a_masterintermediateinc.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05498)
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: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2017
Date of reporting period: June 30, 2017



Item 1. Schedule of Investments:













Putnam Master Intermediate Income Trust

The fund's portfolio
6/30/17 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (49.5%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (49.5%)
Federal National Mortgage Association Pass-Through Certificates
     5.50%, TBA, 7/1/47 $3,000,000 $3,322,500
     4.50%, TBA, 7/1/47 7,000,000 7,507,500
     4.00%, TBA, 7/1/47 5,000,000 5,255,078
     3.50%, TBA, 8/1/47 47,000,000 48,184,179
     3.50%, TBA, 7/1/47 67,000,000 68,800,625
133,069,882
Total U.S. government and agency mortgage obligations (cost $133,487,072) $133,069,882

U.S. TREASURY OBLIGATIONS (0.0%)(a)
Principal amount Value
U.S. Treasury Notes 1.125%, 09/30/21(i) $117,000 $114,151
Total U.S. treasury obligations (cost $114,151) $114,151

MORTGAGE-BACKED SECURITIES (46.8%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.4%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK, 21.13%, 4/15/37 $49,898 $76,876
     IFB Ser. 3072, Class SM, 19.547%, 11/15/35 83,434 121,074
     IFB Ser. 3249, Class PS, 18.451%, 12/15/36 49,341 68,996
     IFB Ser. 3852, Class SC, IO, 5.491%, 4/15/40 3,065,033 446,345
     Ser. 4077, Class IK, IO, 5.00%, 7/15/42 3,100,333 631,392
     IFB Ser. 4678, Class MS, IO, 4.941%, 4/15/47 1,256,865 287,608
     Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,332,344 258,874
     Ser. 4000, Class PI, IO, 4.50%, 1/15/42 743,348 129,566
     Ser. 4546, Class TI, IO, 4.00%, 12/15/45 2,914,522 473,610
     Ser. 4462, IO, 4.00%, 4/15/45 1,254,991 246,832
     Ser. 4425, IO, 4.00%, 1/15/45 3,938,644 686,191
     Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,532,592 493,349
     Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,931,166 303,964
     Ser. 4062, Class DI, IO, 4.00%, 9/15/39 3,526,298 350,223
     Ser. 4604, Class QI, IO, 3.50%, 7/15/46 6,674,518 1,097,891
     Ser. 4580, Class ID, IO, 3.50%, 8/15/45 4,038,950 624,422
     Ser. 4501, Class BI, IO, 3.50%, 10/15/43 3,549,655 491,627
     Ser. 4105, Class HI, IO, 3.50%, 7/15/41 1,184,649 136,216
     Ser. 304, Class C37, IO, 3.50%, 12/15/27 1,334,647 130,596
     Ser. 4165, Class TI, IO, 3.00%, 12/15/42 4,996,771 512,169
     Ser. 4183, Class MI, IO, 3.00%, 2/15/42 2,170,459 200,768
     Ser. 4210, Class PI, IO, 3.00%, 12/15/41 1,355,624 97,012
     Ser. 4510, Class HI, IO, 3.00%, 3/15/40 4,089,806 339,454
     FRB Ser. 57, Class 1AX, IO, 0.371%, 7/25/43 1,636,295 17,693
     Ser. 3326, Class WF, zero %, 10/15/35 1,123 849
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 32.603%, 7/25/36 76,894 140,021
     IFB Ser. 07-53, Class SP, 19.741%, 6/25/37 71,505 105,208
     IFB Ser. 08-24, Class SP, 18.824%, 2/25/38 63,572 86,781
     IFB Ser. 05-75, Class GS, 16.602%, 8/25/35 53,213 69,290
     IFB Ser. 05-83, Class QP, 14.232%, 11/25/34 83,955 103,012
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 3,294,893 781,075
     Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 2,981,442 269,224
     Ser. 374, Class 6, IO, 5.50%, 8/25/36 121,821 23,454
     IFB Ser. 12-36, Class SN, IO, 5.234%, 4/25/42 1,547,571 277,325
     IFB Ser. 10-35, Class SG, IO, 5.184%, 4/25/40 1,025,067 202,451
     Ser. 378, Class 19, IO, 5.00%, 6/25/35 366,223 66,836
     IFB Ser. 13-18, Class SB, IO, 4.934%, 10/25/41 1,180,767 140,393
     IFB Ser. 11-101, Class SA, IO, 4.684%, 10/25/41 3,787,325 582,301
     Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 572,210 134,439
     Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 3,512,836 410,587
     Ser. 366, Class 22, IO, 4.50%, 10/25/35 63,128 2,488
     Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 2,107,614 366,198
     Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 1,988,940 312,244
     Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 2,334,733 356,612
     Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 1,523,585 249,548
     Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 1,190,908 182,032
     Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 1,194,308 195,378
     Ser. 12-96, Class PI, IO, 4.00%, 7/25/41 990,418 142,351
     Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 3,023,103 423,234
     Ser. 12-129, Class IJ, IO, 3.50%, 12/25/32 1,021,998 157,132
     Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 2,041,914 145,384
     Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 1,930,291 156,354
     Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 1,699,515 169,442
     Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 1,715,107 114,089
     Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 4,333,053 529,783
     Ser. 99-51, Class N, PO, zero %, 9/17/29 9,922 8,434
Government National Mortgage Association
     Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 1,325,469 277,474
     Ser. 16-168, Class AI, IO, 5.00%, 7/20/45 2,017,137 196,671
     Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 1,040,945 211,874
     Ser. 14-76, IO, 5.00%, 5/20/44 1,451,940 306,828
     Ser. 15-187, Class KI, IO, 5.00%, 6/20/43 3,627,703 350,755
     Ser. 13-22, Class IE, IO, 5.00%, 2/20/43 2,246,350 469,375
     Ser. 13-22, Class OI, IO, 5.00%, 1/20/43 1,998,905 422,746
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,052,312 222,621
     Ser. 13-6, Class IC, IO, 5.00%, 1/20/43 909,428 189,661
     Ser. 12-146, IO, 5.00%, 12/20/42 914,556 193,273
     Ser. 13-6, Class CI, IO, 5.00%, 12/20/42 662,834 122,936
     Ser. 13-130, Class IB, IO, 5.00%, 12/20/40 472,252 30,550
     Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 163,391 11,177
     Ser. 11-41, Class BI, IO, 5.00%, 5/20/40 299,783 22,769
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 315,902 66,708
     Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 988,144 206,186
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 4,432,355 938,121
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 2,285,427 485,928
     Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 805,993 172,034
     IFB Ser. 13-129, Class SN, IO, 4.938%, 9/20/43 767,264 121,235
     IFB Ser. 14-20, Class SQ, IO, 4.888%, 7/20/43 2,978,886 452,418
     Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 1,665,047 347,579
     Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 5,525,344 772,277
     Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,258,983 283,422
     Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44 1,972,468 296,107
     Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 2,078,730 415,746
     Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 2,815,462 465,199
     Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 1,958,259 370,867
     Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 515,241 85,334
     Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 1,776,877 350,994
     Ser. 11-140, Class BI, IO, 4.50%, 12/20/40 124,434 8,098
     Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 113,651 14,926
     Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,888,742 370,118
     Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 3,319,610 663,922
     Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,757,596 351,934
     Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,975,167 378,436
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,217,271 242,125
     Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 942,640 220,898
     Ser. 10-168, Class PI, IO, 4.50%, 11/20/39 378,374 36,937
     Ser. 10-158, Class IP, IO, 4.50%, 6/20/39 1,126,460 86,602
     Ser. 10-98, Class PI, IO, 4.50%, 10/20/37 111,513 767
     IFB Ser. 14-119, Class SA, IO, 4.388%, 8/20/44 3,611,051 559,713
     Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 2,697,748 401,290
     Ser. 16-29, IO, 4.00%, 2/16/46 1,641,256 309,787
     Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 5,219,531 888,364
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,426,516 522,778
     Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 3,313,279 544,865
     Ser. 15-40, IO, 4.00%, 3/20/45 2,629,370 556,004
     Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 3,192,275 543,070
     Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 1,031,752 181,539
     Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 4,676,971 618,296
     Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 932,977 161,340
     Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 803,733 143,679
     Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 2,741,358 541,703
     Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,999,575 347,166
     Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 2,155,116 351,661
     Ser. 15-95, Class PI, IO, 3.50%, 7/20/45 2,967,418 441,403
     Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 2,787,964 419,923
     Ser. 13-76, IO, 3.50%, 5/20/43 3,332,059 541,193
     Ser. 13-28, IO, 3.50%, 2/20/43 1,041,149 152,390
     Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 1,599,850 248,041
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 2,225,363 347,535
     Ser. 13-14, IO, 3.50%, 12/20/42 5,538,496 767,192
     Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,682,461 262,885
     Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 2,122,157 403,422
     Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 2,526,042 512,936
     Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,320,781 281,443
     Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 3,934,674 517,724
     Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 4,240,540 582,654
     Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 2,422,641 222,398
     Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 2,252,755 278,440
     Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 7,033,499 740,166
     Ser. 16-H23, Class NI, IO, 2.404%, 10/20/66 12,111,834 1,547,892
     Ser. 15-H10, Class BI, IO, 2.36%, 4/20/65 3,134,908 316,679
     Ser. 16-H16, Class EI, IO, 2.351%, 6/20/66 4,847,501 569,581
     Ser. 16-H17, Class KI, IO, 2.318%, 7/20/66 3,383,136 401,747
     Ser. 17-H02, Class BI, IO, 2.312%, 1/20/67 3,054,512 406,647
     Ser. 17-H06, Class BI, IO, 2.286%, 2/20/67 4,998,900 623,863
     Ser. 16-H09, Class BI, IO, 2.273%, 4/20/66 6,200,672 651,970
     Ser. 15-H15, Class BI, IO, 2.233%, 6/20/65 3,128,821 329,718
     Ser. 17-H08, Class NI, IO, 2.194%, 3/20/67 6,557,072 784,881
     Ser. 16-H03, Class AI, IO, 2.165%, 1/20/66 4,636,573 483,942
     Ser. 16-H03, Class DI, IO, 2.032%, 12/20/65 4,963,272 480,817
     Ser. 16-H18, Class QI, IO, 2.002%, 6/20/66 3,448,266 433,102
     Ser. 15-H20, Class CI, IO, 1.985%, 8/20/65 5,142,823 554,895
     Ser. 15-H24, Class AI, IO, 1.956%, 9/20/65 4,577,303 460,934
     Ser. 16-H02, Class HI, IO, 1.941%, 1/20/66 6,161,124 550,805
     Ser. 16-H10, Class AI, IO, 1.904%, 4/20/66 11,696,012 945,038
