000 601,800
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 115,000 79,925
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 345,000 346,725
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 227,000 233,810
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 44,000 44,110
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 366,000 358,680
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 333,000 351,315
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 505,000 536,563
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 50,000 52,750
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 770,000 798,875
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 25,000 27,313
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 30,000 32,025
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 240,000 255,900
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 417,000 402,405
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 165,000 162,525
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 747,000 752,603
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 359,000 375,155
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 8,000 8,340
TEGNA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 493,000 488,070
Thomas Cook Finance PLC 144A company guaranty sr. unsec. bonds 6 3/4s, 2021 (United Kingdom) EUR 813,000 947,827
Tri Pointe Holdings, Inc. sr. unsec. notes 5 7/8s, 2024 $680,000 680,000
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 320,000 328,800
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 204,000 213,180
34,871,236
Consumer staples (1.9%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 310,000 321,625
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 828,000 888,030
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 400,000 414,500
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 170,000 172,338
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 795,000 831,769
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 549,000 553,804
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 241,000 237,385
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 926,000 814,880
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 115,000 117,875
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 585,000 598,163
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 200,000 223,500
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 461,000 452,933
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 285,000 283,931
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 330,000 347,738
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 800,000 502,000
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) 310,000 301,475
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 150,000 157,125
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 810,000 847,463
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 135,000 139,050
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 225,000 241,313
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 202,000 206,545
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 320,000 320,000
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 540,000 546,750
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 430,000 463,325
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 481,000 521,938
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 330,000 334,950
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 310,000 309,225
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 330,000 344,355
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 405,000 350,325
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 454,000 486,915
12,331,225
Energy (5.4%)
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 300,000 269,250
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 240,000 220,800
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 324,000 298,080
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 385,000 317,625
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 41,000 34,440
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 935,000 635,800
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 245,000 178,238
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 325,000 120,250
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 5,000 1,700
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 634,500 361,665
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 510,000 321,300
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 216,000 133,920
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 515,000 533,669
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 448,000 450,800
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 204,000 204,765
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 205,000 129,663
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 74,000 55,130
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 202,000 143,420
Ecopetrol SA sr. unsec. unsub. notes 5 3/8s, 2026 (Colombia) 3,185,000 2,962,050
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 302,000 83,050
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 355,000 299,975
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 146,000 126,290
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 201,000 177,131
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 104,000 91,520
Gazprom OAO Via Gaz Capital SA sr. unsec. notes Ser. REGS, EMTN, 7.288s, 2037 (Russia) 780,000 793,650
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia) 575,000 585,063
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia) 1,855,000 2,077,600
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 390,000 132,600
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 765,000 256,753
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 340,000 355,300
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 100,000 96,750
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 160,000 144,800
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 275,000 88,000
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 389,000 384,138
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 340,000 88,400
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 353,000 77,660
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 407,000 105,820
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 605,000 142,175
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 184,000 10
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia) 1,080,000 1,134,000
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 520,000 158,600
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 180,000 182,700
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 240,000 228,000
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 196,000 169,050
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 324,000 276,210
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 211,000 61,981
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 200,000 30,500
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 635,000 96,838
Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia) 270,000 265,815
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 400,000 377,898
Petrobras Global Finance BV company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil) 960,000 909,600
Petrobras Global Finance BV company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil) 40,000 28,700
Petrobras Global Finance BV company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 960,000 781,200
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 4,035,000 2,279,775
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela) 2,067,000 713,115
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 3,438,000 2,578,500
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 5,469,995 3,336,697
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 2,345,000 828,723
Petroleos de Venezuela SA 144A company guaranty sr. unsec. unsub. notes 9s, 2021 (Venezuela) 390,000 160,992
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico) 340,000 334,475
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico) 1,440,000 1,647,000
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 95,000 91,074
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 525,000 453,666
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 135,000 114,750
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 240,000 204,000
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 210,000 204,356
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 220,000 218,900
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 210,000 202,650
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 175,000 176,313
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 (In default)(NON) 950,000 2,375
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 470,000 287,288
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 365,000 353,977
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 45,000 13,613
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 245,000 240,100
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada) CAD 103,000 53,564
Tervita Corp. 144A sr. notes 8s, 2018 (Canada) $125,000 91,875
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 105,000 52,479
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 70,000 32,900
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 582,000 467,055
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 450,000 420,750
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 340,000 348,033
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 574,000 519,470
34,608,807
Financials (5.6%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 778,000 789,670
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 618,000 749,325
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 1,320,000 1,541,100
American International Group, Inc. jr. sub. FRB 8.175s, 2058 163,000 215,160
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 1,630,000 1,810,462
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) $1,455,000 1,284,765
Banco Nacional de Costa Rica 144A sr. unsec. notes 4 7/8s, 2018 (Costa Rica) 250,000 250,625
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 148,000 149,295
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 185,000 193,327
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 175,000 178,022
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 191,000 194,005
CIT Group, Inc. sr. unsec. notes 5s, 2023 255,000 267,113
CIT Group, Inc. sr. unsec. notes 5s, 2022 315,000 331,931
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 310,000 334,413
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 155,000 157,325
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 470,000 506,425
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 380,000 403,275
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 215,000 228,438
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 230,000 239,200
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 262,000 81,220
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 372,000 372,000
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 373,000 257,370
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031 500,000 616,250
Dresdner Funding Trust I 144A bonds 8.151s, 2031 379,000 467,118
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 277,000 296,168
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 371,000 383,058
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 172,000 76,540
HSBC Capital Funding LP/Jersey bank guaranty jr. unsec. sub. FRB 5.13s, perpetual maturity (United Kingdom) EUR 486,000 539,774
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) $161,000 156,573
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 475,000 473,813
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 440,000 453,200
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 20,000 21,800
iStar, Inc. sr. unsec. notes 5s, 2019(R) 25,000 24,469
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 670,000 839,787
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 175,000 467,394
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) $320,000 358,400
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 177,000 185,186
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 505,000 527,725
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 185,000 182,225
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 499,000 456,585
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 228,000 208,050
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 228,000 241,965
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 275,000 287,375
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 305,000 308,813
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 120,000 109,500
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 560,000 540,400
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 600,000 627,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8s, perpetual maturity (United Kingdom) 230,000 240,925
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 410,000 424,350
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.092s, perpetual maturity (United Kingdom) EUR 300,000 346,390
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) $235,000 240,947
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia) 550,000 585,607
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 5.298s, 2017 (Russia) 600,000 606,000
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia) 500,000 512,500
Societe Generale SA 144A jr. unsec. sub. FRB 7 7/8s, perpetual maturity (France) 205,000 206,025
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 365,000 363,175
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 1,385,000 1,402,313
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 158,000 124,030
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN, 7.152s, perpetual maturity (Jersey) EUR 400,000 484,946
Ukreximbank Via Biz Finance PLC 144A sr. unsec. bonds 9 5/8s, 2022 (Ukraine) $425,000 385,688
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 456,000 456,000
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes 5.942s, 2023 (Russia) 200,000 190,905
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.902s, 2020 (Russia) 600,000 615,000
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 468,000 458,640
VTB Bank OJSC 144A jr. unsec. sub. FRN 9 1/2s, perpetual maturity (Russia) 1,300,000 1,230,125
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 2,486,000 2,608,436
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 4,750,000 4,536,250
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 315,000 255,150
35,657,786
Health care (2.4%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 455,000 473,200
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 195,000 192,563
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 442,000 412,165
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 110,000 110,825
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 305,000 303,475
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 145,000 147,719
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 85,000 85,638
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 298,000 260,005
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 563,000 487,699
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 489,000 498,780
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 580,000 566,950
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 295,000 289,100
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland) 410,000 406,925
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2023 (Ireland) 320,000 320,800
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 323,000 330,268
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 120,000 123,150
HCA, Inc. sr. notes 6 1/2s, 2020 1,744,000 1,953,280
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 128,000 147,520
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 370,000 370,463
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 12,000 12,690
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 329,000 299,390
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 310,000 315,176
Priory Group No. 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom) GBP 461,601 732,952
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 $1,075,000 1,146,219
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 644,000 679,420
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 267,000 268,669
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 115,000 117,588
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 80,000 80,000
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 228,000 227,430
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 833,000 889,228
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 393,000 424,440
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 80,000 81,200
Tenet Healthcare Corp. 144A company guaranty sr. FRN 3.837s, 2020 390,000 387,075
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 70,000 64,750
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 62,650
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 90,000 78,075
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 195,000 163,800
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 370,000 311,263
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 413,000 347,694
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 392,000 341,040
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 610,000 637,450
15,148,724
Technology (1.4%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 180,000 187,875
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 260,000 275,600
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 252,000 97,650
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 1,085,000 881,563
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 273,000 277,095
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 174,000 199,448
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 146,000 161,542
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 377,000 429,780
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 710,000 744,613
First Data Corp. 144A company guaranty sr. unsec. notes 7s, 2023(FWC) 450,000 457,875
First Data Corp. 144A sr. notes 5 3/8s, 2023 375,000 381,563
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 250,000 266,250
Infor US, Inc. 144A sr. notes 5 3/4s, 2020 132,000 134,640
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 810,000 767,475
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 430,000 450,963
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 165,000 174,900
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 433,000 440,578
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 455,000 444,530
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 345,000 342,413
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 286,000 239,525
Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany) EUR 380,000 452,291
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6 7/8s, 2021 (Germany) EUR 515,000 599,891
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 $532,000 580,545
8,988,605
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 475,000 435,813
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 633,000 633,000
1,068,813
Utilities and power (1.5%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 965,000 895,038
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 310,000 330,150
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 160,000 147,600
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 790,000 748,525
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 110,000 116,050
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 85,000 89,675
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 615,000 596,105
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 40,000 40,100
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 783,000 781,043
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 30,000 30,075
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 577,000 684,525
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 321,338 344,233
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 346,000 372,019
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 180,000 135,450
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 230,000 177,100
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 899,000 782,130
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 441,000 365,479
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 105,000 92,400
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 1,375,000 1,368,125
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 200,000 183,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 396,000 406,679
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 280,000 271,544
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 195,000 189,510
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 132,000 121,151
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 457,000 443,290
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 205,000 69,188
9,780,184
Total corporate bonds and notes (cost $225,099,853) $209,866,896

