Item 1. Schedule of Investments:
--------------------------------
PUTNAM MASTER INCOME TRUST
QUARTERLY PORTFOLIO HOLDINGS
1-31-05
Putnam Master Income Trust
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The fund's portfolio
January 31, 2005 (Unaudited)
Corporate bonds and notes (36.3%) (a)
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Principal amount Value
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Advertising and Marketing Services (0.1%)
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$305,000 Lamar Media Corp. company guaranty 7
1/4s, 2013 $327,875
Aerospace and Defense (0.7%)
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295,000 Argo-Tech Corp. sr. notes 9 1/4s, 2011 323,025
90,000 BE Aerospace, Inc. sr. sub. notes Ser.
B, 8s, 2008 89,100
991,000 Decrane Aircraft Holdings Co. company
guaranty zero %, 2008 376,580
120,000 L-3 Communications Corp. company
guaranty 7 5/8s, 2012 130,800
220,000 L-3 Communications Corp. company
guaranty 6 1/8s, 2013 224,950
785,000 L-3 Communications Corp. 144A sr. sub.
notes 5 7/8s, 2015 781,075
630,000 Sequa Corp. sr. notes 9s, 2009 696,150
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2,621,680
Airlines (0.2%)
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295,000 American Airlines, Inc. pass-through
certificates Ser. 01-1, 6.817s, 2011 278,775
415,000 Calair, LLC/Calair Capital Corp. company
guaranty 8 1/8s, 2008 338,225
123,508 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 129,683
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746,683
Automotive (0.7%)
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335,000 ArvinMeritor, Inc. notes 8 3/4s, 2012 374,781
90,000 Dana Corp. notes 10 1/8s, 2010 99,468
300,000 Dana Corp. notes 9s, 2011 353,250
50,000 Dana Corp. notes 7s, 2029 49,668
155,000 Dana Corp. notes 6 1/2s, 2009 162,131
85,000 Delco Remy International, Inc. company
guaranty 11s, 2009 89,675
285,000 Delco Remy International, Inc. sr. sub.
notes 9 3/8s, 2012 283,575
100,000 Dura Operating Corp. company guaranty
Ser. B, 8 5/8s, 2012 102,750
215,000 Meritor Automotive, Inc. notes 6.8s,
2009 221,450
240,000 Metaldyne Corp. 144A sr. notes 10s, 2013 224,400
EUR 80,000 Teksid Aluminum 144A company guaranty 11
3/8s, 2011 (Luxembourg) 97,755
$410,000 Tenneco Automotive, Inc. sec. notes Ser.
B, 10 1/4s, 2013 481,750
227,000 Tenneco Automotive, Inc. 144A sr. sub.
notes 8 5/8s, 2014 236,080
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2,776,733
Banking (0.2%)
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655,000 VTB Bank (VTB Capital) 144A notes 7
1/2s, 2011 (Luxembourg) 704,125
Beverage (0.1%)
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280,000 Constellation Brands, Inc. company
guaranty Ser. B, 8s, 2008 305,200
210,000 Constellation Brands, Inc. sr. sub.
notes Ser. B, 8 1/8s, 2012 227,850
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533,050
Broadcasting (0.8%)
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1,162,000 Diva Systems Corp. sr. disc. notes Ser.
B, 12 5/8s, 2008 (In default) (NON) 5,084
400,000 Echostar DBS Corp. sr. notes 6 3/8s,
2011 408,500
1,153,000 Echostar DBS Corp. 144A company guaranty
6 5/8s, 2014 1,164,530
518,000 Granite Broadcasting Corp. sec. notes 9
3/4s, 2010 498,575
170,000 Intelsat Bermuda, Ltd. 144A sr. notes 8
1/4s, 2013 (Bermuda) 175,950
20,707 Knology, Inc. 144A sr. notes 12s, 2009
(PIK) 19,879
391,000 Rainbow National Services, LLC 144A sr.
notes 8 3/4s, 2012 439,875
234,000 Young Broadcasting, Inc. company
guaranty 10s, 2011 246,870
200,000 Young Broadcasting, Inc. sr. sub. notes
8 3/4s, 2014 199,000
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3,158,263
Building Materials (0.3%)
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305,000 Dayton Superior Corp. sec. notes 10
3/4s, 2008 327,875
115,000 Owens Corning bonds 7 1/2s, 2018 (In
default) (NON) 78,775
460,000 Owens Corning notes 7 1/2s, 2005 (In
default) (NON) 317,400
337,000 THL Buildco, Inc. (Nortek, Inc.) sr.
sub. notes 8 1/2s, 2014 346,268
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1,070,318
Cable Television (0.9%)
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250,000 Adelphia Communications Corp. sr. notes
10 7/8s, 2010 (In default) (NON) 216,250
30,000 Adelphia Communications Corp. sr. notes
9 3/8s, 2009 (In default) (NON) 25,800
110,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 (In default) (NON) 92,400
225,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s,
1/15/07), 2012 (STP) 144,000
285,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (11 3/4s,
5/15/06), 2011 (STP) 198,075
300,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 11 1/8s,
2011 253,500
440,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 3/4s,
2009 375,100
955,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10s, 2011 754,450
50,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 8 5/8s, 2009 40,000
230,000 CSC Holdings, Inc. debs. 7 5/8s, 2018 254,150
202,000 CSC Holdings, Inc. sr. notes Ser. B, 7
5/8s, 2011 220,180
548,000 CSC Holdings, Inc. 144A sr. notes 6
3/4s, 2012 575,400
350,000 Kabel Deutsheland GmbH 144A sr. notes 10
5/8s, 2014 (Germany) 395,500
10,000 Quebecor Media, Inc. sr. disc. notes
stepped-coupon zero % (13 3/4s,
7/15/06), 2011 (Canada) (STP) 9,900
155,000 Videotron Ltee company guaranty 6 7/8s,
2014 (Canada) 158,294
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3,712,999
Chemicals (2.1%)
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17,000 Avecia Group PLC company guaranty 11s,
2009 (United Kingdom) 17,935
395,000 BCP Caylux Holdings Luxembourg SCA 144A
sr. sub. notes 9 5/8s, 2014 (Luxembourg) 438,450
EUR 295,000 Cognis GMBH 144A sr. notes 9 1/2s, 2014
(Germany) 431,605
$390,000 Compass Minerals Group, Inc. company
guaranty 10s, 2011 437,775
155,000 Compass Minerals International, Inc. sr.
disc. notes stepped-coupon Ser. B, zero %
(12s, 6/1/08), 2013 (STP) 126,325
420,000 Compass Minerals International, Inc. sr.
notes stepped-coupon zero % (12 3/4s,
12/15/07), 2012 (STP) 361,200
283,000 Crystal US Holdings, LLC/US Sub 3 Corp.
144A sr. disc. notes stepped-coupon zero %
(10s, 10/1/09), 2014 (STP) 196,685
115,000 Equistar Chemicals LP notes 8 3/4s, 2009 126,500
910,000 Equistar Chemicals LP/Equistar Funding
Corp. company guaranty 10 1/8s, 2008 1,037,400
550,000 Hercules, Inc. company guaranty 11 1/8s,
2007 646,250
105,000 Huntsman Advanced Materials, LLC 144A
sec. FRN 10.89s, 2008 112,613
125,000 Huntsman Advanced Materials, LLC 144A
sec. notes 11s, 2010 146,875
426,000 Huntsman Co., LLC sr. disc. notes zero %,
2008 284,355
845,000 Huntsman ICI Holdings sr. disc. notes
zero %, 2009 474,256
215,000 Huntsman, LLC company guaranty 11 5/8s,
2010 250,475
160,000 Huntsman, LLC 144A company guaranty 11
1/2s, 2012 189,600
126,000 Innophos, Inc. 144A sr. sub. notes 8
7/8s, 2014 135,765
349,000 ISP Chemco, Inc. company guaranty Ser.
B, 10 1/4s, 2011 387,390
40,000 Lyondell Chemical Co. bonds 11 1/8s,
2012 47,000
400,000 Lyondell Chemical Co. company guaranty 9
1/2s, 2008 432,000
320,000 Lyondell Chemical Co. notes Ser. A, 9
5/8s, 2007 349,600
EUR 40,000 Nalco Co. sr. notes 7 3/4s, 2011 57,741
EUR 40,000 Nalco Co. sr. sub. notes 9s, 2013 57,741
$565,000 Nalco Co. sr. sub. notes 8 7/8s, 2013 615,850
233,383 PCI Chemicals Canada sec. sr. notes 10s,
2008 (Canada) 247,386
45,754 Pioneer Companies, Inc. sec. sr.notes
FRN 6.05s, 2006 48,042
EUR 200,000 Rockwood Specialties Group, Inc. company
guaranty 7 5/8s, 2014 265,894
$50,000 Rockwood Specialties Group, Inc. 144A
sub. notes 7 1/2s, 2014 51,500
81,826 Sterling Chemicals, Inc. sec. notes 10s,
2007 (PIK) 81,417
194,000 United Agri Products 144A sr. notes 8
1/4s, 2011 208,550
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8,264,175
Coal (0.4%)
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540,000 Arch Western Finance, LLC sr. notes 6
3/4s, 2013 550,800
185,000 Arch Western Finance, LLC 144A sr. notes
6 3/4s, 2013 188,700
416,000 Massey Energy Co. sr. notes 6 5/8s, 2010 428,480
405,000 Peabody Energy Corp. sr. notes 5 7/8s,
2016 402,975
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1,570,955
Commercial and Consumer Services (0.2%)
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720,000 Laidlaw International, Inc. sr. notes 10
3/4s, 2011 828,000
Communications Equipment (0.1%)
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40,000 Lucent Technologies, Inc. debs. 6 1/2s,
2028 35,600
555,000 Lucent Technologies, Inc. debs. 6.45s,
2029 495,338
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530,938
Computers (0.1%)
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235,000 Seagate Technology Hdd Holdings company
guaranty 8s, 2009 (Cayman Islands) 252,625
Consumer (0.5%)
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319,000 Icon Health & Fitness company guaranty
11 1/4s, 2012 274,340
283,000 Jostens Holding Corp. sr. disc. notes
stepped-coupon zero % (10 1/4s,
12/1/08), 2013 (STP) 198,100
617,000 Jostens IH Corp. 144A company guaranty 7
5/8s, 2012 627,798
640,000 Samsonite Corp. sr. sub. notes 8 7/8s,
2011 688,800
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1,789,038
Consumer Finance (0.1%)
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641,190 Finova Group, Inc. notes 7 1/2s, 2009 294,947
Consumer Goods (0.6%)
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240,000 Church & Dwight Co., Inc. 144A sr. sub.
notes 6s, 2012 242,400
174,000 Elizabeth Arden, Inc. company guaranty 7
3/4s, 2014 182,265
445,000 Playtex Products, Inc. company guaranty
9 3/8s, 2011 476,150
415,000 Playtex Products, Inc. sec. notes 8s,
2011 452,350
405,000 Prestige Brands, Inc. sr. sub. notes 9
1/4s, 2012 427,275
405,000 Remington Arms Co., Inc. company
guaranty 10 1/2s, 2011 389,813
140,000 Scotts Co. (The) sr. sub. notes 6 5/8s,
2013 145,250
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2,315,503
Consumer Services (0.3%)
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300,000 Brand Services, Inc. company guaranty
12s, 2012 337,500
478,000 United Rentals (North America), Inc.
company guaranty 6 1/2s, 2012 469,635
390,000 Williams Scotsman, Inc. company guaranty
9 7/8s, 2007 390,000
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1,197,135
Containers (0.7%)
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280,000 AEP Industries, Inc. sr. sub. notes 9
7/8s, 2007 285,600
475,000 Crown Euro Holdings SA sec. notes 10
7/8s, 2013 (France) 556,938
EUR 45,000 Crown Euro Holdings SA sec. notes 10
1/4s, 2011 (France) 67,304
$152,000 Crown Euro Holdings SA sec. notes 9
1/2s, 2011 (France) 169,480
EUR 58,000 Crown Euro Holdings SA sec. notes 6
1/4s, 2011 (France) 79,831
$300,000 Owens-Brockway Glass company guaranty 8
1/4s, 2013 326,250
236,000 Owens-Brockway Glass company guaranty 7
3/4s, 2011 253,700
565,000 Owens-Brockway Glass sr. sec. notes 8
3/4s, 2012 628,563
81,000 Owens-Illinois, Inc. debs. 7.8s, 2018 84,240
275,000 Pliant Corp. sec. notes 11 1/8s, 2009 300,094
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2,752,000
Electric Utilities (1.6%)
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290,000 Allegheny Energy Supply 144A bonds 8
1/4s, 2012 322,625
180,000 Allegheny Energy Supply 144A sec. notes
10 1/4s, 2007 201,600
500,000 CMS Energy Corp. sr. notes 8.9s, 2008 548,125
120,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 133,950
100,000 CMS Energy Corp. sr. notes 7 3/4s, 2010 107,875
205,000 DPL, Inc. bonds 8 1/8s, 2031 232,935
340,000 DPL, Inc. sr. notes 6 7/8s, 2011 368,728
200,000 Dynegy-Roseton Danskamme company
guaranty Ser. A, 7.27s, 2010 202,000
310,000 Dynegy-Roseton Danskamme company
guaranty Ser. B, 7.67s, 2016 300,700
435,000 FirstEnergy Corp. notes Ser. B, 6.45s,
2011 472,064
115,000 Kansas Gas & Electric debs. 8.29s, 2016 118,490
215,000 Monongahela Power Co. 144A 1st. mtge.
6.7s, 2014 241,338
283,000 Nevada Power Co. 2nd mtge. 9s, 2013 326,865
128,000 Nevada Power Co. 144A general ref. mtge.