     Ser. 16-H06, Class DI, IO, 1.904%, 7/20/65 6,612,282 586,509
     Ser. 17-H11, Class DI, IO, 1.849%, 5/20/67 4,275,056 499,647
     Ser. 15-H25, Class EI, IO, 1.846%, 10/20/65 4,343,642 396,574
     Ser. 15-H20, Class AI, IO, 1.836%, 8/20/65 4,512,689 416,521
     FRB Ser. 15-H08, Class CI, IO, 1.79%, 3/20/65 2,630,818 239,678
     Ser. 17-H09, IO, 1.775%, 4/20/67 5,902,896 651,089
     Ser. 16-H06, Class CI, IO, 1.752%, 2/20/66 6,226,478 478,816
     Ser. 15-H23, Class BI, IO, 1.73%, 9/20/65 4,884,679 423,502
     Ser. 16-H24, Class CI, IO, 1.699%, 10/20/66 3,478,921 300,238
     Ser. 13-H08, Class CI, IO, 1.674%, 2/20/63 4,970,246 315,114
     Ser. 16-H14, IO, 1.672%, 6/20/66 5,029,607 419,972
     Ser. 14-H21, Class BI, IO, 1.549%, 10/20/64 6,853,286 495,493
     Ser. 15-H26, Class CI, IO, 0.554%, 8/20/65 14,292,745 247,264
     Ser. 06-36, Class OD, PO, zero %, 7/16/36 2,670 2,252
54,766,505
Commercial mortgage-backed securities (13.8%)
Banc of America Commercial Mortgage Trust
     FRB Ser. 07-3, Class AJ, 5.874%, 6/10/49 191,105 190,914
     Ser. 06-4, Class AJ, 5.695%, 7/10/46 53,746 53,659
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.407%, 2/10/51 41,178,296 20,779
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 1,322,000 1,288,950
     Ser. 05-PWR7, Class D, 5.304%, 2/11/41 441,000 434,826
     Ser. 05-PWR7, Class B, 5.214%, 2/11/41 571,882 572,597
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.328%, 3/11/39 617,106 480,898
     FRB Ser. 06-PW14, Class XW, IO, 0.568%, 12/11/38 1,851,039 6,849
CD Mortgage Trust 144A
     FRB Ser. 07-CD5, Class E, 6.506%, 11/15/44 507,000 492,009
     FRB Ser. 07-CD5, Class XS, IO, 0.135%, 11/15/44 10,442,558 —
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class E, 5.945%, 12/15/47 409,000 412,509
     FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 1,025,000 926,703
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class E, 4.602%, 4/10/46 396,000 293,594
COBALT CMBS Commercial Mortgage Trust
     FRB Ser. 07-C3, Class AJ, 6.061%, 5/15/46 419,000 422,968
     Ser. 07-C2, Class AJFX, 5.568%, 4/15/47 783,722 783,251
COMM Mortgage Pass-Through Certificates 144A FRB Ser. 12-CR3, Class E, 4.927%, 10/15/45 350,000 291,701
COMM Mortgage Trust
     FRB Ser. 07-C9, Class F, 5.991%, 12/10/49 962,000 962,000
     Ser. 06-C8, Class AJ, 5.377%, 12/10/46 262,578 264,810
COMM Mortgage Trust 144A
     Ser. 12-LC4, Class E, 4.25%, 12/10/44 392,000 302,663
     Ser. 13-LC13, Class E, 3.719%, 8/10/46 574,000 386,359
     Ser. 14-CR18, Class E, 3.60%, 7/15/47 592,000 366,389
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, IO, 0.867%, 12/15/39 2,385,692 10,736
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 (Cayman Islands) 653,600 669,940
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.942%, 4/15/50 1,090,000 952,123
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.56%, 6/10/48 2,315,249 2,347,268
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965%, 12/10/41 58,055 58,508
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 04-C3, Class X1, IO, 1.11%, 12/10/41 3,769,831 60,745
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class E, 4.557%, 2/10/46 583,000 458,121
     FRB Ser. 05-GG4, Class XC, IO, 1.599%, 7/10/39 418,264 418
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class E, 5.497%, 11/10/46 662,000 536,088
     Ser. 11-GC3, Class E, 5.00%, 3/10/44 577,000 538,572
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C15, Class D, 5.232%, 11/15/45 757,000 727,903
     FRB Ser. 14-C18, Class D, 4.974%, 2/15/47 990,000 865,755
     FRB Ser. C14, Class D, 4.721%, 8/15/46 526,000 462,524
     FRB Ser. 14-C18, Class E, 4.474%, 2/15/47 407,000 291,127
     FRB Ser. 14-C25, Class D, 4.096%, 11/15/47 767,000 605,163
     Ser. 13-C14, Class F, 3.598%, 8/15/46 1,500,000 1,044,375
     Ser. 14-C25, Class E, 3.332%, 11/15/47 788,000 481,626
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.433%, 2/12/51 63,500 64,992
     Ser. 06-LDP8, Class B, 5.52%, 5/15/45 139,851 142,428
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.533%, 2/12/51 288,000 288,576
     FRB Ser. 07-CB20, Class C, 6.533%, 2/12/51 434,000 425,320
     FRB Ser. 11-C3, Class F, 5.801%, 2/15/46 410,000 395,650
     FRB Ser. 12-C6, Class E, 5.299%, 5/15/45 363,000 326,954
     FRB Ser. 13-C16, Class D, 5.14%, 12/15/46 337,000 316,991
     FRB Ser. 12-C8, Class E, 4.807%, 10/15/45 345,000 322,453
     Ser. 13-C13, Class E, 3.986%, 1/15/46 763,000 573,089
     Ser. 13-C10, Class E, 3.50%, 12/15/47 623,000 463,761
     FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 541,000 376,374
     FRB Ser. 07-CB20, Class X1, IO, 0.415%, 2/12/51 14,313,466 658
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 125,403 127,903
LB-UBS Commercial Mortgage Trust FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON) 1,219,000 104,225
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.624%, 9/15/39 2,525,674 15,314
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.345%, 4/20/48 443,000 373,848
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.542%, 2/12/51 184,000 186,392
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D, 6.542%, 2/12/51 304,000 306,280
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37 17,954 817
     FRB Ser. 07-C5, Class X, IO, 5.504%, 12/15/49 496,319 3,375
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 14-C15, Class D, 5.056%, 4/15/47 1,142,000 1,055,654
     Ser. 14-C17, Class D, 4.697%, 8/15/47 1,323,000 1,108,461
     FRB Ser. 13-C11, Class F, 4.515%, 8/15/46 496,000 353,747
     FRB Ser. 13-C10, Class D, 4.219%, 7/15/46 654,000 591,371
     FRB Ser. 13-C10, Class E, 4.219%, 7/15/46 1,064,000 884,078
     Ser. 14-C17, Class E, 3.50%, 8/15/47 723,000 463,298
     Ser. 15-C24, Class D, 3.257%, 5/15/48 484,000 346,878
Morgan Stanley Capital I Trust
     FRB Ser. 06-HQ8, Class D, 5.628%, 3/12/44 823,000 334,171
     Ser. 07-HQ11, Class C, 5.558%, 2/12/44 1,102,000 339,361
     Ser. 06-HQ10, Class B, 5.448%, 11/12/41 700,000 658,951
Morgan Stanley Capital I Trust 144A
     FRB Ser. 08-T29, Class D, 6.503%, 1/11/43 600,000 596,700
     FRB Ser. 08-T29, Class F, 6.503%, 1/11/43 369,000 351,842
     FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39 417,747 413,152
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 2.097%, 3/24/18 (Cayman Islands) 193,000 3,976
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 572,731 42,955
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63 622,000 408,343
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.308%, 6/15/45 1,460,000 941,700
     FRB Ser. 07-C34, IO, 0.461%, 5/15/46 7,373,246 4,424
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class E, 4.777%, 10/15/45 262,000 210,596
     FRB Ser. 13-LC12, Class D, 4.431%, 7/15/46 188,000 173,982
     Ser. 14-LC16, Class D, 3.938%, 8/15/50 956,000 759,953
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 14-C19, Class E, 5.135%, 3/15/47 946,000 687,174
     Ser. 12-C6, Class E, 5.00%, 4/15/45 534,000 439,215
     Ser. 12-C7, Class F, 4.50%, 6/15/45 2,524,000 1,849,335
     Ser. 13-C12, Class E, 3.50%, 3/15/48 510,000 375,309
37,275,446
Residential mortgage-backed securities (non-agency) (12.6%)
BCAP, LLC Trust 144A
     FRB Ser. 11-RR3, Class 3A6, 3.136%, 11/27/36 1,173,705 909,621
     FRB Ser. 12-RR5, Class 4A8, 1.194%, 6/26/35 130,925 128,329
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 4.141%, 4/25/34 300,963 299,764
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3, Class M6, 6.091%, 9/25/34 43,061 20,402
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 5.516%, 7/25/25 (Bermuda) 385,903 394,900
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A1, 2.314%, 6/25/46 312,054 301,195
     FRB Ser. 05-38, Class A1, 2.232%, 9/25/35 425,185 416,116
     FRB Ser. 06-OA10, Class 1A1, 1.692%, 8/25/46 284,958 259,021
     FRB Ser. 06-OA7, Class 1A2, 1.672%, 6/25/46 765,857 719,905
     FRB Ser. 05-38, Class A3, 1.566%, 9/25/35 1,005,899 924,688
     FRB Ser. 05-59, Class 1A1, 1.542%, 11/20/35 553,860 516,304
     FRB Ser. 06-OA10, Class 4A1, 1.406%, 8/25/46 4,017,402 3,696,010
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 3.55%, 9/28/36 2,000,000 1,914,430
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, 12.716%, 1/25/25 860,015 1,176,093
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, 11.716%, 10/25/28 249,842 314,187
     Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, 11.716%, 5/25/28 369,121 469,562
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 11.216%, 7/25/28 899,732 1,111,455
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 10.566%, 4/25/28 663,643 818,942
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, 8.766%, 12/25/27 590,191 687,444
     Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, 6.366%, 10/25/29 420,000 459,458
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, 6.366%, 11/25/28 490,000 567,484
     Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, 5.466%, 11/25/23 570,000 634,272
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 13.466%, 9/25/28 1,029,640 1,416,214
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.966%, 10/25/28 570,000 771,777
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.966%, 8/25/28 799,989 1,076,062
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, 11.466%, 1/25/29 1,019,849 1,267,031
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 7.116%, 10/25/28 1,690,000 1,968,103
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.916%, 4/25/28 1,744,330 1,985,880
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.766%, 4/25/28 100,000 112,416
     Connecticut Avenue Securities FRB Ser. 13-C01, Class M2, 6.466%, 10/25/23 350,000 409,678
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 6.216%, 7/25/25 1,132,222 1,257,543
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 6.216%, 7/25/25 720,000 795,822
     Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, 6.066%, 10/25/29 260,000 276,485
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.766%, 2/25/25 276,263 297,432
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 5.466%, 4/25/29 100,000 110,144
     Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, 5.466%, 1/25/29 520,000 570,664
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 5.216%, 5/25/25 56,990 61,419
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 5.216%, 5/25/25 139,874 149,095
     Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, 3.816%, 5/25/24 20,000 21,086
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 1.396%, 5/25/36 700,288 356,153
MortgageIT Trust FRB Ser. 05-3, Class M2, 2.011%, 8/25/35 202,993 178,390
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, 1.336%, 8/25/36 474,196 398,254
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 2.808%, 9/25/35 704,384 722,147
     FRB Ser. 05-AR19, Class A1C3, 1.716%, 12/25/45 758,306 739,349
     FRB Ser. 05-AR13, Class A1C3, 1.706%, 10/25/45 1,889,023 1,845,172
     FRB Ser. 05-AR19, Class A1C4, 1.616%, 12/25/45 395,177 372,771
33,898,669
Total mortgage-backed securities (cost $125,634,298) $125,940,620