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.2%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,540,000 $2,520,950
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) 5,889,962 5,624,913
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 6,082,041 6,751,065
Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil) (units) BRL 3,500 889,218
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) $100,000 105,250
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 558,655 573,459
Chile (Republic of) notes 5 1/2s, 2020 (Chile) CLP 347,500,000 521,574
Costa Rica (Republic of) 144A unsec. notes 7s, 2044 (Costa Rica) $250,000 225,000
Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia) 375,000 400,859
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 65,000 68,023
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 620,000 667,275
Dominican (Republic of) 144A sr. unsec. notes 5 1/2s, 2025 (Dominican Republic) 1,650,000 1,633,500
Egypt (Government of) 144A sr. unsec. notes 5 7/8s, 2025 (Egypt) 315,000 294,525
Gabon (Republic of) 144A sr. unsec. bonds 6.95s, 2025 (Gabon) 1,900,000 1,662,500
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana) 468,000 472,774
Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana) 1,677,959 1,445,142
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 3,680,000 3,682,145
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 2,873,000 2,908,384
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2038 (Greece)(STP) EUR 1,146,472 744,681
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2037 (Greece)(STP) EUR 134,941 87,875
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2036 (Greece)(STP) EUR 1,176,344 780,875
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2035 (Greece)(STP) EUR 866,021 576,287
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2034 (Greece)(STP) EUR 584,559 391,645
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2033 (Greece)(STP) EUR 542,459 367,907
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2032 (Greece)(STP) EUR 591,295 406,711
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2031 (Greece)(STP) EUR 400,059 279,511
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2030 (Greece)(STP) EUR 2,313,586 1,645,979
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2029 (Greece)(STP) EUR 461,295 333,668
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2028 (Greece)(STP) EUR 2,546,624 1,880,550
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2027 (Greece)(STP) EUR 1,271,042 957,230
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2026 (Greece)(STP) EUR 2,705,993 2,086,642
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2025 (Greece)(STP) EUR 5,744,811 4,545,917
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2024 (Greece)(STP) EUR 1,315,156 1,055,908
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3s (3.65s, 2/24/20), 2023 (Greece)(STP) EUR 2,857,365 2,325,596
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $1,355,000 1,287,250
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037 (Indonesia) 1,555,000 1,723,142
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya) 400,000 370,080
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 600,000 598,500
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 465,000 475,463
Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine) (In default)(NON) 3,240,000 2,535,300
United Mexican States sr. unsec. notes 5 3/4s, 2110 (Mexico) 1,120,000 1,094,800
Venezuela (Bolivarian Republic of) sr. unsec. bonds 9 1/4s, 2028 (Venezuela) 100,000 38,375
Venezuela (Bolivarian Republic of) sr. unsec. bonds 7s, 2038 (Venezuela) 650,000 231,075
Venezuela (Bolivarian Republic of) sr. unsec. unsub. bonds 9 1/4s, 2027 (Venezuela) 605,000 260,906
Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela) 2,215,000 1,191,670
Total foreign government and agency bonds and notes (cost $63,956,363) $58,720,099

SENIOR LOANS (1.7%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 $542,056 $540,023
Asurion, LLC bank term loan FRN 8 1/2s, 2021 329,000 295,360
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 161,392 153,928
Asurion, LLC bank term loan FRN Ser. B4, 5s, 2022 194,513 183,620
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 319,198 265,467
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 514,127 393,950
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 1,955,958 1,782,366
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 1/2s, 2017 164,175 146,013
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 592,500 522,511
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 235,797 233,439
Dell International, LLC bank term loan FRN Ser. B2, 4s, 2020 412,572 412,363
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021 671,300 671,067
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 206,042 193,336
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 491,044 327,895
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.948s, 2019 743,000 621,467
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 989,517 983,827
Jeld-Wen, Inc. bank term loan FRN Ser. B, 5s, 2022 240,000 239,775
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 375,000 362,500
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 665,174 648,317
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 182,688 179,902
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) 281,438 275,246
ROC Finance, LLC bank term loan FRN 5s, 2019 593,214 557,621
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 135,000 131,963
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 268,636 261,585
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.683s, 2017 1,053,286 356,142
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.683s, 2017 10,810 3,655
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 238,821 221,387
Total senior loans (cost $12,421,573) $10,964,725

PURCHASED SWAP OPTIONS OUTSTANDING (0.5%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     (1.548)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.548 $209,244,000 $1,046
Citibank, N.A.
     (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 87,981,400 29,914
Credit Suisse International
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 9,241,300 541,725
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 9,241,300 299,566
Goldman Sachs International
     2.0775/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.0775 83,935,200 532,149
     0.90/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.90 226,793,700 340,191
     1.36/3 month USD-LIBOR-BBA/Nov-20 Nov-15/1.36 166,457,000 174,780
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 8,552,050 113,571
     1.285/3 month USD-LIBOR-BBA/Nov-20 Nov-15/1.285 166,457,000 86,557
     (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 87,981,400 22,875
     (2.5025)/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.5025 83,935,200 8,394
JPMorgan Chase Bank N.A.
     (2.148)/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.148 83,228,400 429,459
     0.98/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.98 106,366,500 249,961
     1.898/3 month USD-LIBOR-BBA/Nov-25 Nov-15/1.898 83,228,400 154,805
Total purchased swap options outstanding (cost $5,449,647) $2,984,993

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/$100.98 $21,000,000 $115,122
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/100.86 21,000,000 101,871
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/100.66 21,000,000 88,347
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/100.50 21,000,000 75,264
Total purchased options outstanding (cost $1,063,125) $380,604

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 408 $410,040
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP 16,265 420,125
M/I Homes, Inc. Ser. A, $2.438 pfd. 8,790 223,231
Total preferred stocks (cost $968,655) $1,053,396

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $230,000 $270,538
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 130,000 92,056
Total convertible bonds and notes (cost $340,862) $362,594

COMMON STOCKS (—%)(a)
Shares Value
Connacher Oil and Gas, Ltd. (Canada)(NON) 13,781 $5,480
Connacher Oil and Gas, Ltd. (Canada)(NON) 3,140 1,235
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 22,950 230
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 22,950 230
Tribune Media Co. Class 1C(F) 92,963 23,241
Total common stocks (cost $756,781) $30,416

SHORT-TERM INVESTMENTS (9.3%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.15%(AFF) Shares 27,000,272 $27,000,272
SSgA Prime Money Market Fund Class N 0.09%(P) Shares 270,000 270,000
U.S. Treasury Bills 0.04%, April 28, 2016(SEG)(SEGSF)(SEGCCS) $2,392,000 2,389,249
U.S. Treasury Bills 0.11%, April 21, 2016(SEGSF)(SEGCCS) 7,867,000 7,859,432
U.S. Treasury Bills 0.07%, April 14, 2016(SEGSF)(SEGCCS) 3,326,000 3,323,253
U.S. Treasury Bills 0.07%, April 7, 2016(SEG)(SEGSF)(SEGCCS) 6,953,000 6,948,147
U.S. Treasury Bills 0.03%, February 18, 2016(SEG)(SEGSF)(SEGCCS) 6,985,000 6,983,456
U.S. Treasury Bills 0.16%, February 11, 2016(SEGSF)(SEGCCS) 2,603,000 2,602,407
U.S. Treasury Bills 0.05%, February 4, 2016(SEG)(SEGSF)(SEGCCS) 1,740,000 1,739,520
U.S. Treasury Bills 0.10%, January 14, 2016(SEGSF) 21,000 20,996
Total short-term investments (cost $59,147,644) $59,136,732

