| 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- 05498 )
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
| Name and address of agent for service: | Beth S. Mazor, Vice President |
| One Post Office Square | |
| Boston, Massachusetts 02109 | |
| Copy to: | John W. Gerstmayr, Esq. |
| Ropes & Gray LLP | |
| One International Place | |
| Boston, Massachusetts 02110 | |
| Registrant’s telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: September 30, 2005
Date of reporting period: December 31, 2005
Item 1. Schedule of Investments:
| Putnam Master Intermediate Income Trust The fund's portfolio 12/31/05 (Unaudited) |
| CORPORATE BONDS AND NOTES (20.9%)(a) | |||
| Principal amount | Value | ||
|
| |||
| Basic Materials (2.2%) | |||
| ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg) | $4,250,000 | $4,870,925 | |
| Chaparral Steel Co. company guaranty 10s, 2013 | 486,000 | 523,665 | |
| Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany) | EUR | 265,000 | 333,950 |
| Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. | |||
| B, zero % (12s, 6/1/08), 2013 (STP) | $285,000 | 246,525 | |
| Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 | |||
| 3/4s, 12/15/07), 2012 (STP) | 775,000 | 701,375 | |
| Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero % | |||
| (10s, 10/1/09), 2014 (STP) | 345,000 | 253,575 | |
| Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 | |||
| 1/8s, 2008 | 581,000 | 630,385 | |
| Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada) | 680,000 | 749,700 | |
| Huntsman, LLC company guaranty 11 5/8s, 2010 | 260,000 | 296,075 | |
| Huntsman, LLC company guaranty 11 1/2s, 2012 | 191,000 | 216,308 | |
| Innophos, Inc. 144A sr. sub. notes 9 5/8s, 2014 | 225,000 | 226,688 | |
| International Steel Group, Inc. sr. notes 6 1/2s, 2014 | 130,000 | 130,000 | |
| ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011 | 646,000 | 691,220 | |
| Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013 | 120,000 | 110,400 | |
| JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK) | EUR | 436,178 | 475,846 |
| MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland) | $235,000 | 235,000 | |
| MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland) | EUR | 440,000 | 553,186 |
| Nalco Co. sr. sub. notes 9s, 2013 | EUR | 75,000 | 95,399 |
| Nalco Co. sr. sub. notes 8 7/8s, 2013 | $824,000 | 863,140 | |
| Novelis, Inc. 144A sr. notes 7 1/2s, 2015 | 805,000 | 750,663 | |
| PQ Corp. 144A company guaranty 7 1/2s, 2013 | 92,000 | 85,560 | |
| Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014 | EUR | 350,000 | 426,412 |
| Steel Dynamics, Inc. company guaranty 9 1/2s, 2009 | $695,000 | 733,225 | |
| Sterling Chemicals, Inc. sec. notes 10s, 2007 | 146,606 | 140,742 | |
| Stone Container Corp. sr. notes 9 3/4s, 2011 | 145,000 | 146,450 | |
| Stone Container Corp. sr. notes 8 3/8s, 2012 | 240,000 | 232,200 | |
| Stone Container Finance company guaranty 7 3/8s, 2014 (Canada) | 140,000 | 127,400 | |
| Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada) | 80,000 | 42,800 | |
| United States Steel Corp. sr. notes 9 3/4s, 2010 | 509,000 | 553,538 | |
| 15,442,352 | |||
|
| |||
| Capital Goods (0.9%) | |||
| Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008 | 732,000 | 769,515 | |
| BE Aerospace, Inc. sr. notes 8 1/2s, 2010 | 33,000 | 35,228 | |
| Blount, Inc. sr. sub. notes 8 7/8s, 2012 | 541,000 | 570,755 | |
| Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 | 73,000 | 73,183 | |
| Crown Euro Holdings SA company guaranty 6 1/4s, 2011 (France) | EUR | 107,000 | 133,831 |
| Decrane Aircraft Holdings Co. company guaranty zero %, 2008 (acquired | |||
| 7/23/04, cost $323,523) (RES) | $986,000 | 544,765 | |
| L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015 | 854,000 | 828,380 | |
| Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012 | 55,000 | 61,188 | |
| Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011 | EUR | 180,000 | 228,957 |
| Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013 | $220,000 | 226,050 | |
| Milacron Escrow Corp. sec. notes 11 1/2s, 2011 | 123,000 | 105,165 | |
| Mueller Group, Inc. sr. sub. notes 10s, 2012 | 265,000 | 281,563 | |
| Owens-Brockway Glass company guaranty 7 3/4s, 2011 | 181,000 | 188,919 | |
| Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012 | 877,000 | 942,775 | |
| Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom) | 436,000 | 375,505 | |
| Terex Corp. company guaranty 9 1/4s, 2011 | 190,000 | 202,825 | |
| Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 | 730,000 | 776,538 | |
| 6,345,142 | |||
|
| |||
| Communication Services (1.2%) | |||
| Alamosa Delaware, Inc. company guaranty 12s, 2009 | 268,000 | 293,125 | |
| Alamosa Delaware, Inc. company guaranty 11s, 2010 | 332,000 | 374,330 | |
| American Cellular Corp. company guaranty 9 1/2s, 2009 | 195,000 | 203,531 | |
| Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) | |||
| (NON) | 522,004 | 22,185 | |
| Cincinnati Bell, Inc. company guaranty 7s, 2015 | 578,000 | 566,440 | |
| Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014 | 160,000 | 157,400 | |
| Citizens Communications Co. sr. notes 6 1/4s, 2013 | 1,711,000 | 1,655,393 | |
| Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica) | 325,000 | 333,938 | |
| Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom) | 335,000 | 345,469 | |
| Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 | |||
| 3/8s, 10/15/08), 2012 (United Kingdom) (STP) | 754,000 | 628,648 | |
| iPCS, Inc. sr. notes 11 1/2s, 2012 | 300,000 | 344,250 | |
| IWO Holdings, Inc. sec. FRN 7.9s, 2012 | 82,000 | 85,075 | |
| Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 | 428,000 | 439,770 | |
| Qwest Corp. notes 8 7/8s, 2012 | 1,501,000 | 1,692,378 | |
| Qwest Corp. 144A sr. notes 7 5/8s, 2015 | 409,000 | 437,630 | |
| Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada) | 164,000 | 198,030 | |
| Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010 | 75,000 | 75,750 | |
| SBA Communications Corp. sr. notes 8 1/2s, 2012 | 148,000 | 164,280 | |
| SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes | |||
| stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP) | 208,000 | 192,920 | |
| 8,210,542 | |||
|
| |||
| Consumer Cyclicals (4.6%) | |||
| ArvinMeritor, Inc. notes 8 3/4s, 2012 | 285,000 | 272,888 |
| Autonation, Inc. company guaranty 9s, 2008 | 885,000 | 950,269 |
| Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012 | 585,000 | 629,606 |
| Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012 | 165,000 | 172,838 |
| Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 | 134,000 | 132,995 |
| CanWest Media, Inc. company guaranty 8s, 2012 (Canada) | 748,021 | 763,916 |
| Coinmach Corp. sr. notes 9s, 2010 | 858,000 | 898,755 |
| D.R. Horton, Inc. sr. notes 7 7/8s, 2011 | 630,000 | 683,550 |
| D.R. Horton, Inc. sr. notes 5 7/8s, 2013 | 440,000 | 423,414 |
| Dana Corp. notes 10 1/8s, 2010 | 160,000 | 136,800 |
| Dana Corp. notes 9s, 2011 | 550,000 | 442,750 |
| Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, | ||
| 2010 | 605,000 | 633,738 |
| Dex Media, Inc. notes 8s, 2013 | 580,000 | 591,600 |
| FelCor Lodging LP company guaranty 9s, 2008 (R) | 515,000 | 563,925 |
| General Motors Acceptance Corp. FRN 5.1s, 2007 | 350,000 | 328,065 |
| General Motors Acceptance Corp. FRN Ser. MTN, 5.22s, 2007 | 695,000 | 656,465 |
| Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011 | 1,075,000 | 1,048,125 |
| HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R) | 185,000 | 187,081 |
| Host Marriott LP sr. notes Ser. M, 7s, 2012 (R) | 725,000 | 743,125 |
| JC Penney Co., Inc. notes 9s, 2012 | 575,000 | 679,938 |
| JC Penney Co., Inc. notes 8s, 2010 | 30,000 | 32,857 |
| Jostens IH Corp. company guaranty 7 5/8s, 2012 | 718,000 | 721,590 |
| K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012 | 600,000 | 623,468 |
| K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014 | 385,000 | 364,151 |
| K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014 | 295,000 | 282,116 |
| KB Home company guaranty 5 7/8s, 2015 | 232,000 | 218,795 |
| KB Home sr. notes 5 3/4s, 2014 | 333,000 | 313,976 |
| Levi Strauss & Co. sr. notes 12 1/4s, 2012 | 362,000 | 403,630 |
| Levi Strauss & Co. sr. notes 9 3/4s, 2015 | 651,000 | 677,040 |
| MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R) | 418,000 | 455,620 |
| Meritage Homes Corp. company guaranty 6 1/4s, 2015 | 235,000 | 213,850 |
| Meritage Homes Corp. sr. notes 7s, 2014 | 160,000 | 151,400 |
| Meritor Automotive, Inc. notes 6.8s, 2009 | 405,000 | 377,663 |
| MGM Mirage, Inc. company guaranty 8 1/2s, 2010 | 468,000 | 507,195 |
| MGM Mirage, Inc. company guaranty 6s, 2009 | 1,009,000 | 1,002,694 |
| Movie Gallery, Inc. sr. unsecd. notes 11s, 2012 | 478,000 | 372,840 |
| Owens Corning notes 7 1/2s, 2005 (In default) (NON)(DEF) | 534,000 | 409,845 |
| Oxford Industries, Inc. sr. notes 8 7/8s, 2011 | 460,000 | 468,625 |
| Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 | 905,000 | 963,825 |
| Park Place Entertainment Corp. sr. notes 7s, 2013 | 495,000 | 529,535 |
| Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 | 395,000 | 427,094 |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012 | 247,000 | 255,336 |
| PRIMEDIA, Inc. sr. notes 8s, 2013 | 688,000 | 582,220 |
| R.H. Donnelley Corp. sr. notes 6 7/8s, 2013 | 335,000 | 308,619 |
| R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012 | 475,000 | 535,563 |
| Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011 | 365,000 | 356,788 |
| Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, | ||
| 2009 | 450,000 | 498,375 |
| Russell Corp. company guaranty 9 1/4s, 2010 | 466,000 | 474,155 |
| Scientific Games Corp. company guaranty 6 1/4s, 2012 | 626,000 | 615,828 |
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 735,000 | 757,050 |
| Standard Pacific Corp. sr. notes 7 3/4s, 2013 | 420,000 | 411,075 |
| Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 7/8s, | ||
| 2012 | 560,000 | 617,400 |
| Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, | ||
| 2007 | 390,000 | 397,800 |
| Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015 | 520,000 | 564,200 |
| Station Casinos, Inc. sr. notes 6s, 2012 | 470,000 | 468,825 |
| Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014 | 420,000 | 396,900 |
| Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013 | 436,000 | 476,330 |
| Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013 | 161,000 | 167,038 |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014 | 604,000 | 582,860 |
| Toys R Us, Inc. notes 7 5/8s, 2011 | 73,000 | 59,860 |
| Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015 | 117,000 | 114,075 |
| United Auto Group, Inc. company guaranty 9 5/8s, 2012 | 515,000 | 542,038 |
| Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009 | 736,000 | 724,960 |
| Vertis, Inc. 144A sub. notes 13 1/2s, 2009 | 730,000 | 591,300 |
| WCI Communities, Inc. company guaranty 9 1/8s, 2012 | 810,000 | 801,900 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge. 6 5/8s, | ||
| 2014 | 555,000 | 539,738 |
| 32,297,885 | ||
|
| ||
| Consumer Staples (2.8%) | ||
| Affinity Group, Inc. sr. sub. notes 9s, 2012 | 545,000 | 544,319 |
| AMC Entertainment, Inc. sr. sub. notes 8s, 2014 | 456,000 | 412,680 |
| Archibald Candy Corp. company guaranty 10s, 2007 (In default) (F)(NON) | 90,153 | 4,711 |
| Ashtead Holdings PLC 144A sr. notes 8 5/8s, 2015 (United Kingdom) | 210,000 | 221,025 |
| Brand Services, Inc. company guaranty 12s, 2012 | 565,000 | 593,250 |
| Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012 | 409,000 | 382,415 |
| CCH I Holdings LLC 144A company guaranty 11 1/8s, 2014 | 412,000 | 239,990 |
| CCH I Holdings LLC 144A company guaranty 10s, 2014 | 334,000 | 189,545 |
| CCH I Holdings LLC 144A company guaranty stepped-coupon zero % (12 | ||
| 1/8s, 1/15/07), 2015 (STP) | 49,000 | 23,153 |
| CCH I Holdings LLC 144A company guaranty stepped-coupon zero % (11 | ||
| 3/4s, 5/15/06), 2014 (STP) | 77,000 | 42,735 |
| CCH I LLC 144A secd. notes 11s, 2015 | 1,347,000 | 1,131,480 |
| Church & Dwight Co., Inc. company guaranty 6s, 2012 | 444,000 | 437,340 |
| Cinemark USA, Inc. sr. sub. notes 9s, 2013 | 30,000 | 31,725 |
| Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), | ||
| 2014 (STP) | 990,000 | 732,600 |
| Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 | 825,000 | 860,063 |
| Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 | 425,000 | 445,188 |
| CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 | 353,000 | 351,235 |
| CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012 | 1,068,000 | 1,009,260 |
| Dean Foods Co. sr. notes 6 5/8s, 2009 | 918,000 | 935,213 |
| Del Monte Corp. company guaranty 6 3/4s, 2015 | 320,000 | 312,000 |
| Del Monte Corp. sr. sub. notes 8 5/8s, 2012 | 560,000 | 595,000 |
| DirecTV Holdings, LLC company guaranty 6 3/8s, 2015 | 1,026,000 | 1,002,915 |
| Echostar DBS Corp. company guaranty 6 5/8s, 2014 | 2,119,000 | 2,031,591 |
| Granite Broadcasting Corp. sec. notes 9 3/4s, 2010 | 542,000 | 498,640 |
| Interpublic Group of Companies, Inc. notes 6 1/4s, 2014 | 118,000 | 101,480 |
| Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada) | 509,000 | 501,365 |
| Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada) | 251,000 | 229,665 |
| Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014 | ||
| (Germany) | 461,000 | 485,203 |
| Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013 | 741,000 | 705,803 |
| Playtex Products, Inc. company guaranty 9 3/8s, 2011 | 266,000 | 278,635 |
| Playtex Products, Inc. sec. notes 8s, 2011 | 770,000 | 820,050 |
| Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 | 450,000 | 443,250 |
| Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012 | 482,000 | 513,330 |
| Remington Arms Co., Inc. company guaranty 10 1/2s, 2011 | 735,000 | 654,150 |
| Sbarro, Inc. company guaranty 11s, 2009 | 726,000 | 722,370 |
| Scotts Co. (The) sr. sub. notes 6 5/8s, 2013 | 255,000 | 258,188 |
| Six Flags, Inc. sr. notes 9 5/8s, 2014 | 370,000 | 359,825 |
| Young Broadcasting, Inc. company guaranty 10s, 2011 | 431,000 | 403,524 |
| Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014 | 365,000 | 321,656 |
| 19,826,567 | ||
|
| ||
| Energy (3.7%) | ||
| Arch Western Finance, LLC sr. notes 6 3/4s, 2013 | 1,347,000 | 1,372,256 |
| Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman | ||
| Islands) | 487,000 | 523,525 |
| CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada) | 812,000 | 821,135 |