CORPORATE BONDS AND NOTES (34.2%)(a)
Principal amount Value
Basic materials (4.2%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $149,000 $157,568
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 196,000 212,415
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 200,000 205,250
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 86,000 96,320
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 300,000 309,750
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 228,000 245,100
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 93,000 112,530
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 278,000 290,510
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 291,000 299,730
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 222,000 257,520
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 80,000 83,300
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 160,000 163,400
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 225,000 228,375
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 490,000 520,674
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 78,000 80,526
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 82,000 89,380
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 200,000 211,500
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 339,000 334,763
Constellium NV company guaranty sr. unsec. sub. notes Ser. REGS, 7.00%, 1/15/23 (Netherlands) EUR 100,000 117,459
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (Netherlands) $250,000 231,875
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 505,000 497,425
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 99,000 103,208
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) 238,000 243,355
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) 125,000 128,125
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 283,000 294,320
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 150,000 158,343
Freeport-McMoRan, Inc. company guaranty sr. unsec. sub. notes 6.75%, 2/1/22 (Indonesia) 93,000 96,255
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 306,000 348,075
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. notes 7.375%, 12/15/23 45,000 48,938
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 80,000 83,800
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 178,000 187,345
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 178,000 201,363
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 95,000 109,725
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 153,000 160,650
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 183,000 186,889
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 281,000 301,021
Mercer International, Inc. 144A sr. unsec. notes 6.50%, 2/1/24 (Canada) 138,000 144,098
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 116,000 119,190
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 40,000 41,250
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 140,000 149,968
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 164,000 163,180
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 91,000 90,659
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 25,000 25,750
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 420,000 439,425
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 20,000 22,950
Park-Ohio Industries, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/15/27 168,000 176,400
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 26,000 28,763
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 60,000 64,350
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 45,000 49,163
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 159,000 190,005
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 236,000 242,195
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 125,000 129,531
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 50,000 53,125
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 20,000 20,775
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 66,000 68,310
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 59,000 57,451
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 167,000 169,088
Tronox Finance, LLC company guaranty sr. unsec. notes 6.375%, 8/15/20 120,000 120,300
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 139,000 143,170
U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 150,000 158,250
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 138,000 143,865
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 115,000 118,306
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 115,000 122,188
Venator Finance Sarl/Venator Materials Corp. 144A sr. unsec. notes 5.75%, 7/15/25 (Luxembourg) 105,000 106,050
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 55,000 53,488
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 302,000 322,763
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 220,000 247,225
11,378,013
Capital goods (2.3%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 365,000 375,950
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 218,000 239,255
ARD Finance SA sr. notes 6.625%, 9/15/23 (Luxembourg)(PIK) EUR 100,000 121,947
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) $280,000 305,900
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 185,000 192,863
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 255,000 263,925
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 70,000 74,638
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 105,000 109,331
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 67,000 69,764
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 231,000 256,410
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 235,000 259,088
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 143,000 165,523
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 424,000 424,000
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 8.00%, 5/15/22 195,000 198,656
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 218,000 228,900
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 337,000 390,920
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 270,000 269,325
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 165,000 171,600
Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France) EUR 100,000 115,679
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 $95,000 99,750
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 402,000 417,075
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 144,000 154,471
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 30,000 31,350
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 215,000 221,988
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 17,000 17,191
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 410,000 433,575
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 55,000 55,963
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 175,000 180,688
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 235,000 247,925
6,093,650
Communication services (4.4%)
Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) 200,000 211,750
Altice Financing SA 144A company guaranty sr. unsub. notes 7.50%, 5/15/26 (Luxembourg) 200,000 222,000
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 280,000 297,150
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 150,000 167,063
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 198,000 203,940
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 276,000 292,905
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 249,000 265,496
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 49,000 52,430
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 360,000 378,000
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 152,000 163,686
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 40,000 42,312
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 245,000 249,288
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 210,000 213,870
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 261,000 278,618
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 365,000 372,337
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 120,000 132,900
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 340,000 394,400
Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica) 200,000 186,980
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 615,000 578,100
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 132,000 140,840
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 76,000 70,490
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 200,000 191,250
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 45,000 37,069
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 27,000 24,908
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 6,000 6,465
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda)(FWC) 208,000 207,740
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 49,000 26,950
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) 216,000 113,940
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 40,000 42,400
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 217,000
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 600,000 627,000
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France) 200,000 211,500
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 105,000 115,500
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 99,000 107,446
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 883,000 1,015,450
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 290,000 322,263
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 492,000 519,675
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 345,000 373,031
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 156,000 165,115
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 80,000 85,800
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 45,000 46,832
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 190,000 199,500
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, 8/15/24 (Luxembourg) EUR 295,000 368,022
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH company guaranty sr. bonds Ser. REGS, 6.25%, 1/15/29 (Germany) EUR 321,000 415,195
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) $75,000 77,063
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 363,000 385,688
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 154,015
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 $286,000 287,788
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 87,000 89,610
Wind Acquisition Finance SA 144A company guaranty sr. notes 4.00%, 7/15/20 (Luxembourg) EUR 125,000 144,375
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 $290,000 239,431
11,732,576
Consumer cyclicals (5.2%)
ADT Corp. (The) company guaranty sr. unsub. notes 4.125%, 6/15/23 54,000 53,528
Alpine Finance Merger Sub, LLC 144A sr. unsec. notes 6.875%, 8/1/25 35,000 35,613
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 68,000 71,060
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 155,000 161,200
AMC Entertainment Holdings, Inc. 144A company guaranty sr. unsec. sub. bonds 6.125%, 5/15/27 57,000 60,153
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds 5.875%, 11/15/26 57,000 59,423
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 164,000 173,430
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 245,000 253,575
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 98,000 39,445
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 150,000 160,500
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 235,000 242,638
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 120,000 124,800
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 165,000 179,025
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 41,000 45,920
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 85,000 92,119
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 50,000 51,500
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 55,000 56,375
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 72,000 74,160
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 25,000 25,539
Cirsa Funding Luxembourg SA company guaranty sr. unsec. notes Ser. REGS, 5.875%, 5/15/23 (Luxembourg) EUR 100,000 119,926
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 $84,000 83,475
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 127,000 130,518
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 235,000 248,513
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 95,000 100,700
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 230,000 248,688
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 145,000 161,313
EW Scripps Co. (The) 144A company guaranty sr. unsec. notes 5.125%, 5/15/25 95,000 97,850
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 155,000 162,814
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 175,000 186,594
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 70,000 76,460
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 150,000 153,000
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 260,000 207,511
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $175,000 182,875
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 145,000 147,175
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. 144A sr. unsec. bonds 4.875%, 4/1/27 170,000 177,863
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 225,000 230,063
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 288,000 226,080
IHO Verwaltungs GmbH 144A sr. notes 4.75%, 9/15/26 (Germany)(PIK) 200,000 202,250
Isle of Capri Casinos, Inc. 144A sr. unsec. unsub. notes 6.00%, 4/1/25 45,000 47,700
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 343,000 376,443
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 330,000 344,850
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 55,000 59,675
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 14,000 13,773
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 50,000 49,625
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 174,000 171,390
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 55,000 56,788
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 140,000 146,300
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 89,000 94,563
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 159,000 166,553
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 75,000 76,125
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 210,000 219,450
Matalan Finance PLC sub. notes Ser. REGS, 6.875%, 6/1/19 (United Kingdom) GPB 100,000 121,714
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) $40,000 40,850
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 234,000 240,388
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 175,000 193,883
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 28,000 29,645
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 147,000 164,640
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 476,000 480,760
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 169,000 81,120
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 95,000 52,488
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 155,000 156,938
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 85,000 87,125
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 90,000 93,150
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 110,000 114,125
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 135,000 141,413
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 94,000 98,348
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 129,000 134,568
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 110,000 112,063
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 192,000 198,240
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 107,000 106,465
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 124,000 124,775
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 60,000 53,400
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 180,000 191,700
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 180,000 185,400
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 134,000 139,360
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 263,000 265,630
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 155,000 161,588
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 530,000 581,013
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 50,000 49,563
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 241,000 256,665
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 360,000 369,450
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 117,000 124,313
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 115,000 115,719
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 225,000 231,750
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 245,000 246,499
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 105,000 112,623
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 10,000 10,500
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 49,000 52,430
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 244,000 257,115
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 125,000 121,875
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 54,000 54,270
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 152,000 159,220
Univision Communications, Inc. 144A company guaranty sr. notes 5.125%, 5/15/23 220,000 222,130
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 95,000 94,169
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 123,000 126,075
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 101,000 99,611
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 125,000 128,047
14,109,719
Consumer staples (1.5%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 123,000 127,459
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 125,000 127,656
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 125,000 124,211
Ashtead Capital, Inc. 144A company guaranty notes 6.50%, 7/15/22 455,000 471,494
Ashtead Capital, Inc. 144A company guaranty notes 5.625%, 10/1/24 200,000 215,500
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 319,000 331,760
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 105,000 108,675
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 105,000 109,463
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 482,000 509,113
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 145,000 152,613
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 120,000 100,650
High Ridge Brands Co. 144A company guaranty sr. unsec. notes 8.875%, 3/15/25 138,000 137,483
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 130,000 136,825
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 130,000 135,525
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 80,000 81,700
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 157,000 162,691
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 37,000 38,110
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 95,000 97,256
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 86,000 86,215
Pizzaexpress Financing 2 PLC company guaranty sr. notes Ser. REGS, 6.625%, 8/1/21 (United Kingdom) GBP 100,000 129,421
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 $100,000 103,000
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 132,000 114,840
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 240,000 220,800
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 265,000 260,197
4,082,657
Energy (7.7%)
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. 144A sr. unsec. notes 7.50%, 5/1/25 80,000 84,100
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 445,000 448,338
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 43,000 43,538
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 192,000 193,920
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 84,000 84,000
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 12,000 10,575
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 93,000 62,310
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 225,000 142,313
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 334,000 356,128
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 125,000 128,125
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 26,000 23,400
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 116,000 122,670
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 54,000 53,055
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 122,000 120,780
Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 255,000 262,650
Concho Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/25 126,000 128,520
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 498,000 455,979
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 84,000 80,220
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 98,000 98,000
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 35,000 21,000
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 162,000 154,305
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/31/25 232,000 235,480
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/24 65,000 64,675
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 183,000 193,294
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 279,000 219,015
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 90,000 67,050
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 45,000 44,888
FTS International, Inc. company guaranty sr. notes 6.25%, 5/1/22 54,000 43,740
FTS International, Inc. 144A company guaranty sr. sub. FRN 8.746%, 6/15/20 40,000 40,100
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9.25%, 4/23/19 (Russia) 647,000 718,807
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 182,000 189,735
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 56,000 56,560
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 140,000 135,800
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 60,000 46,650
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 88,000 67,980
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 50,000 45,500
Murray Energy Corp. 144A notes 11.25%, 4/15/21 113,000 85,315
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 221,000 232,603
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 144,000 149,040
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 156,000 123,435
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 86,000 83,205
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 201,000 194,970
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 1/15/25 55,000 55,413
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, 5/3/22 (Indonesia) 925,000 987,620
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 207,121
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 3,320,000 3,512,560
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 428,000 492,200
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.375%, 5/23/21 (Brazil) 151,000 169,026
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 741,000 753,041
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 180,000 185,625
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.375%, 1/27/21 (Brazil) 625,000 635,438
Petroleos de Venezuela SA company guaranty sr. unsec. bonds Ser. REGS, 6.00%, 11/15/26 (Venezuela) 727,000 268,990
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,054,000 1,095,623
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 8.00%, 5/3/19 (Mexico) 1,535,000 1,678,906
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 2,171,000 2,110,277
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 6,000 5,235
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 60,000 59,700
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 270,000 275,400
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 84,000 79,800
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 26,000 25,025
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 175,000 194,865
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 53,000 56,417
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 165,000 159,638
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 122,000 127,490
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 20,000 2
Shelf Drilling Holdings, Ltd. 144A company guaranty notes 9.50%, 11/2/20 120,000 116,400
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 211,000 205,198
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 72,000 63,720
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 28,000 26,740
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 128,000 121,600
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 95,000 98,325
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 45,000 46,350
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 67,000 70,350
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 33,000 33,000
Weatherford International, Ltd. 144A company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 60,000 62,700
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 48,000 52,080
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 199,000 208,950
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 449,000 444,510
20,797,103
Financials (3.8%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 336,000 339,360
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 91,000 96,688
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 489,000 514,673
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 158,000 149,705
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 75,000 81,673
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 160,000 172,400
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 130,000 140,075
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 56,000 58,800
CNG Holdings, Inc./OH 144A sr. notes 9.375%, 5/15/20 54,000 47,790
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 294,000 311,346
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 200,000 241,290
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 149,000 152,725
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 125,000 73,750
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 160,000 165,800
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 68,000 68,170
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 205,000 213,713
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 95,000 99,047
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 95,000 99,038
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 23,000 23,676
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 215,000 220,106
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 4,000 3,595
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 15,000 16,950
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) 200,000 202,831
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 60,000 61,500
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 55,000 55,550
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 155,000 161,200
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 80,000 82,200
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 213,000 217,793
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 77,000 80,850
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 92,000 96,715
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 170,000 174,250
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, 5/28/24 (United Kingdom) 100,000 105,047
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 7.75%, 5/29/18 (Russia) 2,750,000 2,871,319
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%, 2/7/22 (Russia) 325,000 353,438
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 60,000 67,350
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 55,000 57,206
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 239,000 246,170
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 326,000 334,150
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 70,000 73,150
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 135,000 138,038
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 70,000 66,500
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 156,000 164,580
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 140,000 142,450
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%, 5/29/18 (Russia) 829,000 858,998
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 216,000
Werner FinCo LP/Werner FinCo, Inc. 144A company guarany sr. unsec. notes 8.75%, 7/15/25 160,000 161,200
10,278,855
Health care (2.2%)
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 142,000 136,498
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 175,000 189,207
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 42,000 43,155
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 130,000 135,688
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 75,000 77,426
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 303,000 264,746
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 11/15/19 21,000 21,105
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 53,000 51,609
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 274,000 41,100
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 30,000 22,650
Eagle Holding Co II, LLC 144A sr. unsec. unsub. notes 7.625%, 5/15/22(PIK) 55,000 56,581
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 400,000 336,000
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 165,000 137,775
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 158,000 164,715
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 113,000 121,871
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 398,000 434,318
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 55,000 63,319
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 160,000 168,600
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 134,000 150,750
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 143,000 125,483
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 120,000 127,050
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 30,000 30,225
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 240,000 229,200
Patheon Holdings I BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) 208,000 221,000
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 249,000 256,470
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 498,000 525,963
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 96,000 98,880
Tenet Healthcare Corp. company guaranty sr. FRN 4.746%, 6/15/20 170,000 171,700
Tenet Healthcare Corp. company guaranty sr. notes 6.25%, 11/1/18 355,000 374,525
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 231,000 247,459
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 214,000 181,098
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 202,000 173,215
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 35,000 31,588
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 85,000 72,143
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 149,000 143,971
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 168,200
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 55,000 57,681
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 75,000 78,563
5,931,527
Technology (1.6%)
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (In default)(NON) 520,000 417,300
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 901,000 990,430
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 195,000 211,608
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 200,000 213,500
First Data Corp. 144A notes 5.75%, 1/15/24 190,000 197,363
First Data Corp. 144A sr. notes 5.375%, 8/15/23 165,000 172,425
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 193,000 205,545
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 324,000 333,720
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 228,000 235,980
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 57,000 58,853
Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) 185,000 196,563
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 185,000 193,556
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 233,000 267,659
Techem Energy Metering Service GmbH & Co. KG 144A company guaranty sr. unsec. sub. notes 7.875%, 10/1/20 (Germany) EUR 200,000 236,873
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub. notes 6.875%, 4/30/21 (Germany) EUR 265,000 313,890
4,245,265
Transportation (0.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 $205,000 194,238
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 291,000 303,368
497,606
Utilities and power (1.1%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 665,000 696,588
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 70,000 71,313
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 135,000 154,575
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 393,000 368,438
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 45,000 46,463
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 35,000 36,050
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 243,000 239,963
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 131,000 135,094
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 146,000 141,620
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 90,000 95,400
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 142,000 84,490
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 122,000 125,965
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 176,000 176,220
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 138,000 142,485
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 85,000 91,163
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 199,000 202,483
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 90,000 225
2,808,535
Total corporate bonds and notes (cost $90,778,215) $91,955,506