TOTAL INVESTMENTS
Total investments (cost $1,163,654,066)(b) $1,135,947,767













FORWARD CURRENCY CONTRACTS at 10/31/15 (aggregate face value $236,928,126) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 12/16/15 $549,626 $545,885 $3,741
Chilean Peso Sell 1/20/16 510,051 511,073 1,022
Euro Sell 12/16/15 2,899,557 2,985,560 86,003
Mexican Peso Buy 1/20/16 3,217,574 3,119,176 98,398
New Taiwan Dollar Buy 11/18/15 6,431,665 6,492,155 (60,490)
New Taiwan Dollar Sell 11/18/15 6,516,073 6,474,455 (41,618)
New Zealand Dollar Buy 1/20/16 1,919,550 1,815,041 104,509
Norwegian Krone Sell 12/16/15 1,223,053 1,230,888 7,835
Swedish Krona Sell 12/16/15 1,100,942 1,091,477 (9,465)
Barclays Bank PLC
British Pound Buy 12/16/15 208,845 207,407 1,438
Euro Sell 12/16/15 7,060,726 7,216,566 155,840
Japanese Yen Buy 11/18/15 6,639,840 6,593,465 46,375
Japanese Yen Sell 11/18/15 6,639,840 6,646,334 6,494
Mexican Peso Buy 1/20/16 3,124,653 3,025,709 98,944
New Zealand Dollar Sell 1/20/16 1,410,691 1,341,038 (69,653)
Norwegian Krone Sell 12/16/15 1,650,941 1,656,546 5,605
Singapore Dollar Buy 11/18/15 3,496,469 3,481,882 14,587
Singapore Dollar Sell 11/18/15 3,496,469 3,547,978 51,509
Swedish Krona Buy 12/16/15 1,285,048 1,383,363 (98,315)
Swiss Franc Buy 12/16/15 2,647,790 2,693,880 (46,090)
Citibank, N.A.
Brazilian Real Sell 1/5/16 104,050 102,390 (1,660)
British Pound Buy 12/16/15 1,386,241 1,376,604 9,637
Canadian Dollar Sell 1/20/16 329,253 325,426 (3,827)
Euro Buy 12/16/15 230,644 237,414 (6,770)
Japanese Yen Sell 11/18/15 1,419,787 1,381,996 (37,791)
Mexican Peso Buy 1/20/16 2,604,773 2,530,744 74,029
Norwegian Krone Buy 12/16/15 2,081,089 2,146,541 (65,452)
Swedish Krona Sell 12/16/15 3,467,131 3,526,120 58,989
Swiss Franc Buy 12/16/15 322,387 332,013 (9,626)
Credit Suisse International
British Pound Buy 12/16/15 2,255,839 2,240,221 15,618
Canadian Dollar Sell 1/20/16 1,084,616 1,068,856 (15,760)
Euro Sell 12/16/15 2,847,289 2,943,948 96,659
Indian Rupee Buy 11/18/15 3,160,471 3,158,774 1,697
Japanese Yen Sell 11/18/15 262,681 164,678 (98,003)
New Zealand Dollar Buy 1/20/16 138,578 131,091 7,487
Norwegian Krone Sell 12/16/15 2,773,072 2,858,970 85,898
Singapore Dollar Buy 11/18/15 3,455,589 3,442,575 13,014
Singapore Dollar Sell 11/18/15 3,455,589 3,506,971 51,382
Swedish Krona Sell 12/16/15 115,492 117,435 1,943
Swiss Franc Sell 12/16/15 165,145 167,969 2,824
Deutsche Bank AG
British Pound Buy 12/16/15 395,188 392,445 2,743
Canadian Dollar Sell 1/20/16 3,157,681 3,120,413 (37,268)
Czech Koruna Sell 12/16/15 3,131,314 3,204,682 73,368
Euro Buy 12/16/15 1,200,318 1,220,860 (20,542)
Israeli Shekel Sell 1/20/16 448,949 448,021 (928)
Japanese Yen Sell 11/18/15 3,146,876 3,063,399 (83,477)
Norwegian Krone Sell 12/16/15 1,039,098 1,071,532 32,434
Polish Zloty Sell 12/16/15 1,749,893 1,778,547 28,654
Swedish Krona Sell 12/16/15 26,878 27,345 467
Swiss Franc Sell 12/16/15 1,753,474 1,784,411 30,937
Goldman Sachs International
Australian Dollar Buy 1/20/16 1,251,504 1,235,841 15,663
British Pound Buy 12/16/15 3,233,328 3,212,089 21,239
Canadian Dollar Buy 1/20/16 1,179,027 1,187,863 (8,836)
Euro Sell 12/16/15 4,706,417 4,854,144 147,727
Japanese Yen Sell 11/18/15 1,603,281 1,658,096 54,815
Norwegian Krone Sell 12/16/15 1,371,429 1,414,145 42,716
Swedish Krona Buy 12/16/15 1,604,412 1,619,666 (15,254)
HSBC Bank USA, National Association
British Pound Sell 12/16/15 1,438,953 1,428,598 (10,355)
Canadian Dollar Sell 1/20/16 591,998 585,018 (6,980)
Euro Sell 12/16/15 6,718,501 6,915,883 197,382
Japanese Yen Sell 11/18/15 75,390 52,362 (23,028)
New Zealand Dollar Buy 1/20/16 904,122 854,897 49,225
Swedish Krona Buy 12/16/15 923,644 939,724 (16,080)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 1/20/16 91,778 90,634 1,144
British Pound Sell 12/16/15 727,954 723,108 (4,846)
Canadian Dollar Sell 1/20/16 2,142,630 2,090,143 (52,487)
Euro Sell 12/16/15 7,044,000 7,196,348 152,348
Indian Rupee Buy 11/18/15 3,179,890 3,173,583 6,307
Japanese Yen Sell 11/18/15 338,664 532,709 194,045
New Taiwan Dollar Sell 11/18/15 3,237,053 3,303,143 66,090
New Zealand Dollar Buy 1/20/16 59,862 56,621 3,241
Norwegian Krone Sell 12/16/15 395,429 365,852 (29,577)
Singapore Dollar Buy 11/18/15 3,562,818 3,549,745 13,073
Singapore Dollar Sell 11/18/15 3,562,818 3,612,882 50,064
South African Rand Buy 1/20/16 939,138 926,171 12,967
South Korean Won Sell 11/18/15 140,955 125,349 (15,606)
Swedish Krona Sell 12/16/15 1,964,690 2,062,115 97,425
Swiss Franc Buy 12/16/15 335,254 341,264 (6,010)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 1/20/16 1,554,684 1,573,649 (18,965)
British Pound Buy 12/16/15 2,171,992 2,134,922 37,070
Canadian Dollar Buy 1/20/16 1,714,380 1,753,388 (39,008)
Euro Sell 12/16/15 5,832,348 5,971,304 138,956
Japanese Yen Sell 11/18/15 1,592,953 1,690,059 97,106
New Zealand Dollar Buy 1/20/16 1,772,757 1,730,356 42,401
Norwegian Krone Sell 12/16/15 656,618 637,216 (19,402)
Singapore Dollar Buy 11/18/15 1,710,244 1,689,240 21,004
Singapore Dollar Sell 11/18/15 1,710,244 1,735,906 25,662
South Korean Won Sell 11/18/15 32,598 56,237 23,639
Swedish Krona Sell 12/16/15 1,036,406 984,076 (52,330)
State Street Bank and Trust Co.
Australian Dollar Buy 1/20/16 1,144,596 1,130,134 14,462
Brazilian Real Buy 1/5/16 676,553 614,856 61,697
British Pound Buy 12/16/15 346,021 343,620 2,401
Canadian Dollar Buy 1/20/16 2,050,284 2,047,385 2,899
Euro Sell 12/16/15 7,254,176 7,370,756 116,580
Hungarian Forint Buy 12/16/15 3,361,563 3,370,555 (8,992)
Japanese Yen Sell 11/18/15 557,753 474,165 (83,588)
Norwegian Krone Buy 12/16/15 47,456 48,939 (1,483)
Singapore Dollar Buy 11/18/15 4,981,981 4,948,823 33,158
Singapore Dollar Sell 11/18/15 4,981,981 5,045,041 63,060
Swedish Krona Sell 12/16/15 1,013,207 1,030,808 17,601
Swiss Franc Sell 12/16/15 688,948 700,767 11,819
UBS AG
Australian Dollar Buy 1/20/16 1,698,744 1,746,842 (48,098)
British Pound Buy 12/16/15 2,788,048 2,768,657 19,391
Canadian Dollar Sell 1/20/16 1,842,503 1,821,521 (20,982)
Euro Sell 12/16/15 5,058,105 5,207,396 149,291
Israeli Shekel Sell 1/20/16 17,641 17,397 (244)
Japanese Yen Sell 11/18/15 1,314,493 1,279,211 (35,282)
Norwegian Krone Buy 12/16/15 41,587 42,858 (1,271)
Swedish Krona Sell 12/16/15 137,601 87,410 (50,191)
WestPac Banking Corp.
Canadian Dollar Sell 1/20/16 107,713 108,187 474
Euro Sell 12/16/15 4,278,691 4,404,414 125,723
Japanese Yen Buy 11/18/15 3,466,992 3,356,635 110,357
Japanese Yen Sell 11/18/15 3,466,992 3,473,976 6,984
New Zealand Dollar Buy 1/20/16 1,583,880 1,476,027 107,853
South Korean Won Sell 11/18/15 29,818 15,131 (14,687)
Total $2,334,822