| Chesapeake Energy Corp. company guaranty 7 3/4s, 2015 | 269,000 | 285,140 |
| Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 | 1,031,000 | 1,095,438 |
| Chesapeake Energy Corp. sr. notes 7s, 2014 | 279,000 | 288,765 |
| Comstock Resources, Inc. sr. notes 6 7/8s, 2012 | 510,000 | 499,163 |
| Dresser, Inc. company guaranty 9 3/8s, 2011 | 696,000 | 732,540 |
| Exco Resources, Inc. company guaranty 7 1/4s, 2011 | 725,000 | 735,875 |
| Forest Oil Corp. company guaranty 7 3/4s, 2014 | 108,000 | 112,050 |
| Forest Oil Corp. sr. notes 8s, 2011 | 540,000 | 589,950 |
| Forest Oil Corp. sr. notes 8s, 2008 | 335,000 | 349,238 |
| Gazprom OAO 144A notes 9 5/8s, 2013 (Germany) | 1,860,000 | 2,243,625 |
| Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada) | 584,000 | 581,080 |
| Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014 | 517,000 | 504,075 |
| Massey Energy Co. sr. notes 6 5/8s, 2010 | 774,000 | 786,578 |
| Nak Naftogaz Ukrainy bonds 8 1/8s, 2009 (Ukraine) | 1,800,000 | 1,876,500 |
| Newfield Exploration Co. sr. notes 7 5/8s, 2011 | 700,000 | 747,250 |
| Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 | 348,000 | 354,090 |
| Offshore Logistics, Inc. company guaranty 6 1/8s, 2013 | 655,000 | 612,425 |
| Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011 | 490,858 | 510,277 |
| Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, | ||
| 2014 | 355,000 | 365,650 |
| Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands) | 761,250 | 822,995 |
| Pemex Project Funding Master Trust 144A notes 5 3/4s, 2015 | 4,060,000 | 4,039,700 |
| Pioneer Natural Resources Co. company guaranty 6 1/2s, 2008 | 115,000 | 117,509 |
| Plains Exploration & Production Co. sr. notes 7 1/8s, 2014 | 620,000 | 641,700 |
| Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012 | 485,000 | 522,588 |
| Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 | 670,000 | 700,150 |
| Pride International, Inc. sr. notes 7 3/8s, 2014 | 826,000 | 885,885 |
| Seabulk International, Inc. company guaranty 9 1/2s, 2013 | 600,000 | 674,250 |
| Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013 | 113,000 | 111,588 |
| Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012 | 670,000 | 718,575 |
| Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 | 145,000 | 151,525 |
| 25,373,090 | ||
|
| ||
| Financial (1.2%) | ||
| Bosphorus Financial Services, Ltd. 144A sec. FRN 6.14s, 2012 (Cayman | ||
| Islands) | 1,856,000 | 1,865,521 |
| Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R) | 310,000 | 314,650 |
| Finova Group, Inc. notes 7 1/2s, 2009 | 491,340 | 171,969 |
| UBS Luxembourg SA for Sberbank sub. notes 6.23s, 2015 (Luxembourg) | 1,990,000 | 2,009,900 |
| VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg) | 3,010,000 | 3,228,225 |
| Western Financial Bank sub. debs. 9 5/8s, 2012 | 540,000 | 603,450 |
| 8,193,715 | ||
|
| ||
| Health Care (1.8%) | ||
| Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012 | 183,000 | 178,196 |
| Coventry Health Care, Inc. sr. notes 5 7/8s, 2012 | 320,000 | 323,200 |
| DaVita, Inc. company guaranty 7 1/4s, 2015 | 345,000 | 349,313 |
| DaVita, Inc. company guaranty 6 5/8s, 2013 | 175,000 | 178,063 |
| Extendicare Health Services, Inc. sr. sub. notes 6 7/8s, 2014 | 312,000 | 304,980 |
| HCA, Inc. debs. 7.19s, 2015 | 51,000 | 53,618 |
| HCA, Inc. notes 6 3/8s, 2015 | 212,000 | 214,297 |
| HCA, Inc. notes 6 1/4s, 2013 | 550,000 | 550,391 |
| HCA, Inc. notes 5 3/4s, 2014 | 260,000 | 252,123 |
| Healthsouth Corp. notes 7 5/8s, 2012 | 843,000 | 851,430 |
| MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012 | 595,000 | 584,588 |
| MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, | ||
| 8/15/08), 2012 (STP) | 805,000 | 458,850 |
| Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 | 740,000 | 730,750 |
| PacifiCare Health Systems, Inc. company guaranty 10 3/4s, 2009 | 737,000 | 788,590 |
| Service Corp. International notes 6 1/2s, 2008 | 110,000 | 111,100 |
| Service Corp. International notes Ser. *, 7.7s, 2009 | 270,000 | 283,500 |
| Service Corp. International 144A sr. notes 7 1/4s, 2017 | 170,000 | 168,725 |
| Service Corp. International 144A sr. notes 6 3/4s, 2016 | 535,000 | 521,625 |
| Stewart Enterprises, Inc. 144A sr. notes 7 1/4s, 2013 | 724,000 | 695,040 |
| Tenet Healthcare Corp. notes 7 3/8s, 2013 | 390,000 | 359,775 |
| Tenet Healthcare Corp. sr. notes 9 7/8s, 2014 | 835,000 | 845,438 |
| Triad Hospitals, Inc. sr. notes 7s, 2012 | 825,000 | 842,531 |
| Triad Hospitals, Inc. sr. sub. notes 7s, 2013 | 211,000 | 211,528 |
| Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada) | 840,000 | 869,400 |
| US Oncology, Inc. company guaranty 9s, 2012 | 420,000 | 449,400 |
| Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014 | 556,000 | 590,750 |
| Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R) | 305,000 | 347,700 |
| Ventas Realty LP/Capital Corp. company guaranty 6 3/4s, 2010 (R) | 201,000 | 206,025 |
| Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R) | 173,000 | 176,893 |
| 12,497,819 | ||
|
| ||
| Technology (0.7%) | |||
| Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 | 515,000 | 520,150 | |
| Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014 | 1,229,000 | 1,308,885 | |
| Iron Mountain, Inc. company guaranty 8 5/8s, 2013 | 700,000 | 731,500 | |
| New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman | |||
| Islands) | 13,000 | 8,970 | |
| SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s, 2013 | 340,000 | 351,900 | |
| Xerox Corp. notes Ser. MTN, 7.2s, 2016 | 175,000 | 183,750 | |
| Xerox Corp. sr. notes 9 3/4s, 2009 | EUR | 195,000 | 266,435 |
| Xerox Corp. sr. notes 7 5/8s, 2013 | $1,080,000 | 1,139,400 | |
| 4,510,990 | |||
|
| |||
| Transportation (0.1%) | |||
| Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 | 760,000 | 649,800 | |
|
| |||
| Utilities & Power (1.8%) | |||
| AES Corp. (The) sr. notes 8 7/8s, 2011 | 54,000 | 58,320 | |
| AES Corp. (The) sr. notes 8 3/4s, 2008 | 30,000 | 31,500 | |
| AES Corp. (The) 144A sec. notes 8 3/4s, 2013 | 460,000 | 500,825 | |
| Centrais Electricas Brasileirass SA 144A sr. notes 7 3/4s, 2015 (Brazil) | 300,000 | 306,900 | |
| CMS Energy Corp. sr. notes 8.9s, 2008 | 600,000 | 641,250 | |
| CMS Energy Corp. sr. notes 7 3/4s, 2010 | 180,000 | 188,775 | |
| Colorado Interstate Gas Co. sr. notes 5.95s, 2015 | 174,000 | 168,063 | |
| DPL, Inc. sr. notes 6 7/8s, 2011 | 457,000 | 481,564 | |
| Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013 | 872,000 | 985,360 | |
| El Paso Corp. notes 6 3/8s, 2009 | 200,000 | 196,000 | |
| El Paso Natural Gas Co. sr. notes Ser. A, 7 5/8s, 2010 | 365,000 | 385,075 | |
| El Paso Production Holding Co. company guaranty 7 3/4s, 2013 | 993,000 | 1,030,238 | |
| Ferrellgas LP/Finance sr. notes 6 3/4s, 2014 | 520,000 | 491,400 | |
| Mission Energy Holding Co. sec. notes 13 1/2s, 2008 | 749,000 | 868,840 | |
| Monongahela Power Co. 1st mtge. 6.7s, 2014 | 400,000 | 437,909 | |
| National Power Corp. 144A foreign government guaranty FRN 8.63s, 2011 | |||
| (Philippines) | 195,000 | 209,869 | |
| Northwestern Corp. sec. notes 5 7/8s, 2014 | 319,000 | 319,600 | |
| NRG Energy, Inc. company guaranty 8s, 2013 | 494,000 | 550,810 | |
| Orion Power Holdings, Inc. sr. notes 12s, 2010 | 655,000 | 740,150 | |
| PSEG Energy Holdings, Inc. notes 7 3/4s, 2007 | 615,000 | 636,525 | |
| SEMCO Energy, Inc. sr. notes 7 3/4s, 2013 | 517,000 | 542,088 | |
| Teco Energy, Inc. notes 7.2s, 2011 | 185,000 | 195,175 | |
| Teco Energy, Inc. notes 7s, 2012 | 280,000 | 294,000 | |
| Teco Energy, Inc. sr. notes 6 3/4s, 2015 | 32,000 | 33,120 | |
| Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, | |||
| 2014 | 585,000 | 633,263 | |
| Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada) | 612,000 | 625,770 | |
| Utilicorp United, Inc. sr. notes 9.95s, 2011 | 361,000 | 398,003 | |
| Williams Cos., Inc. (The) notes 8 1/8s, 2012 | 150,000 | 163,500 | |
| Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010 | 172,000 | 171,785 | |
| York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) | |||
| (F)(NON) | 203,730 | 16,991 | |
| 12,302,668 | |||
|
| |||
| Total corporate bonds and notes (cost $143,942,472) | $145,650,570 | ||
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS | |||
| (14.7%)(a) | |||
| Principal amount | Value | ||
|
| |||
| U.S. Government Agency Mortgage Obligations (14.7%) | |||
| Federal National Mortgage Association Pass-Through Certificates | |||
| 8 1/2s, March 1, 2006 | $9 | $9 | |
| 8s, with due dates from October 1, 2025 to July 1, 2028 | 13,133 | 14,082 | |
| 7 1/2s, December 1, 2029 | 2,927 | 3,072 | |
| 6 1/2s, with due dates from August 1, 2034 to September 1, 2034 | 1,271,398 | 1,304,226 | |
| 6 1/2s, October 1, 2018 | 22,221 | 22,762 | |
| 6s, TBA, January 1, 2036 | 14,000,000 | 14,125,782 | |
| 5 1/2s, with due dates from May 1, 2035 to December 1, 2035 | 11,746,114 | 11,634,158 | |
| 5 1/2s, TBA, January 1, 2036 | 51,900,000 | 51,389,107 | |
| 5s, with due dates from April 1, 2019 to April 1, 2020 | 2,245,448 | 2,223,151 | |
| 5s, TBA, January 1, 2035 | 7,000,000 | 6,780,157 | |
| 5s, TBA, January 1, 2021 | 6,100,000 | 6,032,328 | |
| 4 1/2s, with due dates from August 1, 2033 to June 1, 2034 | 3,189,440 | 3,016,389 | |
| 4 1/2s, TBA, January 1, 2021 | 5,665,000 | 5,509,213 | |
| 102,054,436 | |||
|
| |||
| Total U.S. government and agency mortgage obligations (cost | $102,054,436 | ||
| $101,754,160) | |||
|
| |||
| U.S. TREASURY OBLIGATIONS (10.4%)(a) | |||
| Principal amount | Value | ||
|
| |||
| U.S. Treasury Notes | |||
| 6 1/2s, February 15, 2010 | $7,500,000 | $8,092,969 | |
| 4 1/4s, August 15, 2013 | 38,008,000 | 37,675,430 | |
| 3 1/4s, August 15, 2008 | 27,242,000 | 26,488,590 | |
|
| |||
| Total U.S. treasury obligations (cost $73,842,620) | $72,256,989 | ||
|
| |||
| COLLATERALIZED MORTGAGE OBLIGATIONS (14.0%)(a) | |||
| Principal amount | Value | ||
|
| |||
| Banc of America Commercial Mortgage, Inc. Ser. 01-1, Class G, 7.324s, | |||
| 2036 | $325,000 | $350,829 | |
| Banc of America Commercial Mortgage, Inc. 144A | |||
| Ser. 01-1, Class J, 6 1/8s, 2036 | 163,000 | 162,767 | |
| Ser. 01-1, Class K, 6 1/8s, 2036 | 367,000 | 276,662 | |
| Banc of America Large Loan 144A | |||
| FRB Ser. 02-FL2A, Class L1, 7.331s, 2014 | 141,000 | 140,881 | |
| FRB Ser. 02-FL2A, Class K1, 6.831s, 2014 | 100,000 | 99,981 | |
| FRB Ser. 05-BOCA, Class M, 6.469s, 2016 | 355,000 | 356,145 | |
| FRB Ser. 05-ESHA, Class K, 6.167s, 2020 | 712,000 | 711,987 | |
| FRB Ser. 05-BOCA, Class L, 6.069s, 2016 | 183,000 | 183,422 | |
| FRB Ser. 05-BOCA, Class K, 5.719s, 2016 | 200,000 | 200,462 | |
| FRB Ser. 05-MIB1, Class K, 6.369s, 2009 | 1,077,000 | 1,045,902 | |
| Bear Stearns Commercial Mortgage Securities, Inc. 144A FRB Ser. 05- | |||
| LXR1, Class J, 6.019s, 2018 | 696,000 | 696,000 | |
| Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2, | |||
| Class F, 8.199s, 2032 | 410,000 | 469,242 | |
| Broadgate Financing PLC sec. FRB Ser. D, 5.40s, 2023 (United Kingdom) | GBP | 467,875 | 800,618 |
| Commercial Mortgage Pass-Through Certificates 144A | |||
| FRB Ser. 01-FL5A, Class G, 5.152s, 2013 | $1,074,000 | 1,068,630 | |
| FRB Ser. 05-F10A, Class A1, 4.469s, 2017 | 5,180,146 | 5,177,489 | |
| CS First Boston Mortgage Securities Corp. 144A | |||
| FRB Ser. 03-TF2A, Class L, 8.369s, 2014 | 356,000 | 355,153 | |
| FRB Ser. 05-TFLA, Class L, 6.219s, 2020 | 699,000 | 698,846 | |
| Ser. 98-C1, Class F, 6s, 2040 | 966,000 | 850,564 | |
| FRB Ser. 05-TFLA, Class K, 5.669s, 2020 | 388,000 | 387,915 | |
| Ser. 02-CP5, Class M, 5 1/4s, 2035 | 354,000 | 277,324 | |
| Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, Interest | |||
| Only (IO), 0.899s, 2031 | 20,125,891 | 426,103 | |
| DLJ Commercial Mortgage Corp. | |||
| Ser. 98-CF2, Class B4, 6.04s, 2031 | 286,492 | 281,192 | |
| Ser. 98-CF2, Class B5, 5.95s, 2031 | 915,958 | 668,833 | |
| DLJ Mortgage Acceptance Corp. 144A | |||
| Ser. 97-CF1, Class B2, 8.16s, 2030 | 275,000 | 192,500 | |
| Ser. 97-CF1, Class B1, 7.91s, 2030 | 266,000 | 273,744 | |
| European Loan Conduit FRB Ser. 6X, Class E, 6.345s, 2010 (United | |||
| Kingdom) | 372,956 | 645,236 | |
| European Loan Conduit 144A FRB Ser. 6A, Class F, 6.845s, 2010 (United | |||
| Kingdom) | 133,198 | 230,876 | |
| European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 5.4s, 2014 | |||
| (United Kingdom) | 361,022 | 619,694 | |
| Fannie Mae | |||
| IFB Ser. 05-114, Class PS, 9.041s, 2035 | 361,000 | 362,579 | |
| IFB Ser. 05-115, Class NQ, 8.813s, 2036 | 373,000 | 373,248 | |
| IFB Ser. 05-74, Class CP, 8.695s, 2035 | 645,821 | 683,731 | |
| IFB Ser. 05-76, Class SA, 8.695s, 2034 | 912,962 | 950,302 | |
| IFB Ser. 05-106, Class US, 8.511s, 2035 | 1,579,320 | 1,676,922 | |
| IFB Ser. 05-99, Class SA, 8.511s, 2035 | 756,452 | 788,115 | |
| IFB Ser. 05-104, Class SD, 8.511s, 2033 | 1,008,634 | 1,031,407 | |
| Ser. 00-42, Class B2, 8s, 2030 | 37,533 | 40,487 | |
| Ser. 00-17, Class PA, 8s, 2030 | 176,550 | 190,268 | |
| Ser. 00-18, Class PA, 8s, 2030 | 163,246 | 175,881 | |
| Ser. 00-19, Class PA, 8s, 2030 | 168,448 | 181,469 | |
| Ser. 00-20, Class PA, 8s, 2030 | 95,593 | 103,097 | |
| Ser. 00-21, Class PA, 8s, 2030 | 284,582 | 306,808 | |
| Ser. 00-22, Class PA, 8s, 2030 | 212,467 | 228,891 | |
| Ser. 97-37, Class PB, 8s, 2027 | 497,111 | 537,179 | |
| Ser. 97-13, Class TA, 8s, 2027 | 71,222 | 76,991 | |
| Ser. 97-21, Class PA, 8s, 2027 | 289,260 | 312,315 | |
| Ser. 97-22, Class PA, 8s, 2027 | 557,587 | 602,361 | |
| Ser. 97-16, Class PE, 8s, 2027 | 189,472 | 204,649 | |
| Ser. 97-25, Class PB, 8s, 2027 | 187,822 | 202,791 | |
| Ser. 95-12, Class PD, 8s, 2025 | 113,645 | 122,611 | |
| Ser. 95-5, Class A, 8s, 2025 | 137,961 | 149,136 | |
| Ser. 95-5, Class TA, 8s, 2025 | 35,522 | 38,492 | |
| Ser. 95-6, Class A, 8s, 2025 | 88,684 | 95,859 | |
| Ser. 95-7, Class A, 8s, 2025 | 120,607 | 130,436 | |
| Ser. 94-106, Class PA, 8s, 2024 | 179,233 | 193,877 | |
| Ser. 94-95, Class A, 8s, 2024 | 276,440 | 299,191 | |
| IFB Ser. 05-74, Class CS, 7.978s, 2035 | 736,294 | 765,745 | |
| IFB Ser. 05-114, Class SP, 7.7s, 2036 | 435,000 | 431,398 | |
| Ser. 04-W8, Class 3A, 7 1/2s, 2044 | 504,542 | 532,178 | |
| Ser. 04-W2, Class 5A, 7 1/2s, 2044 | 1,810,387 | 1,909,380 | |
| Ser. 04-T2, Class 1A4, 7 1/2s, 2043 | 430,725 | 453,887 | |
| Ser. 03-W4, Class 4A, 7 1/2s, 2042 | 135,805 | 142,423 | |
| Ser. 03-W3, Class 1A3, 7 1/2s, 2042 | 286,865 | 301,607 | |
| Ser. 02-T19, Class A3, 7 1/2s, 2042 | 345,268 | 363,021 | |
| Ser. 03-W2, Class 1A3, 7 1/2s, 2042 | 6,457 | 6,791 | |