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.1%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) $750,000 $777,000
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.875%, 1/22/21 (Brazil) 420,000 440,475
Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 4/7/26 (Brazil) 1,500,000 1,618,500
Brazil (Federal Republic of) unsec. notes Ser. NTNF, 10.00%, 1/1/23 (Brazil) (Units) BRL 3,000 896,180
Buenos Aires (Province of) unsec. FRN 24.08%, 5/31/22 (Argentina) ARS 7,745,000 476,433
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $1,515,000 1,564,238
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 1,399,000 1,594,860
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 2,291,000 2,575,093
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 6.50%, 2/15/23 (Argentina) 180,000 183,780
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, 6/10/21 (Argentina) 1,067,000 1,121,278
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) 725,000 748,563
Egypt (Arab Republic of) 144A sr. unsec. notes 6.125%, 1/31/22 (Egypt) 550,000 560,750
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 351,000 338,588
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece)(STP) EUR 5,003,761 5,227,093
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 2,802,822 2,968,288
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) $200,000 215,000
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 650,000 677,833
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 560,000 562,800
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 211,000
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 750,000 1,309,688
Turkey (Republic of) unsec. notes 11.00%, 3/2/22 (Turkey) TRY 1,262,000 365,316
Ukraine (Government of) 144A unsec. notes 7.75%, 9/1/27 (Ukraine) $168,000 162,725
Total foreign government and agency bonds and notes (cost $23,741,227) $24,595,481

SENIOR LOANS (2.0%)(a)(c)
Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, 5.168%, 7/2/22 $211,301 $164,991
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, 4.295%, 4/28/22 49,620 48,640
ASP AMC Merger Sub, Inc. bank term loan FRN Ser. B, 4.573%, 4/13/24 83,592 82,687
Asurion, LLC bank term loan FRN 8.545%, 3/3/21 194,000 194,808
Avaya, Inc. bank term loan FRN Ser. B6, 6.667%, 3/31/18 (In default)(NON) 136,799 108,641
Avaya, Inc. bank term loan FRN Ser. B7, 6.417%, 5/29/20 (In default)(NON) 219,132 176,036
BWAY Corp. bank term loan FRN Ser. B, 4.326%, 4/3/24 65,000 64,907
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.75%, 3/1/18 (In default)(NON) 501,414 597,309
Caesars Growth Properties Holdings, LLC bank term loan FRN Ser. L, 4.045%, 5/8/21 390,799 392,265
Capital Automotive LP bank term loan FRN 7.03%, 3/24/25 54,000 54,630
Casella Waste Systems, Inc. bank term loan FRN Ser. B, 3.959%, 10/17/23 437,800 439,168
CCC Information Services, Inc. bank term loan FRN 7.791%, 3/30/25 64,000 65,480
Chesapeake Energy Corp. bank term loan FRN 8.686%, 8/23/21 280,000 297,850
CPG International, Inc. bank term loan FRN 4.897%, 5/3/24 36,369 36,294
Forterra Finance, LLC bank term loan FRN 4.045%, 10/25/23 99,250 93,494
FTS International, Inc. bank term loan FRN Ser. B, 5.795%, 4/16/21 175,000 140,729
Gates Global, LLC/Gates Global Co. bank term loan FRN Ser. B, 4.408%, 3/31/24 81,984 82,018
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 259,708 238,931
iHeartCommunications, Inc. bank term loan FRN Ser. D, 7.795%, 1/30/19 323,000 262,599
Kronos, Inc./MA bank term loan FRN 9.42%, 11/1/24 95,000 98,226
Kronos, Inc./MA bank term loan FRN Ser. B, 4.68%, 11/1/23 157,605 158,559
MEG Energy Corp. bank term loan FRN 4.696%, 12/31/23 66,000 64,103
Navistar, Inc. bank term loan FRN Ser. B, 5.09%, 8/7/20 162,525 164,082
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4.339%, 10/25/20 187,465 140,364
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4.783%, 6/30/21 77,800 77,341
Patheon Holdings I BV bank term loan FRN Ser. B, 4.406%, 4/20/24 116,700 116,822
PetSmart, Inc. bank term loan FRN Ser. B, 4.22%, 3/10/22 55,000 50,944
Rackspace Hosting, Inc. bank term loan FRN Ser. B, 4.172%, 11/3/23 57,855 57,797
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4.544%, 9/7/23 183,613 170,683
Reynolds Group Holdings, Inc. bank term loan FRN 4.045%, 2/5/23 143,914 144,171
Solenis International LP bank term loan FRN 7.952%, 7/31/22 38,000 37,810
Solenis International LP bank term loan FRN 4.452%, 7/31/21 172,566 172,836
Talbots, Inc. (The) bank term loan FRN 9.545%, 3/19/21 66,961 57,252
Talbots, Inc. (The) bank term loan FRN 5.545%, 3/19/20 105,449 98,595
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. BF1, 5.83%, 4/1/22 103,570 104,928
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, 5.06%, 11/30/23 72,575 72,848
Yonkers Racing Corp. bank term loan FRN 4.30%, 5/31/24 145,000 144,819
Total senior loans (cost $5,635,221) $5,473,657

PURCHASED SWAP OPTIONS OUTSTANDING (1.0%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     (2.214)/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.214 $30,816,250 $27,735
     1.495/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.495 36,979,500 14,422
     (1.495)/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.495 36,979,500 370
Barclays Bank PLC
     (1.0625)/3 month GBP-LIBOR-BBA/Jul-27 Jul-17/1.0625 GBP 4,225,300 151,229
     (0.51)/3 month GBP-LIBOR-BBA/Sep-18 Sep-17/0.51 GBP 30,000,000 30,477
Citibank, N.A.
     (2.124)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.124 $18,489,750 259,966
     (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 2,711,800 247,886
     2.25/3 month USD-LIBOR-BBA/Sep-27 Sep-17/2.25 24,653,000 205,113
     (2.506)/3 month USD-LIBOR-BBA/Jul-47 Jul-17/2.506 10,009,000 152,938
     (2.57)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 12,326,600 123,266
     (1.975)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 12,326,600 113,528
     (1.896)/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 7,914,000 95,443
     (2.488)/3 month USD-LIBOR-BBA/Jul-47 Jul-17/2.488 5,004,500 88,430
     2.57/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 12,326,600 82,218
     1.975/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 12,326,600 78,767
     1.6125/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.6125 49,306,000 62,126
     1.896/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 7,914,000 40,361
     2.34/3 month USD-LIBOR-BBA/Jul-47 Jul-17/2.34 10,009,000 13,212
     2.326/3 month USD-LIBOR-BBA/Jul-47 Jul-17/2.326 5,004,500 5,405
     1.9275/3 month USD-LIBOR-BBA/Jul-27 Jul-17/1.9275 18,489,750 2,958
     2.08475/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.08475 12,326,500 863
     (2.491)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.491 12,326,500 247
Credit Suisse International
     2.3724/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.3724 6,209,900 77,624
     (2.325)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.325 18,489,750 69,337
     2.8472/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.8472 6,209,900 54,212
     2.06375/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.06375 54,603,700 28,394
     1.446/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.446 36,979,500 5,177
     (2.7225)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.7225 36,979,500 1,109
Goldman Sachs International
     (1.095)/3 month GBP-LIBOR-BBA/Jul-27 Jul-17/1.095 GBP 4,225,300 135,710
     2.525/3 month USD-LIBOR-BBA/Aug-37 Aug-17/2.525 $6,163,300 95,470
     (1.83)/3 month USD-LIBOR-BBA/Sep-22 Sep-17/1.83 7,495,000 71,427
     1.884/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.884 36,979,500 40,308
     (2.234)/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.234 30,816,250 24,345
     1.83/3 month USD-LIBOR-BBA/Sep-22 Sep-17/1.83 7,495,000 15,515
     (-0.108)/6 month EUR-EURIBOR-Reuters/Aug-19 Aug-17/-0.108 EUR 21,126,500 13,995
     -0.108/6 month EUR-EURIBOR-Reuters/Aug-19 Aug-17/-0.108 EUR 21,126,500 12,789
     1.44/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.44 $36,979,500 4,438
JPMorgan Chase Bank N.A.
     (2.81025)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.81025 24,653,000 37,473
     1.999/3 month USD-LIBOR-BBA/Jul-27 Jul-17/1.999 12,326,500 1,356
Royal Bank of Scotland PLC (The)
     (0.5715)/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.5715 GBP 21,126,500 91,904
     (0.561)/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.561 GBP 10,563,250 48,566
     0.5715/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.5715 GBP 21,126,500 5,228
     0.561/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.561 GBP 10,563,250 2,339
Total purchased swap options outstanding (cost $2,890,179) $2,633,676