5 7/8s, 2015 128,320
173,000 Northwest Corp. 144A sec. notes 5 7/8s,
2014 178,037
35,000 Northwestern Corp. debs. 6.95s, 2028 (In
default) (NON) (F)
60,000 Northwestern Corp. notes 8 3/4s, 2012
(In default) (NON) (F)
330,000 PSEG Energy Holdings, Inc. notes 7 3/4s,
2007 344,438
80,000 Sierra Pacific Power Co. general ref.
mtge. 6 1/4s, 2012 83,200
490,000 Sierra Pacific Resources sr. notes 8
5/8s, 2014 544,513
170,000 Teco Energy, Inc. notes 10 1/2s, 2007 195,075
100,000 Teco Energy, Inc. notes 7.2s, 2011 108,625
150,000 Teco Energy, Inc. notes 7s, 2012 162,000
470,000 Utilicorp Canada Finance Corp. company
guaranty 7 3/4s, 2011 (Canada) 486,450
196,000 Utilicorp United, Inc. sr. notes 9.95s,
2011 220,745
215,000 Western Resources, Inc. sr. notes 9
3/4s, 2007 240,263
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6,268,961
Electronics (0.5%)
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469,000 Advanced Micro Devices, Inc. 144A sr.
notes 7 3/4s, 2012 467,828
755,000 Celestica, Inc. sr. sub. notes 7 7/8s,
2011 (Canada) 787,088
745,000 Freescale Semiconductor, Inc. sr. notes
Ser. B, 7 1/8s, 2014 803,669
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2,058,585
Energy (1.6%)
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263,000 Bluewater Finance, Ltd. company guaranty
10 1/4s, 2012 (Cayman Islands) 289,300
350,000 BRL Universal Equipment sec. notes 8
7/8s, 2008 365,750
300,000 CHC Helicopter Corp. sr. sub. notes 7
3/8s, 2014 (Canada) 314,250
374,000 Dresser, Inc. company guaranty 9 3/8s,
2011 405,790
125,000 Dresser-Rand Group, Inc. 144A sr. sub.
notes 7 3/8s, 2014 127,813
215,000 Hanover Compressor Co. sr. notes 9s,
2014 236,500
174,000 Hanover Compressor Co. sr. notes 8 5/8s,
2010 187,920
290,000 Hanover Compressor Co. sub. notes zero %,
2007 256,650
92,000 Hanover Equipment Trust sec. notes Ser.
B, 8 3/4s, 2011 99,360
283,000 Hornbeck Offshore Services, Inc. 144A
sr. notes 6 1/8s, 2014 282,293
250,000 Key Energy Services, Inc. sr. notes 6
3/8s, 2013 250,000
255,000 Offshore Logistics, Inc. company
guaranty 6 1/8s, 2013 254,363
295,506 Oslo Seismic Services, Inc. 1st mtge.
8.28s, 2011 311,985
190,000 Pacific Energy Partners/Pacific Energy
Finance Corp. sr. notes 7 1/8s, 2014 200,450
101,000 Parker Drilling Co. company guaranty
Ser. B, 10 1/8s, 2009 106,050
335,000 Pemex Project Funding Master Trust
company guaranty 8 5/8s, 2022 396,975
630,000 Pemex Project Funding Master Trust 144A
company guaranty 9 1/2s, 2027 800,100
300,000 Petro Geo-Services notes 10s, 2010
(Norway) 342,750
453,000 Pride sr. notes 7 3/8s, 2014 498,300
320,000 Seabulk International, Inc. company
guaranty 9 1/2s, 2013 342,400
80,000 Universal Compression, Inc. sr. notes 7
1/4s, 2010 84,500
-------------
6,153,499
Entertainment (0.5%)
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158,000 AMC Entertainment, Inc. sr. sub. notes 9
7/8s, 2012 170,640
487,000 AMC Entertainment, Inc. sr. sub. notes
8s, 2014 482,739
15,000 Cinemark USA, Inc. sr. sub. notes 9s,
2013 16,800
530,000 Cinemark, Inc. sr. disc. notes
stepped-coupon zero % (9 3/4s, 3/15/07),
2014 (STP) 400,150
372,000 Six Flags, Inc. sr. notes 9 5/8s, 2014 350,610
204,000 Universal City Florida Holding Co. 144A
sr. notes 8 3/8s, 2010 212,160
255,000 Universal City Florida Holding Co. 144A
sr. notes FRN 7 1/2s, 2010 265,200
-------------
1,898,299
Financial (0.1%)
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320,000 China Development Bank bonds and notes 4
3/4s, 2014 316,217
290,000 Western Financial Bank sub. debs. 9
5/8s, 2012 327,700
643,917
Food (0.5%)
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64,792 Archibald Candy Corp. company guaranty
10s, 2007 (In default) (NON)(PIK)(F) 13,801
497,000 Dean Foods Co. sr. notes 6 5/8s, 2009 518,123
305,000 Del Monte Corp. sr. sub. notes 8 5/8s,
2012 338,931
175,000 Del Monte Corp. 144A sr. sub. notes 6
3/4s, 2015 177,188
430,000 Doane Pet Care Co. sr. sub. debs. 9
3/4s, 2007 417,100
531,000 Pinnacle Foods Holding Corp. sr. sub.
notes 8 1/4s, 2013 485,865
EUR 111,000 United Biscuits Finance company guaranty
10 5/8s, 2011 (United Kingdom) 152,707
-------------
2,103,715
Forest Products and Packaging (0.7%)
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$240,000 Georgia-Pacific Corp. bonds 7 3/4s, 2029 273,600
500,000 Georgia-Pacific Corp. debs. 7.7s, 2015 575,000
45,000 Georgia-Pacific Corp. sr. notes 8s, 2024 52,763
105,000 Jefferson Smurfit Corp. company guaranty
8 1/4s, 2012 111,300
20,000 Jefferson Smurfit Corp. company guaranty
7 1/2s, 2013 20,650
EUR 250,000 JSG Holding PLC 11 1/2s, 2015 326,665
$45,000 MDP Acquisitions PLC sr. notes 9 5/8s,
2012 (Ireland) 49,725
EUR 235,000 MDP Acquisitions PLC sr. notes Ser. EUR,
10 1/8s, 2012 (Ireland) 349,181
$339,910 MDP Acquisitions PLC sub. notes 15 1/2s,
2013 (Ireland) (PIK) 395,995
305,000 Norske Skog Canada, Ltd. sr. notes 7
3/8s, 2014 (Canada) 308,050
25,000 Stone Container Corp. sr. notes 9 3/4s,
2011 27,188
120,000 Stone Container Corp. sr. notes 8 3/8s,
2012 127,200
80,000 Stone Container Finance company guaranty
7 3/8s, 2014 (Canada) 82,400
-------------
2,699,717
Gaming & Lottery (1.5%)
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155,000 Ameristar Casinos, Inc. company guaranty
10 3/4s, 2009 173,600
180,000 Argosy Gaming Co. sr. sub. notes 7s,
2014 198,000
315,000 Boyd Gaming Corp. sr. sub. notes 8 3/4s,
2012 347,288
85,000 Boyd Gaming Corp. sr. sub. notes 7 3/4s,
2012 91,375
75,000 Boyd Gaming Corp. sr. sub. notes 6 3/4s,
2014 76,875
190,000 Chumash Casino & Resort Enterprise 144A
sr. notes 9s, 2010 208,050
235,000 Mandalay Resort Group sr. notes 6 3/8s,
2011 245,575
425,000 MGM Mirage, Inc. company guaranty 8
1/2s, 2010 481,313
260,000 MGM Mirage, Inc. company guaranty 6s,
2009 265,200
96,000 Mirage Resorts, Inc. debs. 7 1/4s, 2017 100,560
231,000 Mohegan Tribal Gaming Authority sr. sub.
notes 6 3/8s, 2009 234,754
490,000 Park Place Entertainment Corp. sr. notes
7 1/2s, 2009 545,125
265,000 Park Place Entertainment Corp. sr. notes
7s, 2013 294,150
200,000 Park Place Entertainment Corp. sr. sub.
notes 8 7/8s, 2008 225,250
500,000 Penn National Gaming, Inc. sr. sub.
notes 8 7/8s, 2010 540,000
160,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 3/4s, 2013 173,200
408,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 1/4s, 2012 434,520
375,000 Resorts International Hotel and Casino,
Inc. company guaranty 11 1/2s, 2009 439,688
183,000 Scientific Games Corp. 144A sr. sub.
notes 6 1/4s, 2012 185,745
245,000 Station Casinos, Inc. sr. notes 6s, 2012 251,125
275,000 Station Casinos, Inc. sr. sub. notes 6
7/8s, 2016 285,313
302,000 Wynn Las Vegas, LLC/Wynn Las Vegas
Capital Corp. 144A 1st mtge. 6 5/8s,
2014 296,715
-------------
6,093,421
Health Care (1.9%)
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535,000 Ardent Health Services, Inc. sr. sub.
notes 10s, 2013 553,725
175,000 Community Health Systems, Inc. 144A sr.
sub. notes 6 1/2s, 2012 175,000
115,000 HCA, Inc. debs. 7.19s, 2015 119,944
640,000 HCA, Inc. notes 8.36s, 2024 703,104
150,000 HCA, Inc. notes 7.69s, 2025 155,987
445,000 HCA, Inc. notes 7s, 2007 465,900
142,000 HCA, Inc. notes 6 3/8s, 2015 142,835
300,000 HCA, Inc. notes 6 1/4s, 2013 302,930
139,000 HCA, Inc. notes 5 3/4s, 2014 134,739
540,000 Healthsouth Corp. notes 7 5/8s, 2012 542,700
255,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 263,606
130,000 Healthsouth Corp. sr. notes 8 3/8s, 2011 134,875
110,000 Healthsouth Corp. sr. notes 7s, 2008 110,963
305,000 MedQuest, Inc. company guaranty Ser. B,
11 7/8s, 2012 356,850
455,000 MQ Associates, Inc. sr. disc. notes
stepped-coupon zero % (12 1/4s,
8/15/08), 2012 (STP) 350,350
356,000 Province Healthcare Co. sr. sub. notes 7
1/2s, 2013 398,720
220,000 Tenet Healthcare Corp. notes 7 3/8s,
2013 202,400
147,000 Tenet Healthcare Corp. sr. notes 6 1/2s,
2012 130,830
475,000 Tenet Healthcare Corp. 144A sr. notes 9
7/8s, 2014 492,813
128,000 Tenet Healthcare Corp. 144A sr. notes 9
1/4s, 2015 128,000
435,000 Triad Hospitals, Inc. sr. notes 7s, 2012 455,119
388,000 Triad Hospitals, Inc. sr. sub. notes 7s,
2013 392,850
285,000 Universal Hospital Services, Inc. sr.
notes 10 1/8s, 2011 294,975
135,000 US Oncology, Inc. 144A sr. notes 9s,
2012 146,475
100,000 US Oncology, Inc. 144A sr. sub. notes 10
3/4s, 2014 114,250
227,000 Vanguard Health Holding Co. II, LLC sr.
sub. notes 9s, 2014 242,890
-------------
7,512,830
Homebuilding (0.9%)
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80,000 Beazer Homes USA, Inc. company guaranty
8 3/8s, 2012 87,800
55,000 D.R. Horton, Inc. company guaranty 8s,
2009 61,474
350,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 401,625
80,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 87,800
220,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 225,573
310,000 K. Hovnanian Enterprises, Inc. company
guaranty 8 7/8s, 2012 344,100
205,000 K. Hovnanian Enterprises, Inc. company
guaranty 6 3/8s, 2014 209,613
160,000 K. Hovnanian Enterprises, Inc. sr. notes
6 1/2s, 2014 165,200
123,000 KB Home company guaranty 5 7/8s, 2015 124,576
177,000 KB Home sr. notes 5 3/4s, 2014 179,055
160,000 Meritage Corp. company guaranty 9 3/4s,
2011 176,800
85,000 Meritage Corp. sr. notes 7s, 2014 87,975
210,000 Schuler Homes, Inc. company guaranty 10
1/2s, 2011 239,925
225,000 Standard Pacific Corp. sr. notes 7 3/4s,
2013 243,563
180,000 Technical Olympic USA, Inc. company
guaranty 10 3/8s, 2012 200,700
120,000 Technical Olympic USA, Inc. company
guaranty 9s, 2010 129,000
176,000 Technical Olympic USA, Inc. 144A sr.
sub. notes 7 1/2s, 2015 170,720
435,000 WCI Communities, Inc. company guaranty 9
1/8s, 2012 485,025
-------------
3,620,524
Household Furniture and Appliances (0.2%)
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585,000 Sealy Mattress Co. sr. sub. notes 8
1/4s, 2014 596,700
Investment Banking/Brokerage (0.1%)
-----------------------------------------------------------------------------------------------------------
538,000 E*Trade Finance Corp. 144A sr. notes 8s,
2011 578,350
Leisure (--%)
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91,000 K2, Inc. sr. notes 7 3/8s, 2014 97,711
Lodging/Tourism (0.9%)
-----------------------------------------------------------------------------------------------------------
261,000 FelCor Lodging LP company guaranty 9s,
2008 (R) 293,625
375,000 Gaylord Entertainment Co. sr. notes 8s,
2013 401,250
153,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 (R) 157,016
151,000 Host Marriott LP sr. notes Ser. E, 8
3/8s, 2006 (R) 157,040
410,000 Host Marriott LP 144A sr. notes 7s, 2012
(R) 428,450
275,000 ITT Corp. debs. 7 3/8s, 2015 308,000
320,000 ITT Corp. notes 6 3/4s, 2005 326,800
566,000 John Q. Hammons Hotels LP/John Q.