FUTURES CONTRACTS OUTSTANDING at 10/31/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bund 10 yr (Long) 10 $1,728,760             Dec-15 $37,800
U.S. Treasury Bond 30 yr (Long) 54 8,447,625             Dec-15 (10,574)
U.S. Treasury Bond Ultra 30 yr (Long) 48 7,668,000             Dec-15 20,200
U.S. Treasury Note 10 yr (Short) 304 38,817,000             Dec-15 (182,456)
Total $(135,030)












WRITTEN SWAP OPTIONS OUTSTANDING at 10/31/15 (premiums $10,128,356) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Bank of America N.A.
1.798/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.798 $209,244,000 $209
1.278/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.278 52,311,000 2,616

Citibank, N.A.
2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587 87,981,400 6,159
2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387 87,981,400 11,438

Credit Suisse International
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 9,241,300 887,424

Goldman Sachs International
2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625 175,962,800 12,317
(1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885 8,552,050 19,328
2.29/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.29 41,967,600 47,843
(0.725)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.725 226,793,700 88,450
(0.8125)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.8125 226,793,700 185,971
(1.435)/3 month USD-LIBOR-BBA/Nov-20 Nov-15/1.435 166,457,000 324,591
(2.29)/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.29 41,967,600 844,808

JPMorgan Chase Bank N.A.
(0.83)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.83 106,366,500 89,348
(0.905)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/0.905 106,366,500 158,484
(2.023)/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.023 41,614,200 203,077
2.023/3 month USD-LIBOR-BBA/Nov-25 Nov-15/2.023 41,614,200 459,421
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 26,070,000 3,346,241
Total $6,687,725












WRITTEN OPTIONS OUTSTANDING at 10/31/15 (premiums $1,056,563) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/$99.98 $21,000,000 $43,491
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.92 21,000,000 40,467
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.86 21,000,000 37,611
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.77 21,000,000 33,684
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.19 21,000,000 16,527
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/99.03 21,000,000 13,545
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/98.98 21,000,000 12,747
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Dec-15/98.86 21,000,000 10,836
Total $208,908













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 10/31/15 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Bank of America N.A.
     2.00/3 month USD-LIBOR-BBA/Nov-25 (Purchased) Nov-15/2.00 $83,228,400 $(332,914) $24,969
     (2.238)/3 month USD-LIBOR-BBA/Nov-25 (Purchased) Nov-15/2.238 83,228,400 (332,914) (98,210)
     2.119/3 month USD-LIBOR-BBA/Nov-25 (Written) Nov-15/2.119 41,614,200 332,914 71,701
     (2.119)/3 month USD-LIBOR-BBA/Nov-25 (Written) Nov-15/2.119 41,614,200 332,914 (51,976)

Citibank, N.A.
     1.475/3 month USD-LIBOR-BBA/Nov-20 (Purchased) Nov-15/1.475 83,228,400 (220,555) 4,161
     1.399/3 month USD-LIBOR-BBA/Nov-20 (Purchased) Nov-15/1.399 83,228,400 (124,843) 2,497
     (1.551)/3 month USD-LIBOR-BBA/Nov-20 (Written) Nov-15/1.551 83,228,400 345,398 (20,807)

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 11,591,775 (284,033) (2,202)
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 11,591,775 (294,535) (43,817)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 21,148,700 (139,835) (55,811)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 42,297,400 (297,139) (128,965)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 11,591,775 (308,434) (150,287)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 11,591,775 (324,570) (186,709)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 50,772,000 336,365 270,412
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 50,772,000 324,570 246,244
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 84,594,800 270,703 28,762
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 42,297,400 129,515 9,728
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 50,772,000 292,309 (79,204)
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 50,772,000 289,400 (134,546)
Total $(5,684) $(294,060)












TBA SALE COMMITMENTS OUTSTANDING at 10/31/15 (proceeds receivable $254,950,664) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 5 1/2s, November 1, 2045 $5,000,000       11/12/15 $5,585,938
Federal National Mortgage Association, 3 1/2s, November 1, 2045 55,000,000       11/12/15 57,247,267
Federal National Mortgage Association, 3s, December 1, 2045 1,000,000       12/10/15 1,008,672
Federal National Mortgage Association, 3s, November 1, 2045 188,000,000       11/12/15 190,041,567
Total $253,883,444















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Deutsche Bank AG
BRL 57,159,012 $—      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% $(384,108)
PLN 23,326,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (1,038,972)
PLN 11,630,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (523,219)
PLN 9,735,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (433,739)
PLN 2,858,000 —      6/26/25 6 month PLN-WIBOR-WIBO 2.89% 43,012
PLN 2,858,000 —      6/29/25 6 month PLN-WIBOR-WIBO 2.88% 42,273
PLN 8,574,000 —      6/30/25 6 month PLN-WIBOR-WIBO 2.87% 124,741
PLN 8,574,000 —      7/1/25 6 month PLN-WIBOR-WIBO 3.0266% 160,554
PLN 8,574,000 —      7/2/25 6 month PLN-WIBOR-WIBO 3.00% 154,995
PLN 15,908,000 —      11/2/17 6 month PLN-WIBOR-WIBO 2.30% 3,540
PLN 58,114,000 —      11/2/17 1.52% 6 month PLN-WIBOR-WIBO 1,805
ZAR 43,715,000 —      1/26/25 3 month ZAR-JIBAR-SAFEX 7.09% (214,944)
ZAR 29,143,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.08% (144,294)
ZAR 58,304,000 —      8/25/25 8.3575% 3 month ZAR-JIBAR-SAFEX (64,923)
Goldman Sachs International
KRW 3,385,000,000 —      11/6/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 61,584
JPMorgan Chase Bank N.A.
BRL 57,734,478 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (526,782)
BRL 25,281,804 —      1/2/17 Brazil Cetip Interbank Deposit Rate Over 0.00% (120,622)
PLN 2,655,000 —      3/12/25 2.42% 6 month PLN-WIBOR-WIBO (19,585)
PLN 55,270,000 —      8/20/17 6 month PLN-WIBOR-WIBO 1.71% 44,321
PLN 2,844,000 —      8/21/17 6 month PLN-WIBOR-WIBO 1.71% 2,285
ZAR 30,236,000 —      1/22/25 3 month ZAR-JIBAR-SAFEX 7.14% (141,076)
ZAR 90,708,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.0633% (456,231)
ZAR 16,647,000 —      3/10/25 3 month ZAR-JIBAR-SAFEX 7.91% (16,826)
ZAR 60,858,000 —      8/21/25 8.28% 3 month ZAR-JIBAR-SAFEX (45,180)
ZAR 457,834,000 —      8/18/17 7.06% 3 month ZAR-JIBAR-SAFEX (135,108)
ZAR 91,287,000 —      8/24/25 8.44% 3 month ZAR-JIBAR-SAFEX (140,227)
ZAR 114,458,500 —      9/9/17 3 month ZAR-JIBAR-SAFEX 7.185% 47,156
ZAR 343,375,500 —      10/16/17 3 month ZAR-JIBAR-SAFEX 6.82% (57,894)
Total$—     $(3,777,464)