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Call) Aug-17/$96.53 $15,000,000 $63,015
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Aug-17/100.42 $61,000,000 156,587
USD/CNH (Put) Oct-17/CNH 6.70 13,471,550 25,744
USD/CNH (Put) Oct-17/CNH 6.70 13,471,550 24,410
USD/JPY (Put) Nov-17/JPY 107.00 8,079,900 57,076
Total purchased options outstanding (cost $651,852) $326,832

COMMON STOCKS (0.1%)(a)
Shares Value
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands)(RES)(NON) 697 $4,879
Halcon Resources Corp.(NON) 11,307 51,334
Milagro Oil & Gas, Inc. (Units)(F)(NON) 73 5,913
SandRidge Energy, Inc.(NON) 3,589 61,767
Tervita Corp. Class A (Canada)(NON) 191 1,362
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights)(F)(NON) 9,820 10,311
Triangle USA Petroleum Corp.(F)(NON) 537 7,389
Tribune Media Co. Class 1C(F)(NON) 40,066 10,017
Total common stocks (cost $260,807) $152,972

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 (acquired 2/2/17, cost $24,845) (Cayman Islands)(RES) $35,887 $54,907
Total convertible bonds and notes (cost $25,629) $54,907

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
Triangle USA Petroleum Corp. 6.75% cv. pfd.(F)(NON) 13 $13,000
Total convertible preferred stocks (cost $13,000) $13,000

WARRANTS (0.0%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 3,071 $1,904
Total warrants (cost $—) $1,904

SHORT-TERM INVESTMENTS (8.8%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 1.07%(AFF) Shares 13,713,405 $13,713,405
U.S. Treasury Bills 0.895%, 8/17/17(SEGSF)(SEGCCS) $140,000 139,842
U.S. Treasury Bills 0.871%, 8/10/17(SEGSF)(SEGCCS) 1,500,000 1,498,620
U.S. Treasury Bills 0.837%, 7/20/17(SEGSF)(SEGCCS) 580,000 579,786
U.S. Treasury Bills 0.773%, 7/13/17(SEG)(SEGSF)(SEGCCS) 6,676,000 6,674,565
U.S. Treasury Bills 0.831%, 7/6/17(SEGSF)(SEGCCS) 943,000 942,941
Total short-term investments (cost $23,548,764) $23,549,159

TOTAL INVESTMENTS
Total investments (cost $406,780,415)(b) $407,881,747













FORWARD CURRENCY CONTRACTS at 6/30/17 (aggregate face value $138,608,028) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 7/19/17 $3,043,255 $2,996,142 $47,113
Brazilian Real Buy 7/3/17 2,599,384 2,708,804 (109,420)
Brazilian Real Sell 7/3/17 2,599,384 2,617,915 18,531
Canadian Dollar Buy 7/19/17 144,009 138,627 5,382
Chilean Peso Buy 7/19/17 2,693,460 2,690,429 3,031
Chilean Peso Sell 7/19/17 2,693,460 2,730,333 36,873
Euro Buy 9/20/17 1,870,691 1,839,740 30,951
Indian Rupee Buy 8/16/17 1,416,180 1,418,713 (2,533)
Japanese Yen Buy 8/16/17 39,079 39,245 (166)
Mexican Peso Buy 7/19/17 5,921 20,944 (15,023)
New Zealand Dollar Buy 7/19/17 906,325 940,675 (34,350)
Norwegian Krone Sell 9/20/17 4,176,118 4,116,803 (59,315)
Singapore Dollar Sell 8/16/17 46,807 33,395 (13,412)
Swedish Krona Buy 9/20/17 1,469,217 1,429,208 40,009
Barclays Bank PLC
Australian Dollar Buy 7/19/17 1,557,514 1,544,051 13,463
British Pound Sell 9/20/17 172,981 169,558 (3,423)
Canadian Dollar Buy 7/19/17 2,802,974 2,713,434 89,540
Canadian Dollar Sell 7/19/17 2,802,974 2,735,708 (67,266)
Euro Buy 9/20/17 2,024,470 2,008,656 15,814
Japanese Yen Sell 8/16/17 1,127,003 1,131,972 4,969
New Zealand Dollar Sell 7/19/17 137,513 150,951 13,438
Swedish Krona Buy 9/20/17 109,820 106,420 3,400
Swiss Franc Buy 9/20/17 118,840 105,209 13,631
Citibank, N.A.
Australian Dollar Sell 7/19/17 188,887 148,071 (40,816)
Brazilian Real Buy 7/3/17 1,302,303 1,315,820 (13,517)
Brazilian Real Sell 7/3/17 1,302,303 1,259,127 (43,176)
Brazilian Real Sell 10/3/17 857,653 852,015 (5,638)
Canadian Dollar Buy 7/19/17 1,313,130 1,278,152 34,978
Euro Sell 9/20/17 247,697 239,927 (7,770)
Japanese Yen Sell 8/16/17 1,292,492 1,297,226 4,734
Mexican Peso Buy 7/19/17 262,722 271,050 (8,328)
New Taiwan Dollar Buy 8/16/17 11,261 13,264 (2,003)
New Zealand Dollar Sell 7/19/17 3,759,005 3,608,404 (150,601)
Norwegian Krone Buy 9/20/17 1,363,925 1,357,112 6,813
South African Rand Buy 7/19/17 53,729 112,663 (58,934)
Swedish Krona Sell 9/20/17 1,217,437 1,181,290 (36,147)
Credit Suisse International
Australian Dollar Buy 7/19/17 1,348,186 1,340,630 7,556
Canadian Dollar Buy 7/19/17 1,396,203 1,343,496 52,707
Canadian Dollar Sell 7/19/17 1,364,655 1,354,628 (10,027)
Euro Buy 9/20/17 509,615 501,092 8,523
Japanese Yen Sell 8/16/17 1,359,744 1,359,208 (536)
New Zealand Dollar Sell 7/19/17 643,461 633,409 (10,052)
Norwegian Krone Sell 9/20/17 64,538 63,591 (947)
Swedish Krona Sell 9/20/17 1,271,036 1,237,014 (34,022)
Goldman Sachs International
Australian Dollar Sell 7/19/17 1,321,828 1,303,336 (18,492)
British Pound Sell 9/20/17 2,872 2,838 (34)
Canadian Dollar Buy 7/19/17 503,145 488,528 14,617
Euro Buy 9/20/17 4,124,626 4,080,713 43,913
Euro Sell 9/20/17 4,124,856 4,046,573 (78,283)
Indian Rupee Buy 8/16/17 1,438,270 1,446,192 (7,922)
Japanese Yen Sell 8/16/17 1,521,272 1,528,223 6,951
New Zealand Dollar Sell 7/19/17 610,053 595,421 (14,632)
Norwegian Krone Sell 9/20/17 3,228,292 3,181,289 (47,003)
South African Rand Buy 7/19/17 90,309 95,859 (5,550)
Swedish Krona Buy 9/20/17 1,968,677 1,909,178 59,499
Swiss Franc Buy 9/20/17 36,679 23,758 12,921
HSBC Bank USA, National Association
British Pound Sell 9/20/17 1,067,654 1,054,823 (12,831)
Canadian Dollar Buy 7/19/17 1,366,430 1,346,650 19,780
Euro Buy 9/20/17 485,190 462,416 22,774
New Zealand Dollar Buy 7/19/17 2,738,611 2,675,387 63,224
Singapore Dollar Sell 8/16/17 1,354,498 1,341,989 (12,509)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 7/19/17 1,388,300 1,371,074 17,226
Brazilian Real Buy 7/3/17 1,117 1,107 10
Brazilian Real Sell 7/3/17 1,117 1,170 53
British Pound Sell 9/20/17 1,461,920 1,463,766 1,846
Canadian Dollar Buy 7/19/17 85,233 63,304 21,929
Czech Koruna Buy 7/19/17 1,504,500 1,384,371 120,129
Czech Koruna Sell 7/19/17 1,504,500 1,364,311 (140,189)
Euro Buy 7/19/17 1,454,085 1,360,325 93,760
Euro Sell 7/19/17 1,454,085 1,373,037 (81,048)
Euro Buy 9/20/17 1,697,877 1,700,977 (3,100)
Japanese Yen Buy 8/16/17 482,450 484,620 (2,170)
Mexican Peso Buy 7/19/17 3,563 14,905 (11,342)
New Zealand Dollar Sell 7/19/17 446,020 448,730 2,710
Norwegian Krone Sell 9/20/17 1,379,196 1,348,795 (30,401)
Swedish Krona Buy 9/20/17 182,922 136,691 46,231
Swiss Franc Buy 9/20/17 49,360 48,706 654
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 7/19/17 2,708,667 2,669,040 39,627
Canadian Dollar Buy 7/19/17 701,457 680,209 21,248
Czech Koruna Buy 7/19/17 1,504,500 1,383,806 120,694
Czech Koruna Sell 7/19/17 1,504,500 1,365,677 (138,823)
Euro Buy 7/19/17 3,543,691 3,415,046 128,645
Euro Sell 7/19/17 1,453,856 1,369,959 (83,897)
Japanese Yen Sell 8/16/17 1,339,459 1,345,436 5,977
New Zealand Dollar Buy 7/19/17 685,513 719,353 (33,840)
Norwegian Krone Sell 9/20/17 2,096,076 2,065,994 (30,082)
Swedish Krona Buy 9/20/17 1,403,733 1,345,769 57,964
Swedish Krona Sell 9/20/17 1,388,879 1,355,202 (33,677)
Turkish Lira Sell 9/20/17 314,089 309,335 (4,754)
State Street Bank and Trust Co.
Australian Dollar Buy 7/19/17 395,987 398,046 (2,059)
British Pound Sell 9/20/17 1,416,227 1,373,122 (43,105)
Canadian Dollar Buy 7/19/17 41,421 29,795 11,626
Euro Buy 9/20/17 14,219 18,233 (4,014)
Japanese Yen Buy 8/16/17 526,704 529,023 (2,319)
New Zealand Dollar Buy 7/19/17 785,370 813,264 (27,894)
Norwegian Krone Sell 9/20/17 1,355,540 1,338,276 (17,264)
Singapore Dollar Sell 8/16/17 48,043 26,466 (21,577)
Swedish Krona Buy 9/20/17 4,308,669 4,167,345 141,324
UBS AG
Australian Dollar Sell 7/19/17 2,062,547 1,978,120 (84,427)
British Pound Sell 9/20/17 2,992,903 2,957,508 (35,395)
Canadian Dollar Buy 7/19/17 1,398,363 1,360,981 37,382
Euro Buy 9/20/17 1,370,136 1,351,798 18,338
Japanese Yen Sell 8/16/17 1,336,546 1,370,624 34,078
New Zealand Dollar Sell 7/19/17 1,273,075 1,218,288 (54,787)
Norwegian Krone Sell 9/20/17 1,412,748 1,392,657 (20,091)
Swedish Krona Buy 9/20/17 1,429,674 1,373,906 55,768
Turkish Lira Buy 9/20/17 42,145 41,549 596
WestPac Banking Corp.
Australian Dollar Sell 7/19/17 1,342,499 1,309,944 (32,555)
Canadian Dollar Buy 7/19/17 1,501,106 1,431,480 69,626
Canadian Dollar Sell 7/19/17 1,467,629 1,459,422 (8,207)
Euro Buy 9/20/17 25,458 25,642 (184)
New Zealand Dollar Sell 7/19/17 1,379,672 1,314,530 (65,142)
Total $(194,445)