Hammons Hotels Finance Corp. III 1st
mtge. Ser. B, 8 7/8s, 2012 633,920
380,000 MeriStar Hospital Corp. company guaranty
9 1/8s, 2011 (R) 410,400
300,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 7/8s, 2012 342,000
210,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 223,388
-------------
3,681,889
Machinery (0.3%)
-----------------------------------------------------------------------------------------------------------
EUR 195,000 Flender Holdings 144A sr. notes 11s,
2010 (Germany) 306,902
$26,000 Manitowoc Co., Inc. (The) company
guaranty 10 1/2s, 2012 29,835
EUR 95,000 Manitowoc Co., Inc. (The) company
guaranty 10 3/8s, 2011 138,372
$120,000 Manitowoc Co., Inc. (The) sr. notes 7
1/8s, 2013 128,400
100,000 Terex Corp. company guaranty 9 1/4s,
2011 110,750
380,000 Terex Corp. company guaranty Ser. B, 10
3/8s, 2011 421,800
-------------
1,136,059
Manufacturing (0.7%)
-----------------------------------------------------------------------------------------------------------
196,000 Amsted Industries, Inc. 144A sr. notes
10 1/4s, 2011 220,500
300,000 Blount, Inc. sr. sub. notes 8 7/8s, 2012 326,250
333,000 FIMEP SA sr. notes 10 1/2s, 2013
(France) 393,773
297,000 Flowserve Corp. company guaranty 12
1/4s, 2010 326,700
505,000 Invensys, PLC notes 9 7/8s, 2011 (United
Kingdom) 541,613
385,000 Legrand SA debs. 8 1/2s, 2025 (France) 454,300
115,000 Mueller Group, Inc. sec. FRN 7.493s,
2011 118,163
140,000 Mueller Group, Inc. sr. sub. notes 10s,
2012 151,200
EUR 76,000 Polypore, Inc. notes 8 3/4s, 2012 103,021
$139,000 Polypore, Inc. sr. sub. notes 8 3/4s,
2012 142,823
125,000 Siebe PLC 144A sr. unsub. 6 1/2s, 2010
(United Kingdom) 118,281
-------------
2,896,624
Media (0.2%)
-----------------------------------------------------------------------------------------------------------
290,000 Affinity Group, Inc. sr. sub. notes 9s,
2012 310,300
265,000 Capital Records, Inc. 144A company
guaranty 8 3/8s, 2009 297,463
-------------
607,763
Medical Services (1.0%)
-----------------------------------------------------------------------------------------------------------
188,000 Alderwoods Group, Inc. 144A sr. notes 7
3/4s, 2012 201,630
315,000 AmerisourceBergen Corp. company guaranty
7 1/4s, 2012 347,288
310,000 AmerisourceBergen Corp. sr. notes 8
1/8s, 2008 342,550
175,000 Coventry Health Care, Inc. 144A sr.
notes 5 7/8s, 2012 177,625
185,000 Extendicare Health Services, Inc.
company guaranty 9 1/2s, 2010 205,350
285,000 Extendicare Health Services, Inc. sr.
sub. notes 6 7/8s, 2014 288,563
130,735 Magellan Health Services, Inc. sr. notes
Ser. A, 9 3/8s, 2008 140,867
405,000 Omnicare, Inc. sr. sub. notes 6 1/8s,
2013 398,925
396,000 PacifiCare Health Systems, Inc. company
guaranty 10 3/4s, 2009 447,480
70,000 Service Corp. International debs. 7
7/8s, 2013 74,900
40,000 Service Corp. International notes 7.2s,
2006 41,400
15,000 Service Corp. International notes 6
7/8s, 2007 15,675
60,000 Service Corp. International notes 6
1/2s, 2008 61,575
145,000 Service Corp. International notes Ser.
*, 7.7s, 2009 153,700
415,000 Service Corp. International/US 144A sr.
notes 7s, 2016 415,000
390,000 Stewart Enterprises, Inc. notes 10 3/4s,
2008 420,713
165,000 Ventas Realty LP/Capital Corp. company
guaranty 9s, 2012 (R) 191,400
94,000 Ventas Realty LP/Capital Corp. 144A sr.
notes 6 5/8s, 2014 (R) 94,940
-------------
4,019,581
Metal Fabricators (0.1%)
-----------------------------------------------------------------------------------------------------------
389,000 Earle M. Jorgensen Co. sec. notes 9
3/4s, 2012 434,708
Metals (0.8%)
-----------------------------------------------------------------------------------------------------------
345,000 AK Steel Corp. company guaranty 7 3/4s,
2012 354,488
240,000 ALROSA Finance SA 144A company guaranty
8 7/8s, 2014 (Luxembourg) 249,000
156,000 Century Aluminum Co. 144A company
guaranty 7 1/2s, 2014 166,530
365,000 Gerdau Ameristeel Corp. sr. notes 10
3/8s, 2011 (Canada) 421,575
70,000 International Steel Group, Inc. sr.
notes 6 1/2s, 2014 75,600
435,000 Novels, Inc. 144A sr. notes 7 1/4s, 2015
(Canada) 443,700
EUR 235,000 SGL Carbon SA 144A sr. notes 8 1/2s,
2012 (Luxembourg) 342,442
$370,000 Steel Dynamics, Inc. company guaranty 9
1/2s, 2009 404,225
203,000 Ucar Finance, Inc. company guaranty 10
1/4s, 2012 227,106
274,000 United States Steel Corp. sr. notes 9
3/4s, 2010 313,045
22,805 Wheeling-Pittsburgh Steel Corp. sr.
notes 6s, 2010 19,156
44,328 Wheeling-Pittsburgh Steel Corp. sr.
notes 5s, 2011 37,236
105,000 WHX Corp. sr. notes 10 1/2s, 2005 99,750
-------------
3,153,853
Natural Gas Utilities (0.9%)
-----------------------------------------------------------------------------------------------------------
297,000 El Paso Corp. sr. notes 8.05s, 2030 292,545
210,000 El Paso Corp. sr. notes 7 3/8s, 2012 211,575
208,000 El Paso Corp. sr. notes Ser. MTN, 7
3/4s, 2032 202,280
105,000 El Paso Natural Gas Co. debs. 8 5/8s,
2022 121,800
535,000 El Paso Production Holding Co. company
guaranty 7 3/4s, 2013 556,400
345,000 Ferrellgas Partners LP/Ferrellgas
Partners Finance sr. notes 6 3/4s, 2014 343,275
545,000 Northwest Pipeline Corp. company
guaranty 8 1/8s, 2010 601,544
260,000 SEMCO Energy, Inc. sr. notes 7 3/4s,
2013 280,785
40,000 Tennessee Gas Pipeline Co. debs. 7s,
2028 40,400
211,000 Tennessee Gas Pipeline Co. unsecd. notes
7 1/2s, 2017 233,155
50,000 Transcontinental Gas Pipeline Corp.
debs. 7 1/4s, 2026 55,250
80,000 Williams Cos., Inc. (The) notes 8 3/4s,
2032 96,000
80,000 Williams Cos., Inc. (The) notes 8 1/8s,
2012 92,000
290,000 Williams Cos., Inc. (The) notes 7 5/8s,
2019 321,900
-------------
3,448,909
Oil & Gas (2.0%)
-----------------------------------------------------------------------------------------------------------
420,000 Amerada Hess Corp. unsub notes 6.65s,
2011 462,148
180,000 Chesapeake Energy Corp. company guaranty
9s, 2012 202,950
142,000 Chesapeake Energy Corp. company guaranty
7 3/4s, 2015 154,248
626,000 Chesapeake Energy Corp. sr. notes 7
1/2s, 2013 682,340
157,000 Chesapeake Energy Corp. sr. notes 7s,
2014 166,420
275,000 Comstock Resources, Inc. sr. notes 6
7/8s, 2012 280,500
295,000 Encore Acquisition Co. company guaranty
8 3/8s, 2012 325,238
140,000 Encore Acquisition Co. sr. sub. notes 6
1/4s, 2014 139,650
390,000 Exco Resources, Inc. company guaranty 7
1/4s, 2011 411,450
185,000 Forest Oil Corp. company guaranty 7
3/4s, 2014 198,875
695,000 Forest Oil Corp. sr. notes 8s, 2011 787,956
115,000 Forest Oil Corp. sr. notes 8s, 2008 125,063
316,000 Harvest Operations Corp. 144A sr. notes
7 7/8s, 2011 (Canada) 319,160
335,000 Inergy LP/Inergy Finance Corp. 144A sr.
notes 6 7/8s, 2014 333,325
195,000 KCS Energy, Inc. sr. notes 7 1/8s, 2012 204,263
380,000 Newfield Exploration Co. sr. notes 7
5/8s, 2011 425,600
193,000 Newfield Exploration Co. 144A sr. sub.
notes 6 5/8s, 2014 203,615
325,000 Petronas Capital, Ltd. company guaranty
7 7/8s, 2022 (Malaysia) 410,735
264,000 Plains Exploration & Production Co. sr.
notes 7 1/8s, 2014 289,740
436,000 Plains Exploration & Production Co. sr.
sub. notes 8 3/4s, 2012 482,870
350,000 Pogo Producing Co. sr. sub. notes Ser.
B, 8 1/4s, 2011 374,500
170,000 Seven Seas Petroleum, Inc. sr. notes
Ser. B, 12 1/2s, 2005 (In default)
(NON)(F) 2
489,000 Star Gas Partners LP/Star Gas Finance
Co. sr. notes 10 1/4s, 2013 519,563
176,000 Stone Energy Corp. 144A sr. sub. notes 6
3/4s, 2014 172,040
170,000 Vintage Petroleum, Inc. sr. notes 8
1/4s, 2012 186,575
80,000 Vintage Petroleum, Inc. sr. sub. notes 7
7/8s, 2011 85,400
-------------
7,944,226
Pharmaceuticals (0.1%)
-----------------------------------------------------------------------------------------------------------
250,000 Elan Finance PLC/Elan Finance Corp. 144A
sr. notes 7 3/4s, 2011 (Ireland) 261,250
Photography/Imaging (0.4%)
-----------------------------------------------------------------------------------------------------------
420,000 Xerox Capital Trust I company guaranty
8s, 2027 437,850
215,000 Xerox Corp. notes Ser. MTN, 7.2s, 2016 226,825
615,000 Xerox Corp. sr. notes 7 5/8s, 2013 662,663
110,000 Xerox Corp. sr. notes 6 7/8s, 2011 116,050
-------------
1,443,388
Power Producers (1.4%)
-----------------------------------------------------------------------------------------------------------
30,000 AES Corp. (The) sr. notes 8 7/8s, 2011 33,675
17,000 AES Corp. (The) sr. notes 8 3/4s, 2008 18,530
420,000 AES Corp. (The) 144A sec. notes 9s, 2015 474,600
595,000 AES Corp. (The) 144A sec. notes 8 3/4s,
2013 666,400
160,000 Dynegy Holdings, Inc. sr. notes 6 7/8s,
2011 148,800
780,000 Dynegy Holdings, Inc. 144A sec. notes 10
1/8s, 2013 865,800
145,000 Edison Mission Energy sr. notes 10s,
2008 167,475
5,000 Edison Mission Energy sr. notes 9 7/8s,
2011 5,844
680,000 Midwest Generation, LLC sec. sr. notes 8
3/4s, 2034 759,900
450,000 Mission Energy Holding Co. sec. notes 13
1/2s, 2008 561,375
845,000 NRG Energy, Inc. 144A sr. sec. notes 8s,
2013 910,488
310,000 Orion Power Holdings, Inc. sr. notes
12s, 2010 387,500
50,000 Southern California Edison Co. notes 6
3/8s, 2006 51,364
317,000 Texas Genco LLC/Texas Genco Financing
Corp. 144A sr. notes 6 7/8s, 2014 328,095
131,272 York Power Funding 144A notes 12s, 2007
(Cayman Islands) (In default) (NON)(F) 13
-------------
5,379,859
Publishing (1.4%)
-----------------------------------------------------------------------------------------------------------
280,000 Advertising Direct 144A sr. notes 9
1/4s, 2012 (Canada) 295,400
569,429 CanWest Media, Inc. 144A sr. sub. notes
8s, 2012 (Canada) 607,865
325,000 Dex Media West, LLC/Dex Media Finance
Co. sr. notes Ser. B, 8 1/2s, 2010 353,438
275,000 Dex Media, Inc. disc. notes zero %, 2013 206,938
310,000 Dex Media, Inc. notes 8s, 2013 329,375
180,000 Houghton Mifflin Co. sr. sub. notes 9
7/8s, 2013 187,650
590,000 PRIMEDIA, Inc. company guaranty 8 7/8s,
2011 622,450
435,000 PRIMEDIA, Inc. sr. notes 8s, 2013 445,875
180,000 R. H. Donnelley Corp. 144A sr. notes 6
7/8s, 2013 180,450
195,000 Reader's Digest Association, Inc. (The)
sr. notes 6 1/2s, 2011 205,238
70,000 RH Donnelley Finance Corp. I company
guaranty 8 7/8s, 2010 77,525
500,000 RH Donnelley Finance Corp. I 144A
company guaranty 8 7/8s, 2010 553,750
250,000 RH Donnelley Finance Corp. I 144A sr.
sub. notes 10 7/8s, 2012 292,500
325,000 Vertis, Inc. company guaranty Ser. B, 10
7/8s, 2009 349,375
390,000 Vertis, Inc. 144A sub. notes 13 1/2s,
2009 414,375
295,000 WRC Media Corp. sr. sub. notes 12 3/4s,
2009 279,513
-------------
5,401,717
Railroads (0.2%)
-----------------------------------------------------------------------------------------------------------
500,000 Kansas City Southern Railway Co. company
guaranty 9 1/2s, 2008 560,000
100,000 Kansas City Southern Railway Co. company
guaranty 7 1/2s, 2009 104,000
100,000 Travel Centers of America, Inc. company
guaranty 12 3/4s, 2009 112,500
-------------
776,500
Real Estate (0.2%)
-----------------------------------------------------------------------------------------------------------
165,000 Crescent Real Estate Equities LP notes 7
1/2s, 2007 (R) 170,363
420,000 Crescent Real Estate Equities LP sr.
notes 9 1/4s, 2009 (R) 453,600
-------------
623,963
Regional Bells (1.3%)
-----------------------------------------------------------------------------------------------------------
80,000 Cincinnati Bell Telephone Co. company
guaranty 6.3s, 2028 72,800
290,000 Cincinnati Bell, Inc. sr. sub. notes 8
3/8s, 2014 294,350
215,000 Cincinnati Bell, Inc. sr. sub. notes 7
1/4s, 2023 210,700
566,000 Citizens Communications Co. notes 9
1/4s, 2011 660,805
1,148,000 Citizens Communications Co. sr. notes 6
1/4s, 2013 1,145,088
140,000 Eircom Funding company guaranty Ser.
US$, 8 1/4s, 2013 (Ireland) 152,950
210,000 Fairpoint Communications, Inc. sr. sub.
notes 12 1/2s, 2010 228,375
390,000 Madison River Capital Corp. sr. notes 13
1/4s, 2010 417,300
234,000 Qwest Communications International, Inc.