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 10/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$21,197,000 $(110,377)     9/30/25 3 month USD-LIBOR-BBA 2.1575% $124,518
21,197,000 290,246      9/30/25 2.3975% 3 month USD-LIBOR-BBA (417,102)
21,197,000 (186,686)     9/30/25 3 month USD-LIBOR-BBA 2.2775% 284,436
83,935,200 (492,129)     10/9/25 3 month USD-LIBOR-BBA 2.155% 364,127
41,967,600 490,467      10/9/25 2.3225% 3 month USD-LIBOR-BBA (589,979)
41,967,600 (278,338)     10/28/25 3 month USD-LIBOR-BBA 2.055% (292,088)
20,983,800 267,392      10/28/25 2.235% 3 month USD-LIBOR-BBA (75,910)
83,935,200 (605,441)     10/28/25 3 month USD-LIBOR-BBA 2.0775% (457,865)
41,967,600 582,796      10/28/25 2.2625% 3 month USD-LIBOR-BBA (210,796)
41,967,600 (273,343)     10/29/25 3 month USD-LIBOR-BBA 2.12% (32,246)
20,983,800 272,512      10/29/25 2.31% 3 month USD-LIBOR-BBA (217,866)
62,951,400 (397,421)     10/27/25 3 month USD-LIBOR-BBA 2.07125% (319,221)
31,475,700 396,178      10/27/25 2.25% 3 month USD-LIBOR-BBA (164,535)
724,373,000 (E) 4,305,069      12/16/17 1.25% 3 month USD-LIBOR-BBA (474,344)
4,960,000 (E) 174,465      12/16/25 2.35% 3 month USD-LIBOR-BBA 56,824
31,475,700 260,833      9/29/25 2.235% 3 month USD-LIBOR-BBA (314,629)
10,491,900 209,481      9/29/45 2.703% 3 month USD-LIBOR-BBA (206,646)
262,643,000 (E) 257,076      12/16/20 1.70% 3 month USD-LIBOR-BBA (1,658,379)
24,963,000 (E) 49,729      12/16/45 3 month USD-LIBOR-BBA 2.70% 892,530
23,426,000 (310)     9/29/25 2.162% 3 month USD-LIBOR-BBA (269,822)
11,645,000 (154)     9/30/25 2.07% 3 month USD-LIBOR-BBA (34,567)
4,900,000 (65)     10/5/25 3 month USD-LIBOR-BBA 2.021% (9,867)
4,896,000 (65)     10/6/25 1.945% 3 month USD-LIBOR-BBA 44,550
4,896,000 (65)     10/6/25 1.939% 3 month USD-LIBOR-BBA 47,278
46,774,000 (175)     10/7/17 3 month USD-LIBOR-BBA 0.72225% (86,611)
46,774,000 (175)     10/7/17 3 month USD-LIBOR-BBA 0.71967% (89,030)
46,774,000 (175)     10/7/17 3 month USD-LIBOR-BBA 0.72163% (87,192)
7,773,000 (63)     10/7/20 1.3645% 3 month USD-LIBOR-BBA 40,254
24,624,000 (325)     10/7/25 2.0085% 3 month USD-LIBOR-BBA 80,403
6,575,000 (224)     10/7/45 2.54395% 3 month USD-LIBOR-BBA (25,140)
12,920,000 (171)     10/7/25 3 month USD-LIBOR-BBA 2.046% 2,434
9,520,000 (126)     10/7/25 3 month USD-LIBOR-BBA 2.051% 6,214
30,821,600 (248)     10/19/20 1.345% 3 month USD-LIBOR-BBA 208,120
30,821,600 (248)     10/19/20 1.34757% 3 month USD-LIBOR-BBA 204,241
31,383,200 (253)     10/19/20 1.35331% 3 month USD-LIBOR-BBA 199,210
18,951,300 (250)     10/28/25 2.013% 3 month USD-LIBOR-BBA 79,746
6,295,100 (83)     10/28/25 2.044% 3 month USD-LIBOR-BBA 8,400
AUD 8,093,000 (76)     10/8/25 6 month AUD-BBR-BBSW 2.9525% 35,593
AUD 4,243,000 (25)     10/9/20 2.40% 6 month AUD-BBR-BBSW (4,769)
AUD 2,200,000 (21)     10/9/25 6 month AUD-BBR-BBSW 2.90375% 2,786
AUD 1,779,000 (17)     10/9/25 6 month AUD-BBR-BBSW 2.915% 3,526
AUD 11,422,000 (67)     10/16/20 2.37% 6 month AUD-BBR-BBSW (2,247)
AUD 32,123,000 (88)     10/22/17 1.975% 3 month AUD-BBR-BBSW (20,961)
AUD 17,010,000 (5,562)     9/28/25 3.00% 6 month AUD-BBR-BBSW (136,429)
AUD 4,352,000 (41)     10/6/25 2.9225% 6 month AUD-BBR-BBSW (11,409)
AUD 20,294,000 (117)     10/8/20 2.41125% 6 month AUD-BBR-BBSW (30,900)
AUD 34,512,000 (92)     10/8/17 1.9725% 3 month AUD-BBR-BBSW (20,126)
AUD 15,222,000 (87)     10/8/20 2.45% 6 month AUD-BBR-BBSW (43,236)
AUD 20,294,000 (117)     10/8/20 2.4175% 6 month AUD-BBR-BBSW (35,216)
AUD 10,101,000 (58)     10/8/20 2.445% 6 month AUD-BBR-BBSW (26,974)
AUD 10,768,000 (101)     10/8/25 6 month AUD-BBR-BBSW 2.92% 25,091
AUD 5,349,000 (50)     10/8/25 6 month AUD-BBR-BBSW 2.94875% 22,249
AUD 9,866,000 (58)     10/13/20 6 month AUD-BBR-BBSW 2.47% 33,904
AUD 6,126,000 (59)     10/13/25 3.0025% 6 month AUD-BBR-BBSW (45,680)
AUD 11,081,000 (66)     10/14/20 2.4675% 6 month AUD-BBR-BBSW (38,660)
AUD 5,860,000 (56)     10/16/25 2.8775% 6 month AUD-BBR-BBSW 2,277
CAD 86,200,000 (129,301)     6/17/17 3 month CAD-BA-CDOR 0.92% (36,258)
CAD 55,288,000 (412)     6/17/20 3 month CAD-BA-CDOR 1.24% 195,794
CAD 2,117,000 (23)     4/17/25 1.89% 3 month CAD-BA-CDOR (3,843)
CAD 8,466,000 (92)     4/17/25 1.91875% 3 month CAD-BA-CDOR (32,080)
CAD 7,516,000 (81)     4/17/25 1.89375% 3 month CAD-BA-CDOR (15,576)
CAD 18,970,000 (223)     6/17/25 2.253% 3 month CAD-BA-CDOR (552,346)
CAD 9,050,000 (98)     5/21/25 3 month CAD-BA-CDOR 2.1875% 232,798
CAD 5,616,000 (60)     6/29/25 3 month CAD-BA-CDOR 2.255% 160,725
CAD 3,433,000 (37)     6/29/25 3 month CAD-BA-CDOR 2.27% 101,973
CAD 3,202,000 (33)     7/29/25 3 month CAD-BA-CDOR 2.03% 37,204
CAD 10,930,000 80,711      7/17/25 3 month CAD-BA-CDOR 2.035% 217,873
CAD 3,046,000 (31)     7/23/25 3 month CAD-BA-CDOR 2.0125% 32,389
CAD 5,280,000 (53)     8/5/25 1.9575% 3 month CAD-BA-CDOR (31,977)
CAD 3,294,000 (33)     8/7/25 1.9625% 3 month CAD-BA-CDOR (20,865)
CAD 3,127,000 (32)     8/14/25 3 month CAD-BA-CDOR 1.9375% 13,118
CAD 43,100,000 (122)     8/27/17 3 month CAD-BA-CDOR 0.6825% (95,334)
CAD 9,485,000 (95)     8/27/25 1.9375% 3 month CAD-BA-CDOR (34,323)
CAD 3,527,000 (35)     9/3/25 1.8925% 3 month CAD-BA-CDOR (146)
CAD 3,531,000 (35)     9/10/25 3 month CAD-BA-CDOR 1.90% 826
CAD 3,409,000 (34)     9/15/25 1.915% 3 month CAD-BA-CDOR (3,718)
CAD 27,644,000 (170)     9/18/20 1.165% 3 month CAD-BA-CDOR 22,889
CAD 8,025,000 (81)     10/23/25 1.91625% 3 month CAD-BA-CDOR 5,283
CAD 3,672,000 (36)     9/24/25 1.855% 3 month CAD-BA-CDOR 13,577
CAD 3,388,000 (34)     10/2/25 1.9% 3 month CAD-BA-CDOR 2,893
CAD 7,063,000 (44)     10/7/20 1.22% 3 month CAD-BA-CDOR (5,146)
CAD 36,681,000 (227)     10/7/20 1.21156% 3 month CAD-BA-CDOR (15,091)
CAD 23,365,000 (67)     10/7/17 3 month CAD-BA-CDOR 0.822% (9,118)
CAD 45,033,000 (130)     10/7/17 3 month CAD-BA-CDOR 0.82% (18,930)
CAD 10,196,000 (103)     10/7/25 3 month CAD-BA-CDOR 1.91% (3,915)
CAD 8,625,000 (53)     10/7/20 1.218% 3 month CAD-BA-CDOR (5,636)
CAD 7,297,000 (74)     10/14/25 1.865% 3 month CAD-BA-CDOR 28,617
CAD 35,385,000 (101)     10/23/17 3 month CAD-BA-CDOR 0.81% (22,576)
CAD 36,635,000 (104)     10/23/17 3 month CAD-BA-CDOR 0.805% (26,153)
CAD 15,968,000 (98)     10/27/20 3 month CAD-BA-CDOR 1.07659% (82,545)
CAD 5,795,000 (58)     10/29/25 1.907% 3 month CAD-BA-CDOR 9,457
CAD 6,584,000 (66)     10/30/25 3 month CAD-BA-CDOR 1.9225% (4,002)
CHF 32,650,000 (131)     5/5/17 6 month CHF-LIBOR-BBA 0.60875% (109,279)
CHF 6,450,000 (91)     5/5/25 6 month CHF-LIBOR-BBA 0.22% 131,982
CHF 6,450,000 (93)     5/19/25 0.29% 6 month CHF-LIBOR-BBA (174,216)
CHF 32,650,000 (134)     5/19/17 0.63% 6 month CHF-LIBOR-BBA 94,664
CHF 3,326,000 (47)     5/26/25 0.28% 6 month CHF-LIBOR-BBA (85,182)
CHF 9,024,000 (76)     10/15/20 6 month CHF-LIBOR-BBA 0.3855% (59,186)
CHF 5,536,000 (46)     10/15/20 6 month CHF-LIBOR-BBA 0.3875% (35,733)
CHF 6,558,000 (91)     10/23/25 6 month CHF-LIBOR-BBA 0.1425% 26,273
CHF 33,002,000 (127)     10/9/17 0.685% 6 month CHF-LIBOR-BBA 62,605
CHF 13,107,000 (109)     10/9/20 6 month CHF-LIBOR-BBA 0.3875% (86,676)
CHF 5,937,000 (49)     10/12/20 6 month CHF-LIBOR-BBA 0.402% (34,352)
CHF 22,726,000 (89)     10/15/17 0.678% 6 month CHF-LIBOR-BBA 46,517
EUR 1,499,000 (E) 5,327      12/16/17 0.25% 6 month EUR-EURIBOR-REUTERS (3,452)
EUR 28,397,000 (E) 181,766      12/16/20 0.50% 6 month EUR-EURIBOR-REUTERS (131,470)
EUR 18,781,000 (E) 560,645      12/16/25 6 month EUR-EURIBOR-REUTERS 0.75% 199,717
GBP 90,000 (E) (727)     12/16/17 6 month GBP-LIBOR-BBA 1.25% (105)
GBP 1,847,000 (E) (32,478)     12/16/20 6 month GBP-LIBOR-BBA 1.75% (1,869)
GBP 3,005,000 (E) (36,532)     12/16/25 6 month GBP-LIBOR-BBA 2.00% (15,209)
JPY 75,973,000 (25)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 81,245
JPY 148,765,000 (50)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 157,919
JPY 4,165,600,000 (163)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 238,747
JPY 911,400,000 (159)     3/14/44 1.795% 6 month JPY-LIBOR-BBA (968,668)
JPY 73,652,000 (13)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 78,968
JPY 85,000,000 (26)     11/7/44 6 month JPY-LIBOR-BBA 1.5025% 40,490
JPY 502,000,000 (151)     11/7/44 6 month JPY-LIBOR-BBA 1.495% 230,979
JPY 2,619,000,000 (186)     11/7/19 0.2475% 6 month JPY-LIBOR-BBA (106,649)
JPY 1,546,600,000 (110)     11/7/19 0.25% 6 month JPY-LIBOR-BBA (64,416)
JPY 26,010,000 (8)     11/7/44 6 month JPY-LIBOR-BBA 1.4975% 12,108
JPY 89,088,000 (10)     5/1/25 0.51% 6 month JPY-LIBOR-BBA (5,893)
JPY 2,887,474,000 (174)     5/20/25 0.583% 6 month JPY-LIBOR-BBA (352,739)
JPY 2,317,603,000 (138)     5/26/25 6 month JPY-LIBOR-BBA 0.595% 301,915
JPY 854,854,000 (93)     5/26/25 0.614% 6 month JPY-LIBOR-BBA (124,910)
JPY 716,631,000 (41)     6/4/25 6 month JPY-LIBOR-BBA 0.619% 106,357
JPY 700,699,000 (75)     6/8/25 0.6725% 6 month JPY-LIBOR-BBA (134,237)
JPY 767,466,000 (81)     6/10/25 0.674% 6 month JPY-LIBOR-BBA (147,718)
JPY 767,249,000 (81)     6/12/25 0.6775% 6 month JPY-LIBOR-BBA (149,551)
JPY 2,156,001,000 (126)     6/17/25 6 month JPY-LIBOR-BBA 0.689% 437,904
JPY 652,407,000 (38)     6/25/25 0.622% 6 month JPY-LIBOR-BBA (95,393)
JPY 2,317,603,000 (136)     7/2/25 6 month JPY-LIBOR-BBA 0.6325% 354,744
JPY 521,371,000 (57)     9/14/25 0.525% 6 month JPY-LIBOR-BBA (25,366)
JPY 743,369,000 (44)     7/15/25 0.6275% 6 month JPY-LIBOR-BBA (108,887)
JPY 683,854,000 (40)     8/7/25 6 month JPY-LIBOR-BBA 0.575% 67,232
JPY 753,545,000 (80)     8/14/25 6 month JPY-LIBOR-BBA 0.558% 62,270
JPY 720,494,000 (79)     9/8/25 0.545% 6 month JPY-LIBOR-BBA (48,003)
JPY 701,346,000 (78)     9/10/25 0.5375% 6 month JPY-LIBOR-BBA (42,086)
JPY 1,286,802,000 (77)     10/29/25 0.483% 6 month JPY-LIBOR-BBA (5,606)
JPY 1,593,830,000 (175)     9/28/25 0.48% 6 month JPY-LIBOR-BBA (14,415)
JPY 654,354,000 (39)     10/9/25 6 month JPY-LIBOR-BBA 0.49625% 12,832
JPY 1,763,475,000 (105)     11/2/25 6 month JPY-LIBOR-BBA 0.48125% 2,248
JPY 952,275,000 (104)     11/2/25 6 month JPY-LIBOR-BBA 0.46875% (8,611)
NOK 46,248,000 (45)     10/9/20 1.32% 6 month NOK-NIBOR-NIBR (7,971)
NOK 57,982,000 (26)     10/9/17 6 month NOK-NIBOR-NIBR 0.99% 3,316
NOK 28,991,000 (28)     10/9/20 1.31% 6 month NOK-NIBOR-NIBR (3,344)
NOK 71,228,000 (33)     10/12/17 6 month NOK-NIBOR-NIBR 0.975% 2,165
NOK 58,466,000 (57)     10/12/20 1.285% 6 month NOK-NIBOR-NIBR 1,671
NOK 58,466,000 (58)     10/13/20 1.36725% 6 month NOK-NIBOR-NIBR (25,852)
NOK 71,228,000 (33)     10/13/17 6 month NOK-NIBOR-NIBR 1.01% 8,365
NOK 109,082,000 (51)     10/14/17 6 month NOK-NIBOR-NIBR 1.02125% 13,860
NOK 154,873,000 (71)     10/22/17 6 month NOK-NIBOR-NIBR 0.9965% 13,262