FUTURES CONTRACTS OUTSTANDING at 6/30/17 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-OAT 10 yr (Short) 17 $2,882,968             Sep-17 $21,599
Total $21,599












WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/17 (premiums $3,915,628) (Unaudited)


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

Bank of America N.A.
2.082/3 month USD-LIBOR-BBA/Jul-20 Jul-17/2.082 $12,326,500 $12
(1.728)/3 month USD-LIBOR-BBA/Jul-20 Jul-17/1.728        12,326,500 4,314
2.404/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.404        61,632,500 12,943
2.18/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.18        12,326,500 111,678

Barclays Bank PLC
1.736/3 month USD-LIBOR-BBA/Sep-18 Sep-17/1.736        36,972,000 1,849
1.1625/3 month GBP-LIBOR-BBA/Jul-27 Jul-17/1.1625 GBP        4,225,300 101,370
1.1125/3 month GBP-LIBOR-BBA/Jul-27 Jul-17/1.1125 GBP 4,225,300 126,024

Citibank, N.A.
(1.891)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/1.891        12,326,500 123
(2.132)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.132        6,163,250 7,642
(2.152)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.152        12,326,500 19,353
2.291/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.291        12,326,500 29,337
2.4175/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.4175        18,489,750 31,987
(1.642)/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642        24,653,000 38,705
(2.0625)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/2.0625        49,306,000 53,744
1.642/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642        24,653,000 85,792
2.132/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.132        6,163,250 87,518
(2.257)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257        12,326,600 155,192
2.152/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.152        12,326,500 156,670
2.257/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257        12,326,600 230,754
2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208        12,326,500 255,528
2.204/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.204        36,979,500 301,753

Credit Suisse International
(1.8225)/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.8225        36,979,500 2,958
(2.15375)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.15375        27,301,800 43,683
2.465/3 month USD-LIBOR-BBA/Jul-27 Jul-17/2.465        55,469,250 47,704
(2.5816)/3 month USD-LIBOR-BBA/Aug-37 Aug-17/2.5816        6,209,900 128,980

Goldman Sachs International
(1.674)/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.674        36,979,500 370
(1.9245)/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.9245        36,979,500 1,849
(0.15875)/6 month EUR-EURIBOR-Reuters/Aug-22 Aug-17/0.15875 EUR        8,450,600 3,378
(1.779)/3 month USD-LIBOR-BBA/Jul-18 Jul-17/1.779        36,979,500 9,984
2.419/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.419        61,632,500 11,710
0.36125/6 month EUR-EURIBOR-Reuters/Aug-22 Aug-17/0.36125 EUR        8,450,600 13,899
(1.563)/3 month USD-LIBOR-BBA/Sep-19 Sep-17/1.563        24,653,000 15,038
(2.805)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.805        6,163,300 43,575
(2.31)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.31        6,163,300 56,394
1.563/3 month USD-LIBOR-BBA/Sep-19 Sep-17/1.563        24,653,000 63,605
1.207/3 month GBP-LIBOR-BBA/Jul-27 Jul-17/1.207 GBP        4,225,300 81,778
1.151/3 month GBP-LIBOR-BBA/Jul-27 Jul-17/1.151 GBP        4,225,300 108,084

JPMorgan Chase Bank N.A.
(1.799)/3 month USD-LIBOR-BBA/Jul-27 Jul-17/1.799        24,653,000 25
2.534/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.534        12,326,500 67,179
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        6,568,000 230,951

Royal Bank of Scotland PLC (The)
(1.005)/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.005 GBP        2,112,650 1,568
(1.0436)/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.0436 GBP        4,225,300 4,238
1.267/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.267 GBP        2,112,650 39,926
1.3056/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.3056 GBP        4,225,300 66,534
Total $2,855,698












WRITTEN OPTIONS OUTSTANDING at 6/30/17 (premiums $529,547) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 2.50% TBA commitments (Put) Aug-17/$96.53        $15,000,000 $111,000
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Aug-17/100.42        61,000,000 580,232
USD/CNH (Put) Oct-17/CNH 6.60        13,471,550 7,975
USD/CNH (Put) Oct-17/CNH 6.60        13,471,550 7,207
USD/JPY (Put) Nov-17/JPY 103.00        8,079,900 23,036
Total $729,450













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/17 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Bank of America N.A.
     2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 $3,698,000 $(396,795) $11,760
     (2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 6,163,300 (123,266) 10,847
     (2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) 9,491
     2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 3,698,000 (130,355) (888)
     2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 6,163,300 (240,985) (11,587)
     2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 6,163,300 (123,266) (16,641)
     (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 3,698,000 (396,795) (20,376)
     (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 3,698,000 (130,355) (53,103)
     2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 3,698,000 334,114 106,502
     (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 6,163,300 236,979 29,091
     (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 3,698,000 334,114 21,374
     2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 6,163,300 236,979 (19,230)

Barclays Bank PLC
     (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 6,163,300 (123,266) 10,539
     2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 3,698,000 (51,587) 5,732
     2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 6,163,300 (123,266) (16,394)
     (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 3,698,000 (51,587) (27,513)

Citibank, N.A.
     (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) 8,567
     2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 6,163,300 (240,985) (10,724)
     (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 6,163,300 237,287 27,612
     2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 6,163,300 236,054 (18,120)

Goldman Sachs International
     2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) 4,867
     (2.33)/3 month USD-LIBOR-BBA/Aug-27 (Purchased) Aug-17/2.33 18,489,750 (140,522) 1,109
     (2.5975)/3 month USD-LIBOR-BBA/Aug-27 (Purchased) Aug-17/2.5975 36,979,500 (59,167) (2,589)
     (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 739,600 (93,375) (4,763)
     2.46/3 month USD-LIBOR-BBA/Aug-27 (Written) Aug-17/2.46 55,469,250 199,689 (5,547)

JPMorgan Chase Bank N.A.
     2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) 26,515
     (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 3,698,000 (516,333) (97,366)
     2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 3,698,000 351,125 131,686
     (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 3,698,000 351,125 (15,606)
Total $(1,516,117) $85,245












TBA SALE COMMITMENTS OUTSTANDING at 6/30/17 (proceeds receivable $79,516,797) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3.50%, 7/1/47 $47,000,000       8/13/17 $48,263,125
Federal National Mortgage Association, 3.00%, 7/1/47 31,000,000       8/13/17 30,958,829
Total $79,221,954