| Ser. 02-W1, Class 2A, 7 1/2s, 2042 | 577,233 | 603,398 | |
| Ser. 02-14, Class A2, 7 1/2s, 2042 | 2,800 | 2,939 | |
| Ser. 01-T10, Class A2, 7 1/2s, 2041 | 359,718 | 376,809 | |
| Ser. 02-T4, Class A3, 7 1/2s, 2041 | 1,708 | 1,790 | |
| Ser. 01-T8, Class A1, 7 1/2s, 2041 | 4,586 | 4,797 | |
| Ser. 01-T7, Class A1, 7 1/2s, 2041 | 1,418,575 | 1,482,524 | |
| Ser. 01-T3, Class A1, 7 1/2s, 2040 | 212,795 | 222,487 | |
| Ser. 01-T1, Class A1, 7 1/2s, 2040 | 661,455 | 693,141 | |
| Ser. 99-T2, Class A1, 7 1/2s, 2039 | 272,274 | 286,458 | |
| Ser. 00-T6, Class A1, 7 1/2s, 2030 | 133,412 | 139,426 | |
| Ser. 02-W7, Class A5, 7 1/2s, 2029 | 230,874 | 242,587 | |
| Ser. 01-T4, Class A1, 7 1/2s, 2028 | 634,029 | 669,297 | |
| Ser. 02-W3, Class A5, 7 1/2s, 2028 | 1,455 | 1,527 | |
| Ser. 04-W12, Class 1A3, 7s, 2044 | 534,002 | 556,222 | |
| Ser. 01-T10, Class A1, 7s, 2041 | 1,390,704 | 1,440,466 | |
| IFB Ser. 05-95, Class CP, 6.878s, 2035 | 124,913 | 127,586 | |
| IFB Ser. 05-95, Class OP, 6.83s, 2035 | 360,000 | 350,676 | |
| IFB Ser. 05-83, Class QP, 6.009s, 2034 | 239,242 | 230,677 | |
| IFB Ser. 05-66, Class PS, 5.928s, 2035 | 460,357 | 434,347 | |
| IFB Ser. 05-93, Class AS, 5.928s, 2034 | 332,954 | 314,121 | |
| Ser. 350, Class 2, IO, 5 1/2s, 2034 | 1,113,033 | 247,903 | |
| Ser. 329, Class 2, IO, 5 1/2s, 2033 | 2,070,242 | 460,712 | |
| Ser. 03-37, Class IC, IO, 5 1/2s, 2027 | 1,697,422 | 170,082 | |
| IFB Ser. 02-36, Class QH, IO, 3.671s, 2029 | 367,087 | 7,471 | |
| IFB Ser. 03-66, Class SA, IO, 3.271s, 2033 | 1,581,722 | 119,104 | |
| IFB Ser. 03-48, Class S, IO, 3.171s, 2033 | 727,174 | 55,192 | |
| IFB Ser. 05-113, Class DI, IO, 2.87s, 2036 | 9,454,000 | 625,855 | |
| IFB Ser. 04-51, Class S0, IO, 2.671s, 2034 | 402,092 | 22,879 | |
| IFB Ser. 05-72, Class WS, IO, 2.371s, 2035 | 1,141,682 | 80,603 | |
| IFB Ser. 05-105, Class S, IO, 2.321s, 2035 | 1,150,382 | 64,170 | |
| IFB Ser. 05-95, Class CI, IO, 2.321s, 2035 | 1,635,481 | 109,741 |
| IFB Ser. 05-84, Class SG, IO, 2.321s, 2035 | 2,939,575 | 207,342 |
| IFB Ser. 05-87, Class SG, IO, 2.321s, 2035 | 3,772,965 | 205,745 |
| IFB Ser. 05-69, Class AS, IO, 2.321s, 2035 | 803,297 | 45,688 |
| IFB Ser. 05-104, Class NI, IO, 2.321s, 2035 | 1,364,171 | 109,364 |
| IFB Ser. 04-92, Class S, IO, 2.321s, 2034 | 2,367,667 | 146,085 |
| IFB Ser. 05-83, Class QI, IO, 2.311s, 2035 | 401,125 | 29,282 |
| IFB Ser. 05-92, Class SC, IO, 2.301s, 2035 | 3,895,823 | 251,281 |
| IFB Ser. 05-83, Class SL, IO, 2.291s, 2035 | 7,774,737 | 434,608 |
| IFB Ser. 05-95, Class OI, IO, 2.211s, 2035 | 223,008 | 16,569 |
| IFB Ser. 03-112, Class SA, IO, 2.121s, 2028 | 1,545,706 | 58,787 |
| IFB Ser. 05-67, Class BS, IO, 1.771s, 2035 | 2,002,244 | 93,855 |
| IFB Ser. 05-74, Class SE, IO, 1.721s, 2035 | 2,778,628 | 101,420 |
| IFB Ser. 05-87, Class SE, IO, 1.671s, 2035 | 14,926,380 | 566,736 |
| IFB Ser. 04-54, Class SW, IO, 1.621s, 2033 | 927,754 | 30,070 |
| Ser. 03-W10, Class 1A, IO, 1.284s, 2043 | 5,256,645 | 84,009 |
| Ser. 03-W10, Class 3A, IO, 1.265s, 2043 | 6,324,958 | 108,656 |
| Ser. 03-W17, Class 12, IO, 1.155s, 2033 | 3,548,307 | 105,887 |
| Ser. 02-T18, IO, 0.523s, 2042 | 9,992,162 | 119,331 |
| Ser. 05-113, Class DO, Principal Only (PO), zero %, 2036 | 2,906,000 | 2,361,706 |
| Ser. 361, Class 1, PO, zero %, 2035 | 706,957 | 560,815 |
| Ser. 342, Class 1, PO, zero %, 2033 | 311,426 | 246,221 |
| Ser. 99-51, Class N, PO, zero %, 2029 | 100,576 | 83,619 |
| Ser. 99-52, Class MO, PO, zero %, 2026 | 16,448 | 15,939 |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Securities | ||
| Ser. T-59, Class 1A3, 7 1/2s, 2043 | 584,296 | 616,798 |
| Ser. T-58, Class 4A, 7 1/2s, 2043 | 9,019 | 9,468 |
| Ser. T-41, Class 3A, 7 1/2s, 2032 | 1,374,051 | 1,438,837 |
| Ser. T-60, Class 1A2, 7s, 2044 | 2,646,328 | 2,752,593 |
| Ser. T-57, Class 1AX, IO, 0.452s, 2043 | 3,372,599 | 32,377 |
| FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.478s, 2020 | 9,218,533 | 566,400 |
| Freddie Mac | ||
| IFB Ser. 2963, Class SV, 11.122s, 2034 | 313,000 | 355,157 |
| IFB Ser. 2763, Class SC, 11.122s, 2032 | 417,830 | 454,170 |
| IFB Ser. 3081, Class DC, 9.506s, 2035 | 597,000 | 621,179 |
| IFB Ser. 2979, Class AS, 8.252s, 2034 | 269,641 | 274,191 |
| IFB Ser. 3051, Class PS, 8.142s, 2035 | 330,347 | 334,528 |
| IFB Ser. 3072, Class SA, 8.106s, 2035 | 234,571 | 234,205 |
| IFB Ser. 3072, Class SM, 7.776s, 2035 | 372,158 | 367,041 |
| IFB Ser. 3072, Class SB, 7.629s, 2035 | 352,204 | 345,380 |
| Ser. 2229, Class PD, 7 1/2s, 2030 | 199,742 | 212,164 |
| Ser. 2224, Class PD, 7 1/2s, 2030 | 198,721 | 211,079 |
| Ser. 2217, Class PD, 7 1/2s, 2030 | 208,160 | 221,104 |
| Ser. 2187, Class PH, 7 1/2s, 2029 | 463,770 | 492,611 |
| Ser. 1989, Class C, 7 1/2s, 2027 | 69,614 | 73,943 |
| Ser. 1990, Class D, 7 1/2s, 2027 | 190,654 | 202,511 |
| Ser. 1969, Class PF, 7 1/2s, 2027 | 166,348 | 176,693 |
| Ser. 1975, Class E, 7 1/2s, 2027 | 43,859 | 46,587 |
| Ser. 1943, Class M, 7 1/2s, 2027 | 103,285 | 109,708 |
| Ser. 1932, Class E, 7 1/2s, 2027 | 144,193 | 153,159 |
| Ser. 1938, Class E, 7 1/2s, 2027 | 58,383 | 62,014 |
| Ser. 1941, Class E, 7 1/2s, 2027 | 47,731 | 50,699 |
| Ser. 1924, Class H, 7 1/2s, 2027 | 156,976 | 166,738 |
| Ser. 1928, Class D, 7 1/2s, 2027 | 61,923 | 65,774 |
| Ser. 1915, Class C, 7 1/2s, 2026 | 141,647 | 150,456 |
| Ser. 1923, Class D, 7 1/2s, 2026 | 168,256 | 178,720 |
| Ser. 1904, Class D, 7 1/2s, 2026 | 181,524 | 192,813 |
| Ser. 1905, Class H, 7 1/2s, 2026 | 160,549 | 170,533 |
| Ser. 1890, Class H, 7 1/2s, 2026 | 151,208 | 160,611 |
| Ser. 1895, Class C, 7 1/2s, 2026 | 75,751 | 80,462 |
| Ser. 2256, Class UA, 7s, 2030 | 52,389 | 55,025 |
| Ser. 2208, Class PG, 7s, 2030 | 475,061 | 498,962 |
| Ser. 2211, Class PG, 7s, 2030 | 263,920 | 277,199 |
| Ser. 2198, Class PH, 7s, 2029 | 405,784 | 426,200 |
| Ser. 2054, Class H, 7s, 2028 | 1,021,014 | 1,072,383 |
| Ser. 2031, Class PG, 7s, 2028 | 109,158 | 114,650 |
| Ser. 2020, Class E, 7s, 2028 | 553,352 | 581,192 |
| Ser. 1998, Class PL, 7s, 2027 | 244,211 | 256,497 |
| Ser. 1999, Class PG, 7s, 2027 | 390,475 | 410,120 |
| Ser. 2004, Class BA, 7s, 2027 | 238,129 | 250,110 |
| Ser. 2005, Class C, 7s, 2027 | 180,803 | 189,900 |
| Ser. 2005, Class CE, 7s, 2027 | 201,854 | 212,010 |
| Ser. 2006, Class H, 7s, 2027 | 576,482 | 605,486 |
| Ser. 2006, Class T, 7s, 2027 | 368,546 | 387,089 |
| Ser. 1987, Class AP, 7s, 2027 | 118,334 | 124,288 |
| Ser. 1987, Class PT, 7s, 2027 | 199,456 | 209,491 |
| Ser. 1978, Class PG, 7s, 2027 | 343,991 | 361,298 |
| Ser. 1973, Class PJ, 7s, 2027 | 410,949 | 431,625 |
| Ser. 1725, Class D, 7s, 2024 | 80,325 | 84,366 |
| Ser. 2008, Class G, 7s, 2023 | 29,878 | 31,381 |
| Ser. 1750, Class C, 7s, 2023 | 179,937 | 188,990 |
| Ser. 1530, Class I, 7s, 2023 | 189,363 | 198,891 |
| IFB Ser. 3065, Class DC, 6.752s, 2035 | 920,474 | 890,374 |
| IFB Ser. 3050, Class SA, 5.952s, 2034 | 644,273 | 605,230 |
| Ser. 2515, Class IG, IO, 5 1/2s, 2032 | 1,418,300 | 320,252 |
| Ser. 2590, Class IH, IO, 5 1/2s, 2028 | 729,500 | 135,869 |
| Ser. 2833, Class IK, IO, 5 1/2s, 2023 | 503,008 | 59,707 |
| IFB Ser. 2828, Class TI, IO, 2.681s, 2030 | 916,408 | 66,726 |
| IFB Ser. 3033, Class SF, IO, 2.431s, 2035 | 1,351,069 | 73,464 |
| IFB Ser. 3028, Class ES, IO, 2.381s, 2035 | 4,343,740 | 356,187 |
| IFB Ser. 3045, Class DI, IO, 2.361s, 2035 | 13,653,338 | 692,224 |
| IFB Ser. 3054, Class CS, IO, 2.331s, 2035 | 1,035,674 | 61,208 |
| IFB Ser. 3066, Class SI, IO, 2.331s, 2035 | 2,942,147 | 238,314 |
| IFB Ser. 3031, Class BI, IO, 2.321s, 2035 | 863,074 | 61,969 |
| IFB Ser. 3067, Class SI, IO, 2.281s, 2035 | 3,387,735 | 275,423 |
| IFB Ser. 3065, Class DI, IO, 2.251s, 2035 | 666,118 | 49,692 |
| IFB Ser. 3016, Class SP, IO, 1.741s, 2035 | 892,662 | 37,760 |
| IFB Ser. 2937, Class SY, IO, 1.731s, 2035 | 922,704 | 33,171 |
| IFB Ser. 2815, Class S, IO, 1.631s, 2032 | 2,182,652 | 75,738 |
| Ser. 3045, Class DO, PO, zero %, 2035 | 1,044,072 | 824,399 |
| Ser. 231, PO, zero %, 2035 | 5,617,887 | 4,240,946 |
| Ser. 228, PO, zero %, 2035 | 3,602,828 | 2,839,205 |
| Ser. 227, PO, zero %, 2034 | 3,571,601 | 2,613,868 |
| Ser. 215, PO, zero %, 2031 | 203,380 | 176,698 |
| Ser. 2235, PO, zero %, 2030 | 222,889 | 186,357 |
| FRB Ser. 3022, Class TC, zero %, 2035 | 204,441 | 226,674 |
| FRB Ser. 2986, Class XT, zero %, 2035 | 116,979 | 123,888 | |
| FRB Ser. 3046, Class WF, zero %, 2035 | 293,645 | 287,199 | |
| FRB Ser. 3054, Class XF, zero %, 2034 | 123,722 | 124,711 | |
| GE Capital Commercial Mortgage Corp. 144A | |||
| Ser. 00-1, Class F, 7.511s, 2033 | 170,000 | 181,675 | |
| Ser. 00-1, Class G, 6.131s, 2033 | 596,000 | 555,353 | |
| GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, | |||
| 6.974s, 2036 | 529,968 | 515,633 | |
| Government National Mortgage Association | |||
| IFB Ser. 05-66, Class SP, 6.267s, 2035 | 544,501 | 514,880 | |
| IFB Ser. 05-65, Class SI, IO, 1.98s, 2035 | 2,347,972 | 108,946 | |
| IFB Ser. 05-68, Class SI, IO, 1.93s, 2035 | 7,406,027 | 388,816 | |
| IFB Ser. 05-51, Class SJ, IO, 1.83s, 2035 | 2,230,234 | 112,850 | |
| IFB Ser. 05-68, Class S, IO, 1.83s, 2035 | 4,424,246 | 210,594 | |
| Ser. 98-2, Class EA, PO, zero %, 2028 | 100,538 | 80,572 | |
| GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A, Class L, 7.619s, | |||
| 2015 | 214,000 | 214,268 | |
| LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, | |||
| 2031 | 253,101 | 240,041 | |
| Lehman Brothers Floating Rate Commercial Mortgage Trust 144A FRB | |||
| Ser. 03-LLFA, Class L, 8.118s, 2014 | 876,000 | 875,533 | |
| Mach One Commercial Mortgage Trust 144A | |||
| Ser. 04-1A, Class J, 5.45s, 2040 | 594,000 | 493,596 | |
| Ser. 04-1A, Class K, 5.45s, 2040 | 212,000 | 172,225 | |
| Ser. 04-1A, Class L, 5.45s, 2040 | 96,000 | 70,286 | |
| Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.146s, | |||
| 2028 | 6,364,041 | 274,672 | |
| Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1, Class X, IO, | |||
| 7.85s, 2037 | 1,019,802 | 402,145 | |
| Morgan Stanley Capital I Ser. 98-CF1, Class E, 7.35s, 2032 | 1,252,000 | 1,351,765 | |
| Morgan Stanley Capital I 144A Ser. 04-RR, Class F7, 6s, 2039 | 1,730,000 | 1,261,170 | |
| Mortgage Capital Funding, Inc. | |||
| FRB Ser. 98-MC2, Class E, 7.102s, 2030 | 327,112 | 341,261 | |
| Ser. 97-MC2, Class X, IO, 1.22s, 2012 | 2,875,842 | 39,744 | |
| Permanent Financing PLC FRB Ser. 8, Class 2C, 4.88s, 2042 (United | |||
| Kingdom) | 500,000 | 499,936 | |
| PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2010 | 123,000 | 116,807 | |
| QFA Royalties, LLC 144A Ser. 05-1, 7.3s, 2025 | 658,074 | 652,851 | |
| Quick Star PLC FRB Class 1-D, 5.48s, 2011 (United Kingdom) | 445,794 | 765,206 | |
| SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035 | 303,000 | 305,198 | |
| STRIPS 144A | |||
| Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands) | 162,000 | 134,688 | |
| Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands) | 193,000 | 146,605 | |
| Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands) | 174,000 | 144,665 | |
| Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands) | 167,000 | 126,855 | |
| Titan Europe PLC 144A | |||
| FRB Ser. 05-CT2A, Class E, 5.687s, 2012 (Ireland) | 344,000 | 590,476 | |
| FRB Ser. 05-CT1A, Class D, 5.645s, 2014 (United Kingdom) | 418,394 | 718,174 | |
| FRB Ser. 04-2A, Class D, 3.085s, 2014 (Ireland) | 350,545 | 413,433 | |
| FRB Ser. 04-2A, Class C, 2.685s, 2014 (Ireland) | 437,741 | 516,272 | |
| URSUS EPC 144A FRB Ser. 1-A, Class D, 5.49s, 2012 (Ireland) | 422,267 | 724,821 | |
| Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, | |||
| Class L, 7.669s, 2018 | 477,000 | 476,461 | |
|
| |||
| Total collateralized mortgage obligations (cost $98,151,697) | $97,706,104 | ||
|
| |||
| FOREIGN GOVERNMENT BONDS AND NOTES (13.1%)(a) | |||
| Principal amount | Value | ||
|
| |||
| Argentina (Republic of) FRB 4.005s, 2012 | $6,982,500 | $6,129,585 | |
| Brazil (Federal Republic of) bonds 10 1/2s, 2014 | 3,970,000 | 4,863,250 | |
| Brazil (Federal Republic of) notes 11s, 2012 | 7,240,000 | 8,832,800 | |
| Bulgaria (Republic of) 144A bonds 8 1/4s, 2015 | 1,220,000 | 1,470,100 | |
| Canada (Government of) bonds Ser. WH31, 6s, 2008 | CAD | 3,680,000 | 3,304,091 |
| Colombia (Republic of) notes 10s, 2012 | $3,715,000 | 4,420,850 | |
| Ecuador (Republic of) 9 3/8s, 2015 | 1,200,000 | 1,119,000 | |
| France (Government of) bonds 4s, 2013 | EUR | 4,730,000 | 5,868,647 |
| France (Government of) Ser.OATe bonds 3s, 2012 | EUR | 4,301,800 | 5,689,978 |
| Germany (Federal Republic of) bonds Ser. 97, 6s, 2007 | EUR | 5,500,000 | 6,785,088 |
| Germany (Federal Republic of) bonds Ser. 97, 6s, 2007 | EUR | 5,000,000 | 6,085,704 |
| Indonesia (Republic of) FRN 3.813s, 2006 | $185,000 | 183,613 | |
| Indonesia (Republic of) 144A notes 7 1/4s, 2015 | 280,000 | 287,350 | |
| Ireland (Republic of) bonds 5s, 2013 | EUR | 7,500,000 | 9,881,308 |
| Japan (Government of) bonds Ser. 5, 0.8s, 2015 | JPY | 330,000,000 | 2,780,630 |
| Russia (Ministry of Finance) debs. Ser. V, 3s, 2008 | $2,445,000 | 2,313,704 | |
| South Africa (Republic of) notes 7 3/8s, 2012 | 1,495,000 | 1,659,450 | |
| South Africa (Republic of) notes 6 1/2s, 2014 | 1,330,000 | 1,439,725 | |
| Spain (Government of) bonds 5.4s, 2011 | EUR | 1,000,000 | 1,315,031 |
| Spain (Kingdom of) bonds 5s, 2012 | EUR | 800,000 | 1,044,477 |
| Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014 | SEK | 30,690,000 | 4,822,037 |
| United Mexican States notes 6 5/8s, 2015 | $7,770,000 | 8,488,725 | |
| Venezuela (Republic of) notes 10 3/4s, 2013 | 2,150,000 | 2,653,100 | |
|
| |||
| Total foreign government bonds and notes (cost $89,963,812) | $91,438,243 | ||
|
| |||
| ASSET-BACKED SECURITIES (12.9%)(a) | |||
| Principal amount | Value | ||
|
| |||
| ABSC NIMS Trust 144A Ser. 03-HE5, Class A, 7s, 2033 | $66,869 | $66,786 | |
| Aegis Asset Backed Securities Trust 144A | |||
| Ser. 04-1N, Class Note, 5s, 2034 | 1,332 | 1,331 | |
| Ser. 04-2N, Class N1, 4 1/2s, 2034 | 39,700 | 39,595 | |
| Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s, | |||
| 2012 | 650,000 | 647,966 | |
| Ameriquest Finance NIM Trust 144A Ser. 04-RN9, Class N2, 10s, 2034 | |||
| (Cayman Islands) | 302,000 | 271,800 | |
| Arcap REIT, Inc. 144A | |||
| Ser. 03-1A, Class E, 7.11s, 2038 | 383,000 | 393,970 | |
| Ser. 04-1A, Class E, 6.42s, 2039 | 361,000 | 361,891 | |
| Asset Backed Funding Corp. NIM Trust 144A | |||
| Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands) | 47,969 | 47,847 | |
| Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands) | 46,082 | 46,016 | |