144A sr. notes 7 3/4s, 2014 238,095
1,300,000 Qwest Corp. 144A notes 9 1/8s, 2012 1,478,750
195,000 Qwest Services Corp. 144A notes 14 1/2s,
2014 244,238
-------------
5,143,451
Restaurants (0.2%)
-----------------------------------------------------------------------------------------------------------
266,000 Domino's, Inc. sr. sub. notes 8 1/4s,
2011 284,620
470,000 Sbarro, Inc. company guaranty 11s, 2009 472,350
-------------
756,970
Retail (1.1%)
-----------------------------------------------------------------------------------------------------------
240,000 Asbury Automotive Group, Inc. sr. sub.
notes 8s, 2014 240,600
475,000 Autonation, Inc. company guaranty 9s,
2008 534,375
260,000 Finlay Fine Jewelry Corp. sr. notes 8
3/8s, 2012 261,300
515,000 JC Penney Co., Inc. debs. 7.95s, 2017 599,975
235,000 JC Penney Co., Inc. debs. 7 1/8s, 2023 254,681
15,000 JC Penney Co., Inc. notes 8s, 2010 17,006
195,000 Jean Coutu Group, Inc. 144A sr. notes 7
5/8s, 2012 (Canada) 202,800
232,000 Jean Coutu Group, Inc. 144A sr. sub.
notes 8 1/2s, 2014 (Canada) 231,420
305,000 Rite Aid Corp. company guaranty 9 1/2s,
2011 327,875
20,000 Rite Aid Corp. debs. 6 7/8s, 2013 18,100
40,000 Rite Aid Corp. notes 7 1/8s, 2007 39,800
270,000 Rite Aid Corp. sr. notes 9 1/4s, 2013 268,650
175,000 Rite Aid Corp. 144A sec. notes 7 1/2s,
2015 172,375
597,000 Saks, Inc. company guaranty 7s, 2013 611,925
189,000 Toys R Us, Inc. notes 7 5/8s, 2011 196,088
270,000 United Auto Group, Inc. company guaranty
9 5/8s, 2012 294,300
-------------
4,271,270
Semiconductor (0.1%)
-----------------------------------------------------------------------------------------------------------
247,000 AMI Semiconductor, Inc. company guaranty
10 3/4s, 2013 288,990
Shipping (0.1%)
-----------------------------------------------------------------------------------------------------------
398,000 Navistar International Corp. sr. notes 7
1/2s, 2011 424,865
Technology (0.1%)
-----------------------------------------------------------------------------------------------------------
175,000 SCG Holding Corp. 144A notes zero %,
2011 249,375
Technology Services (0.2%)
-----------------------------------------------------------------------------------------------------------
130,000 Iron Mountain, Inc. company guaranty 8
5/8s, 2013 137,313
670,000 UGS Corp. 144A sr. sub. notes 10s, 2012 747,050
-------------
884,363
Telecommunications (2.5%)
-----------------------------------------------------------------------------------------------------------
105,000 American Cellular Corp. company guaranty
9 1/2s, 2009 97,125
405,000 American Towers, Inc. company guaranty 7
1/4s, 2011 423,225
300,000 Asia Global Crossing, Ltd. sr. notes 13
3/8s, 2010 (Bermuda) (In default) (NON) 15,000
2,210,000 AT&T Corp. sr. notes 9 3/4s, 2031 2,814,988
680,000 AT&T Corp. sr. notes 9.05s, 2011 788,800
189,847 Colo.com, Inc. 144A sr. notes 13 7/8s,
2010 (In default) (NON)(F)
117,944 Globix Corp. company guaranty 11s, 2008
(PIK) 111,457
305,000 Inmarsat Finance PLC company guaranty 7
5/8s, 2012 (United Kingdom) 311,100
406,000 Inmarsat Finance PLC company guaranty
stepped-coupon zero % (10 3/8s,
10/15/08), 2012 294,350
160,000 iPCS, Inc. sr. no 11 1/2s, 2012 182,800
45,000 IWO Escrow Co. 144A sec. FRN 6.32s, 2012 45,000
45,000 IWO Escrow Co. 144A sr. disc. notes
stepped-coupon zero % (10 3/4s,
1/15/10), 2015 (STP) 28,688
300,000 Level 3 Financing, Inc. 144A sr. notes
10 3/4s, 2011 258,750
557,000 MCI, Inc. sr. notes 8.735s, 2014 609,219
137,000 MCI, Inc. sr. notes 7.688s, 2009 142,994
3,000 MCI, Inc. sr. notes 6.908s, 2007 3,068
622,000 Nextel Communications, Inc. sr. notes 7
3/8s, 2015 685,755
1,013,000 Nextel Communications, Inc. sr. notes
5.95s, 2014 1,050,988
350,000 Nextel Partners, Inc. sr. notes 8 1/8s,
2011 385,000
150,000 PanAmSat Corp. notes 6 3/8s, 2008 155,250
95,000 Rogers Cantel, Inc. debs. 9 3/4s, 2016
(Canada) 114,000
145,000 Rogers Wireless Communications, Inc.
sec. notes 9 5/8s, 2011 (Canada) 170,013
142,000 Rogers Wireless Communications, Inc.
sec. notes 7 1/2s, 2015 (Canada) 151,940
170,000 Rural Cellular Corp. sr. sub. notes 9
3/4s, 2010 164,050
124,000 SBA Communications Corp. 144A sr. notes
8 1/2s, 2012 129,115
175,000 SBA Telecommunications Inc./SBA
Communication Corp. sr. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/07), 2011 (STP) 150,719
365,000 TSI Telecommunication Services, Inc.
company guaranty Ser. B, 12 3/4s, 2009 411,538
186,311 Verado Holdings, Inc. sr. disc. notes
zero %, 2008 (In default) (NON)(F) 6
-------------
9,694,938
Telephone (0.2%)
-----------------------------------------------------------------------------------------------------------
173,000 Alamosa Delaware, Inc. company guaranty
11s, 2010 201,545
145,000 Alamosa Delaware, Inc. company guaranty
stepped-coupon zero % (12s, 7/31/05),
2009 (STP) 156,238
195,000 UbiquiTel Operating Co. sr. notes 9
7/8s, 2011 214,988
128,000 UbiquiTel Operating Co. 144A sr. notes 9
7/8s, 2011 141,120
-------------
713,891
Textiles (0.4%)
-----------------------------------------------------------------------------------------------------------
541,000 Levi Strauss & Co. sr. notes 12 1/4s,
2012 584,280
300,000 Levi Strauss & Co. 144A sr. notes 9
3/4s, 2015 291,750
245,000 Oxford Industries, Inc. sr. notes 8
7/8s, 2011 260,925
309,000 Russell Corp. company guaranty 9 1/4s,
2010 331,403
214,000 William Carter Holdings Co. (The)
company guaranty Ser. B, 10 7/8s, 2011 241,285
-------------
1,709,643
Tire & Rubber (0.3%)
-----------------------------------------------------------------------------------------------------------
107,000 Cooper Standard Auto 144A notes 8 3/8s,
2014 101,650
35,000 Cooper Standard Auto 144A notes 7s, 2012 34,388
770,000 Goodyear Tire & Rubber Co. (The) notes
7.857s, 2011 777,700
110,000 Goodyear Tire & Rubber Co. (The) notes 6
3/8s, 2008 114,125
-------------
1,027,863
Waste Management (0.3%)
-----------------------------------------------------------------------------------------------------------
645,000 Allied Waste North America, Inc. company
guaranty Ser. B, 8 1/2s, 2008 670,800
175,000 Browning-Ferris Industries, Inc. debs.
7.4s, 2035 149,625
183,000 Browning-Ferris Industries, Inc. sr.
notes 6 3/8s, 2008 179,340
999,765
-------------
Total Corporate bonds and notes (cost $136,040,609) $143,148,944
U.S. Government and Agency Mortgage Obligations (15.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation
$16,375 7 1/2s, May 1, 2027 $17,645
15,801,466 6 1/2s, with due dates from July 1, 2029
to November 1, 2034 16,561,303
3,600,000 6 1/2s, TBA, March 1, 2035 3,763,125
3,000,000 6 1/2s, TBA, February 1, 2035 3,141,094
Federal National Mortgage Association
Pass-Through Certificates
4,214 8s, July 1, 2024 4,552
69,334 7 1/2s, with due dates from January 1,
2030 to August 1, 2030 74,405
6,137,395 6 1/2s, with due dates from June 1, 2028
to September 1, 2034 6,440,558
17,300,000 6 1/2s, TBA, February 1, 2035 18,102,827
432,927 5s, July 1, 2019 440,452
400,000 5s, TBA, February 1, 2020 406,312
1,993,243 4 1/2s, with due dates from August 1,
2033 to June 1, 2034 1,949,562
8,500,000 4 1/2s, TBA, February 1, 2020 8,483,399
-------------
Total U.S. Government and Agency Mortgage Obligations (cost $59,246,984) $59,385,234
U.S. Treasury Obligations (13.5%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds
$5,440,000 7 1/2s, November 15, 2016 $7,024,400
12,789,000 6 1/4s, May 15, 2030 15,796,413
5,965,000 6 1/4s, August 15, 2023 7,154,272
U.S. Treasury Notes
7,289,000 4 1/4s, August 15, 2013 7,380,113
3,000 4s, November 15, 2012 3,004
6,946,000 3 1/4s, August 15, 2008 6,886,851
6,087,000 1 1/8s, June 30, 2005 6,049,907
7,990,000 U.S. Treasury Strip zero %, November 15,
2024 3,104,081
-------------
Total U.S. Treasury Obligations (cost $50,658,586) $53,399,041
Foreign government bonds and notes (11.3%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
EUR 2,000,000 Austria (Republic of) 144A notes Ser.
EMTN, 3.8s, 2013 $2,672,231
$255,000 Brazil (Federal Republic of) bonds 10
1/2s, 2014 296,438
925,000 Brazil (Federal Republic of) bonds 8
7/8s, 2019 955,063
940,000 Brazil (Federal Republic of) notes 8
3/4s, 2025 926,934
765,000 Brazil (Federal Republic of) unsub.
notes 11s, 2040 886,635
496,000 Bulgaria (Republic of) 144A bonds 8
1/4s, 2015 627,440
CAD 1,005,000 Canada (Government of) bonds 5 1/2s,
2010 879,426
CAD 410,000 Canada (Government of) bonds Ser. WL43,
5 3/4s, 2029 378,601
$235,000 Colombia (Republic of) bonds 10 3/8s,
2033 266,725
475,000 Colombia (Republic of) bonds Ser. NOV, 9
3/4s, 2009 533,900
565,000 Colombia (Republic of) notes 10 3/4s,
2013 659,073
175,000 Dominican (Republic of) notes 9.04s,
2013 158,375
795,000 Ecuador (Republic of) bonds
stepped-coupon Ser. REGS, 7s (8s,
8/15/05), 2030 (STP) 735,375
155,000 El Salvador (Republic of) bonds 8 1/4s,
2032 158,488
EUR 760,000 France (Government of) bonds 5 3/4s,
2032 1,271,415
EUR 1,470,000 France (Government of) bonds 5 1/2s,
2010 2,158,372
EUR 3,200,000 France (Government of) bonds 4s, 2013 4,352,313
EUR 440,000 France (Government of) deb. 4s, 2009 600,450
EUR 3,310,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 4,661,551
EUR 2,480,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 3,447,389
EUR 730,000 Greece (Hellenic Republic of) bonds 3
1/2s, 2008 973,652
$250,000 Indonesia (Republic of) FRN 3.205s, 2005 247,500
100,000 Indonesia (Republic of) FRN 2.795s, 2006 98,500
35,000 Indonesia (Republic of) 144A sr. notes 6
3/4s, 2014 35,700
355,000 Intelsat Bermuda, Ltd. 144A sr. notes 8
5/8s, 2015 369,644
200,000 Peru (Republic of) bonds 8 3/4s, 2033 214,000
665,000 Philippines (Republic of) bonds 9 1/2s,
2030 660,844
740,000 Philippines (Republic of) bonds 8 3/8s,
2011 759,610
3,341,250 Russia (Federation of) 144A unsub.
stepped-coupon 5s (7 1/2s, 3/31/07),
2030 (STP) 3,508,313
520,000 Russia (Ministry of Finance) deb. Ser.
V, 3s, 2008 485,576
455,000 South Africa (Republic of) notes 7 3/8s,
2012 520,975
465,000 South Africa (Republic of) notes 6 1/2s,
2014 510,338
SEK 14,640,000 Sweden (Government of) bonds Ser. 3101,
4s, 2008 2,616,239
SEK 16,800,000 Sweden (Government of) debs. Ser. 1041,
6 3/4s, 2014 2,980,595
$1,395,000 United Mexican States bonds Ser. MTN,
8.3s, 2031 1,690,740
1,100,000 United Mexican States notes 6 5/8s, 2015 1,192,950
215,000 Venezuela (Republic of) bonds 9 3/8s,
2034 221,880
90,000 Venezuela (Republic of) notes 10 3/4s,
2013 103,770
190,000 Venezuela (Republic of) notes 8 1/2s,
2014 193,325
415,000 Venezuela (Republic of) unsub. bonds 5
3/8s, 2010 381,800
-------------
Total Foreign government bonds and notes (cost $38,247,730) $44,392,145
Asset-backed securities (9.9%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$195,668 ABSC NIMS Trust 144A Ser. 03-HE5, Class
A, 7s, 2033 $196,450
Aegis Asset Backed Securities Trust 144A
38,358 Ser. 04-1N, Class Note, 5s, 2034 38,358
97,725 Ser. 04-2N, Class N1, 4 1/2s, 2034 97,496
83,911 Ser. 04-4N, Class Note, 5s, 2034 83,963
164,000 Ameriquest Finance NIM Trust 144A Ser.
04-RN9, Class N2, 10s, 2034 151,913
1,751,818 Amortizing Residential Collateral Trust
Ser. 02-BC1, Class A, IO (Interest
only), 6s, 2005 6,989
21,237 AQ Finance NIM Trust 144A Ser. 03-N9A,
Class Note, 7.385s, 2033 21,278
Arcap REIT, Inc. 144A
208,000 Ser. 03-1A, Class E, 7.11s, 2038 221,650
116,000 Ser. 04-1A, Class E, 6.42s, 2039 118,302
Argent NIM Trust 144A
17,876 Ser. 03-N6, Class A, 6.4s, 2034 (Cayman
Islands) 17,920
23,704 Ser. 04-WN2, Class A, 4.55s, 2034
(Cayman Islands) 23,704
Asset Backed Funding Corp. NIM Trust
144A
84,000 Ser. 04-0PT1, Class N2, 6.9s, 2033
(Cayman Islands) 84,000
95,521 Ser. 04-0PT5, Class N1, 4 1/2s, 2034
(Cayman Islands) 95,521
134,454 Ser. 04-FF1, Class N1, 5s, 2034 (Cayman
Islands) 134,012
25,000 Ser. 04-FF1, Class N2, 5s, 2034 (Cayman
Islands) 23,042
136,000 Ser. 04-HE1, Class N2, 8s, 2034 (Cayman
Islands) 132,140
165,909 Aviation Capital Group Trust 144A FRB
Ser. 03-2A, Class G1, 3.2s, 2033 166,155
260,000 Bank One Issuance Trust FRB Ser. 03-C4,
Class C4, 3.51s, 2011 265,180
9,180,688 Bayview Financial Acquisition Trust Ser.