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/17 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$199,156,800 (E) $402,887      9/20/19 1.70% 3 month USD-LIBOR-BBA $331,471
11,321,000 (E) (70,027)     9/20/22 3 month USD-LIBOR-BBA 1.95% (96,903)
11,698,000 (E) (132,641)     9/20/27 3 month USD-LIBOR-BBA 2.25% (192,511)
48,182,000 (E) 249,937      9/20/27 2.20% 3 month USD-LIBOR-BBA 714,893
46,308,700 (E) 97,323      9/20/22 1.90% 3 month USD-LIBOR-BBA 317,706
9,310,000 (E) (98,596)     9/20/47 3 month USD-LIBOR-BBA 2.45% (296,359)
16,790,600 (223)     6/27/27 2.15% 3 month USD-LIBOR-BBA 185,109
10,200,000 (135)     6/26/27 3 month USD-LIBOR-BBA 2.11504% (145,081)
6,106,000 (49)     6/27/22 3 month USD-LIBOR-BBA 1.8165% (38,242)
6,163,250 (E) (82)     7/13/27 2.18% 3 month USD-LIBOR-BBA 54,851
1,066,000 (14)     6/30/27 2.1965% 3 month USD-LIBOR-BBA 7,277
19,151,000 (72)     7/5/19 1.60431% 3 month USD-LIBOR-BBA 2,178
19,151,000 (72)     7/5/19 1.6076% 3 month USD-LIBOR-BBA 885
AUD 16,917,000 75,327      6/28/22 2.60% 6 month AUD-BBR-BBSW (6,968)
AUD 58,000 (516)     6/28/27 6 month AUD-BBR-BBSW 3.00% (7)
BRL 9,366,135 (26)     1/2/23 Brazil Cetip Interbank Deposit Rate Over 0.00% (99,680)
BRL 4,239,850 (11)     1/2/23 0.00% Brazil Cetip Interbank Deposit Rate Over (101,979)
BRL 4,676,372 (12)     1/2/23 Brazil Cetip Interbank Deposit Rate Over 0.00% 14,949
BRL 17,962,784 (22)     1/2/19 0.00% Brazil Cetip Interbank Deposit Rate Over (15,995)
CAD 1,868,000 (E) (9,805)     9/20/27 3 month CAD-BA-CDOR 1.95% (32,218)
CAD 6,016,000 (E) (11,698)     9/20/22 3 month CAD-BA-CDOR 1.60% (54,021)
CAD 8,141,000 (49)     6/23/22 1.505% 3 month CAD-BA-CDOR 67,963
CHF 10,485,000 (E) (9,731)     9/20/22 6 month CHF-LIBOR-BBA 0.30% 54,946
CHF 1,405,000 (E) (2,144)     9/20/27 6 month CHF-LIBOR-BBA 0.15% (20,939)
EUR 3,849,000 (E) (15)     2/18/20 1 Day Euribor rate 0.124% 3,277
EUR 3,849,000 (E) (15)     2/18/20 1 Day Euribor rate 0.104% 2,381
EUR 12,446,000 (109)     4/26/22 0.21% 6 month EUR-EURIBOR-REUTERS 15,913
EUR 12,463,000 (110)     5/4/22 0.21% 6 month EUR-EURIBOR-REUTERS 19,518
EUR 17,334,000 (E) 24,040      9/20/22 6 month EUR-EURIBOR-REUTERS 0.20% (104,270)
EUR 20,228,000 (E) 2,672      9/20/27 6 month EUR-EURIBOR-REUTERS 0.80% (337,295)
GBP 1,747,000 (E) (32)     1/19/32 1.912% 6 month GBP-LIBOR-BBA (18,638)
GBP 13,056,000 (E) 47,788      9/20/22 0.75% 6 month GBP-LIBOR-BBA 280,890
GBP 655,000 (E) 1,267      9/20/27 1.15% 6 month GBP-LIBOR-BBA 19,155
HUF 262,700,000 (12)     2/28/27 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY 2.65% 42,181
HUF 1,214,100,000 (16)     2/28/19 0.715% 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY (32,739)
HUF 752,300,000 (10)     3/1/19 0.69% 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY (18,839)
HUF 170,860,000 (8)     3/1/27 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY 2.60% 24,366
HUF 574,530,000 (7)     3/20/19 0.745% 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY (16,526)
HUF 127,810,000 (6)     3/20/27 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY 2.905% 30,597
JPY 511,900,000 (30)     2/19/20 6 month JPY-LIBOR-BBA 1.3975% 184,081
MXN 37,435,000 —      1/1/26 1 month MXN-TIIE-BANXICO 6.16% (126,291)
MXN 40,660,000 —      10/6/21 1 month MXN-TIIE-BANXICO 5.93% (70,134)
MXN 9,710,000 (6)     12/24/26 8.12% 1 month MXN-TIIE-BANXICO (37,403)
MXN 11,645,000 (7)     1/7/27 8.20% 1 month MXN-TIIE-BANXICO (48,823)
MXN 7,370,000 (8)     3/12/32 1 month MXN-TIIE-BANXICO 7.67% 8,465
MXN 11,645,000 (12)     4/22/32 1 month MXN-TIIE-BANXICO 7.73% 16,963
NOK 221,000 (E) 19      9/20/22 1.45% 6 month NOK-NIBOR-NIBR 145
NOK 35,616,000 (E) (10,622)     9/20/27 6 month NOK-NIBOR-NIBR 1.90% (45,305)
NZD 10,370,000 (E) (27)     3/29/20 3 month NZD-BBR-FRA 3.0475% 11,759
NZD 36,000 (E) 30      9/20/22 3 month NZD-BBR-FRA 2.75% (209)
NZD 5,194,000 (E) (8,670)     9/20/27 3 month NZD-BBR-FRA 3.25% (56,818)
SEK 77,976,000 (E) 12,139      9/20/22 0.30% 3 month SEK-STIBOR-SIDE 112,378
SEK 11,060,000 (E) 23,100      9/20/27 3 month SEK-STIBOR-SIDE 1.10% (1,835)
ZAR 7,487,000 (7)     10/11/26 8.32625% 3 month ZAR-JIBAR-SAFEX (14,219)
ZAR 29,770,000 (9)     3/9/19 3 month ZAR-JIBAR-SAFEX 7.305% 5,862
ZAR 60,200,000 (18)     3/24/19 3 month ZAR-JIBAR-SAFEX 7.11% (1,940)
ZAR 13,790,000 (15)     3/24/27 7.785% 3 month ZAR-JIBAR-SAFEX 17,114
Total$580,833    $515,086
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/17 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Barclays Bank PLC
$288,789 $—      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $1,610
106,476 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (358)
259,552 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (148)
253,235 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (850)
29,654 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 4
130,995 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (497)
631,902 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (2,122)
492,103 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (1,529)
291,164 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools 777
376,255 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 1,296
226,628 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 781
287,277 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 990
444,323 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 66
63,736 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 9
1,080,022 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (4,900)
934,806 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (4,633)
1,873,764 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,287)
164,654 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (593)
967,695 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (3,975)
7,978,306 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (27,822)
4,802,693 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 2,586
3,232,000 —      7/3/22 (1.9225%) USA Non Revised Consumer Price Index- Urban (CPI-U) (4,622)
3,232,000 —      7/3/27 2.085% USA Non Revised Consumer Price Index- Urban (CPI-U) 9,082
3,719,000 —      7/5/22 (1.89%) USA Non Revised Consumer Price Index- Urban (CPI-U) 1,016
3,719,000 —      7/5/27 2.05% USA Non Revised Consumer Price Index- Urban (CPI-U) (2,747)
EUR 2,881,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco 10,046
EUR 1,441,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco 6,267
EUR 2,049,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco 10,087
Citibank, N.A.
$495,709 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,729)
1,062,386 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (3,705)
99,227 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (346)
Credit Suisse International
424,954 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,482)
324,976 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 175
633,112 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 2,181
673,553 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (3,056)
746,645 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (3,387)
658,779 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 2,269
253,726 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,258
220,668 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,071
581,341 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,094
194,454 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 700
355,572 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,281
2,455,089 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,316
634,576 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,442
640,767 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3,611
1,226,140 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,077)
Deutsche Bank AG
324,976 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 175
Goldman Sachs International
358,271 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (204)
146,605 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 22
716,877 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,997
716,877 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,997
223,299 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 120
83,884 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 45
646,350 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 2,965
19,332 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (11)
164,795 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (94)
447,387 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,588
173,233 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (99)
346,466 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (198)
11,009 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 2
157,613 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 85
305,883 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 165
189,095 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 102
14,543 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 8
38,753 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools 21
1,672,507 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,325
1,456,918 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,123
1,073,222 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (4,869)
1,576,117 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 7,646
1,245,416 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 6,042
576,156 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,795
629,744 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,416
724,782 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (2,610)
3,331,255 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 18,068
1,147,712 —      1/12/44 (3.00%) 1 month USD-LIBOR Synthetic TRS Index 3.00% 30 year Fannie Mae pools (3,128)
2,787,081 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (13,813)
EUR 10,371,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (7,344)
EUR 3,424,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (2,425)
EUR 2,881,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 21,783
EUR 2,881,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 15,663
JPMorgan Chase Bank N.A.
$2,196,111 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,884
1,255,933 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,225
1,923,826 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,535
1,192,196 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 5,909
1,073,222 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (4,869)
JPMorgan Securities LLC
1,544,336 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,927
241,931 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (871)
4,851,968 —      1/12/42 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (27,053)
1,421,555 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (4,897)
Total$—     $65,298