| Aviation Capital Group Trust 144A FRB Ser. 03-2A, Class G1, 5.07s, 2033 | 287,615 | 288,042 | |
| Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 5.399s, 2011 | 340,000 | 346,415 | |
| Bayview Financial Asset Trust 144A Ser. 03-X, Class A, IO, 0.61s, 2006 | 8,261,006 | 144,568 | |
| Bear Stearns Alternate Trust Ser. 05-5, Class 21A1, 4.693s, 2035 | 1,577,423 | 1,564,885 | |
| Bear Stearns Asset Backed Securities NIM Trust 144A | |||
| Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands) | 68,430 | 68,024 | |
| Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands) | 78,728 | 78,642 | |
| Ser. 04-HE7N, Class A1, 5 1/4s, 2034 | 64,793 | 64,722 | |
| Bear Stearns Asset Backed Securities, Inc. Ser. 04-FR3, Class M6, | |||
| 7.629s, 2034 | 286,000 | 286,000 | |
| Bombardier Capital Mortgage Securitization Corp. | |||
| Ser. 00-A, Class A2, 7.575s, 2030 | 164,164 | 114,174 | |
| Ser. 00-A, Class A4, 8.29s, 2030 | 599,775 | 426,590 | |
| Ser. 99-B, Class A3, 7.18s, 2015 | 1,133,949 | 722,892 | |
| Ser. 99-B, Class A4, 7.3s, 2016 | 771,822 | 547,032 | |
| FRB Ser. 00-A, Class A1, 4.28s, 2030 | 172,523 | 87,987 | |
| CARSSX Finance, Ltd. 144A | |||
| FRB Ser. 04-AA, Class B3, 7.719s, 2011 (Cayman Islands) | 85,434 | 86,171 | |
| FRB Ser. 04-AA, Class B4, 9.869s, 2011 (Cayman Islands) | 180,214 | 190,794 | |
| Chase Credit Card Master Trust FRB Ser. 03-3, Class C, 5.449s, 2010 | 350,000 | 356,319 | |
| CHEC NIM Ltd., 144A | |||
| Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands) | 53,844 | 53,719 | |
| Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands) | 94,000 | 92,825 | |
| Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands) | 58,000 | 49,880 | |
| Conseco Finance Securitizations Corp. | |||
| Ser. 00-2, Class A4, 8.48s, 2030 | 153,441 | 152,613 | |
| Ser. 00-4, Class A4, 7.73s, 2031 | 1,028,874 | 977,018 | |
| Ser. 00-4, Class A5, 7.97s, 2032 | 240,000 | 199,000 | |
| Ser. 00-4, Class A6, 8.31s, 2032 | 3,412,000 | 2,898,835 | |
| Ser. 00-6, Class A5, 7.27s, 2032 | 101,000 | 94,086 | |
| Ser. 00-6, Class M2, 8.2s, 2032 | 218,269 | 8,731 | |
| Ser. 01-1, Class A5, 6.99s, 2032 | 897,000 | 828,290 | |
| Ser. 01-3, Class A3, 5.79s, 2033 | 9,023 | 9,035 | |
| Ser. 01-3, Class A4, 6.91s, 2033 | 3,073,000 | 2,967,989 | |
| Ser. 01-3, Class M2, 7.44s, 2033 | 212,125 | 26,516 | |
| Ser. 01-4, Class A4, 7.36s, 2033 | 268,000 | 265,722 | |
| Ser. 01-4, Class B1, 9.4s, 2033 | 263,715 | 35,602 | |
| Ser. 02-1, Class A, 6.681s, 2033 | 1,681,253 | 1,715,420 | |
| FRB Ser. 01-4, Class M1, 6.041s, 2033 | 295,000 | 113,575 | |
| Consumer Credit Reference IDX Securities 144A FRB Ser. 02-1A, Class | |||
| A, 6.501s, 2007 | 790,000 | 793,950 | |
| Countrywide Asset Backed Certificates 144A | |||
| Ser. 04-6N, Class N1, 6 1/4s, 2035 | 388,160 | 387,384 | |
| Ser. 04-BC1N, Class Note, 5 1/2s, 2035 | 47,633 | 47,462 | |
| Countrywide Home Loans Ser. 05-2, Class 2X, IO, 0.776s, 2035 | 8,803,321 | 202,202 | |
| Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands) | 431,000 | 430,647 | |
| European Loan Conduit 144A FRB Ser. 22A, Class D, 5.503s, 2014 | |||
| (Ireland) | 507,000 | 870,266 | |
| First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, 7.688s, 2039 | 1,870,000 | 1,907,985 | |
| First Consumers Master Trust FRB Ser. 01-A, Class A, 4.68s, 2008 | 87,613 | 87,175 | |
| First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 04-FF7, | |||
| Class A4, 4.679s, 2034 | 6,761,000 | 6,769,275 | |
| First Franklin Mortgage Loan NIM Trust 144A Ser. 04-FF10, Class N1, | |||
| 4.45s, 2034 (Cayman Islands) | 81,000 | 80,771 | |
| First Horizon Mortgage Pass-Through Trust Ser. 05-AR2, Class 1A1, | |||
| 4.831s, 2035 | 1,644,380 | 1,632,398 | |
| Fremont NIM Trust 144A | |||
| Ser. 04-3, Class A, 4 1/2s, 2034 | 121,476 | 120,739 | |
| Ser. 04-3, Class B, 7 1/2s, 2034 | 48,077 | 46,824 | |
| Gears Auto Owner Trust Ser. 05-AA, Class E1, 8.22s, 2012 | 687,000 | 687,109 | |
| Granite Mortgages PLC | |||
| FRB Ser. 02-1, Class 1C, 5.474s, 2042 (United Kingdom) | 440,000 | 443,572 | |
| FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom) | EUR | 1,430,000 | 1,787,735 |
| FRB Ser. 03-2, Class 3C, 6.141s, 2043 (United Kingdom) | GBP | 1,075,000 | 1,907,422 |
| Green Tree Financial Corp. | |||
| Ser. 93-1, Class B, 8.45s, 2018 | $842,021 | 822,544 | |
| Ser. 94-4, Class B2, 8.6s, 2019 | 381,508 | 291,454 | |
| Ser. 94-6, Class B2, 9s, 2020 | 870,032 | 750,616 | |
| Ser. 95-4, Class B1, 7.3s, 2025 | 371,800 | 366,456 | |
| Ser. 95-8, Class B1, 7.3s, 2026 | 362,579 | 282,178 | |
| Ser. 96-8, Class M1, 7.85s, 2027 | 387,000 | 332,359 | |
| Ser. 99-3, Class A5, 6.16s, 2031 | 55,557 | 55,904 | |
| Ser. 99-3, Class A7, 6.74s, 2031 | 733,000 | 702,265 | |
| Ser. 99-5, Class A5, 7.86s, 2030 | 4,480,000 | 3,960,103 | |
| Greenpoint Manufactured Housing | |||
| Ser. 00-3, Class IA, 8.45s, 2031 | 1,948,765 | 1,847,673 | |
| Ser. 99-5, Class A4, 7.59s, 2028 | 99,560 | 102,071 | |
| GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011 | 569,480 | 564,753 | |
| GSAMP Trust 144A | |||
| Ser. 04-NIM1, Class N1, 5 1/2s, 2034 | 288,054 | 287,939 | |
| Ser. 04-NIM1, Class N2, zero %, 2034 | 519,000 | 382,244 | |
| Ser. 04-NIM2, Class N, 4 7/8s, 2034 | 457,074 | 455,109 | |
| Ser. 04-SE2N, Class Note, 5 1/2s, 2034 | 296 | 296 | |
| Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class | |||
| E, 6.179s, 2030 (Cayman Islands) | 371,000 | 369,405 | |
| Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, | |||
| Class E, 6.379s, 2030 (Cayman Islands) | 379,000 | 379,303 | |
| HASCO NIM Trust 144A Ser. 05-OP1A, Class A, zero %, 2035 | 463,000 | 447,239 | |
| Holmes Financing PLC | |||
| FRB Ser. 4, Class 3C, 5.45s, 2040 (United Kingdom) | 210,000 | 210,852 | |
| FRB Ser. 8, Class 2C, 4.87s, 2040 (United Kingdom) | 235,000 | 235,799 | |
| Home Equity Asset Trust 144A Ser. 02-5N, Class A, 8s, 2033 | 23,698 | 23,698 | |
| LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 7.129s, 2037 (Cayman | |||
| Islands) | 1,260,000 | 1,259,899 | |
| Long Beach Asset Holdings Corp. NIM Trust 144A | |||
| Ser. 04-2, Class N1, 4.94s, 2034 | 978 | 978 | |
| Ser. 04-5, Class Note, 5s, 2034 | 53,624 | 53,490 | |
| Long Beach Mortgage Loan Trust | |||
| Ser. 04-3, Class S1, IO, 4 1/2s, 2006 | 1,025,613 | 33,589 | |
| Ser. 04-3, Class S2, IO, 4 1/2s, 2006 | 512,807 | 16,282 | |
| Lothian Mortgages PLC 144A FRB Ser. 3A, Class D, 5.391s, 2039 (United | |||
| Kingdom) | GBP | 900,000 | 1,560,607 |
| Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class | |||
| B1, 7.629s, 2032 | $1,046,356 | 523,178 |
| MASTR Asset Backed Securities NIM Trust 144A | |||
| Ser. 04-CI5, Class N2, 9s, 2034 (Cayman Islands) | 143,000 | 143,000 | |
| Ser. 04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands) | 59,050 | 59,038 | |
| MBNA Credit Card Master Note Trust FRB Ser. 03-C5, Class C5, 5.549s, | |||
| 2010 | 350,000 | 357,611 | |
| Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2034 | 3,390 | 3,379 | |
| Merrill Lynch Mortgage Investors, Inc. 144A | |||
| Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands) | 34,602 | 34,613 | |
| Ser. 04-HE1N, Class N1, 5s, 2006 | 26,629 | 26,538 | |
| Mid-State Trust Ser. 11, Class B, 8.221s, 2038 | 148,712 | 148,577 | |
| Morgan Stanley ABS Capital I FRB Ser. 04-HE8, Class B3, 7.579s, 2034 | 214,000 | 213,528 | |
| Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2, Class E, 5s, 2012 | 178,000 | 173,944 | |
| Morgan Stanley Dean Witter Capital I | |||
| FRB Ser. 01-NC3, Class B1, 6.829s, 2031 | 65,844 | 65,844 | |
| FRB Ser. 01-NC4, Class B1, 6.879s, 2032 | 82,209 | 82,289 | |
| Morgan Stanley Mortgage Loan Trust Ser. 05-5AR, Class 2A1, 5.443s, | |||
| 2035 | 2,315,729 | 2,317,901 | |
| Navistar Financial Corp. Owner Trust | |||
| Ser. 04-B, Class C, 3.93s, 2012 | 127,044 | 124,221 | |
| Ser. 05-A, Class C, 4.84s, 2014 | 286,000 | 282,571 | |
| Oakwood Mortgage Investors, Inc. | |||
| Ser. 00-A, Class A2, 7.765s, 2017 | 195,732 | 161,219 | |
| Ser. 00-D, Class A4, 7.4s, 2030 | 1,022,000 | 702,860 | |
| Ser. 01-C, Class A2, 5.92s, 2017 | 1,094,783 | 610,528 | |
| Ser. 01-D, Class A2, 5.26s, 2019 | 180,387 | 126,151 | |
| Ser. 01-D, Class A4, 6.93s, 2031 | 828,953 | 623,443 | |
| Ser. 01-E, Class A2, 5.05s, 2019 | 1,329,414 | 1,033,435 | |
| Ser. 02-A, Class A2, 5.01s, 2020 | 398,712 | 315,899 | |
| Ser. 02-B, Class A4, 7.09s, 2032 | 443,000 | 397,243 | |
| Ser. 02-C, Class A1, 5.41s, 2032 | 1,665,665 | 1,445,696 | |
| Ser. 99-B, Class A4, 6.99s, 2026 | 1,311,681 | 1,152,843 | |
| Ser. 99-D, Class A1, 7.84s, 2029 | 1,220,662 | 1,098,025 | |
| Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030 | 269,950 | 245,724 | |
| Ocean Star PLC 144A | |||
| FRB Ser. 04-A, Class E, 10.832s, 2018 (Ireland) | 885,000 | 937,215 | |
| FRB Ser. 05-A, Class E, 8.896s, 2012 (Ireland) | 238,000 | 237,881 | |
| Park Place Securities, Inc. FRB Ser. 04-MCW1, Class A2, 4.759s, 2034 | 4,030,661 | 4,035,700 | |
| People's Choice Net Interest Margin Note 144A Ser. 04-2, Class B, 5s, | |||
| 2034 | 90,000 | 85,050 | |
| Permanent Financing PLC | |||
| FRB Ser. 1, Class 3C, 5.68s, 2042 (United Kingdom) | 350,000 | 350,416 | |
| FRB Ser. 3, Class 3C, 5.63s, 2042 (United Kingdom) | 350,000 | 355,364 | |
| FRB Ser. 6, Class 3C, 5.321s, 2042 (United Kingdom) | GBP | 887,000 | 1,522,536 |
| Residential Asset Securities Corp. Ser. 01-KS3, Class AII, 4.609s, 2031 | $4,946,578 | 4,947,365 | |
| Residential Asset Securities Corp. 144A Ser. 04-N10B, Class A1, 5s, 2034 | 168,885 | 168,251 | |
| Residential Mortgage Securities 144A FRB Ser. 20A, Class B1A, 5.356s, | |||
| 2038 (United Kingdom) | 150,000 | 256,110 | |
| Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026 | 55,231 | 55,757 | |
| SAIL Net Interest Margin Notes 144A | |||
| Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands) | 57,087 | 49,138 | |
| Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands) | 22,657 | 19,765 | |
| Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands) | 1,744 | 1,636 | |
| Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands) | 24,523 | 20,604 | |
| Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands) | 3,939 | 3,270 | |
| Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands) | 27,646 | 23,511 | |
| Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands) | 7,993 | 4,298 | |
| Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands) | 14,498 | 7,811 | |
| Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands) | 75,194 | 33,566 | |
| Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands) | 249,139 | 248,108 | |
| Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands) | 77,823 | 77,680 | |
| Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands) | 51,051 | 50,904 | |
| Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands) | 120,025 | 119,696 | |
| Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands) | 81,043 | 80,593 | |
| Sasco Net Interest Margin Trust 144A | |||
| Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands) | 273,210 | 81,963 | |
| Ser. 05-WF1A, Class A, 4 3/4s, 2035 | 269,640 | 267,997 | |
| Sharps SP I, LLC Net Interest Margin Trust 144A | |||
| Ser. 04-FM1N, Class N, 6.16s, 2033 | 947 | 950 | |
| Ser. 04-HS1N, Class Note, 5.92s, 2034 | 7,146 | 7,146 | |
| Ser. 04-HE2N, Class NA, 5.43s, 2034 | 31,758 | 31,441 | |
| Ser. 03-OP1N, Class N, 4.45s, 2033 | 1,907 | 1,907 | |
| South Coast Funding 144A FRB Ser. 3A, Class A2, 5.51s, 2038 (Cayman | |||
| Islands) | 140,000 | 140,406 | |
| Structured Asset Investment Loan Trust | |||
| Ser. 03-BC1A, Class A, 7 3/4s, 2033 (Cayman Islands) | 20,955 | 20,955 | |
| FRB Ser. 04-9, Class A4, 4.679s, 2034 | 6,811,000 | 6,818,685 | |
| Structured Asset Receivables Trust 144A FRB Ser. 05-1, 4.681s, 2015 | 1,800,512 | 1,774,630 | |
| TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 | |||
| (Cayman Islands) | 390,000 | 366,499 | |
| TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman | |||
| Islands) | 467,000 | 455,961 | |
| Wells Fargo Home Equity Trust 144A | |||
| Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands) | 198,980 | 196,596 | |
| Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands) | 214,000 | 209,724 | |
| Wells Fargo Mortgage Backed Securities Trust Ser. 05-AR13, Class 1A4, | |||
| IO, 0.742s, 2035 | 16,697,696 | 130,409 | |
| Whinstone Capital Management, Ltd. 144A FRB Ser. 1A, Class B3, 5.19s, | |||
| 2044 (United Kingdom) | 733,000 | 732,840 | |
| Whole Auto Loan Trust 144A | |||
| Ser. 03-1, Class D, 6s, 2010 | 147,946 | 147,809 | |
| Ser. 04-1, Class D, 5.6s, 2011 | 345,273 | 342,736 | |
|
| |||
| Total asset-backed securities (cost $91,561,968) | $89,627,513 | ||
|
| |||
| SENIOR LOANS (8.6%)(a)(c) | |||
| Principal amount | Value | ||
|
| |||
| Basic Materials (0.8%) | |||
| Graphic Packaging Corp. bank term loan FRN Ser. C, 6.592s, 2010 | $131,094 | $132,569 | |
| Hercules, Inc. bank term loan FRN Ser. B, 5.856s, 2010 | 370,422 | 374,312 |
| Huntsman International Corp. bank term loan FRN Ser. B, 6.12s, 2012 | 796,423 | 800,032 |
| Innophos, Inc. bank term loan FRN 6.378s, 2010 | 298,421 | 301,405 |
| Mosaic Co. (The) bank term loan FRN Ser. B, 5.939s, 2012 | 198,998 | 200,490 |
| Nalco Co. bank term loan FRN Ser. B, 6.319s, 2010 | 1,218,142 | 1,232,760 |
| Novelis, Inc. bank term loan FRN 6.011s, 2012 | 464,833 | 469,409 |
| Novelis, Inc. bank term loan FRN Ser. B, 6.011s, 2012 | 807,638 | 815,588 |
| Rockwood Specialties Group, Inc. bank term loan FRN Ser. D, 6.466s, | ||
| 2012 | 1,395,000 | 1,409,168 |
| 5,735,733 | ||
|
| ||
| Capital Goods (0.8%) | ||
| Allied Waste Industries, Inc. bank term loan FRN Ser. A, 3.864s, 2012 | 218,052 | 219,143 |
| Allied Waste Industries, Inc. bank term loan FRN Ser. B, 6.177s, 2012 | 577,054 | 579,808 |
| Amsted Industries, Inc. bank term loan FRN 6.645s, 2010 | 167,554 | 169,719 |
| Graham Packaging Co., Inc. bank term loan FRN Ser. B, 6.479s, 2011 | 397,990 | 402,343 |
| Hexcel Corp. bank term loan FRN Ser. B, 5 7/8s, 2012 | 796,424 | 803,060 |
| Invensys, PLC bank term loan FRN Ser. B-1, 7.791s, 2009 (United | ||
| Kingdom) | 67,660 | 68,759 |
| Mueller Group, Inc. bank term loan FRN Ser. B, 6.508s, 2012 | 798,000 | 806,978 |
| Polypore, Inc. bank term loan FRN 7.22s, 2011 | 711,411 | 706,075 |
| Solo Cup Co. bank term loan FRN 6.622s, 2011 | 147,375 | 148,265 |
| Terex Corp. bank term loan FRN 6.415s, 2009 | 149,612 | 151,202 |
| Terex Corp. bank term loan FRN Ser. C, 6.915s, 2009 | 748,067 | 756,483 |