03-X, Class A, IO, 0.9s, 2006 159,703
Bear Stearns Asset Backed Securities NIM
Trust 144A
102,279 Ser. 04-HE10, Class A1, 4 1/4s, 2034
(Cayman Islands) 102,279
172,865 Ser. 04-HE6, Class A1, 5 1/4s, 2034
(Cayman Islands) 173,162
136,704 Ser. 04-HE7N, Class A1, 5 1/4s, 2034
(Cayman Islands) 136,961
155,000 Bear Stearns Asset Backed Securities,
Inc. Ser. 04-FR3, Class M6, 5.668s, 2034 155,000
Bombardier Capital Mortgage
Securitization Corp.
344,436 Ser. 00-A, Class A4, 8.29s, 2030 289,327
423,441 Ser. 99-B, Class A3, 7.18s, 2015 326,050
440,411 Ser. 99-B, Class A4, 7.3s, 2016 341,891
99,323 Bombardier Capital Mortgage
Securitization Corp. FRB Ser. 00-A,
Class A1, 2.64s, 2030 50,784
CARSSX Finance, Ltd. 144A
84,250 FRB Ser. 04-AA, Class B3, 5.83s, 2011
(Cayman Islands) 86,096
296,609 FRB Ser. 04-AA, Class B4, 7.98s, 2011
(Cayman Islands) 304,476
370,000 Chase Credit Card Master Trust FRB Ser.
03-3, Class C, 3.56s, 2010 378,959
14,618 Chase Funding Net Interest Margin 144A
Ser. 03-4A, Class Note, 6 3/4s, 2036 14,655
CHEC NIM Ltd., 144A
156,140 Ser. 04-2, Class N1, 4.45s, 2034 (Cayman
Islands) 156,131
51,000 Ser. 04-2, Class N2, 8s, 2034 (Cayman
Islands) 50,709
31,000 Ser. 04-2, Class N3, 8s, 2034 (Cayman
Islands) 26,660
Conseco Finance Securitizations Corp.
164,871 Ser. 00-2, Class A4, 8.48s, 2030 165,465
1,060,263 Ser. 00-4, Class A4, 7.73s, 2031 1,034,853
130,000 Ser. 00-4, Class A5, 7.97s, 2032 112,099
1,847,000 Ser. 00-4, Class A6, 8.31s, 2032 1,635,215
434,515 Ser. 00-6, Class M2, 8.2s, 2032 43,451
145,000 Ser. 01-4, Class A4, 7.36s, 2033 148,886
479,000 Ser. 01-1, Class A5, 6.99s, 2032 458,052
9,000 Ser. 01-3, Class A3, 5.79s, 2033 9,178
1,661,000 Ser. 01-3, Class A4, 6.91s, 2033 1,660,003
200,000 Ser. 01-3, Class M2, 7.44s, 2033 33,000
415,995 Ser. 01-4, Class B1, 9.4s, 2033 56,159
1,166,241 Ser. 02-1, Class A, 6.681s, 2033 1,214,678
159,000 FRB Ser. 01-4, Class M1, 4.34s, 2033 67,050
394,000 Consumer Credit Reference IDX Securities
144A FRB Ser. 02-1A, Class A, 4.521s,
2007 400,186
Countrywide Asset Backed Certificates
144A
691,635 Ser. 04-6N, Class N1, 6 1/4s, 2035 691,635
98,831 Ser. 04-BC1N, Class Note, 5 1/2s, 2035 98,645
235,000 Crest, Ltd. 144A Ser. 03-2A, Class E2,
8s, 2038 237,280
236,000 CS First Boston Mortgage Securities
Corp. 144A Ser. 05-6N, Class A, 5 1/4s,
2035 235,207
960,000 First Chicago Lennar Trust 144A Ser.
97-CHL1, Class E, 7.863s, 2039 997,650
308,840 First Consumers Master Trust FRN Ser.
01-A, Class A, 2.79s, 2008 307,296
First Franklin NIM Trust 144A
67,243 Ser. 03-FF3A, Class A, 6 3/4s, 2033 66,981
164,427 Ser. 04-FF10, Class N1, 4.45s, 2034
(Cayman Islands) 164,417
Fremont NIM Trust 144A
8,303 Ser. 03-B, Class Note, 5.65s, 2033 8,313
32,981 Ser. 04-3, Class B, 7 1/2s, 2034 32,331
127,158 Ser. 04-A, Class Note, 4 3/4s, 2034 126,840
197,499 Ser. 04-3, Class A, 4 1/2s, 2034 197,163
Granite Mortgages PLC
190,000 FRB Ser. 02-1, Class 1C, 3.97s, 2042
(United Kingdom) 192,983
EUR 780,000 FRB Ser. 03-2, Class 2C1, 5.2s, 2043
(United Kingdom) 1,083,243
GBP 585,000 FRB Ser. 03-2, Class 3C, 6.42s, 2043
(United Kingdom) 1,142,969
Green Tree Financial Corp.
$197,746 Ser. 94-4, Class B2, 8.6s, 2019 140,597
479,607 Ser. 94-6, Class B2, 9s, 2020 389,633
200,900 Ser. 95-4, Class B1, 7.3s, 2025 189,473
194,980 Ser. 95-8, Class B1, 7.3s, 2026 146,937
72,962 Ser. 95-F, Class B2, 7.1s, 2021 66,669
209,000 Ser. 96-8, Class M1, 7.85s, 2027 184,923
52,762 Ser. 99-3, Class A5, 6.16s, 2031 53,280
678,000 Ser. 99-5, Class A5, 7.86s, 2030 608,327
1,211,035 Greenpoint Manufactured Housing Ser.
00-3, Class IA, 8.45s, 2031 1,178,337
635,000 GS Auto Loan Trust 144A Ser. 04-1, Class
D, 5s, 2011 625,539
GSAMP Trust 144A
21,121 Ser. 03-HE1N, Class Note, 7 1/4s, 2033 21,133
77,126 Ser. 04-FM1N, Class Note, 5 1/4s, 2033 77,072
68,926 Ser. 04-HE1N, Class N1, 5s, 2034 68,802
725,805 Ser. 04-NIM1, Class N1, 5 1/2s, 2034 725,442
281,000 Ser. 04-NIM1, Class N2, zero %, 2034 207,884
709,951 Ser. 04-NIM2, Class N, 4 7/8s, 2034 706,898
38,844 Ser. 04-RENM, Class Note, 5 1/2s, 2032 38,844
122,581 Ser. 04-SE2N, Class Note, 5 1/2s, 2034 122,519
Holmes Financing PLC
127,000 FRB Ser. 8, Class 2C, 3.38s, 2040
(United Kingdom) 127,572
110,000 FRB Ser. 4, Class 3C, 3.96s, 2040
(United Kingdom) 111,408
Home Equity Asset Trust 144A
44,008 Ser. 02-5N, Class A, 8s, 2033 44,008
1,291 Ser. 03-4N, Class A, 8s, 2033 1,291
52,436 Ser. 03-7N, Class A, 5 1/4s, 2034 52,469
38,997 Ser. 04-1N, Class A, 5s, 2034 38,997
187,297 Ser. 04-5N, Class A, 5 1/4s, 2034 187,531
LNR CDO, Ltd. 144A
685,000 FRB Ser. 02-1A, Class FFL, 5.27s, 2037
(Cayman Islands) 685,000
415,000 FRB Ser. 03-1A, Class EFL, 5.52s, 2036
(Cayman Islands) 450,358
Long Beach Asset Holdings Corp. NIM
Trust 144A
3,283 Ser. 03-2, Class N1, 7.627s, 2033 3,283
1,867 Ser. 03-4, Class N1, 6.535s, 2033 1,867
95,984 Ser. 04-2, Class N1, 4.94s, 2034 95,984
135,152 Ser. 04-5, Class Note, 5s, 2034 135,449
905,384 Long Beach Mortgage Loan Trust Ser.
04-3, Class S1, IO, 4 1/2s, 2006 46,967
GBP 500,000 Lothian Mortgages PLC 144A FRN Ser. 3A,
Class D, 5.67s, 2039 (United Kingdom) 942,950
$568,528 Madison Avenue Manufactured Housing
Contract FRB Ser. 02-A, Class B1, 5.78s,
2032 312,690
Master Asset Backed Securities NIM Trust
144A
77,000 Ser. 04-CI5, Class N2, 10s, 2034 76,923
119,194 Ser. 04-HE1, Class A, 5 1/4s, 2034 119,182
370,000 MBNA Credit Card Master Note Trust FRN
Ser. 03-C5, Class C5, 3.66s, 2010 378,141
32,336 Merrill Lynch Mortgage Investors, Inc.
Ser. 03-WM3N, Class N1, 8s, 2005 32,420
Merrill Lynch Mortgage Investors, Inc.
144A
76,578 Ser. 04-FM1N, Class N1, 5s, 2035 76,241
62,903 Ser. 04-HE1N, Class N1, 5s, 2006 62,462
92,659 Mid-State Trust Ser. 11, Class B,
8.221s, 2038 90,184
155,000 Morgan Stanley ABS Capital I FRB Ser.
04-HE8, Class B3, 5.73s, 2034 156,532
95,000 Morgan Stanley Auto Loan Trust 144A Ser.
04-HB2, Class E, 5s, 2012 92,061
Morgan Stanley Dean Witter Capital I
60,154 FRN Ser. 01-NC3, Class B1, 4.98s, 2031 59,584
164,086 FRN Ser. 01-NC4, Class B1, 4.918s, 2032 162,760
37,753 New Century Mortgage Corp. NIM Trust
144A Ser. 03-B, Class Note, 6 1/2s, 2033 37,859
Oakwood Mortgage Investors, Inc.
494,000 Ser. 00-D, Class A4, 7.4s, 2030 322,780
761,437 Ser. 01-C, Class A2, 5.92s, 2017 479,858
376,477 Ser. 01-C, Class A4, 7.405s, 2030 262,329
118,712 Ser. 01-D, Class A2, 5.26s, 2019 91,729
459,000 Ser. 01-D, Class A4, 6.93s, 2031 362,931
852,483 Ser. 01-E, Class A2, 5.05s, 2019 698,104
285,112 Ser. 02-A, Class A2, 5.01s, 2020 240,036
240,000 Ser. 02-B, Class A4, 7.09s, 2032 216,000
1,028,090 Ser. 02-C, Class A1, 5.41s, 2032 913,664
410,643 Ser. 99-B, Class A4, 6.99s, 2026 372,210
739,251 Ser. 99-D, Class A1, 7.84s, 2029 701,401
205,586 Oakwood Mortgage Investors, Inc. 144A
Ser. 01-B, Class A4, 7.21s, 2030 195,944
262,000 Ocean Star PLC 144A FRB Ser. 04-A, Class
E, 8.606s, 2018 (Ireland) 262,000
18,561 Option One Mortgage Securities Corp. NIM
Trust 144A Ser. 03-5, Class Note, 6.9s,
2033 18,654
38,000 Park Place Securities NIM Trust 144A
Ser. 04-WCW2, Class D, 7.387s, 2034 38,000
109,430 Pass-Through Amortizing Credit Card
Trust Ser. 02-1A, Class A4FL, 7.98s,
2012 109,605
55,000 People's Choice Net Interest Margin Note
144A Ser. 04-2, Class B, 5s, 2034 49,830
Permanent Financing PLC FRB
150,000 Ser. 1, Class 3C, 3.66s, 2042 (United
Kingdom) 151,440
190,000 Ser. 3, Class 3C, 3.61s, 2042 (United
Kingdom) 192,584
GBP 480,000 Ser. 6, Class 3C, 2.85s, 2042 (United
Kingdom) 905,232
$1,166,810 Residential Asset Mortgage Products,
Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s,
2005 23,988
253,085 Residential Asset Securities Corp. 144A
Ser. 04-N10B, Class A1, 5s, 2034 253,085
134,298 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 137,823
SAIL Net Interest Margin Notes 144A
129,727 Ser. 03-10A, Class A, 7 1/2s, 2033
(Cayman Islands) 130,376
54,010 Ser. 03-12A, Class A, 7.35s, 2033
(Cayman Islands) 54,550
41,739 Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman
Islands) 42,052
17,969 Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman
Islands) 17,950
90,871 Ser. 03-5, Class A, 7.35s, 2033 (Cayman
Islands) 90,845
31,031 Ser. 03-6A, Class A, 7s, 2033 (Cayman
Islands) 31,031
73,939 Ser. 03-7A, Class A, 7s, 2033 (Cayman
Islands) 73,390
17,073 Ser. 03-8A, Class A, 7s, 2033 (Cayman
Islands) 16,987
45,787 Ser. 03-9A, Class A, 7s, 2033 (Cayman
Islands) 45,549
83,807 Ser. 03-BC2A, Class A, 7 3/4s, 2033
(Cayman Islands) 83,564
385,616 Ser. 04-10A, Class A, 5s, 2034 (Cayman
Islands) 385,770
211,589 Ser. 04-2A, Class A, 5 1/2s, 2034
(Cayman Islands) 211,589
242,256 Ser. 04-4A, Class A, 5s, 2034 (Cayman
Islands) 241,893
183,114 Ser. 04-7A, Class A, 4 3/4s, 2034
(Cayman Islands) 182,859
44,852 Ser. 04-7A, Class B, 6 3/4s, 2034
(Cayman Islands) 44,107
217,335 Ser. 04-8A, Class A, 5s, 2034 (Cayman
Islands) 217,335
104,936 Ser. 04-8A, Class B, 6 3/4s, 2034
(Cayman Islands) 102,580
150,080 Ser. 04-AA, Class A, 4 1/2s, 2034
(Cayman Islands) 149,555
Sasco Net Interest Margin Trust 144A
39,914 Ser. 03-AM1, Class A, 7 3/4s, 2033
(Cayman Islands) 39,720
148,881 Ser. 03-BC1, Class B, zero %, 2033 126,549
34,271 Saxon Net Interest Margin Trust 144A
Ser. 03-A, Class A, 6.656s, 2033 34,271
Sharps SP I, LLC Net Interest Margin
Trust 144A
45,044 Ser. 03-0P1N, Class NA, 4.45s, 2033 44,990
27,611 Ser. 03-HS1N, Class N, 7.48s, 2033 27,681
34,100 Ser. 03-NC1N, Class N, 7 1/4s, 2033 34,239
14,719 Ser. 03-TC1N, Class N, 7.45s, 2033 14,719
23,012 Ser. 04-FM1N, Class N, 6.16s, 2033 23,056
58,419 Ser. 04-HE2N, Class NA, 5.43s, 2034 58,273
21,682 Ser. 04-HS1N, Class Note, 5.92s, 2034 21,682
Structured Asset Investment Loan Trust
64,238 Ser. 03-BC1A, Class A, 7 3/4s, 2033 64,438
2,207,641 Ser. 03-BC2, Class A, IO, 6s, 2005 19,796
1,048,003 Ser. 03-BC8, Class A, IO, 6s, 2005 19,733
5,904,743 Ser. 04-1, Class A, IO, 6s, 2005 169,780
254,000 TIAA Real Estate CDO, Ltd. Ser. 03-1A,
Class E, 8s, 2038 (Cayman Islands) 246,036
212,000 TIAA Real Estate CDO, Ltd. 144A Ser.