NOK 122,042,000 (198)     10/23/25 6 month NOK-NIBOR-NIBR 1.92% 19,320
NOK 38,304,000 (37)     10/29/20 6 month NOK-NIBOR-NIBR 1.2775% (4,060)
NOK 25,232,000 (40)     10/29/25 1.88% 6 month NOK-NIBOR-NIBR 7,003
NZD 9,312,000 (51)     10/23/20 3.09% 3 month NZD-BBR-FRA (12,707)
NZD 8,691,000 (78)     10/29/25 3 month NZD-BBR-FRA 3.4925% (13,546)
NZD 4,081,000 (36)     11/2/25 3.5075% 3 month NZD-BBR-FRA 3,263
NZD 33,961,000 (178)     10/9/20 3.03% 3 month NZD-BBR-FRA 10,473
NZD 18,911,000 (46)     10/9/17 2.705% 3 month NZD-BBR-FRA 11,442
NZD 8,362,000 (45)     10/12/20 3.0525% 3 month NZD-BBR-FRA (2,733)
NZD 4,336,000 (23)     10/14/20 3.0775% 3 month NZD-BBR-FRA (4,715)
NZD 11,148,000 (28)     10/14/17 3 month NZD-BBR-FRA 2.725% (4,191)
NZD 7,333,000 (18)     10/14/17 3 month NZD-BBR-FRA 2.721% (3,144)
NZD 7,690,000 (42)     10/20/20 3.0475% 3 month NZD-BBR-FRA (680)
NZD 22,831,000 (58)     10/29/17 2.7675% 3 month NZD-BBR-FRA (5,873)
SEK 28,528,000 (46)     5/19/25 3 month SEK-STIBOR-SIDE 1.3225% 37,278
SEK 43,573,000 (71)     6/23/25 1.5525% 3 month SEK-STIBOR-SIDE (156,153)
SEK 12,284,000 (19)     7/29/25 1.32% 3 month SEK-STIBOR-SIDE (8,065)
SEK 12,225,000 (19)     8/6/25 3 month SEK-STIBOR-SIDE 1.34% 10,588
SEK 10,559,000 (16)     7/23/25 1.4275% 3 month SEK-STIBOR-SIDE (20,138)
SEK 12,832,000 (19)     8/11/25 1.3575% 3 month SEK-STIBOR-SIDE (13,162)
SEK 8,952,000 (14)     8/27/25 1.3025% 3 month SEK-STIBOR-SIDE (2,480)
SEK 13,532,000 (21)     8/28/25 3 month SEK-STIBOR-SIDE 1.3075% 4,386
SEK 10,028,000 (16)     9/22/25 3 month SEK-STIBOR-SIDE 1.35% 5,681
SEK 29,986,000 (47)     9/25/25 3 month SEK-STIBOR-SIDE 1.315% 4,159
SEK 37,469,000 (60)     10/23/25 1.3955% 3 month SEK-STIBOR-SIDE (29,784)
SEK 143,112,000 (64)     9/25/17 3 month SEK-STIBOR-SIDE 0.17% (23,452)
SEK 29,986,000 (47)     9/28/25 3 month SEK-STIBOR-SIDE 1.3075% 804
SEK 143,112,000 (64)     9/28/17 3 month SEK-STIBOR-SIDE 0.17125% (22,760)
SEK 12,650,000 (20)     9/30/25 3 month SEK-STIBOR-SIDE 1.34125% 5,036
SEK 567,089,000 (258)     10/9/17 3 month SEK-STIBOR-SIDE 0.1522% (109,764)
SEK 100,026,000 (98)     10/9/20 0.5036% 3 month SEK-STIBOR-SIDE (61,563)
SEK 53,745,000 (86)     10/9/25 3 month SEK-STIBOR-SIDE 1.355% 24,956
SEK 188,904,000 (86)     10/14/17 0.17875% 3 month SEK-STIBOR-SIDE 23,383
SEK 294,970,000 (133)     10/23/17 0.187% 3 month SEK-STIBOR-SIDE 28,889
SEK 46,488,000 (45)     10/23/20 0.498% 3 month SEK-STIBOR-SIDE (23,249)
SEK 291,840,000 (130)     10/27/17 0.244% 3 month SEK-STIBOR-SIDE (11,350)
SEK 94,943,000 (42)     10/29/17 0.2675% 3 month SEK-STIBOR-SIDE (8,991)
Total$5,822,466     $(4,358,481)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 10/31/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$517,380 $—      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools $1,303
984,792 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,056
935,705 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,356
869,771 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,462
2,615,798 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,554)
363,554 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 271
977,271 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,766
4,560,596 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,909
892,053 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,408
2,283,819 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,976)
2,863,077 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,104
879,819 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 656
111,643 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 275
399,052 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,130
482,259 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 1,666
2,931,812 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,299
1,660,086 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,890)
2,144,156 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,598
400,552 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,009
3,075,277 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 3,576
12,309,701 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 34,843
2,702,153 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,649
453,439 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,142
1,470,425 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,703
1,065,972 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,684
5,969,169 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (10,392)
1,057,301 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (2,887)
870,373 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,557)
435,186 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,278)
435,186 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,278)
873,350 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,566)
2,268,352 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (6,664)
873,350 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,566)
1,452,775 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,438
874,544 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,468
877,589 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,484
1,109,075 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,861
1,895,924 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,301)
1,652,681 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 4,073
237,155 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 584
1,743,722 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,122)
182,683 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (318)
3,915,598 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,404)
1,416,384 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3,248
698,423 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,977
2,457,088 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,278)
5,247,686 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (11,781)
EUR 6,626,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco 7,104
EUR 3,313,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco 6,310
EUR 4,713,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco 11,594
Citibank, N.A.
$1,718,042 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,863
3,909,083 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 11,065
3,619,485 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 10,245
Credit Suisse International
1,303,028 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,688
1,255,121 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,185)
2,318,621 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,892
2,397,245 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (5,145)
2,631,138 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (5,647)
2,476,075 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 4,156
1,348,593 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,028
108,084 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 243
99,295 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 135
871,231 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,181
1,667,160 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3,823
3,220,634 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 7,386
262,813 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 603
7,974,840 49,844      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 62,253
2,859,718 20,554      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,004
Deutsche Bank AG
1,255,121 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,185)
Goldman Sachs International
1,301,861 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,056
519,934 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,281
2,443,432 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 5,102
2,443,432 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 5,102
794,994 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,384)
298,656 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (520)
624,993 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 987
93,999 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 148
1,613,120 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,624
628,806 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 993
1,257,549 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,986
37,403 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 92
560,412 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (976)
1,089,132 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,896)
672,431 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,171)
51,523 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (90)
137,436 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (239)
5,561,646 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 11,613
4,813,116 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,050
3,907,515 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,772
3,753,045 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,055)
7,792,000 —      2/24/25 (2.01%) USA Non Revised Consumer Price Index- Urban (CPI-U) (240,773)
4,210,415 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 5,707
3,335,181 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 4,521
1,760,078 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,386
1,759,000 —      3/12/25 (1.925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (32,594)
2,837,758 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 5,040
2,854,167 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (6,546)
EUR 23,854,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (49,236)
EUR 7,876,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (16,256)
EUR 6,626,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 39,251
EUR 6,626,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 24,569
EUR 6,626,000 —      9/10/20 (0.7975%) Eurostat Eurozone HICP excluding tobacco 44,592
GBP 4,513,000 —      2/20/25 (2.895%) GBP Non-revised UK Retail Price Index 49,605
GBP 1,018,000 —      3/10/25 (2.8675%) GBP Non-revised UK Retail Price Index (1,915)
JPMorgan Chase Bank N.A.
$7,256,012 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 16,290
4,210,010 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,451
1,399,476 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,142
3,907,866 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,773
3,753,045 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,055)
EUR 3,313,000 —      9/4/20 (0.8675%) Eurostat Eurozone HICP excluding tobacco 9,115
EUR 3,313,000 —      9/7/20 (0.85%) Eurostat Eurozone HICP excluding tobacco 12,418
Total$70,398     $113,557