| Transdigm, Inc. bank term loan FRN Ser. C, 6.58s, 2010 | 494,468 | 500,031 |
| 5,311,866 | ||
|
| ||
| Communication Services (0.5%) | ||
| Centennial Cellular Operating Co., LLC bank term loan FRN Ser. B, | ||
| 6.391s, 2011 | 973,277 | 984,075 |
| Consolidated Communications Holdings bank term loan FRN Ser. D, | ||
| 5.917s, 2011 | 124,255 | 125,083 |
| Fairpoint Communications, Inc. bank term loan FRN Ser. B, 5.813s, 2012 | 543,116 | 544,474 |
| Madison River Capital, LLC. bank term loan FRN Ser. B, 6.59s, 2012 | 796,423 | 807,374 |
| Qwest Communications International, Inc. bank term loan FRN Ser. A, | ||
| 9.02s, 2007 | 78,000 | 79,736 |
| Syniverse Holdings, Inc. bank term loan FRN Ser. B, 5.78s, 2012 | 558,662 | 564,947 |
| Valor Telecommunications Enterprises LLC/Finance Corp. bank term loan | ||
| FRN Ser. B, 5.809s, 2012 | 543,333 | 544,776 |
| 3,650,465 | ||
|
| ||
| Consumer Cyclicals (2.2%) | ||
| Adams Outdoor Advertising, LP bank term loan FRN 6.2s, 2012 | 847,768 | 858,365 |
| Affinion Group, Inc. bank term loan FRN Ser. B, 7.1s, 2013 | 888,372 | 871,715 |
| BLB (Wembley) bank term loan FRN 6.081s, 2011 (United Kingdom) | 149,250 | 151,582 |
| Borgata Resorts bank term loan FRN Ser. B, 5.91s, 2011 | 396,992 | 399,308 |
| CCM Merger, Inc. bank term loan FRN Ser. B, 6.489s, 2012 | 995,001 | 1,000,722 |
| Coinmach Service Corp. bank term loan FRN Ser. B, 6.565s, 2012 | 250,000 | 253,438 |
| Cooper Tire & Rubber Co. bank term loan FRN Ser. B, 6.063s, 2012 | 379,500 | 379,405 |
| Cooper Tire & Rubber Co. bank term loan FRN Ser. C, 6.063s, 2012 | 610,500 | 610,347 |
| Dex Media West, LLC/Dex Media Finance Co. bank term loan FRN Ser. B, | ||
| 6.04s, 2010 | 140,547 | 141,170 |
| Dex Media West, LLC/Dex Media Finance Co. bank term loan FRN Ser. B, | ||
| 5.565s, 2010 | 600,000 | 601,650 |
| Goodman Global Holdings bank term loan FRN Ser. B, 6 3/8s, 2011 | 713,886 | 723,404 |
| Goodyear Tire & Rubber Co. (The) bank term loan FRN 7.06s, 2010 | 195,000 | 196,178 |
| Hayes Lemmerz International, Inc. bank term loan FRN 7.524s, 2009 | 133,390 | 131,532 |
| Jostens IH Corp. bank term loan FRN Ser. C, 5.94s, 2010 | 938,506 | 950,237 |
| Journal Register Co. bank term loan FRN Ser. B, 5.686s, 2012 | 500,000 | 501,250 |
| Landsource, Inc. bank term loan FRN Ser. B, 6 7/8s, 2010 | 50,000 | 50,438 |
| Masonite International Corp. bank term loan FRN 6.203s, 2013 (Canada) | 669,678 | 662,214 |
| Masonite International Corp. bank term loan FRN Ser. B, 6.203s, 2013 | ||
| (Canada) | 670,819 | 663,342 |
| Neiman Marcus Group, Inc. bank term loan FRN Ser. B, 6.947s, 2013 | 500,000 | 503,414 |
| Penn National Gaming, Inc. bank term loan FRN Ser. B, 6.29s, 2012 | 199,500 | 201,682 |
| PRIMEDIA, Inc. bank term loan FRN Ser. B, 6.561s, 2013 | 150,000 | 147,188 |
| R.H. Donnelley Finance Corp. bank term loan FRN Ser. D, 6.08s, 2011 | 213,122 | 214,003 |
| R.H. Donnelley Finance Corp. bank term loan FRN Ser. D, 5.696s, 2011 | 500,000 | 502,068 |
| R.H. Donnelley Finance Corp. bank term loan FRN Ser. D1, 5.565s, 2011 | 400,000 | 401,072 |
| Raycom Media, Inc. bank term loan FRN Ser. B, 6.063s, 2012 | 1,300,000 | 1,300,000 |
| Resorts International Hotel and Casino, Inc. bank term loan FRN Ser. B, | ||
| 6.03s, 2012 | 537,302 | 538,309 |
| Sealy Mattress Co. bank term loan FRN Ser. D, 6.132s, 2012 | 473,355 | 478,089 |
| Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. B, 7.169s, | ||
| 2012 | 174,125 | 176,157 |
| Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. DD, 5.62s, | ||
| 2012 (U) | 175,000 | 177,042 |
| TRW Automotive, Inc. bank term loan FRN Ser. B, 5 1/4s, 2010 | 521,528 | 522,832 |
| TRW Automotive, Inc. bank term loan FRN Ser. B2, 5.565s, 2010 | 120,000 | 120,000 |
| Venetian Casino Resort, LLC bank term loan FRN Ser. B, 5.77s, 2011 | 664,302 | 668,142 |
| Venetian Casino Resort, LLC bank term loan FRN Ser. DD, 5.77s, 2011 | 136,969 | 137,761 |
| William Carter Holdings Co. (The) bank term loan FRN Ser. B, 5.717s, | ||
| 2012 | 86,230 | 87,020 |
| 15,321,076 | ||
|
| ||
| Consumer Staples (2.2%) | ||
| Affinity Group Holdings bank term loan FRN Ser. B1, 6.613s, 2009 | 34,132 | 34,388 |
| Affinity Group Holdings bank term loan FRN Ser. B2, 6.768s, 2009 | 84,957 | 85,594 |
| AMF Bowling Worldwide bank term loan FRN Ser. B, 7.281s, 2009 | 104,013 | 104,728 |
| Ashtead Group PLC bank term loan FRN Ser. B, 6 1/8s, 2009 (United | ||
| Kingdom) | 247,500 | 249,047 |
| Burger King Corp. bank term loan FRN Ser. B, 5.83s, 2012 | 151,240 | 152,894 |
| Century Cable Holdings bank term loan FRN 9 1/4s, 2009 | 900,000 | 876,188 |
| Charter Communications PLC bank term loan FRN Ser. B, 7 1/2s, 2011 | ||
| (United Kingdom) | 829,158 | 830,907 |
| Cinemark, Inc. bank term loan FRN Ser. C, 6.534s, 2011 | 249,367 | 251,861 |
| Constellation Brands, Inc. bank term loan FRN Ser. B, 5.659s, 2011 | 796,424 | 804,288 |
| DirecTV Holdings, LLC bank term loan FRN Ser. B, 5.87s, 2013 | 733,333 | 739,406 |
| Dole Food Co., Inc. bank term loan FRN Ser. B, 5.877s, 2012 | 245,641 | 246,255 |
| Gray Television, Inc. bank term loan FRN Ser. B, 5.71s, 2012 | 150,000 | 150,625 |
| Insight Midwest LP/Insight Capital, Inc. bank term loan FRN 6.063s, 2009 | 68,600 | 69,415 |
| Intelsat Bermuda, Ltd. bank term loan FRN Ser. B, 5.813s, 2011 | ||
| (Bermuda) | 598,492 | 603,543 |
| Jack-in-the-Box, Inc. bank term loan FRN 5.689s, 2008 | 198,485 | 200,139 |
| Jean Coutu Group, Inc. bank term loan FRN Ser. B, 6 1/2s, 2011 | ||
| (Canada) | 536,668 | 541,438 |
| Loews Cineplex Entertainment Corp. bank term loan FRN Ser. B, 6.449s, | ||
| 2011 | 543,016 | 544,628 |
| Mediacom Communications Corp. bank term loan FRN Ser. B, 6.533s, | ||
| 2012 | 990,000 | 1,002,066 |
| MGM Studios, Inc. bank term loan FRN Ser. B, 6.27s, 2011 | 900,000 | 905,318 |
| Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 9 1/4s, 2010 | 500,000 | 486,429 |
| PanAmSat Corp. bank term loan FRN Ser. B1, 6.489s, 2010 | 976,960 | 987,626 |
| Pinnacle Foods Holding Corp. bank term loan FRN 7.307s, 2010 | 678,604 | 686,238 |
| Regal Cinemas, Inc. bank term loan FRN Ser. B, 6.02s, 2010 | 541,638 | 547,280 |
| Six Flags, Inc. bank term loan FRN Ser. B, 6.67s, 2009 | 430,967 | 435,508 |
| Spanish Broadcasting Systems, Inc. bank term loan FRN 6.03s, 2012 | 448,872 | 454,670 |
| Spectrum Brandd, Inc. bank term loan FRN Ser. B, 6.4s, 2013 | 794,620 | 797,931 |
| Sun Media Corp. bank term loan FRN Ser. B, 6.243s, 2009 (Canada) | 151,166 | 151,418 |
| Universal City Development bank term loan FRN Ser. B, 6.237s, 2011 | 1,037,515 | 1,049,187 |
| Warner Music Group bank term loan FRN Ser. B, 6.415s, 2011 | 344,936 | 348,262 |
| Young Broadcasting, Inc. bank term loan FRN Ser. B, 6.7s, 2012 | 794,427 | 797,158 |
| 15,134,435 | ||
|
| ||
| Energy (0.3%) | ||
| Dresser, Inc. bank term loan FRN 7.99s, 2010 | 180,000 | 182,700 |
| Key Energy Services, Inc. bank term loan FRN Ser. B, 7.183s, 2012 | 900,000 | 910,875 |
| Petroleum Geo-Services ASA bank term loan FRN Ser. B, 7s, 2012 | ||
| (Norway) | 100,000 | 100,688 |
| Targa Resources, Inc. bank term loan FRN 6.634s, 2012 | 639,526 | 644,323 |
| Targa Resources, Inc. bank term loan FRN 4.083s, 2012 | 153,871 | 155,025 |
| Universal Compression, Inc. bank term loan FRN Ser. B, 5.59s, 2012 | 348,124 | 350,996 |
| 2,344,607 | ||
|
| ||
| Financial (0.4%) | ||
| Capital Automotive bank term loan FRN 5.815s, 2010 (R) | 1,150,000 | 1,153,954 |
| Fidelity National Information Solutions bank term loan FRN Ser. B, 6.11s, | ||
| 2013 | 797,000 | 799,989 |
| Hilb, Rogal & Hamilton Co. bank term loan FRN Ser. B, 6.313s, 2011 | 215,214 | 217,366 |
| NASDAQ, Inc bank term loan FRN Ser. B, 5.565s, 2011 | 350,000 | 351,896 |
| 2,523,205 | ||
|
| ||
| Health Care (0.6%) | ||
| Aaccellent Corp. bank term loan FRN Ser. B, 6.394s, 2012 | 250,000 | 254,844 |
| Alderwoods Group, Inc. bank term loan FRN 6.245s, 2009 | 667,011 | 673,264 |
| Beverly Enterprises, Inc. bank term loan FRN 6.577s, 2008 | 122,187 | 122,417 |
| Community Health Systems, Inc. bank term loan FRN Ser. B, 6.16s, 2011 | 316,992 | 320,757 |
| DaVita, Inc. bank term loan FRN Ser. B, 6.409s, 2012 | 910,463 | 921,971 |
| Hanger Orthopedic Group, Inc. bank term loan FRN 8.271s, 2009 | 97,750 | 98,850 |
| Kinetic Concepts, Inc. bank term loan FRN Ser. B, 5.78s, 2011 | 65,596 | 66,115 |
| LifePoint, Inc. bank term loan FRN Ser. B, 6.185s, 2012 | 930,630 | 935,153 |
| Mylan Laboratories, Inc. bank term loan FRN Ser. B, 5.4s, 2010 | 349,125 | 353,198 |
| Veterinary Centers of America, Inc. bank term loan FRN Ser. B, 5 3/4s, | ||
| 2011 | 337,724 | 341,101 |
| 4,087,670 | ||
|
| ||
| Technology (0.4%) | ||
| AMI Semiconductor, Inc. bank term loan FRN 5.72s, 2012 | 943,998 | 947,932 |
| Avago, Inc. Ser. DD, 6.565s, 2012 (Singapore) | 150,000 | 150,250 |
| Avago, Inc. bank term loan FRN Ser. B, 6.565s, 2012 (Singapore) | 350,000 | 351,531 |
| SunGard Data Systems, Inc. bank term loan FRN Ser. B, 6.81s, 2013 | 794,427 | 798,978 |
| UGS Corp. bank term loan FRN Ser. C, 6.22s, 2012 | 464,828 | 470,057 |
| Xerox Corp. bank term loan FRN 5.97s, 2008 | 200,000 | 201,500 |
| 2,920,248 | ||
|
| ||
| Transportation (0.1%) | ||
| Travelcenters of America bank term loan FRN Ser. B, 5.926s, 2011 | 550,000 | 555,088 |
|
| ||
| Utilities & Power (0.3%) | ||
| Allegheny Energy, Inc. bank term loan FRN Ser. C, 5.86s, 2011 | 323,446 | 326,950 |
| El Paso Corp. bank term loan FRN 3.764s, 2009 | 208,000 | 208,491 |
| El Paso Corp. bank term loan FRN Ser. B, 6.813s, 2009 | 781,060 | 784,098 |
| Texas Genco Holdings, Inc. bank term loan FRN Ser. DD, 6.374s, 2011 | 694,750 | 695,727 |
| Williams Cos., Inc. (The) bank term loan FRN Ser. C, 6 5/8s, 2007 | 117,012 | 118,109 |
| 2,133,375 | ||
|
| ||
| Total senior loans (cost $59,679,384) | $59,717,768 | |
|
| ||
| PREFERRED STOCKS (0.2%)(a) | ||
| Shares | Value | |
|
| ||
| Dobson Communications Corp. 13.00% pfd. | 4 | $5,400 |
| First Republic Capital Corp. 144A 10.50% pfd. | 320 | 352,000 |
| Paxson Communications Corp. 14.25% cum. pfd. (PIK) | 36 | 313,200 | ||
| Rural Cellular Corp. Ser. B, 11.375% cum. pfd. | 426 | 489,900 | ||
|
| ||||
| Total preferred stocks (cost $1,005,917) | $1,160,500 | |||
|
| ||||
| UNITS (0.1%)(a) | ||||
| Units | Value | |||
|
| ||||
| Morrison Knudsen Corp. | 870,000 | $51,330 | ||
| XCL Equity Units (F) | 991 | 675,285 | ||
|
| ||||
| Total units (cost $1,729,902) | $726,615 | |||
|
| ||||
| CONVERTIBLE PREFERRED STOCKS (0.1%)(a) | ||||
| Shares | Value | |||
|
| ||||
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. | 2,441 | $103,132 | ||
| Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK) | 59 | 407,100 | ||
|
| ||||
| Total convertible preferred stocks (cost $572,302) | $510,232 | |||
|
| ||||
| COMMON STOCKS (0.1%)(a) | ||||
| Shares | Value | |||
|
| ||||
| AMRESCO Creditor Trust (acquired 6/17/99 and 2/10/00, cost $59,717) | ||||
| (F)(RES)(NON)(R) | 820,000 | $820 | ||
| Comdisco Holding Co., Inc. | 504 | 9,576 | ||
| Contifinancial Corp. Liquidating Trust Units | 3,445,121 | 42,420 | ||
| Crown Castle International Corp. (NON) | 497 | 13,374 | ||
| Dobson Communications Corp. (NON) | 1,857 | 13,928 | ||
| Genesis HealthCare Corp. (NON) | 903 | 32,978 | ||
| iPCS, Inc. (NON) | 290 | 13,993 | ||
| Knology, Inc. (NON) | 199 | 748 | ||
| Northwestern Corp. | 3,774 | 117,258 | ||
| Sterling Chemicals, Inc. (NON) | 110 | 1,265 | ||
| Sun Healthcare Group, Inc. (NON) | 740 | 4,891 | ||
| USA Mobility, Inc. | 12 | 333 | ||
| VFB LLC (acquired 10/27/00, cost $594,553) (F)(RES)(NON) | 948,004 | 20,145 | ||
| WHX Corp. (NON) | 18,832 | 191,145 | ||
|
| ||||
| Total common stocks (cost $3,952,490) | $462,874 | |||
|
| ||||
| WARRANTS (0.0%)(a)(NON) | ||||
| Expiration date | Strike price | Warrants | Value | |
|
| ||||
| Dayton Superior Corp. 144A | 6/15/09 | .01 | 1,020 | $10 | MDP Acquisitions PLC 144A | 10/01/13 | EUR.001 | 508 | 14,224 |
| Mikohn Gaming Corp. 144A | 8/15/08 | 7.70 | 390 | 3,307 |
| TravelCenters of America, Inc. | 5/01/09 | .001 | 1,830 | 2,288 |
| Ubiquitel, Inc. 144A | 4/15/10 | 22.74 | 1,670 | 17 |
|
| ||||
| Total warrants (cost $116,451) | $19,846 | |||
|
| ||||
| EQUITY VALUE CERTIFICATES (--%)(a)(NON) (cost $55,184) | ||||
| Maturity date | Certificates | Value | ||
|
| ||||
| ONO Finance PLC 144A (United Kingdom) | 3/16/11 | 400 | 4 | |
|
| ||||
| SHORT-TERM INVESTMENTS (14.9%)(a) | ||||
| Principal | ||||
| amount/shares | Value | |||
|
| ||||
| Putnam Prime Money Market Fund (e) | 102,603,617 | $102,603,617 | ||
| U.S. Treasury Bills for an effective yield of 3.55 %, 1/26/06 (SEG) | $1,170,000 | 1,167,160 | ||
|
| ||||
| Total short-term investments (cost $103,770,777) | $103,770,777 | |||
|
| ||||
| TOTAL INVESTMENTS | ||||
| Total investments (cost $770,099,136) (b) | $765,102,471 | |||
Putnam Master Intermediate Income Trust
FORWARD CURRENCY CONTRACTS TO BUY at 12/31/05 (aggregate face value $59,646,937) (Unaudited)
| Unrealized | ||||
| Aggregate | Delivery | appreciation/ | ||
| Value | face value | date | (depreciation) | |
| Australian Dollar | $8,662,498 | $8,717,229 | 1/18/06 | $ (54,731) |
| British Pound | 3,456,723 | 3,507,697 | 3/15/06 | (50,974) |
| Canadian Dollar | 5,263,123 | 5,265,004 | 1/18/06 | (1,881) |
| Danish Krone | 1,114,252 | 1,110,344 | 3/15/06 | 3,908 |
| Euro | 6,907,558 | 6,975,761 | 3/15/06 | (68,203) |
| Japanese Yen | 19,349,263 | 19,436,470 | 2/15/06 | (87,207) |
| Polish Zloty | 551,477 | 548,184 | 3/15/06 | 3,293 |
| South Korean Won | 14,971 | 14,456 | 2/15/06 | 515 |
| Swedish Krona | 3,482,193 | 3,482,779 | 3/15/06 | (586) |
| Swiss Franc | 10,531,907 | 10,589,013 | 3/15/06 | (57,106) |
|
| ||||
| Total | $(312,972) | |||
Putnam Master Intermediate Income Trust
FORWARD CURRENCY CONTRACTS TO SELL at 12/31/05 (aggregate face value $103,282,781) (Unaudited)
| Unrealized | ||||
| Aggregate | Delivery | appreciation/ | ||
| Value | face value | date | (depreciation) | |
| Australian Dollar | $ 5,747,969 | $5,795,678 | 1/18/06 | $ 47,709 |
| British Pound | 11,392,844 | 11,511,381 | 3/15/06 | 118,537 |
| Canadian Dollar | 9,018,731 | 8,988,857 | 1/18/06 | (29,874) |
| Euro | 39,158,974 | 39,257,609 | 3/15/06 | 98,635 |
| Japanese Yen | 10,659,636 | 10,595,716 | 2/15/06 | (63,920) |
| Norwegian Krone | 11,492,595 | 11,527,804 | 3/15/06 | 35,209 |
| Swedish Krona | 11,982,476 | 11,989,057 | 3/15/06 | 6,581 |
| Swiss Franc | 3,577,073 | 3,616,679 | 3/15/06 | 39,606 |
|
| ||||
| Total | $252,483 | |||
| Putnam Master Intermediate Income Trust | ||||