02-1A, Class IV, 6.84s, 2037 201,438
1,347,515 Washington Mutual Ser. 03-S1, Class A11,
IO, 5 1/2s, 2033 51,374
Wells Fargo Home Equity Trust 144A
495,201 Ser. 04-2, Class N1, 4.45s, 2034 495,172
116,000 Ser. 04-2, Class N2, 8s, 2034 110,200
Whole Auto Loan Trust 144A
297,387 Ser. 03-1, Class D, 6s, 2010 296,318
273,000 Ser. 04-1, Class D, 5.6s, 2011 272,190
-------------
Total Asset-backed securities (cost $39,988,556) $38,879,490
Collateralized mortgage obligations (4.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage,
Inc. 144A
$87,946 Ser. 01-1, Class J, 6 1/8s, 2036 $86,709
199,000 Ser. 01-1, Class K, 6 1/8s, 2036 147,952
114,000 Banc of America Large Loan 144A FRN Ser.
02-FL2A, Class L1, 5.4s, 2014 114,334
133,000 Bear Stearns Commercial Mortgage
Securitization Corp. Ser. 00-WF2, Class
F, 8.195s, 2032 159,253
190,000 Bear Stearns Commercial Mortgage
Securitization Corp. 144A Ser. 04-ESA,
Class K, 4.95s, 2016 189,999
2,093,508 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, IO, 0.916s, 2017 46,450
289,000 Commercial Mortgage Pass-Through
Certificates 144A Ser. 01-FL4A, Class D,
3.253s, 2013 282,266
757,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2033 805,259
1,143,000 Criimi Mae Commercial Mortgage Trust
144A Ser. 98-C1, Class B, 7s, 2033 1,219,203
CS First Boston Mortgage Securities
Corp. 144A
192,000 FRB Ser. 03-TF2A, Class L, 6.48s, 2014 190,962
520,000 Ser. 98-C1, Class F, 6s, 2040 381,814
192,000 Ser. 02-CP5, Class M, 5 1/4s, 2035 137,952
20,684,967 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 1.082s,
2031 538,516
DLJ Commercial Mortgage Corp.
152,919 Ser. 98-CF2, Class B4, 6.04s, 2031 149,907
489,824 Ser. 98-CF2, Class B5, 5.95s, 2031 335,632
DLJ Mortgage Acceptance Corp. 144A
149,000 Ser. 97-CF1, Class B2, 8.16s, 2030 37,250
144,000 Ser. 97-CF1, Class B1, 7.91s, 2030 156,708
GBP 72,034 European Loan Conduit 144A FRN Ser. 6A,
Class F, 7.148s, 2010 (United Kingdom) 137,548
Fannie Mae
$372 Ser. 92-15, Class L, IO, 1037.606s, 2022 3,927
62,796 Ser. 98-51, Class SG, IO, 24.04s, 2022 30,178
210,519 Ser. 02-36, Class SJ, 14.081s, 2029 222,237
218,028 Ser. 03-W3, Class 1A3, 7 1/2s, 2042 233,493
4,670 Ser. 03-W2, Class 1A3, 7 1/2s, 2042 5,003
511 Ser. 02-W1, Class 2A, 7 1/2s, 2042 544
2,043 Ser. 02-14, Class A2, 7 1/2s, 2042 2,186
271,767 Ser. 01-T10, Class A2, 7 1/2s, 2041 290,266
1,196 Ser. 02-T4, Class A3, 7 1/2s, 2041 1,278
3,169 Ser. 01-T8, Class A1, 7 1/2s, 2041 3,382
1,053,538 Ser. 01-T7, Class A1, 7 1/2s, 2041 1,122,934
157,582 Ser. 01-T3, Class A1, 7 1/2s, 2040 168,084
481,385 Ser. 01-T1, Class A1, 7 1/2s, 2040 514,410
199,932 Ser. 99-T2, Class A1, 7 1/2s, 2039 213,771
100,320 Ser. 00-T6, Class A1, 7 1/2s, 2030 106,928
470,934 Ser. 01-T4, Class A1, 7 1/2s, 2028 505,530
1,021 Ser. 02-W3, Class A5, 7 1/2s, 2028 1,092
502,668 Ser. 03-58, Class ID, IO, 6s, 2033 87,338
491,842 Ser. 03-26, Class IG, IO, 6s, 2033 72,583
395,856 Ser. 322, Class 2, IO, 6s, 2032 71,131
486,614 Ser. 318, Class 2, IO, 6s, 2032 89,168
666,730 Ser. 03-118, Class S, IO, 5.57s, 2033 73,340
721,519 Ser. 03-118, Class SF, IO, 5.57s, 2033 85,004
456,128 Ser. 02-36, Class QH, IO, 5.52s, 2029 15,499
2,357,651 Ser. 338, Class 2, IO, 5 1/2s, 2033 465,820
1,045,441 Ser. 329, Class 2, IO, 5 1/2s, 2033 204,923
1,418,444 Ser. 03-37, Class IC, IO, 5 1/2s, 2027 128,325
178,685 Ser. 03-6, Class IB, IO, 5 1/2s, 2022 2,947
4,077,220 Ser. 03-W10, Class 1A, IO, 1.651s, 2043 91,737
4,793,939 Ser. 03-W10, Class 3A, IO, 1.615s, 2043 110,860
2,590,450 Ser. 03-W17, Class 12, IO, 1.158s, 2033 84,449
4,278,274 Ser. 00-T6, IO, 0.755s, 2030 76,875
7,374,791 Ser. 02-T18, IO, 0.52s, 2042 104,524
80,946 Ser. 99-51, Class N, PO (Principal
only), zero %, 2029 69,715
32,989 Ser. 99-52, Class MO, PO, zero %, 2026 31,450
Federal Home Loan Mortgage Corp.
Structured Pass-Through Securities
6,296 Ser. T-58, Class 4A, 7 1/2s, 2043 6,729
2,392,123 Ser. T-57, Class 1AX, IO, 0.446s, 2043 23,204
7,194,612 FFCA Secured Lending Corp. Ser. 00-1,
Class X, IO, 1.562s, 2020 422,043
Freddie Mac
273,968 IFB Ser. 2763, Class SC, 18.70s, 2032 317,271
1,549,232 Ser. 216, IO, 6s, 2032 276,139
786,800 Ser. 2515, Class IG, IO, 5 1/2s, 2032 182,865
378,251 Ser. 2626, Class IK, IO, 5 1/2s, 2030 67,107
404,800 Ser. 2590, Class IH, IO, 5 1/2s, 2028 72,105
279,044 Ser. 2833, Class IK, IO, 5 1/2s, 2023 37,671
167,892 Ser. 215, PO, zero %, 2031 151,056
166,482 Ser. 2235, PO, zero %, 2030 141,666
GE Capital Commercial Mortgage Corp.
144A
321,000 Ser. 00-1, Class G, 6.131s, 2033 286,749
199,000 Ser. 00-1, Class H, 6.131s, 2033 142,544
282,877 GMAC Commercial Mortgage Securities,
Inc. 144A Ser. 99-C3, Class G, 6.974s,
2036 225,458
Government National Mortgage Association
141,302 Ser. 01-43, Class SJ, IO, 5.1s, 2029 1,523
78,150 Ser. 98-2, Class EA, PO, zero %, 2028 66,488
117,000 GS Mortgage Securities Corp. II 144A FRB
Ser. 03-FL6A, Class L, 5.73s, 2015 117,146
GBP 612,939 Hermione (European Loan Conduit No. 14)
144A FRB Class A, 5.348s, 2011 (Ireland) 1,162,300
LB Commercial Conduit Mortgage Trust
144A
$136,232 Ser. 99-C1, Class G, 6.41s, 2031 131,605
534,000 Ser. 98-C4, Class J, 5.6s, 2035 390,425
356,000 Lehman Brothers Floating Rate Commercial
Mortgage Trust 144A FRN Ser. 03-LLFA,
Class L, 6.2s, 2014 351,373
Mach One Commercial Mortgage Trust 144A
226,000 Ser. 04-1A, Class J, 5.45s, 2040 189,343
114,000 Ser. 04-1A, Class K, 5.45s, 2040 93,195
52,000 Ser. 04-1A, Class L, 5.45s, 2040 38,058
3,625,882 Merrill Lynch Mortgage Investors, Inc.
Ser. 96-C2, Class JS, IO, 2.13s, 2028 179,284
3,109,000 Merrill Lynch Mortgage Trust 144A Ser.
04-BPC1, Class XC, IO, 0.059s, 2041 60,237
930,000 Morgan Stanley Capital I 144A Ser.
04-RR, Class F7, 6s, 2039 685,468
2,792,799 Mortgage Capital Funding, Inc. Ser.
97-MC2, Class X, IO, 1.483s, 2012 68,300
111,000 PNC Mortgage Acceptance Corp. 144A Ser.
00-C1, Class J, 6 5/8s, 2010 98,332
Starwood Asset Receivables Trust 144A
95,279 FRB Ser. 03-1A, Class F, 3.63s, 2022 95,403
122,502 FRB Ser. 03-1A, Class E, 3.58s, 2022 122,661
STRIPS 144A
87,000 Ser. 03-1A, Class M, 5s, 2018 (Cayman
Islands) 72,080
104,000 Ser. 03-1A, Class N, 5s, 2018 (Cayman
Islands) 77,657
100,000 Ser. 04-1A, Class M, 5s, 2018 (Cayman
Islands) 83,810
90,000 Ser. 04-1A, Class N, 5s, 2018 (Cayman
Islands) 68,508
EUR 216,000 Titan Europe PLC 144A FRN Ser. 04-2A,
Class D, 3.044s, 2014 (United Kingdom) 281,534
-------------
Total Collateralized mortgage obligations (cost $19,271,631) $17,195,982
Senior loans (3.2%) (a)(c)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
Advertising and Marketing Services (--%)
-----------------------------------------------------------------------------------------------------------
$81,481 Lamar Media bank term loan FRN Ser. D,
4.063s, 2010 $82,322
Aerospace and Defense (--%)
-----------------------------------------------------------------------------------------------------------
24,750 Transdigm, Inc. bank term loan FRN Ser.
C, 4.67s, 2010 25,044
Automotive (0.1%)
-----------------------------------------------------------------------------------------------------------
92,571 Hayes Lemmerz International, Inc. bank
term loan FRN 6.148s, 2009 94,133
300,313 TRW Automotive bank term loan FRN Ser.
B, 4 3/8s, 2010 300,750
-------------
394,883
Beverage (0.3%)
-----------------------------------------------------------------------------------------------------------
1,000,000 Constellation Brands, Inc. bank term
loan FRN Ser. B, 4.404s, 2011 1,012,321
Broadcasting (0.3%)
-----------------------------------------------------------------------------------------------------------
1,020,000 Alliance Atlantist bank term loan FRN
Ser. B, 4.294s, 2011 1,030,838
82,592 DirecTV bank term loan FRN Ser. B-2,
4.465s, 2010 83,686
-------------
1,114,524
Cable Television (0.2%)
-----------------------------------------------------------------------------------------------------------
100,000 Century Cable Holdings bank term loan
FRN 7 1/4s, 2009 99,196
408,573 Charter Communications Holdings,
LLC/Capital Corp. bank term loan FRN
Ser. B, 5.38s, 2011 406,859
34,650 Insight Midwest LP/Insight Capital, Inc.
bank term loan FRN 5.188s, 2009 35,152
270,000 Olympus Cable bank term loan FRN Ser. B,
7 1/4s, 2010 267,638
76,239 Sum Media bank term loan FRN Ser. B,
4.144s, 2009 76,763
-------------
885,608
Chemicals (0.1%)
-----------------------------------------------------------------------------------------------------------
173,688 Hercules, Inc. bank term loan FRN Ser.
B, 3.985s, 2010 175,262
57,225 Nalco Co. bank term loan FRN Ser. B,
4.635s, 2010 57,980
-------------
233,242
Commercial and Consumer Services (--%)
-----------------------------------------------------------------------------------------------------------
87,051 Coinmach Corp. bank term loan FRN Ser.
B, 5.448s, 2009 87,922
Consumer Goods (--%)
-----------------------------------------------------------------------------------------------------------
67,759 Rayovac Corp. bank term loan FRN Ser. C,
4.871s, 2009 68,380
Containers (--%)
-----------------------------------------------------------------------------------------------------------
99,250 Solo Cup Co. bank term loan FRN 4.993s,
2011 100,925
Electric Utilities (--%)
-----------------------------------------------------------------------------------------------------------
80,000 Unisource Energy bank term loan FRN Ser.
B, 5.652s, 2011 80,300
Energy (--%)
-----------------------------------------------------------------------------------------------------------
120,000 Dresser, Inc. bank term loan FRN 5.84s,
2010 121,800
Entertainment (0.2%)
-----------------------------------------------------------------------------------------------------------
77,955 AMF Bowling Worldwide bank term loan FRN
Ser. B, 5.506s, 2009 78,637
119,700 MGM Studios bank term loan FRN Ser. B,
5.06s, 2011 119,670
42,230 Six Flags, Inc. bank term loan FRN Ser.