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/17 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $4,375 $64,000 5/11/63 300 bp $(3,069)
  CMBX NA BBB- Index BBB-/P 8,497 141,000 5/11/63 300 bp (7,901)
  CMBX NA BBB- Index BBB-/P 17,409 282,000 5/11/63 300 bp (15,388)
  CMBX NA BBB- Index BBB-/P 16,587 291,000 5/11/63 300 bp (17,256)
Credit Suisse International
  CMBX NA BB Index — (42,961) 2,434,000 5/11/63 (500 bp) 402,866
  CMBX NA BB Index — (262,850) 1,598,000 1/17/47 (500 bp) (7,543)
  CMBX NA BBB- Index BBB-/P 36,978 292,000 5/11/63 300 bp 3,019
  CMBX NA BBB- Index BBB-/P 41,680 359,000 5/11/63 300 bp (72)
  CMBX NA BBB- Index BBB-/P 51,002 445,000 5/11/63 300 bp (751)
  CMBX NA BBB- Index BBB-/P 53,345 465,000 5/11/63 300 bp (734)
  CMBX NA BBB- Index BBB-/P 82,454 780,000 5/11/63 300 bp (8,260)
  CMBX NA BBB- Index BBB-/P 106,372 983,000 5/11/63 300 bp (7,951)
  CMBX NA BBB- Index BBB-/P 599,291 5,605,000 5/11/63 300 bp (52,571)
  CMBX NA BBB- Index BBB-/P 51,226 780,000 1/17/47 300 bp (18,038)
  CMBX NA BBB- Index BBB-/P 804,268 10,881,000 1/17/47 300 bp (161,965)
Goldman Sachs International
  CMBX NA BB Index — (101,276) 990,000 5/11/63 (500 bp) 80,059
  CMBX NA BB Index — (32,233) 213,000 1/17/47 (500 bp) 1,798
  CMBX NA BB Index — (8,913) 61,000 5/11/63 (500 bp) 2,261
  CMBX NA BB Index — (75,236) 445,000 1/17/47 (500 bp) (4,140)
  CMBX NA BB Index — (38,667) 236,000 1/17/47 (500 bp) (962)
  CMBX NA BB Index — (25,381) 125,000 1/17/47 (500 bp) (5,410)
  CMBX NA BBB- Index BBB-/P 6,758 78,000 5/11/63 300 bp (2,313)
  CMBX NA BBB- Index BBB-/P 7,858 91,000 5/11/63 300 bp (2,725)
  CMBX NA BBB- Index BBB-/P 10,295 122,000 5/11/63 300 bp (3,893)
  CMBX NA BBB- Index BBB-/P 9,733 123,000 5/11/63 300 bp (4,572)
  CMBX NA BBB- Index BBB-/P 18,496 166,000 5/11/63 300 bp (809)
  CMBX NA BBB- Index BBB-/P 18,357 169,000 5/11/63 300 bp (1,298)
  CMBX NA BBB- Index BBB-/P 18,286 169,000 5/11/63 300 bp (1,369)
  CMBX NA BBB- Index BBB-/P 20,534 175,000 5/11/63 300 bp 182
  CMBX NA BBB- Index BBB-/P 15,274 181,000 5/11/63 300 bp (5,776)
  CMBX NA BBB- Index BBB-/P 15,166 183,000 5/11/63 300 bp (6,117)
  CMBX NA BBB- Index BBB-/P 11,095 226,000 5/11/63 300 bp (15,189)
  CMBX NA BBB- Index BBB-/P 16,691 245,000 5/11/63 300 bp (11,803)
  CMBX NA BBB- Index BBB-/P 13,442 271,000 5/11/63 300 bp (18,075)
  CMBX NA BBB- Index BBB-/P 13,211 271,000 5/11/63 300 bp (18,306)
  CMBX NA BBB- Index BBB-/P 14,449 277,000 5/11/63 300 bp (17,767)
  CMBX NA BBB- Index BBB-/P 36,039 296,000 5/11/63 300 bp 1,614
  CMBX NA BBB- Index BBB-/P 47,211 452,000 5/11/63 300 bp (5,357)
  CMBX NA BBB- Index BBB-/P 71,741 605,000 5/11/63 300 bp 1,380
  CMBX NA BBB- Index BBB-/P 71,494 605,000 5/11/63 300 bp 1,133
  CMBX NA BBB- Index BBB-/P 37,011 765,000 5/11/63 300 bp (51,958)
  CMBX NA BBB- Index BBB-/P 51,111 600,000 1/17/47 300 bp (2,169)
  CMBX NA BBB- Index BBB-/P 56,109 805,000 1/17/47 300 bp (15,375)
  CMBX NA BBB- Index BBB-/P 90,359 1,040,000 1/17/47 300 bp (1,993)
  CMBX NA BBB- Index BBB-/P 112,277 1,519,000 1/17/47 300 bp (22,611)
JPMorgan Securities LLC
  CMBX NA BB Index — (53,936) 372,000 5/11/63 (500 bp) 14,202
  CMBX NA BB Index — (38,525) 274,000 5/11/63 (500 bp) 11,663
  CMBX NA BB Index — (37,251) 259,000 5/11/63 (500 bp) 10,189
  CMBX NA BB Index — (15,954) 120,000 5/11/63 (500 bp) 6,026
  CMBX NA BB Index — (89,046) 570,000 1/17/47 (500 bp) 2,021
  CMBX NA BB Index — (63,627) 387,000 1/17/47 (500 bp) (1,797)
  CMBX NA BB Index — (59,921) 375,000 1/17/47 (500 bp) (9)
  CMBX NA BB Index — (52,295) 322,000 1/17/47 (500 bp) (850)
  CMBX NA BB Index — (14,429) 95,000 1/17/47 (500 bp) 748
  CMBX NA BBB- Index BBB-/P 8,358 58,000 5/11/63 300 bp 1,613
  CMBX NA BBB- Index BBB-/P 7,862 69,000 5/11/63 300 bp (163)
  CMBX NA BBB- Index BBB-/P 14,611 118,000 5/11/63 300 bp 888
  CMBX NA BBB- Index BBB-/P 8,493 123,000 5/11/63 300 bp (5,812)
  CMBX NA BBB- Index BBB-/P 14,055 126,000 5/11/63 300 bp (598)
  CMBX NA BBB- Index BBB-/P 17,625 141,000 5/11/63 300 bp 1,227
  CMBX NA BBB- Index BBB-/P 9,499 154,000 5/11/63 300 bp (8,411)
  CMBX NA BBB- Index BBB-/P 13,220 155,000 5/11/63 300 bp (4,807)
  CMBX NA BBB- Index BBB-/P 22,776 156,000 5/11/63 300 bp 4,633
  CMBX NA BBB- Index BBB-/P 6,936 157,000 5/11/63 300 bp (11,323)
  CMBX NA BBB- Index BBB-/P 19,054 174,000 5/11/63 300 bp (1,183)
  CMBX NA BBB- Index BBB-/P 15,579 183,000 5/11/63 300 bp (5,704)
  CMBX NA BBB- Index BBB-/P 25,409 203,000 5/11/63 300 bp 1,800
  CMBX NA BBB- Index BBB-/P 26,741 240,000 5/11/63 300 bp (1,171)
  CMBX NA BBB- Index BBB-/P 27,894 251,000 5/11/63 300 bp (1,297)
  CMBX NA BBB- Index BBB-/P 32,798 289,000 5/11/63 300 bp (812)
  CMBX NA BBB- Index BBB-/P 36,909 302,000 5/11/63 300 bp 1,787
  CMBX NA BBB- Index BBB-/P 36,909 302,000 5/11/63 300 bp 1,787
  CMBX NA BBB- Index BBB-/P 19,653 307,000 5/11/63 300 bp (16,051)
  CMBX NA BBB- Index BBB-/P 16,411 308,000 5/11/63 300 bp (19,409)
  CMBX NA BBB- Index BBB-/P 15,686 308,000 5/11/63 300 bp (20,134)
  CMBX NA BBB- Index BBB-/P 30,622 312,000 5/11/63 300 bp (5,663)
  CMBX NA BBB- Index BBB-/P 36,385 320,000 5/11/63 300 bp (831)
  CMBX NA BBB- Index BBB-/P 38,852 350,000 5/11/63 300 bp (1,853)
  CMBX NA BBB- Index BBB-/P 43,710 353,000 5/11/63 300 bp 2,656
  CMBX NA BBB- Index BBB-/P 30,123 368,000 5/11/63 300 bp (12,675)
  CMBX NA BBB- Index BBB-/P 41,549 395,000 5/11/63 300 bp (4,390)
  CMBX NA BBB- Index BBB-/P 46,308 395,000 5/11/63 300 bp 370
  CMBX NA BBB- Index BBB-/P 51,453 421,000 5/11/63 300 bp 2,491
  CMBX NA BBB- Index BBB-/P 47,402 452,000 5/11/63 300 bp (5,165)
  CMBX NA BBB- Index BBB-/P 52,876 480,000 5/11/63 300 bp (2,948)
  CMBX NA BBB- Index BBB-/P 70,597 671,000 5/11/63 300 bp (7,440)
  CMBX NA BBB- Index BBB-/P 56,090 1,014,000 5/11/63 300 bp (61,838)
  CMBX NA BBB- Index BBB-/P 90,887 1,159,000 5/11/63 300 bp (43,904)
  CMBX NA BBB- Index BBB-/P 210,952 2,013,000 5/11/63 300 bp (23,160)
  CMBX NA BBB- Index BBB-/P 261,669 2,495,000 5/11/63 300 bp (28,507)
  CMBX NA BBB- Index — (102,143) 1,109,000 1/17/47 (300 bp) (3,664)
  CMBX NA BBB- Index — (42,678) 513,000 1/17/47 (300 bp) 2,876
  CMBX NA BBB- Index — (18,115) 229,000 1/17/47 (300 bp) 2,221
  CMBX NA BBB- Index — (8,285) 154,000 1/17/47 (300 bp) 5,390
Total$2,978,712$(254,155)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2017. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/17 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
  NA HY Series 28 Index B+/P $1,122,083 $15,204,000 6/20/22 500 bp $50,630
Total$1,122,083$50,630
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2017. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
HUF Hungarian Forint
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
TRY Turkish Lira
ZAR South African Rand
Key to holding's abbreviations
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2016 through June 30, 2017 (the reporting period). Within the following notes to the portfolio, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $269,010,611.
(b) The aggregate identified cost on a tax basis is $415,091,187, resulting in gross unrealized appreciation and depreciation of $5,549,423 and $12,758,863, respectively, or net unrealized depreciation of $7,209,440.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $59,786, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Affiliate Fair value as of 9/30/16 Purchase
Cost		 Sale
Proceeds		 Investment Income Shares outstanding and Fair value as of 6/30/17
Short-term investments
Putnam Short Term Investment Fund $ 9,455,363 $ 80,395,105 $ 76,137,063 $ 49,863 $13,713,405
Total Short-term investments $ 9,455,363 $ 80,395,105 $ 76,137,063 $ 49,863 $ 13,713,405
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $170,929,709 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 85.9 %
Brazil 2.1
Greece 2.1
Argentina 2.0
Russia 1.6
Canada 1.1
Mexico 1.1
Indonesia 0.7
Luxembourg 0.6
Other 2.8
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled 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 scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source.The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts hedge duration and convexity, to isolate prepayment risk, and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk, and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation, and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $4,101,593 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,876,320 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer cyclicals $— $— $10,017
    Energy 113,101 8,751 5,913
    Transportation — 4,879 —
    Utilities and power — 10,311 —
Total common stocks 113,101 23,941 15,930
Convertible bonds and notes — 54,907 —
Convertible preferred stocks — 13,000 —
Corporate bonds and notes — 91,955,504 2
Foreign government and agency bonds and notes 24,595,481
Mortgage-backed securities — 125,533,973 406,647
Purchased options outstanding — 326,832 —
Purchased swap options outstanding — 2,633,676 —
Senior loans — 5,473,657 —
U.S. government and agency mortgage obligations — 133,069,882 —
U.S. treasury obligations — 114,151 —
Warrants 1,904 — —
Short-term investments 13,713,405 9,835,754 —
Totals by level $13,828,410 $393,630,758 $422,579



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(194,445) $—
Futures contracts 21,599 — —
Written options outstanding — (729,450) —
Written swap options outstanding — (2,855,698) —
Forward premium swap option contracts — 85,245 —
TBA sale commitments — (79,221,954) —
Interest rate swap contracts — (65,747) —
Total return swap contracts — 65,298 —
Credit default contracts — (4,304,320) —
Totals by level $21,599 $(87,221,071) $—

* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $1,701,667 $6,005,987
Foreign exchange contracts 1,816,129 1,941,562
Equity contracts 1,904 —
Interest rate contracts 5,320,686 5,907,943
Total $8,840,386 $13,855,492


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$107,500,000
Purchased currency options (contract amount)$15,400,000
Purchased swap option contracts (contract amount)$985,400,000
Written TBA commitment option contracts (contract amount) (Note 3)$139,000,000
Written currecny options (contract amount) (Note 3)$15,300,000
Written swap option contracts (contract amount)$594,200,000
Futures contracts (number of contracts)20
Forward currency contracts (contract amount)$251,800,000
OTC interest rate swap contracts (notional)$3,700,000
Centrally cleared interest rate swap contracts (notional)$560,000,000
OTC total return swap contracts (notional)$112,800,000
OTC credit default contracts (notional)$47,200,000
Centrally cleared credit default contracts (notional)$9,100,000
Warrants (number of warrants)3,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(AFF)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital, Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  Centrally cleared interest rate swap contracts§   —  —  1,825,437  —  —  —  —  —  —  —  —  —  —  —  —    1,825,437 
  OTC Total return swap contracts*#   —  44,617  —  —  31,398  175  105,978  —  32,553  6,927  —  —  —  —  —    221,648 
  OTC Credit default contracts*#   —  —  —  —  701,134  —  355,312  —  —  645,221  —  —  —  —  —    1,701,667 
  Centrally cleared credit default contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  4,438  —  —  —  —    4,438 
  Forward currency contracts#   181,890  154,255  —  46,525  68,786  —  137,901  105,778  304,548  —  —  374,155  152,950  146,162  69,626    1,742,576 
  Forward premium swap option contracts#   189,065  16,271  —  36,179  —  —  5,976  —  158,201  —  —  —  —  —  —    405,692 
  Purchased swap options#   42,527  181,706  —  1,572,727  235,853  —  413,997  —  38,829  —  —  148,037  —  —  —    2,633,676 
  Purchased options#   82,820  —  —  —  —  —  24,410  —  219,602  —  —  —  —  —  —    326,832 
                                       
  Total Assets   $496,302  $396,849  $1,825,437  $1,655,431  $1,037,171  $175  $1,043,574  $105,778  $753,733  $652,148  $4,438  $522,192  $152,950  $146,162  $69,626    $8,861,966 
                                       
  Liabilities:                                    
  Centrally cleared interest rate swap contracts§   —  —  1,588,302  —  —  —    —  —  —  —  —  —  —  —    1,588,302 
  OTC Total return swap contracts*#   —  64,083  —  5,780  14,002  —  34,795  —  4,869  32,821  —  —  —  —  —    156,350 
  OTC Credit default contracts*#   90,482  —  —  —  2,073,939  —  988,163  —  —  1,781,950  —  —  —  —  —    4,934,534 
  Centrally cleared credit default contracts§   —  —  36,302  —  —  —  —  —  —  —  —  —  —  —  —    36,302 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Forward currency contracts#   234,219  70,689  —  366,930  55,584  —  171,916  25,340  268,250  —  —  325,073  118,232  194,700  106,088    1,937,021 
  Forward premium swap option contracts#   121,825  43,907  —  28,844  —  —  12,899  —  112,972  —  —  —  —  —  —    320,447 
  Written swap options#   128,947  229,243  —  1,454,098  223,325  —  409,664  —  298,155  —  —  112,266  —  —  —    2,855,698 
  Written options#   31,011  —  —  —  —  —  7,207  —  691,232  —  —  —  —  —  —    729,450 
                                       
  Total Liabilities   $606,484  $407,922  $1,624,604  $1,855,652  $2,366,850  $—  $1,624,644  $25,340  $1,375,478  $1,814,771  $—  $437,339  $118,232  $194,700  $106,088    $12,558,104 
                                       
  Total Financial and Derivative Net Assets   $(110,182) $(11,073) $200,833  $(200,221) $(1,329,679) $175  $(581,070) $80,438  $(621,745) $(1,162,623) $4,438  $84,853  $34,718  $(48,538) $(36,462)   $(3,696,138)
  Total collateral received (pledged)##†   $—  $—  $—  $(119,988) $(1,329,679) $—  $(556,594) $80,438  $(526,762) $(1,162,623) $—  $—  $—  $(48,538) $—     
  Net amount   $(110,182) $(11,073) $200,833  $(80,233) $—  $175  $(24,476) $—  $(94,983) $—  $4,438  $84,853  $34,718  $—  $(36,462)    
                                       
* Excludes premiums, if any.
†  Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement.
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

(b) Changes in internal control over financial reporting: Not applicable

Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 25, 2017

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: August 25, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: August 25, 2017