| FUTURES CONTRACTS OUTSTANDING at 12/31/05 (Unaudited) | ||||
| Unrealized | ||||
| Number of | Expiration | appreciation/ | ||
| contracts | Value | date | (depreciation) | |
| Euro 90 day (Short) | 757 | $180,260,625 | Mar-06 | $8,043 |
| Euro 90 day (Long) | 757 | 180,080,838 | Jun-06 | (34,788) |
| Euro-Bobl 5 yr (Long) | 96 | 12,783,938 | Mar-06 | (25,195) |
| Euro-Bund 10 yr (Short) | 96 | 13,795,013 | Mar-06 | (80,667) |
| Euro-Schatz 2 yr (Long) | 12 | 1,490,077 | Mar-06 | (3,433) |
| Japanese Government Bond - TSE (Long) | 12 | 13,966,613 | Mar-06 | 76,219 |
| U.K. Gilt 10 yr (Long) | 22 | 4,321,974 | Mar-06 | 42,982 |
| U.S. Treasury Bond 20 yr (Short) | 161 | 18,384,188 | Mar-06 | (206,375) |
| U.S. Treasury Note 10 yr (Short) | 618 | 67,613,063 | Mar-06 | (209,465) |
| U.S. Treasury Note 2 yr (Short) | 55 | 11,285,313 | Mar-06 | 14,445 |
| U.S. Treasury Note 5 yr (Long) | 215 | 22,863,906 | Mar-06 | (19,600) |
|
| ||||
| Total | $(437,834) | |||
Putnam Master Intermediate Income Trust
TBA SALE COMMITMENTS OUTSTANDING at 12/31/05 (proceeds receivable $31,707,613) (Unaudited)
| Principal | Settlement | ||
| Agency | amount | date | Value |
| FNMA, 5 1/2s, January 1, 2036 | $20,200,000 | 1/12/06 | $20,001,155 |
| FNMA, 5s, January 1, 2036 | 7,000,000 | 1/12/06 | 6,780,157 |
| FNMA, 4 1/2s, January 1, 2021 | 5,100,000 | 1/18/06 | 4,959,750 |
|
| |||
| Total | $31,741,062 | ||
| Putnam Master Intermediate Income | |||
| Trust - Fund 074 | |||
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/05 | |||
| (Unaudited) | |||
| Unrealized | |||
| Notional | Termination | appreciation/ | |
| amount | date | (depreciation) | |
| Agreement with Lehman Brothers Special Financing, Inc. dated | |||
| September 28, 2005 to receive annually the notional amount multiplied | |||
| by 3.734% and pay semi-annually the notional amount multiplied by | |||
| the six month EURIBOR. | $11,022,426 | 9/30/35 | ($12,050) |
| Agreement with Bank of America, N.A. dated January 22, 2004 to pay | |||
| semi-annually the notional amount multiplied by 4.35% and receive | |||
| quarterly the notional amount multiplied by the three month USD- | |||
| LIBOR. | 4,400,000 | 1/27/14 | 114,572 |
| Agreement with Bank of America, N.A. dated January 22, 2004 to pay | |||
| semi-annually the notional amount multiplied by 1.97375% and receive | |||
| quarterly the notional amount multiplied by the three month USD- | |||
| LIBOR. | 13,900,000 | 1/26/06 | 14,737 |
| Agreement with Bank of America, N.A. dated March 25, 2004 | |||
| to pay semi-annually the notional amount multiplied by | |||
| 3.075% and receive quarterly the notional amount multiplied | |||
| by the three month USD-LIBOR. | 16,800,000 | 3/30/09 | 756,813 |
| Agreement with Citibank, N.A. dated July 20, 2005 to receive annually | |||
| the notional amount multiplied by 3.52% and pay semi-annually the | |||
| notional amount multiplied by the six month NOKDOM-NIBR. | 2,836,665 | 7/22/10 | (27,522) |
| Agreement with Citibank, N.A. dated July 20, 2005 to pay annually the | |||
| notional amount multiplied by 2.825% and receive semi-annually the | |||
| notional amount multiplied by the six month EURIBOR-T248. | 2,762,760 | 7/22/10 | 32,634 |
| Agreement with Lehman Brothers Special Financing, Inc. dated | |||
| September 28, 2005 to pay annually the notional amount multiplied by | |||
| 3.2385% and receive semi-annually the notional amount multiplied by | |||
| the six month EURIBOR. | 31,218,200 | 9/30/15 | 375,818 |
| Agreement with Lehman Brothers Special Financing, Inc. dated | |||
| December 9, 2003 to receive semi-annually the notional amount | |||
| multiplied by 4.641% and pay quarterly the notional amount multiplied | |||
| by the three month USD-LIBOR-BBA. | 9,188,000 | 12/15/13 | (160,602) |
| Agreement with Credit Suisse First Boston International dated July 7, | |||
| 2004 to receive semi-annually the notional amount multiplied by | |||
| 2.931% and pay quarterly the notional amount multiplied by the three | |||
| month USD-LIBOR. | 5,048,700 | 7/9/06 | (24,814) |
| Agreement with Credit Suisse First Boston International dated July 7, | |||
| 2004 to pay semi-annually the notional amount multiplied by 4.945% | |||
| and receive quarterly the notional amount multiplied by the three | |||
| month USD-LIBOR. | 5,699,500 | 7/9/14 | (90,825) |
| Agreement with JPMorgan Chase Bank, N.A. dated June 15, 2005 to | |||
| pay semi-annually the notional amount multiplied by 4.0825% and | |||
| receive quarterly the notional amount multiplied by the three month | |||
| USD-LIBOR. | 134,000,000 | 6/17/07 | 1,467,707 |
| Agreement with JPMorgan Chase Bank, N.A. dated June 15, 2005 to | |||
| receive semi-annually the notional amount multiplied by 4.5505% and | |||
| pay quarterly the notional amount multiplied by the three month USD- | |||
| LIBOR. | 30,000,000 | 6/17/15 | (862,411) |
| Agreement with Merrill Lynch Capital Services, Inc. dated February 16, | |||
| 2005 to receive semi-annually the notional amount multiplied by the six | |||
| month EURIBOR and pay annually the notional amount multiplied by | |||
| 2.5645%. | 59,061,170 | 2/19/07 | (630,735) |
| Agreement with Lehman Brothers Special Financing, Inc. dated | |||
| January 22, 2004 to pay semi-annually the notional amount multiplied | |||
| by 4.3375% and receive quarterly the notional amount multiplied by | |||
| the three month USD-LIBOR-BBA. | 4,400,000 | 1/26/14 | 118,461 |
| Agreement with Lehman Brothers Special Financing, Inc. dated | |||
| January 22, 2004 to pay semi-annually the notional amount multiplied | |||
| by 1.955% and receive quarterly the notional amount multiplied by the | |||
| three month USD-LIBOR-BBA. | 13,900,000 | 1/26/06 | 15,998 |
| Agreement with Citibank N.A. dated July 12, 2005 to pay annually the | |||
| notional amount multiplied by 2.7515% and receive semi-annually the | |||
| notional amount multiplied by the six month EURIBOR-T248. | 7,074,840 | 7/14/10 | 103,842 |
| Agreement with Citibank, N.A. dated July 12, 2005 to receive annually | |||
| the notional amount multiplied by 3.4% and pay semi-annually the | |||
| notional amount multiplied by the six month NOKDOM-NIBR. | 7,334,888 | 7/14/10 | (103,351) |
| Agreement with Merrill Lynch Capital Services Inc. dated July 22, 2005 | |||
| to receive annually the notional amount multiplied by 3.54% and pay | |||
| semi-annually the notional amount multiplied by the six month NIBOR. | 4,262,704 | 7/26/05 | (37,437) |
| Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005 to | |||
| receive semi-annually the notional amount multiplied by 4.4505% and | |||
| pay quarterly the notional amount multiplied by the three month USD- | |||
| LIBOR-BBA. | 25,100,000 | 9/2/15 | (654,406) |
| Agreement with Bank of America, N.A. dated August 30, 2005 | |||
| to receive semi-annually the notional amount multiplied by | |||
| 4.53% and pay quarterly the notional amount multiplied by | |||
| the three month USD-LIBOR-BBA. | 10,000,000 | 9/1/15 | (197,075) |
| Agreement with Merrill Lynch Capital Services, Inc. dated July 22, | |||
| 2005 to pay annually the notional amount multiplied by 2.801% and | |||
| receive semi-annually the notional amount multiplied by the six month | |||
| EURIBOR. | 4,239,550 | 7/26/10 | 53,103 |
| Agreement with Lehman Brothers Special Financing, Inc. dated | |||
| September 28, 2005 to receive annually the notional amount multiplied | |||
| by 2.47% and pay semi-annually the notional amount multiplied by the | |||
| six month EURIBOR. | 60,035,000 | 9/28/07 | (443,726) |
| Agreement with Merrill Lynch Capital Services, Inc. dated October 5, | |||
| 2005 to pay annually the notional amount multiplied by 3.2685% and | |||
| receive semi-annually the notional amount multiplied by the six month | |||
| EUR-EURIBOR-BBAM | 17,929,500 | 10/7/07 | 177,888 |
| Agreement with Merrill Lynch Capital Services, Inc. dated October 5, | |||
| 2005 to receive annually the notional amount multiplied by 3.736% and | |||
| pay semi-annually the notional amount multiplied by the six month | |||
| EUR-EURIBOR-BBAM. | 6,454,620 | 10/7/07 | (6,981) |
| Agreement with Merrill Lynch Capital Services, Inc. dated October 5, | |||
| 2005 to receive annually the notional amount multiplied by 2.526% and | |||
| pay semi-annually the notional amount multiplied by the six month | |||
| EUR-EURIBOR-Telerate. | 35,859,000 | 10/7/07 | (238,154) |
| Agreement with Credit Suisse First Boston dated November 18, 2005 | |||
| to receive annually the notional amount multiplied by 2.71% and pay | |||
| semi-annually the notional amount multiplied by the six month CHF- | |||
| LIBOR. | 4,340,647 | 11/18/07 | 88,261 |
| Agreement with Credit Suisse First Boston dated November 18, 2005 | |||
| to receive annually the notional amount multiplied by 1.72% and pay | |||
| semi-annually the notional amount multiplied by the six month CHF- | |||
| LIBOR. | 35,456,533 | 11/18/07 | 49,708 |
| Agreement with Credit Suisse First Boston dated November 18, 2005 | |||
| to pay annually the notional amount multiplied by 2.33% and receive | |||
| semi-annually the notional amount multiplied by the six month CHF- | |||
| LIBOR. | 17,330,921 | 11/18/07 | (88,970) |
| Agreement with Citibank N.A. dated December 14, 2005 to | |||
| receive annually the notional amount multiplied by 3.485% | |||
| and pay semi-annually the notional amount multiplied by the | |||
| six month EURIBOR-T248. | 19,244,800 | 12/16/15 | 82,712 |
| Agreement with Citibank N.A. dated December 14, 2005 to | |||
| pay annually the notional amount multiplied by 2.973% and | |||
| receive semi-annually the notional amount multiplied by the | |||
| six month EURIBOR-T248. | 90,210,000 | 12/17/07 | 70,065 |
|
| |||
| Total | $(56,738) | ||
| Putnam Master Intermediate Income Trust - Fund 074 | |||
| TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited) | |||
| Unrealized | |||
| Notional | Termination | appreciation | |
| amount | date | ||
|
| |||
| Agreement with Goldman Sachs dated December 23, 2005 to | |||
| receive/(pay) a premium based on the difference between the | |||
| market price of Ford Credit Auto Owner Trust Series 2005-B | |||
| Class D and par on day of execution and receive monthly the | |||
| notional amount multiplied by 678 basis points and pay | |||
| monthly the one month USD-LIBOR. At maturity/termination | |||
| the fund receives the coupon and price appreciation of Ford | |||
| Credit Auto Owner Trust 2005-B Class D and pays the one | |||
| month USD LIBOR and the price depreciation of Ford Credit | |||
| Auto Owner Trust 2005-B Class D. | $1,345,000 | 9/15/11 | $7,935 |
|
| |||
| Putnam Master Intermediate Income Trust - Fund 074 | ||
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/05 (Unaudited) | ||
| Unrealized | ||
| Notional | appreciation/ | |
| amount | (depreciation) | |
|
| ||
| Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005, maturing on June | ||
| 20, 2015, to receive quarterly 70.5 basis points times the notional amount. Upon a credit default | ||
| event of a reference entity within the DJ IG CDX Series 4 Index 10-15% tranche, the fund makes | ||
| a payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index 10-15% tranche. | $1,151,000 | 12,572 |
| Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005, maturing on June | ||
| 20, 2015, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and pay quarterly 65 basis points times the | ||
| notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4 | ||
| Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ IG CDX | ||
| Series 4 Index. | 1,151,000 | (2,528) |
| Agreement with Morgan Stanley Capital Services, Inc. on November 16, 2005, maturing on | ||
| December 20, 2012, to receive quarterly 305 basis points times the notional amount. Upon a | ||
| credit default event of a reference entity within the DJ IG CDX Series 5 Index 3-7% tranche, the | ||
| fund makes a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the DJ IG CDX Series 5 Index 3-7% | ||
| tranche. | 1,623,000 | 67,723 |
| Agreement with Morgan Stanley Capital Services, Inc. on November 30, 2005, maturing on | ||
| December 20, 2012, to receive quarterly 30 basis points times the notional amount. Upon a credit | ||
| default event of a reference entity within the DJ IG CDX Series 5 Index 10-15% tranche, the fund | ||
| makes a payment of the proportional notional amount times the difference between the par value | ||
| and the then-market value of the reference entity within the DJ IG CDX Series 5 Index 10-15% | ||
| tranche. | 2,391,000 | 970 |
| Agreement with Morgan Stanley Capital Services, Inc. on November 30, 2005, maturing on | ||
| December 20, 2012, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 55 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the DJ IG CDX | ||
| Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the DJ | ||
| IG CDX Series 5 Index. | 1,195,500 | (2,647) |
| Agreement with Morgan Stanley Capital Services, Inc. on December 8, 2005, maturing on | ||
| December 20, 2012, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 55 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the DJ IG CDX | ||
| Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the DJ | ||
| IG CDX Series 5 Index. | 1,200,000 | (2,658) |
| Agreement with Morgan Stanley Capital Services, Inc. on December 8, 2005, maturing on | ||
| December 20, 2012, to receive quarterly 29 basis points times the notional amount. Upon a credit | ||
| default event of a reference entity within the DJ IG CDX Series 5 Index 10-15% tranche, the fund | ||
| makes a payment of the proportional notional amount times the difference between the par value | ||
| and the then-market value of the reference entity within the DJ IG CDX Series 5 Index 10-15% | ||
| tranche. | 2,400,000 | 426 |
| Agreement with Morgan Stanley Capital Services, Inc. on December 19, 2005, maturing on June | ||
| 20, 2010, to pays quarterly 110.5 basis points times the notional amount. Upon a credit default | ||
| event of a reference entity within the DJ IG CDX Series 4 Index 3-7% tranche, the fund receives a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index 3-7% tranche. | 551,000 | 186 |
| Agreement with Morgan Stanley Capital Services, Inc. on December 20, 2005, maturing on June | ||
| 20, 2010, to pays quarterly 114 basis points times the notional amount. Upon a credit default | ||
| event of a reference entity within the DJ IG CDX Series 4 Index 3-7% tranche, the fund receives a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index 3-7% tranche. | 2,493,000 | 4,673 |