B, 4.9s, 2009 42,877
350,000 Universal City Development bank term
loan FRN Ser. B, 4.583s, 2011 355,250
-------------
596,434
Financial (--%)
-----------------------------------------------------------------------------------------------------------
108,694 Hilb, Rogal & Hamilton Co. bank term
loan FRN Ser. B, 4.813s, 2011 110,121
Food (0.1%)
-----------------------------------------------------------------------------------------------------------
79,298 Del Monte Foods Co. bank term loan FRN
Ser. B, 4.96s, 2010 79,628
7,728 Dole Food Co. bank term loan FRN Ser. D,
4.843s, 2009 7,841
80,000 Dole Holding Co. bank term loan FRN 8s,
2010 81,900
-------------
169,369
Forest Products and Packaging (--%)
-----------------------------------------------------------------------------------------------------------
68,441 Graphics Packaging bank term loan FRN
Ser. Ser. C, 5.133s, 2010 69,553
Gaming & Lottery (--%)
-----------------------------------------------------------------------------------------------------------
45,077 Penn National Gaming, Inc. bank term
loan FRN Ser. D, 4.99s, 2010 45,178
Health Care (--%)
-----------------------------------------------------------------------------------------------------------
79,800 Community Health Systems, Inc. bank term
loan FRN Ser. B, 4.15s, 2011 80,386
Homebuilding (--%)
-----------------------------------------------------------------------------------------------------------
50,000 Landsource bank term loan FRN Ser. B,
5.063s, 2010 50,688
Household Furniture and Appliances (--%)
-----------------------------------------------------------------------------------------------------------
67,143 Sealy Mattress Co. bank term loan FRN
Ser. C, 4.535s, 2012 68,038
Manufacturing (0.1%)
-----------------------------------------------------------------------------------------------------------
91,435 Amsted Industries bank term loan FRN
5.432s, 2010 92,920
63,729 EaglePicher bank term loan FRN Ser. B,
5.46s, 2009 63,809
49,660 Flowserve Corp. bank term loan FRN Ser.
C, 5.358s, 2009 50,498
79,086 Invensys, PLC bank term loan FRN Ser.
B-1, 6.091s, 2009 (United Kingdom) 80,322
94,495 Mueller Group bank term loan FRN 5.099s,
2011 95,322
32,839 SPX Corp. bank term loan FRN Ser. B-1,
4.438s, 2009 32,962
-------------
415,833
Media (0.1%)
-----------------------------------------------------------------------------------------------------------
18,662 Affinity Group Holdings bank term loan
FRN Ser. B1, 5.514s, 2009 18,833
46,657 Affinity Group Holdings bank term loan
FRN Ser. B2, 5.474s, 2009 47,084
198,500 Warner Music Group bank term loan FRN
Ser. B, 5.209s, 2011 200,774
-------------
266,691
Medical Services (0.1%)
-----------------------------------------------------------------------------------------------------------
61,719 Beverly Enterprises, Inc. bank term loan
FRN 5.082s, 2008 62,490
98,505 Concentra bank term loan FRN 5.045s,
2009 99,531
197,301 DaVita, Inc. bank term loan FRN Ser. B,
4.458s, 2009 197,512
79,600 Fisher Scientific International, Inc.
bank term loan FRN Ser. B, 3.92s, 2011 80,164
-------------
439,697
Medical Technology (0.1%)
-----------------------------------------------------------------------------------------------------------
49,375 Hanger Orthopedic Group, Inc. bank term
loan FRN 6.06s, 2009 49,684
54,313 Kinetic Concepts, Inc. bank term loan
FRN Ser. B, 4.31s, 2011 54,584
80,031 Medex, Inc. bank term loan FRN Ser. B, 5
1/2s, 2009 80,698
-------------
184,966
Metals (--%)
-----------------------------------------------------------------------------------------------------------
115,259 SGL Carbon, LLC bank term loan FRN
4.95s, 2009 115,835
Natural Gas Utilities (0.2%)
-----------------------------------------------------------------------------------------------------------
435,252 EL Paso Corp. bank term loan FRN Ser. B,
Class B, 5.188s, 2009 439,484
113,000 El Paso Corp. bank Corp. term loan FRN
Ser. C, 2.3s, 2009 113,883
64,028 Williams Products bank term loan FRN
Ser. C, 4.99s, 2007 64,882
-------------
618,249
Power Producers (0.3%)
-----------------------------------------------------------------------------------------------------------
437,500 NRG bank term loan FRN 2.45s, 2011 438,320
562,500 NRG bank term loan FRN Ser. B, 4.295s,
2011 565,031
-------------
1,003,351
Publishing (0.8%)
-----------------------------------------------------------------------------------------------------------
1,450,000 Advertising Direct bank term loan FRN
4.48s, 2011 1,462,170
81,763 Dex Media West, LLC bank term loan FRN
Ser. B, 4.26s, 2010 82,740
63,587 PRIMEDIA, Inc. bank term loan FRN Ser.
B, 5 3/8s, 2009 62,792
1,000,000 Raycom Media, Inc. bank term loan FRN
Ser. B, 4.563s, 2012 1,011,250
107,637 RH Donnelley Finance Corp. bank term
loan FRN Ser. B, 4.275s, 2011 108,635
110,000 WRC Media Corp. bank term loan FRN
6.761s, 2009 109,175
-------------
2,836,762
Real Estate (0.1%)
-----------------------------------------------------------------------------------------------------------
500,000 General Growth Propery bank term loan
FRN Ser. B, 4.64s, 2008 503,386
Regional Bells (--%)
-----------------------------------------------------------------------------------------------------------
49,667 Consolidated Communications bank term
loan FRN Ser. C, 4.95s, 2012 50,412
105,625 Qwest Communications International, Inc.
bank term loan FRN Ser. A, 7.39s, 2007 110,076
-------------
160,488
Retail (0.1%)
-----------------------------------------------------------------------------------------------------------
250,000 Boise Cascade Corp. bank term loan FRN
Ser. C, 4.688s, 2011 250,085
Shipping (--%)
-----------------------------------------------------------------------------------------------------------
68,696 Pacer International, Inc. bank term loan
FRN 4.371s, 2010 69,555
Telecommunications (--%)
-----------------------------------------------------------------------------------------------------------
59,548 PanAmSat Corp. bank term loan FRN Ser.
B, 5 1/4s, 2011 59,972
49,750 SBA Senior Finance, Inc. bank term loan
FRN 4.862s, 2008 50,356
-------------
110,328
Tire & Rubber (--%)
-----------------------------------------------------------------------------------------------------------
80,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 7.03s, 2006 81,120
75,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 4.6s, 2007 75,680
-------------
156,800
Waste Management (--%)
-----------------------------------------------------------------------------------------------------------
80,989 Allied Waste Industries, Inc. bank term
loan FRN 5 1/8s, 2010 82,146
13,790 Allied Waste Industries, Inc. bank term
loan FRN Ser. C, 2.4s, 2010 13,962
-------------
96,108
-------------
Total Senior loans (cost $12,494,538) $12,625,172
Common stocks (0.9%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
1,083 AboveNet, Inc. (NON) $32,761
1,153 Alderwoods Group, Inc. (NON) 13,876
350,000 AMRESCO Creditor Trust (acquired
6/17/99, cost $62,787) (RES)(NON)(R)(F) 350
605 Birch Telecom, Inc. (NON)(F) 6
46,000 Coinmach Service Corp. IDS (Income
Deposit Securities) (NON) 579,600
248 Comdisco Holding Co., Inc. 6,138
1,883,299 Contifinancial Corp. Liquidating Trust
Units 47,082
8,378 Covad Communications Group, Inc. (NON) 14,159
267 Crown Castle International Corp. (NON) 4,379
614 Genesis HealthCare Corp. (NON) 21,294
25,179 Globix Corp. (NON) 89,134
295,000 iPCS Escrow, Inc. (NON)(F) 295
6,866 iPCS, Inc. (NON) 212,846
99 Knology, Inc. (NON) 228
87 Leucadia National Corp. 3,150
3,473 Lodgian, Inc. (NON) 40,808
60,000 Loewen Group International, Inc.
(NON)(F) 6
3,095 Northwestern Corp. (NON) 87,774
431 Polymer Group, Inc. Class A (NON) 7,758
1,004 PSF Group Holdings, Inc. 144A Class A
(NON)(F) 1,505,790
28,727 Regal Entertainment Group (F) 571,093
129 Sterling Chemicals, Inc. (NON) 5,096
467 Sun Healthcare Group, Inc. (NON) 3,554
8 USA Mobility, Inc. (NON) 284
503,131 VFB LLC (acquired various dates from
10/27/00 through 12/08/03, cost
$355,888) (RES)(NON) 103,142
2,398 Washington Group International, Inc.
(NON) 94,433
-------------
Total Common stocks (cost $7,901,558) $3,445,036
Brady bonds (0.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$900,000 Argentina (Republic of) govt. guaranty
FRB Ser. L-GL, 3 1/2s, 2023 (In default)
(NON) $499,500
344,120 Brazil (Federal Republic of) FRB Ser. 18
YR, 3 1/8s, 2012 329,082
233,825 Brazil (Federal Republic of) govt.
guaranty FRB Ser. RG, 3 1/8s, 2012 223,607
375,000 Peru (Republic of) coll. FLIRB Ser.
20YR, 4 1/2s, 2017 347,813
325,600 Peru (Republic of) FRB Ser. 20 YR, 5s,
2017 307,692
-------------
Total Brady bonds (cost $1,453,481) $1,707,694
Preferred stocks (0.3%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
5,858 Doane Pet Care Co. $7.125 pfd. $304,616
14 Dobson Communications Corp. 13.00% pfd.
(PIK) 7,560
210 First Republic Capital Corp. 144A 10.50%
pfd. 217,350
6,895 iStar Financial, Inc. Ser. F, $1.95 cum.
pfd. (R) 180,304
16 Paxson Communications Corp. 14.25% cum.
pfd. (PIK) 131,200
473 Rural Cellular Corp. Ser. B, 11.375%
cum. pfd. (PIK) 428,065
-------------
Total Preferred stocks (cost $1,198,225) $1,269,095
Convertible preferred stocks (0.2%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
1,355 Emmis Communications Corp. Ser. A,
$3.125 cum. cv. pfd. $59,451
2,910 Omnicare, Inc. $2.00 cv. pfd. 145,500
37 Paxson Communications Corp. 144A 9.75%
cv. pfd. (PIK) 196,100
3,690 Williams Cos., Inc. (The) 144A $2.75 cv.
pfd. 316,879
-------------
Total Convertible preferred stocks (cost $649,676) $717,930
Units (0.1%) (a)
-----------------------------------------------------------------------------------------------------------
Number of units Value
-----------------------------------------------------------------------------------------------------------
470,000 Morrison Knudsen Corp. 2032 $35,838
376 XCL Equity Units zero % (F) 167,075
-------------
Total Units (cost $1,201,151) $202,913
Convertible bonds and notes (--%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$1,210,000 Cybernet Internet Services
International, Inc. 144A cv. sr. disc.
notes 13s, 2009 (Denmark) (In default)
(NON) $12
145,000 WCI Communities, Inc. cv. sr. sub. notes
4s, 2023 188,319
-------------
Total Convertible bonds and notes (cost $1,173,108) $188,331
Warrants (--%) (a) (NON)
-----------------------------------------------------------------------------------------------------------
Number of warrants Expiration date Value
-----------------------------------------------------------------------------------------------------------
391 AboveNet, Inc. 9/8/2008 $4,692
460 AboveNet, Inc. 9/8/2010 3,680
560 Dayton Superior Corp. 144A 6/15/2009 --
266 MDP Acquisitions PLC 144A 10/1/2013 7,448
210 Mikohn Gaming Corp. 144A 8/15/2008 1,840
220 ONO Finance PLC 144A (United Kingdom) 2/15/2011 2
230 Pliant Corp. 144A 6/1/2010 2
570 Travel Centers of America, Inc. 144A 5/1/2009 2,850
900 Ubiquitel, Inc. 144A 4/15/2010 --
1,479 Washington Group International, Inc.
Ser. A 1/25/2006 16,742
1,691 Washington Group International, Inc.