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 10/31/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
     CMBX NA BBB- Index BBB-/P $9,980 $146,000 5/11/63 300 bp $8,094
     CMBX NA BBB- Index BBB-/P 19,586 325,000 5/11/63 300 bp 15,388
     CMBX NA BBB- Index BBB-/P 40,127 650,000 5/11/63 300 bp 31,732
     CMBX NA BBB- Index BBB-/P 38,247 671,000 5/11/63 300 bp 29,580
Barclays Bank PLC
     CMBX NA BBB- Index BBB-/P 77,713 701,000 5/11/63 300 bp 68,659
Credit Suisse International
     CMBX NA BB Index — (104,332) 5,911,000 5/11/63 (500 bp) (9,592)
     CMBX NA BB Index — (3,146) 324,000 1/17/47 (500 bp) 8,819
     CMBX NA BBB- Index BBB-/P 108,669 7,507,000 5/11/63 300 bp 11,704
     CMBX NA BBB- Index BBB-/P 85,744 7,827,000 5/11/63 300 bp (15,355)
     CMBX NA BBB- Index BBB-/P 153,927 11,720,000 5/11/63 300 bp 2,543
     CMBX NA BBB- Index BBB-/P 18,957 471,000 1/17/47 300 bp 2,699
     CMBX NA BBB- Index BBB-/P 41,272 703,000 1/17/47 300 bp 17,007
     CMBX NA BBB- Index BBB-/P 41,840 720,000 1/17/47 300 bp 16,988
     CMBX NA BBB- Index BBB-/P 307,478 8,639,000 1/17/47 300 bp 9,288
     CMBX NA BBB- Index BBB-/P 905,366 26,395,000 1/17/47 300 bp (5,701)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P (3,444) 498,000 5/11/63 300 bp (9,877)
     CMBX NA BBB- Index BBB-/P 1,834 68,000 1/17/47 300 bp (513)
     CMBX NA BBB- Index BBB-/P 1,683 169,000 1/17/47 300 bp (4,150)
     CMBX NA BBB- Index BBB-/P 678 190,000 1/17/47 300 bp (5,880)
     CMBX NA BBB- Index BBB-/P 681 191,000 1/17/47 300 bp (5,911)
     CMBX NA BBB- Index BBB-/P 1,714 401,000 1/17/47 300 bp (12,127)
     CMBX NA BBB- Index BBB-/P 1,430 401,000 1/17/47 300 bp (12,412)
     CMBX NA BBB- Index BBB-/P 1,430 401,000 1/17/47 300 bp (12,412)
     CMBX NA BBB- Index BBB-/P 2,668 680,000 1/17/47 300 bp (20,804)
     CMBX NA BB Index — (7,082) 828,000 5/11/63 (500 bp) 6,189
     CMBX NA BB Index — (5,185) 489,000 5/11/63 (500 bp) 2,652
     CMBX NA BB Index — (2,651) 276,000 5/11/63 (500 bp) 1,773
     CMBX NA BB Index — 5,834 258,000 5/11/63 (500 bp) 9,969
     CMBX NA BB Index — 1,936 115,000 5/11/63 (500 bp) 3,779
     CMBX NA BB Index — 861 84,000 5/11/63 (500 bp) 2,207
     CMBX NA BB Index — 100 82,000 5/11/63 (500 bp) 1,414
     CMBX NA BB Index — (3,352) 324,000 1/17/47 (500 bp) 8,613
     CMBX NA BB Index — (299) 150,000 1/17/47 (500 bp) 5,240
     CMBX NA BBB- Index — (6,354) 700,000 5/11/63 (300 bp) 2,688
     CMBX NA BBB- Index BBB-/P (206) 77,000 5/11/63 300 bp (1,200)
     CMBX NA BBB- Index BBB-/P (1,365) 170,000 5/11/63 300 bp (3,561)
     CMBX NA BBB- Index BBB-/P (2,967) 272,000 5/11/63 300 bp (6,480)
     CMBX NA BBB- Index BBB-/P 3,144 527,000 5/11/63 300 bp (3,663)
     CMBX NA BBB- Index BBB-/P (4,959) 530,000 5/11/63 300 bp (11,805)
     CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp (12,161)
     CMBX NA BBB- Index BBB-/P (5,315) 530,000 5/11/63 300 bp (12,161)
     CMBX NA BBB- Index BBB-/P (2,151) 536,000 5/11/63 300 bp (9,074)
     CMBX NA BBB- Index BBB-/P 6,683 585,000 5/11/63 300 bp (874)
     CMBX NA BBB- Index BBB-/P (10,098) 606,000 5/11/63 300 bp (17,925)
     CMBX NA BBB- Index BBB-/P 9,570 454,000 1/17/47 300 bp (6,100)
     CMBX NA BBB- Index BBB-/P 13,682 457,000 1/17/47 300 bp (2,092)
     CMBX NA BBB- Index BBB-/P 21,210 700,000 1/17/47 300 bp (2,951)
     CMBX NA BBB- Index BBB-/P 25,565 863,000 1/17/47 300 bp (4,223)
     CMBX NA BBB- Index BBB-/P 45,151 1,417,000 1/17/47 300 bp (3,759)
     CMBX NA BBB- Index BBB-/P 66,630 2,152,000 1/17/47 300 bp (7,649)
JPMorgan Securities LLC
     CMBX NA BBB- Index — (22,410) 934,000 5/11/63 (300 bp) (10,345)
     CMBX NA BBB- Index — (12,034) 467,000 5/11/63 (300 bp) (6,004)
     CMBX NA BBB- Index BBB-/P 25,836 467,000 1/17/47 300 bp 9,716
     CMBX NA BBB- Index BBB-/P 21,709 856,000 1/17/47 300 bp (7,837)
     CMBX NA BBB- Index BBB-/P 49,261 934,000 1/17/47 300 bp 17,023
Total$1,955,531$49,166
*   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 October 31, 2015. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
ZAR South African Rand
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2015 through October 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $637,553,151.
(b) The aggregate identified cost on a tax basis is $1,175,505,307, resulting in gross unrealized appreciation and depreciation of $9,880,679 and $49,438,219, respectively, or net unrealized depreciation of $39,557,540.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $28,926,448 $60,360,695 $62,286,871 $7,628 $27,000,272
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $386,815,491 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 88.1%
Greece 2.2
Russia 1.5
Argentina 1.4
Venezuela 1.0
United Kingdom 0.8
Canada 0.7
Luxembourg 0.5
Mexico 0.5
Brazil 0.5
Other 2.8
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $8,537,411 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $9,868,694 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $23,241
    Energy 6,715 — 460
Total common stocks 6,715 — 23,701
Convertible bonds and notes — 362,594 —
Corporate bonds and notes — 209,866,883 13
Foreign government and agency bonds and notes — 58,720,099 —
Mortgage-backed securities — 281,384,070 13,038,499
Preferred stocks 420,125 633,271 —
Purchased options outstanding — 380,604 —
Purchased swap options outstanding — 2,984,993 —
Senior loans — 10,964,725 —
U.S. government and agency mortgage obligations — 497,561,849 —
U.S. treasury obligations — 462,894 —
Short-term investments 27,270,272 31,866,460 —
Totals by level $27,697,112 $1,095,188,442 $13,062,213