| Agreement with Morgan Stanley Capital Services, Inc. on September 8, 2005, maturing on June | ||
| 20, 2015, to receive quarterly 479 basis points times the notional amount. Upon a credit default | ||
| event of any reference entity within the iTraxx Eur 3 Index,3-6% tranche. the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the iTraxx EUR 3 Index, 3-6% tranche. | 1,272,691 | 54,844 |
| Agreement with Morgan Stanley Capital Services, Inc. on September 8, 2005, maturing on June | ||
| 20, 2012, to receive quarterly 285 basis points times the notional amount. Upon a credit default | ||
| event of a reference entity within the DJ IG CDX Series 4 Index 3-7% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index 3-7% tranche. | 2,619,000 | 6,749 |
| Agreement with Morgan Stanley Capital Services, Inc. on May 24, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 90 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 | ||
| Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ IG CDX 5 | ||
| year Series 4 Index. | 10,060,000 | (401,527) |
| Agreement with Morgan Stanley Capital Services, Inc. on May 24, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and receive quarterly 500 basis points times the | ||
| notional amount. Upon a credit default event of a reference entity within the DJ IG CDX 5 year | ||
| Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times | ||
| the difference between the par value and the then-market value of the reference entity within the | ||
| DJ IG CDX 5 year Series 4 Index 0-3% tranche. | 2,276,000 | 125,565 |
| Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005, maturing on June | ||
| 20, 2012, to receive quarterly 275 basis points times the notional amount. Upon a credit default | ||
| event of a reference entity within the DJ IG CDX Series 4 Index 3-7% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index 3-7% tranche. | 1,722,000 | (6,732) |
| Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005, maturing on June | ||
| 20, 2012, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and pay quarterly 55 basis points times the | ||
| notional amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4 | ||
| Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ IG CDX | ||
| Series 4 Index. | 2,336,000 | 1,635 |
| Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005, maturing on June | ||
| 20, 2012, to receive quarterly 48 basis points times the notional amount. Upon a credit default | ||
| event of a reference entity within the DJ IG CDX Series 4 Index 7-10% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index 7-10% tranche. | 2,336,000 | 1,785 |
| Agreement with Morgan Stanley Capital Services, Inc. on October 13, 2005, maturing on | ||
| December 20, 2010, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 395 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the DJ CDX HY | ||
| Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the DJ | ||
| CDX HY Series 5 Index. | 1,087,020 | (33,285) |
| Agreement with Goldman Sachs Capital Markets, L.P. on October 12, 2005, maturing on | ||
| December 20, 2010, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 395 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the CDX HY | ||
| Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the CDX | ||
| HY Series 5 Index. | 14,058,000 | (396,663) |
| Agreement with Goldman Sachs Capital Markets, L.P. on October 14, 2005, maturing | ||
| on June 20, 2010, to receive/(pay) a premium based on the difference between the | ||
| original spread on issue and the market spread on day of execution and pays | ||
| quarterly 90 basis points times the notional amount. Upon a credit default event of a | ||
| reference entity within the CDX IG HVOL Series 4 Index, the fund receives a payment | ||
| of the proportional notional amount times the difference between the par value and | ||
| the then-market value of the reference entity within the CDX IG HVOL Series 4 | ||
| Index. | 10,748,000 | (30,351) |
| Agreement with Goldman Sachs Capital Markets, L.P. on October 21, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 90 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the CDX IG Series 4 Index, the | ||
| fund receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the CDX IG Series 4 Index. | 2,638,000 | 37,223 |
| Agreement with Goldman Sachs Capital Markets, L.P. on November 17, 2005, maturing on | ||
| December 20, 2010, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 85 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the CDX IG | ||
| HVOL Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the CDX | ||
| IG HVOL Series 5 Index. | 1,623,000 | (6,655) |
| Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005, maturing on | ||
| December 20, 2012, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 55 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the CDX IG | ||
| Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the CDX | ||
| IG Series 5 Index. | 597,500 | (1,320) |
| Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005, maturing | ||
| on December 20, 2012, to receive quarterly 31.25 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the CDX IG Series 5 | ||
| Index, 10-15% tranche, the fund makes a payment of the proportional notional | ||
| amount times the difference between the par value and the then-market value of the | ||
| reference entity within the CDX IG Series 5 Index,10-15% tranche. | 1,195,000 | 1,493 |
| Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005, maturing on | ||
| December 20, 2010, to pay quarterly 113 basis points times the notional amount. Upon a credit | ||
| default event of a reference entity within the CDX IG Series 5 Index, 3-7% tranche, the fund | ||
| receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the CDX IG Series 5 Index, 3-7% | ||
| tranche. | 811,000 | 748 |
| Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005, maturing on | ||
| December 20, 2010, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 85 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the CDX IG | ||
| HVOL Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the CDX | ||
| IG HVOL Series 5 Index. | 1,623,000 | (3,113) |
| Agreement with Morgan Stanley Capital Services, Inc. on October 13, 2005, maturing on | ||
| December 20, 2010, to receive quarterly 145 basis points times the notional amount. Upon a | ||
| credit default event of a reference entity within the DJ HY CDX Series 5 Index 25-35% tranche, | ||
| the fund makes a payment of the proportional notional amount times the difference between the | ||
| par value and the then-market value of the reference entity within the DJ HY CDX Series 5 Index | ||
| 25-35% tranche. | 2,196,000 | 35,556 |
| Agreement with Morgan Stanley Capital Services, Inc. on October 14, 2005, maturing on | ||
| December 20, 2010, to receive quarterly 127 basis points times the notional amount. Upon a | ||
| credit default event of a reference entity within the DJ HY CDX Series 5 Index 25-35% tranche, | ||
| the fund makes a payment of the proportional notional amount times the difference between the | ||
| par value and the then-market value of the reference entity within the DJ HY CDX Series 5 Index | ||
| 25-35% tranche. | 1,325,000 | 10,155 |
| Agreement with Morgan Stanley Capital Services, Inc. on October 14, 2005, maturing on | ||
| December 20, 2010, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pays quarterly 395 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the CDX HY | ||
| Series 5 Index, the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the CDX | ||
| HY Series 5 Index. | 655,875 | (16,947) |
| Agreement with Merrill Lynch International on April 14, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and receives quarterly | ||
| 360 basis points times the notional amount. Upon a credit default event of a | ||
| reference entity within the DJ HY CDX 4 Index, the fund makes a payment of the | ||
| proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ HY CDX 4 Index. | 1,078,000 | 46,949 |
| Agreement with JPMorgan Securities Inc. on December 12, 2005, maturing on June 20, 2012, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pays quarterly 55 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the DJ IG CDX 4 Index, the fund receives a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX 4 Index. | 1,209,000 | (1,194) |
| Agreement with JPMorgan Securities Inc. on December 12, 2005, maturing on June 20, 2012, to | ||
| receive quarterly 30.5 basis points times the notional amount. Upon a credit default event of a | ||
| reference entity within the DJ IG CDX 4 Index, 10-15% tranche, the fund makes a payment of the | ||
| proportional notional amount times the difference between the par value and the then-market | ||
| value of the reference entity within the DJ IG CDX 4 Index10-15% tranche. | 2,418,000 | 3,092 |
| Agreement with Lehman Brothers Special Financing, Inc. on December 1, 2005, maturing on June | ||
| 20, 2010, to pay quarterly 124.5 basis points times the notional amount. Upon a credit default | ||
| event of any reference entity within the DJ IG CDX Series 4 Index, 3-7% tranche,the fund receives | ||
| a payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index, 3-7% tranche. | 2,170,500 | (17,084) |
| Agreement with Lehman Brothers Special Financing, Inc. on December 19, 2005, maturing on | ||
| June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and to pay quarterly 90 basis points times the | ||
| notional amount. Upon a credit default event of any reference entity within the DJ IG CDX HVOL | ||
| Series 4 Index,the fund receives a payment of the proportional notional amount times the | ||
| difference between the par value and the then-market value of the reference entity within the DJ | ||
| IG CDX HVOL Series 4 Index. | 551,000 | 939 |
| Agreement with Lehman Brothers Special Financing, Inc. on December 19, 2005, maturing on | ||
| June 20, 2012, to receive quarterly 309 basis points times the notional amount. Upon a credit | ||
| default event of any reference entity within the DJ IG CDX Series 4 Index, 3-7% tranche,the fund | ||
| makes a payment of the proportional notional amount times the difference between the par value | ||
| and the then-market value of the reference entity within the DJ IG CDX Series 4 Index, 3-7% | ||
| tranche. | 551,000 | 223 |
| Agreement with Bank of America, N.A. on September 8, 2005, maturing on June 20, 2010, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pay quarterly 360 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the fund | ||
| receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the CDX HY Series 4 Index. | 1,027,040 | (24,895) |
| Agreement with Bank of America, N.A. on August 17, 2005, maturing on June 20, 2010, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pay quarterly 360 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the fund | ||
| receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the CDX HY Series 4 Index. | 2,450,000 | (63,535) |
| Agreement with Bank of America, N.A. on August 16, 2005, maturing on June 20, 2010, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pay quarterly 360 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the fund | ||
| receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the CDX HY Series 4 Index. | 4,900,000 | $(87,527) |
| Agreement with Bank of America, N.A. on April 13, 2005, maturing on June 20, 2010, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and receive quarterly 360 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund | ||
| makes a payment of the proportional notional amount times the difference between the par value | ||
| and the then-market value of the reference entity within the DJ HY CDX 3 Index. | 980,000 | 41,967 |
| Agreement with Bank of America, N.A. on April 14, 2005, maturing on June 20, 2010, | ||
| to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and receive quarterly 360 basis | ||
| points times the notional amount. Upon a credit default event of a reference entity | ||
| within the DJ HY CDX 4 Index, the fund makes a payment of the proportional notional | ||
| amount times the difference between the par value and the then-market value of the | ||
| reference entity within the DJ HY CDX 4 Index. | 1,862,000 | 81,761 |
| Agreement with Bank of America, N.A. on September 13, 2005, maturing on June 20, 2010, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pay quarterly 90 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the DJ CDX IG HVOL Series 4 Index, the | ||
| fund receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the DJ CDX IG HVOL Series 4 | ||
| Index. | 3,444,000 | 21,660 |
| Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005, maturing on | ||
| June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and pay quarterly 65 basis points times the | ||
| notional amount. Upon a credit default event of a reference entity within the DJ IG CDX 4 Index, | ||
| the fund receives a payment of the proportional notional amount times the difference between the | ||
| par value and the then-market value of the reference entity within the DJ IG CDX 4 Index. | 1,167,000 | (847) |
| Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005, maturing on | ||
| June 20, 2015, to receive quarterly 59 basis points times the notional amount. Upon a credit | ||
| default event of a reference entity within the DJ IG CDX 4 Index,10-15% tranche, the fund makes | ||
| a payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX 4 Index,10-15% tranche. | 1,167,000 | (5,333) |
| Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005, maturing on | ||
| December 20, 2015, to receive/(pay) a premium based on the difference between the original | ||
| spread on issue and the market spread on day of execution and pay quarterly 70 basis points | ||
| times the notional amount. Upon a credit default event of a reference entity within the DJ IG CDX | ||
| 5 Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ IG CDX 5 | ||
| Index. | 1,168,000 | (3,392) |
| Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005, maturing on | ||
| December 20, 2015, to receive quarterly 57.5 basis points times the notional amount. Upon a | ||
| credit default event of a reference entity within the DJ IG CDX 5 Index 10-15% tranche, the fund | ||