Ser. B 1/25/2006 14,204
914 Washington Group International, Inc.
Ser. C 1/25/2006 6,535
320 XM Satellite Radio Holdings, Inc. 144A 3/15/2010 27,200
-------------
Total Warrants (cost $302,622) $85,195
Short-term investments (9.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$35,275,785 Putnam Prime Money Market Fund (e) $35,275,785
600,000 U.S. Treasury Bill zero %, March 31,
2005 (SEG) 597,917
-------------
Total Short-term investments (cost $35,873,702) $35,873,702
-----------------------------------------------------------------------------------------------------------
Total Investments (cost $405,702,157) (b) $412,515,904
-----------------------------------------------------------------------------------------------------------
Forward currency contracts to buy at January 31, 2005 (Unaudited)
(aggregate face value $57,315,201)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
-----------------------------------------------------------------------------------------------------------
Australian Dollar $11,192,239 $11,183,871 4/20/05 $8,368
British Pound 9,995,264 10,052,488 3/16/05 (57,224)
Canadian Dollar 21,609 21,705 4/20/05 (96)
Danish Krone 681,730 695,513 3/16/05 (13,783)
Euro 6,288,896 6,422,459 3/16/05 (133,563)
Japanese Yen 17,520,588 17,680,024 5/18/05 (159,436)
New Zealand Dollar 170,032 171,252 4/20/05 (1,220)
Polish Zloty 283,599 282,134 3/16/05 1,465
Swedish Krona 953,501 996,204 3/16/05 (42,703)
Swiss Franc 8,492,006 8,810,530 3/16/05 (318,524)
Taiwan Dollar 1,010,168 999,021 5/18/05 11,147
-----------------------------------------------------------------------------------------------------------
$(705,569)
-----------------------------------------------------------------------------------------------------------
Forward currency contracts to sell at January 31, 2005 (Unaudited)
(aggregate face value $65,633,097)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
-----------------------------------------------------------------------------------------------------------
Australian Dollar $3,398,293 $3,375,845 4/20/05 $(22,448)
British Pound 3,232,648 3,213,831 3/16/05 (18,817)
Canadian Dollar 8,706,144 9,009,172 4/20/05 303,028
Euro 30,678,019 31,261,781 3/16/05 583,762
Norwegian Krone 5,494,684 5,661,970 3/16/05 167,286
Swedish Krona 7,184,489 7,424,523 3/16/05 240,034
Swiss Franc 5,439,728 5,689,451 3/16/05 249,723
-----------------------------------------------------------------------------------------------------------
$1,502,568
-----------------------------------------------------------------------------------------------------------
Futures contracts outstanding at January 31, 2005 (Unaudited)
Unrealized
Aggregate Expiration appreciation/
Value face value date (depreciation)
-----------------------------------------------------------------------------------------------------------
CBT Interest Rate Swap 10yr (Long) $892,250 $887,570 Mar-05 $4,680
Euro-Bobl 5 yr (Long) 7,100,299 7,078,557 Mar-05 21,742
Euro-Bund 10 yr (Long) 10,942,176 10,778,524 Mar-05 163,652
Liffe-Gilt (Long) 2,511,565 2,510,823 Mar-05 742
Japanese Government Bond 10 yr (Long) 4,047,854 4,008,527 Mar-05 39,327
Japanese Government Bond 10 yr-TSE (Long) 6,747,873 6,680,938 Mar-05 66,935
U.S. Treasury Note 10 yr (Long) 7,746,328 7,708,608 Mar-05 37,720
U.S. Treasury Note 30 yr (Long) 4,478,906 4,436,408 Mar-05 42,498
U.S. Treasury Note 5 yr (Short) 60,196,750 60,139,130 Mar-05 (57,620)
-----------------------------------------------------------------------------------------------------------
$319,676
-----------------------------------------------------------------------------------------------------------
TBA sale commitments outstanding at January 31, 2005 (Unaudited)
(proceeds receivable $6,913,313)
Principal Settlement
Agency amount date Value
-----------------------------------------------------------------------------------------------------------
FHLMC 6 1/2s, February 1, 2035 $3,600,000 2/10/05 $3,774,093
FNMA 6 1/2s, February 1, 2035 3,000,000 2/10/05 3,139,219
-----------------------------------------------------------------------------------------------------------
$6,913,312
-----------------------------------------------------------------------------------------------------------
Interest rate swap contracts outstanding at January 31, 2005 (Unaudited)
Unrealized
Notional Termination appreciation/
amount date (depreciation)
-----------------------------------------------------------------------------------------------------------
Agreement with Bank of America, N.A. dated March 25, 2004 to
pay semi-annually the notional amount multiplied by 3.075%
and receive quarterly the notional amount multiplied by the
three month USD-LIBOR. $9,000,000 3/30/09 $236,252
Agreement with Bank of America, N.A. dated January 22, 2004
to pay semi-annually the notional amount multiplied by
1.97375% and receive quarterly the notional amount
multiplied by the three month USD-LIBOR. 4,500,000 1/26/06 56,268
Agreement with Bank of America, N.A. dated December 2, 2003
to pay semi-annually the notional amount multiplied by
2.444% and receive quarterly the notional amount multiplied
by the three month USD-LIBOR. 3,496,000 12/5/05 21,431
Agreement with Bank of America, N.A. dated January 22, 2004
to pay semi-annually the notional amount multiplied by 4.35%
and receive quarterly the notional amount multiplied by the
three month USD-LIBOR. 1,400,000 1/27/14 9,094
Agreement with Credit Suisse First Boston International
dated July 7, 2004 to pay semi-annually the notional amount
multiptied by 4.945% and receive quarterly the notional
amount multiplied by the three month USD-LIBOR. 3,157,800 7/9/14 (119,678)
Agreement with Credit Suisse First Boston International
dated July 7, 2004 to receive semi-annually the notional
amount multiptied by 2.931% and pay quarterly the notional
amount multiplied by the three month USD-LIBOR. 2,798,800 7/9/06 (19,234)
Agreement with Lehman Brothers Special Financing, Inc. dated
December 9, 2003 to receive semi-annually the notional
amount multiptied by 4.641% and pay quarterly the notional
amount multiplied by the three month USD-LIBOR-BBA. 5,068,000 12/15/13 91,948
Agreement with Lehman Brothers Special Financing, Inc. dated
January 22, 2004 to pay semi-annually the notional amount
multiplied by 1.955% and receive quarterly the notional
amount multiplied by the three month USD-LIBOR-BBA. 4,500,000 1/26/06 56,820
Agreement with Merrill Lynch International & CO. C.V. dated
January 25, 2005 to pay semi-annually the notional amount
multiplied by 3.0425% and receive quarterly the notional
amount multiplied by three month BA CDOR. CAD 45,600,000 1/25/07 4,772
Agreement with Lehman Brothers Special Financing, Inc. dated
January 22, 2004 to pay semi-annually the notional amount
multiplied by 4.3375% and receive quarterly the notional
amount multiplied by the three month USD-LIBOR-BBA. $1,400,000 1/26/14 10,235
Agreement with Merrill Lynch Capital Services, Inc. dated
September 27, 2002 to receive semi-annually the notional
amount multiplied by the six month JPY-LIBOR-BBA and pay
semi-annually the notional amount multiplied by 0.399%. JPY 1,334,000,000 10/1/07 (63,115)
Agreement with Merrill Lynch Capital Services, Inc. dated
November 17, 2000 to pay semi-annually the notional amount
multiplied by the three month USD-LIBOR-BBA and receive
the notional amount multiplied by 6.68%. $3,500,000 11/21/05 126,200
-----------------------------------------------------------------------------------------------------------
$410,993
-----------------------------------------------------------------------------------------------------------
Credit default contracts outstanding at January 31, 2005 (Unaudited)
Unrealized
Notional appreciation/
amount (depreciation)
-----------------------------------------------------------------------------------------------------------
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.35% and
the fund pays in the event of a credit default in one of the
underlying securities in the basket of BB CMBS securities. $613,630 $31,622
Agreement with Citigroup effective January 6, 2005, maturing
on December 20, 2009, to receive a premium based on the
difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 3,000,000 (84,688)
Agreement with Deutsche Bank AG effective January 6, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 1,000,000 (21,759)
Agreement with JP Morgan effective January 10, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 1,000,000 (25,104)
Agreement with Goldman Sachs effective January 13, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 1,000,000 (25,104)
Agreement with JP Morgan effective January 18, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 1,000,000 (25,104)
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.55625%
and the fund pays in the event of a credit default in one of
the underlying securities in the basket of BB CMBS
securities. 613,630 19,288
Agreement with JP Morgan effective January 14, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 2,000,000 (50,208)
Agreement with UBS Securities effective January 14, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 1,000,000 (25,519)
Agreement with Lehman Brothers effective January 14, 2005,
maturing on December 20, 2009, to receive a premium based on
the difference between the original spread on issue and the
market spread on day of execution and pay quarterly 375
basis points time the notional amount. Upon a credit
default event of a reference entity within CDX BB HY Series
3 Index, the fund receives a payment of the proportional
notional amount times the difference between the par value
and the then-market value of the reference entity within the
CDX BB HY Series 3 Index. 1,000,000 (25,519)
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.4625% and
the fund pays in the event of a credit default in one of the
underlying securities in the basket of BB CMBS securities. 306,815 14,704
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.433% and
the fund pays in the event of a credit default in one of the
underlying securities in the basket of BB CMBS securities. 230,111 10,435
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.475% and
the fund pays in the event of a credit default in one of the
underlying securities in the basket of BB CMBS securities. 153,407 6,468
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.5% and
the fund pays in the event of a credit default in one of the
underlying securities in the basket of BB CMBS securities. 76,704 5,044
Agreement with Goldman Sachs effective September 2, 2004,
terminating on the date on which the notional amount is
reduced to zero or the date on which the assets securing the
reference obligation are liquidated, the fund receives a
payment of the outstanding notional amount times 2.6% and
the fund pays in the event of a credit default in one of the
underlying securities in the basket of BB CMBS securities. 76,704 792
-----------------------------------------------------------------------------------------------------------
$(194,654)
-----------------------------------------------------------------------------------------------------------
NOTES
(a) Percentages indicated are based on net assets of $394,302,218.
(b) The aggregate identified cost on a tax basis is $405,947,299, resulting in gross unrealized
appreciation and depreciation of $22,197,507 and $15,628,902, respectively, or net unrealized appreciation
of $6,568,605.
(c) Senior loans are exempt from registration under the Security Act of 1933, as amended, but contain
certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which
adjust periodically. The interest rate shown for senior loans are the current interest rates at January
31, 2005. Senior loans are also subject to mandatory and/or optional prepayment which cannot be
predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend
rate to be paid and the date the fund will begin accruing interest or dividend income at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted
securities held at January 31, 2005 was $103,492 or 0.03% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) This security was pledged and segregated with the custodian to cover margin requirements for futures
contracts at January 31, 2005.
(F) Security is valued at fair value following procedures approved by the Trustees.
(R) Real Estate Investment Trust.
(e) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam
Prime Money Market Fund, an open-end management investment company managed by Putnam Investment
Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam,
LLC. Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam
Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund.
Income distributions earned by the fund totaled $230,621 for the period ended January 31, 2005.
144A after the name of a security represents those exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
TBA after the name of a security represents to be announced securities.
FLIRB represents Front Loaded Interest Reduction Bond.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest
rates at January 31, 2005.
Security valuation Investments for which market quotations are readily available are valued at the
last reported sales price on their principal exchange, or official closing price for certain markets.
If no sales are reported-- as in the case of some securities traded over-the-counter-- a security is
valued at its last reported bid price. Market quotations are not considered to be readily available
for certain debt obligations; such investments are valued at fair value on the basis of valuations
furnished by an independent pricing service or dealers, approved by the Trustees. Such services or
dealers determine valuations for normal institutional-size trading units of such securities using
methods based on market transactions for comparable securities and various relationships, generally
recognized by institutional traders, between securities. Many securities markets and exchanges
outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing
prices for securities in such markets or on such exchanges may not fully reflect events that occur
after such close but before the close of the New York Stock Exchange. Accordingly, on certain days,
the fund will fair value foreign securities taking into account multiple factors, including movements
in the U.S. securities markets. The number of days on which fair value prices will be used will
depend on market activity and it is possible that fair value prices will be used by the fund to a
significant extent. Securities quoted in foreign currencies are translated into U.S. dollars at the
current exchange rate. Short-term investments having remaining maturities of 60 days or less are
valued at amortized cost, which approximates fair value. Other investments, including certain
restricted securities, are valued at fair value following procedures approved by the Trustees. Such
valuations and procedures are reviewed periodically by the Trustees.
Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements
between two parties to buy and sell currencies at a set price on a future date. These contracts are
used to protect against a decline in value relative to the U.S. dollar of the currencies in which its
portfolio securities are denominated or quoted (or an increase in the value of a currency in which
securities a fund intends to buy are denominated, when a fund holds cash reserves and short term
investments). The U.S. dollar value of forward currency contracts is determined using current forward
currency exchange rates supplied by a quotation service. The market value of the contract will
fluctuate with changes in currency exchange rates. The contract is marked to market daily and the
change in market value is recorded as an unrealized gain or loss. When the contract is closed, the
fund records a realized gain or loss equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed. The fund could be exposed to risk if the
value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet
the terms of their contracts or if the fund is unable to enter into a closing position. Risks may
exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts
outstanding at period end, if any, are listed after the fund's portfolio.
Futures and options contracts The fund may use futures and options contracts to hedge against changes
in the values of securities the fund owns or expects to purchase. The fund may also write options on
securities it owns or in which it may invest to increase its current returns.
The potential risk to the fund is that the change in value of futures and options contracts may not
correspond to the change in value of the hedged instruments. In addition, losses may arise from
changes in the value of the underlying instruments, if there is an illiquid secondary market for the
contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts
recognized on the statement of assets and liabilities. When the contract is closed, the fund records a
realized gain or loss equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. Realized gains and losses on purchased options are
included in realized gains and losses on investment securities. If a written call option is
exercised, the premium originally received is recorded as an addition to sales proceeds. If a written
put option is exercised, the premium originally received is recorded as a reduction to cost of
investments.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on
which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily
fluctuation in the value of the futures contract. Such receipts or payments are known as "variation
margin." Exchange traded options are valued at the last sale price, or if no sales are reported, the
last bid price for purchased options and the last ask price for written options. Options traded
over-the-counter are valued using prices supplied by dealers. Futures and written option contracts
outstanding at period end, if any, are listed after the fund's portfolio.
Interest rate swap contracts The fund may enter into interest rate swap contracts, which are
arrangements between two parties to exchange cash flows based on a notional principal amount, to
manage the fund's exposure to interest rates. Interest rate swap contracts are marked to market daily
based upon quotations from market makers and the change, if any, is recorded as unrealized gain or
loss. Payments received or made are recorded as realized gains or loss. The fund could be exposed to
credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the
counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the
statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any,
are listed after the fund's portfolio.
Credit default contracts The fund may enter into credit default contracts where one party, the
protection buyer, makes an upfront or periodic payment to a counter party, the protection seller, in
exchange for the right to receive a contingent payment. The maximum amount of the payment may equal
the notional amount, at par, of the underlying index or security as a result of a related credit
event. An upfront payment received by the fund, as the protection seller, is recorded as a liability
on the fund's books. An upfront payment made by the fund, as the protection buyer, is recorded as an
asset on the fund's books. Periodic payments received or paid by the fund are recorded as realized
gains or losses. The credit default contracts are marked to market daily based upon quotations from
market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or
made as a result of a credit event or termination of the contract are recognized, net of a
proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the
risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable
changes in interest rates or in the price of the underlying security or index, the possibility that
the fund may be unable to close out its position at the same time or at the same price as if it had
purchased comparable publicly traded securities or that the counterparty may default on its obligation
to perform. Risks of loss may exceed amounts recognized on the statement of asses and liabilities.
Credit default contracts outstanding at period end, if any, are listed after the fund's portfolio.
TBA purchase commitments The fund may enter into "TBA" (to be announced) commitments to purchase
securities for a fixed unit price at a future date beyond customary settlement time. Although the
unit price has been established, the principal value has not been finalized. However, the amount of
the commitments will not significantly differ from the principal amount. The fund holds, and
maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet
the purchase price, or the fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until settlement date. TBA purchase
commitments may be considered securities themselves, and involve a risk of loss if the value of the
security to be purchased declines prior to the settlement date, which risk is in addition to the risk
of decline in the value of the fund's other assets. Unsettled TBA purchase commitments are valued at
fair value of the underlying securities, according to the procedures described under "Security
valuation" above. The contract is "marked-to-market" daily and the change in market value is recorded
by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring
securities for its portfolio or for delivery pursuant to options contracts it has entered into, the
fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do
so.
TBA sale commitments The fund may enter into TBA sale commitments to hedge its portfolio positions or
to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date. During the time a TBA sale
commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment
deliverable on or before the sale commitment date, are held as "cover" for the transaction.
Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally
according to the procedures described under "Security valuation" above. The contract is
"marked-to-market" daily and the change in market value is recorded by the fund as an unrealized gain
or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase
commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment,
the fund realizes a gain or a loss from the sale of the securities based upon the unit price
established at the date the commitment was entered into. TBA sale commitments outstanding at period
end, if any, are listed after the fund's portfolio.
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:
------------------
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly
caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
NAME OF REGISTRANT
By (Signature and Title): /s/ Michael T. Healy
--------------------------
Michael T. Healy
Principal Accounting Officer
Date: March 28, 2005
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/ Charles E. Porter
---------------------------
Charles E. Porter
Principal Executive Officer
Date: March 28, 2005
By (Signature and Title): /s/ Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: March 28, 2005