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $2,334,822 $—
Futures contracts (135,030) — —
Written options outstanding — (208,908) —
Written swap options outstanding — (6,687,725) —
Forward premium swap option contracts — (294,060) —
TBA sale commitments — (253,883,444) —
Interest rate swap contracts — (13,958,411) —
Total return swap contracts — 43,159 —
Credit default contracts — (1,906,365) —
Totals by level $(135,030) $(274,560,932) $—


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

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

Investments in securities:Balance as of July 31, 2015Accrued discounts/
premiums		Realized gain/(loss)Change in net
unrealized appreciation/
(depreciation)#		Cost of purchasesProceeds from salesTotal transfers into Level 3†Total transfers out of Level 3†Balance as of October 31, 2015
Common stocks*:
    Consumer cyclicals$23,241$—$—$—$—$—$—$—$23,241
    Energy 1,836——(1,376)————460
Total common stocks $25,077 — —(1,376)————$23,701
Corporate bonds and notes $13———————$13
Mortgage-backed securities$7,399,831(198,895)—14,7246,883,341——(1,060,502)$13,038,499
Totals $7,424,921 $(198,895) $—$13,348$6,883,341$—$—$(1,060,502)$13,062,213


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
† Transfers during the reporting period are accounted for using the end of period market value and did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
# Includes $13,348 related to Level 3 securities still held at period end.
During the reporting period, transfers between level 1 and level 2 within the fair value hierarchy, if any, (other than certain transfers involving non-U.S. equity securities as described in Note 1) did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
Level 3 securities, which are fair valued by Putnam, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $185,516 $2,091,881
Foreign exchange contracts 3,625,139 1,290,317
Interest rate contracts 13,123,430 30,998,808
Total $16,934,085 $34,381,006


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$105,000,000
Purchased swap option contracts (contract amount)$1,695,300,000
Written TBA commitment option contracts (contract amount)$191,300,000
Written swap option contracts (contract amount)$2,006,000,000
Futures contracts (number of contracts)500
Forward currency contracts (contract amount)$459,500,000
OTC interest rate swap contracts (notional)$164,800,000
Centrally cleared interest rate swap contracts (notional)$3,289,100,000
OTC total return swap contracts (notional)$281,900,000
OTC credit default contracts (notional)$84,500,000
   
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Assets:
OTC Interest rate swap contracts*# $— $— $— $— $—  $530,920  $61,584 $—  $93,762 $— $— $— $— $— $—  $686,266
Centrally cleared interest rate swap contracts§  —  —  2,473,757  —  —  — — — — — — — — — —  2,473,757
OTC Total return swap contracts*#  —  145,006  —  26,173  44,994  —  227,477 —  59,189 — — — — — —  502,839
OTC Credit default contracts*#  —  —  —  —  106,705  —  60,716 — —  18,095 — — — — —  185,516
Futures contracts§  —  —  —  —  —  — — — — —  47,875 — — — —  47,875
Forward currency contracts#  301,508  380,792  —  142,655  276,522  168,603  282,160  246,607  596,704 — —  385,838  323,677  168,682  351,391  3,625,139
Forward premium swap option contracts#  96,670  —  —  6,658  —  — — —  555,146 — — — — — —  658,474
Purchased swap options#  1,046  —  —  29,914  841,291  —  1,278,517 —  834,225 — — — — — —  2,984,993
Purchased options#  —  —  —  —  —  — — —  380,604 — — — — — —  380,604
Total Assets  $399,224  $525,798  $2,473,757  $205,400  $1,269,512  $699,523  $1,910,454  $246,607  $2,519,630  $18,095  $47,875  $385,838  $323,677  $168,682  $351,391  $11,545,463
Liabilities:
OTC Interest rate swap contracts*#  —  —  —  —  —  2,804,199 — —  1,659,531 — — — — — —  4,463,730
Centrally cleared interest rate swap contracts§  —  —  1,890,221  —  —  — — — — — — — — —  1,890,221
OTC Total return swap contracts*#  —  74,812  —  —  12,977  2,185  361,651 —  8,055 — — — — — —  459,680
OTC Credit default contracts*#  23,146  9,054  —  —  1,624,080  —  357,697 — —  77,904 — — — — —  2,091,881
Futures contracts§  —  —  —  —  —  — — — — — — — — — —  —
Forward currency contracts#  111,573  214,058  —  125,126  113,763  142,215  24,090  56,443  108,526 — —  129,705  94,063  156,068  14,687  1,290,317
Forward premium swap option contracts#  150,186  —  —  20,807  —  — — —  781,541 — — — — — —  952,534
Written swap options#  2,825  —  —  17,597  887,424  —  1,523,308 —  4,256,571 — — — — — —  6,687,725
Written options#  —  —  —  —  —  — — —  208,908 — — — — — —  208,908
Total Liabilities  $287,730  $297,924  $1,890,221  $163,530  $2,638,244  $2,948,599  $2,266,746  $56,443  $7,023,132  $77,904 $—  $129,705  $94,063  $156,068  $14,687  $18,044,996
Total Financial and Derivative Net Assets  $111,494  $227,874  $583,536  $41,870  $(1,368,732)  $(2,249,076)  $(356,292)  $190,164  $(4,503,502)  $(59,809)  $47,875  $256,133  $229,614  $12,614  $336,704  $(6,499,533)
Total collateral received (pledged)##†  $111,494  $197,972 $— $—  $(1,368,732)  $(2,249,076)  $(356,292)  $112,068  $(4,503,502) $— $—  $150,000  $152,854 $— $—
Net amount $—  $29,902  $583,536  $41,870 $— $— $—  $78,096 $—  $(59,809)  $47,875  $106,133  $76,760  $12,614  $336,704
* Excludes premiums, if any.
†  Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement.
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.

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



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

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

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

Putnam Premier Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: December 29, 2015

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: December 29, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: December 29, 2015