| makes a payment of the proportional notional amount times the difference between the par value | ||
| and the then-market value of the reference entity within the DJ IG CDX 5 Index 10-15% tranche. | 1,168,000 | (3,837) |
| Agreement with Deutsche Bank AG on April 15, 2005, maturing on June 20, 2010, to receive | ||
| quarterly 183 basis points times the notional amount. Upon a credit default event of a reference | ||
| entity within the DJ HY CDX 4 Index 25-35% tranche, the fund make a payment of the | ||
| proportional notional amount times the difference between the par value and the then-market | ||
| value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche. | 2,400,000 | 123,201 |
| Agreement with JPMorgan Chase Bank, N.A. on June 23, 2005, maturing on June 20, 2010, to | ||
| receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pay quarterly 360 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the | ||
| fund receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 | ||
| Index. | 2,409,820 | (86,395) |
| Agreement with Goldman Sachs Capital Markets, L.P. on August 19, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 360 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the CDX HY Series 4 Index, the | ||
| fund receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the CDX HY Series 4 Index. | 2,450,000 | (38,431) |
| Agreement with Goldman Sachs Capital Markets, L.P. on April 13, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 360 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund | ||
| receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the DJ HY CDX 3 Index. | 882,000 | 31,132 |
| Agreement with Goldman Sachs Capital Markets, L.P. on June 22, 2005, maturing on June 20, | ||
| 2015, to receive quarterly 656 basis points times the notional amount. Upon a credit default event | ||
| of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% | ||
| tranche. | 1,479,600 | (40,381) |
| Agreement with Goldman Sachs Capital Markets, L.P. on August 12, 2005, maturing on June 20, | ||
| 2015, to receive quarterly 600 basis points times the notional amount. Upon a credit default event | ||
| of a reference entity within the DJ IG CDX Series 4 Index,3-7% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index,3-7% tranche. | 2,562,000 | (161,940) |
| Agreement with Goldman Sachs International on September 2, 2004, terminating on the date on | ||
| which the notional amount is reduced to zero or the date on which the assets securing the | ||
| reference obligation are liquidated, the fund receives a payment of the outstanding notional | ||
| amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying | ||
| securities in the basket of BB CMBS securities. | 3,768,000 | (9,281) |
| Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on June 20, | ||
| 2012, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 55 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ IG CDX Series 4 Index, | ||
| the fund receives a payment of the proportional notional amount times the difference between the | ||
| par value and the then-market value of the reference entity within the DJ IG CDX Series 4 Index. | 2,278,000 | (859) |
| Agreement with Citigroup Financial Products, Inc. on June 10, 2005, maturing on June 20, 2010, | ||
| to receive/(pay) a premium based on the difference between the original spread on issue and the | ||
| market spread on day of execution and pay quarterly 360 basis points times the notional amount. | ||
| Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the | ||
| fund receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 | ||
| Index. | 2,391,200 | (93,411) |
| Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on June 20, | ||
| 2012, to receive quarterly 62 basis points times the notional amount. Upon a credit default event | ||
| of a reference entity within the DJ IG CDX Series 4 Index,7-10% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche. | 2,278,000 | 12,733 |
| Agreement with Citigroup Financial Products, Inc. on June 10, 2005, maturing on June 20, 2010, | ||
| to pay quarterly 677.5 basis points times the notional amount. Upon a credit default event of a | ||
| reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund receives a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% | ||
| tranche. | 2,440,000 | (57,169) |
| Agreement with Citigroup Financial Products, Inc. on April 28, 2005, maturing on June 20, 2010, | ||
| to receive quarterly 201 basis points times the notional amount. Upon a credit default event of a | ||
| reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the | ||
| proportional notional amount times the difference between the par value and the then-market | ||
| value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche. | 2,400,000 | 155,650 |
| Agreement with Citigroup Financial Products, Inc. on April 15, 2005, maturing on June 20, 2010, | ||
| to receive quarterly 180 basis points times the notional amount. Upon a credit default event of a | ||
| reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the | ||
| proportional notional amount times the difference between the par value and the then-market | ||
| value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche. | 2,400,000 | 133,320 |
| Agreement with Lehman Brothers Special Financing, Inc. on August 24, 2005, maturing on June | ||
| 20, 2012, to receive quarterly 46.375 basis points times the notional amount. Upon a credit | ||
| default event of any reference entity within the DJ iTraxx Index, 6-9% tranche, the fund makes a | ||
| payment of the proportional notional amount times the difference between the par value and the | ||
| then-market value of the reference entity within the DJ iTraxx Index, 6-9% tranche. | 2,834,916 | 10,948 |
| Agreement with Lehman Brothers Special Financing, Inc. on August 24, 2005, maturing on June | ||
| 20, 2012, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and to receive quarterly 45 basis points times | ||
| the notional amount. Upon a credit default event of any reference entity within the DJ iTraxx | ||
| Index, the fund makes a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ iTraxx | ||
| Index. | 2,834,916 | (2,917) |
| Agreement with Lehman Brothers Special Financing, Inc. on July 27, 2005, maturing on June 20, | ||
| 2012, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and to receive quarterly 45 basis points times the | ||
| notional amount. Upon a credit default event of any reference entity within the DJ iTraxx Index, | ||
| the fund makes a payment of the proportional notional amount times the difference between the | ||
| par value and the then-market value of the reference entity within the DJ iTraxx Index. | 2,273,208 | (1,041) |
| Agreement with Lehman Brothers Special Financing, Inc. on July 27, 2005, maturing on June 20, | ||
| 2012, to receive quarterly 19 basis points times the notional amount. Upon a credit default event | ||
| of any reference entity within the DJ iTraxx Index, S3 tranche, the fund makes a payment of the | ||
| proportional notional amount times the difference between the par value and the then-market | ||
| value of the reference entity within the DJ iTraxx Index, S3 tranche. | 3,030,944 | 11,528 |
| Agreement with Lehman Brothers Special Financing, Inc. on September 8, 2005, maturing on | ||
| June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and to pay quarterly 360 basis points times the | ||
| notional amount. Upon a credit default event of any reference entity within the DJ HY CDX Series | ||
| 4 Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ HY CDX | ||
| Series 4 Index. | 2,510,760 | (62,326) |
| Agreement with Lehman Brothers Special Financing, Inc. on June 17, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 360 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 | ||
| Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ HY CDX 5 | ||
| year Series 4 Index. | 2,391,200 | (77,619) |
| Agreement with Lehman Brothers Special Financing, Inc. on April 14, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 360 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund | ||
| receives a payment of the proportional notional amount times the difference between the par | ||
| value and the then-market value of the reference entity within the DJ HY CDX 3 Index. | 882,000 | 39,678 |
| Agreement with Lehman Brothers Special Financing, Inc. on June 14, 2005, maturing on June 20, | ||
| 2010, to receive/(pay) a premium based on the difference between the original spread on issue | ||
| and the market spread on day of execution and pay quarterly 360 basis points times the notional | ||
| amount. Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 | ||
| Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the DJ HY CDX 5 | ||
| year Series 4 Index. | 1,440,600 | (48,338) |
| Agreement with Lehman Brothers Special Financing, Inc. on August 10, 2005, maturing on June | ||
| 20, 2010, to receive/(pay) a premium based on the difference between the original spread on | ||
| issue and the market spread on day of execution and to pay quarterly 360 basis points times the | ||
| notional amount. Upon a credit default event of any reference entity within the CDX HY Series 4 | ||
| Index, the fund receives a payment of the proportional notional amount times the difference | ||
| between the par value and the then-market value of the reference entity within the CDX HY Series | ||
| 4 Index. | 4,900,000 | (81,057) |
| Agreement with Lehman Brothers Special Financing, Inc. on April 18, 2005, maturing on June 20, | ||
| 2010, to pay quarterly 194 basis points times the notional amount. Upon a credit default event of | ||
| a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund receives a payment of | ||
| the proportional notional amount times the difference between the par value and the then-market | ||
| value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche. | 500,000 | 28,751 |
|
| ||
| Total | $(767,400) | |
NOTES
(a) Percentages indicated are based on net assets of $695,728,242.
(b) The aggregate identified cost on a tax basis is $771,562,671, resulting in gross unrealized appreciation and depreciation of $10,999,753 and $17,459,953, respectively, or net unrealized depreciation of $6,460,200.
(c) Senior loans are exempt from registration under the Security 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 rate shown for senior loans are the current interest rates at December 31, 2005. 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
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at December 31, 2005 was $565,730 or 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at December 31, 2005.
(R) Real Estate Investment Trust.
(e) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $764,460 for the period ended December 31, 2005. During the period ended December 31, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $115,459,382 and $57,971,089, respectively.
(F) Security is valued at fair value following procedures approved by the Trustees.
(U) A portion of the position represents unfunded loan commitments, which could be extended at the option of the borrower, pursuant to the loan agreements. The total market value of the unfunded loan commitments at December 31, 2005 was 0.03% of net assets.
At December 31, 2005, liquid assets totaling $128,498,439 have been designated as collateral for open forward commitments, open swap contracts, and forward contracts.
144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
TBA after the name of a security represents to be announced securities.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at December 31, 2005.
Inverse Floating Rate Bonds (IFB) 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 interest rates shown are the current interest rates at December 31, 2005.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of issue at December 31, 2005: (as a percentage of Portfolio Value)
| Argentina | 0.8% |
| Brazil | 0.7 |
| Canada | 1.0 |
| Cayman Islands | 1.2 |
| Colombia | 0.6 |
| France | 1.5 |
| Germany | 2.1 |
| Ireland | 1.9 |
| Luxembourg | 1.3 |
| Mexico | 1.1 |
| Sweden | 0.6 |
| United Kingdom | 2.2 |
| United States | 82.7 |
| Other | 2.3 |
|
| |
| Total | 100.0% |
Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. 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. 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 securities taking into account multiple factors, including movements in the U.S. securities markets. 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.
Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
Stripped mortgage-backed securities The fund may invest in stripped mortgage-backed securities which represent a participation in mortgage loans and may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. 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.
The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures and options contracts The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.
The potential risk to the fund is that the change in value of futures and 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, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 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 cost of investments.
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.” 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. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index 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. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. 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.
Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
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, 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 comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.
TBA purchase commitments The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets.
Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting 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 sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Dollar rolls To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.
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.
NAME OF REGISTRANT
| By (Signature and Title): /s/ Michael T. Healy Michael T. Healy Principal Accounting Officer Date: February 28, 2006 |
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.
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By
(Signature and Title): By
(Signature and Title): |