UNITED STATES SECURITIES AND EXCHANGE COMMISSION

	Washington, D.C. 20549

	FORM N-Q

	QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

	Investment Company Act file number:	(811-05498)

	Exact name of registrant as specified in charter:	Putnam Master Intermediate Income Trust

	Address of principal executive offices:	One Post Office Square, Boston, Massachusetts 02109

	Name and address of agent for service:	Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109

	Copy to:	John W. Gerstmayr, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199-3600

	Registrant’s telephone number, including area code:	(617) 292-1000

	Date of fiscal year end:	September 30, 2014

	Date of reporting period:	December 31, 2013

	Item 1. Schedule of Investments:

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	Putnam Master Intermediate Income Trust
	The fund's portfolio
	12/31/13 (Unaudited)
	MORTGAGE-BACKED SECURITIES (48.4%)(a)
					Principal amount	Value
	Agency collateralized mortgage obligations (21.4%)
	Federal Home Loan Mortgage Corp.
	IFB Ser. 3182, Class SP, 27.934s, 2032				$207,439	$317,489
	IFB Ser. 3408, Class EK, 25.123s, 2037				105,206	151,816
	IFB Ser. 2979, Class AS, 23.662s, 2034				38,275	48,992
	IFB Ser. 3072, Class SM, 23.186s, 2035				159,446	226,285
	IFB Ser. 3072, Class SB, 23.039s, 2035				142,837	201,282
	IFB Ser. 3249, Class PS, 21.725s, 2036				112,080	151,541
	IFB Ser. 3998, Class KS, IO, 6.533s, 2027				1,852,452	292,919
	IFB Ser. 4048, Class GS, IO, 6.483s, 2040				1,735,298	338,800
	IFB Ser. 3860, Class SP, IO, 6.433s, 2040				3,090,567	493,131
	IFB Ser. 4032, Class SA, IO, 6.333s, 2042				3,176,127	610,263
	IFB Ser. 3708, Class SA, IO, 6.283s, 2040				3,525,937	651,382
	IFB Ser. 4125, Class SH, IO, 5.983s, 2042				1,967,608	351,671
	IFB Ser. 4112, Class SC, IO, 5.983s, 2042				7,834,125	1,429,728
	IFB Ser. 4105, Class LS, IO, 5.983s, 2041				2,267,135	436,151
	IFB Ser. 4240, Class SA, IO, 5.833s, 2043				3,364,411	756,320
	IFB Ser. 311, Class S1, IO, 5.783s, 2043				6,250,377	1,328,224
	IFB Ser. 308, Class S1, IO, 5.783s, 2043				2,712,515	634,647
	Ser. 3632, Class CI, IO, 5s, 2038				448,397	43,495
	Ser. 3626, Class DI, IO, 5s, 2037				137,966	3,191
	Ser. 4122, Class TI, IO, 4 1/2s, 2042				3,116,766	677,585
	Ser. 4000, Class PI, IO, 4 1/2s, 2042				1,746,803	324,381
	Ser. 3747, Class HI, IO, 4 1/2s, 2037				393,234	45,026
	Ser. 304, Class C53, IO, 4s, 2032				1,968,851	303,754
	Ser. 4122, Class AI, IO, 3 1/2s, 2042				4,535,488	691,662
	Ser. 4122, Class CI, IO, 3 1/2s, 2042				4,141,744	631,616
	Ser. 4105, Class HI, IO, 3 1/2s, 2041				2,053,810	329,595
	Ser. 304, IO, 3 1/2s, 2027				4,087,147	507,583
	Ser. 304, Class C37, IO, 3 1/2s, 2027				3,023,436	379,774
	Ser. 4165, Class TI, IO, 3s, 2042				8,624,666	1,216,940
	Ser. 4183, Class MI, IO, 3s, 2042				3,629,233	508,456
	Ser. 4210, Class PI, IO, 3s, 2041				2,559,506	288,744
	Ser. T-57, Class 1AX, IO, 0.399s, 2043				2,417,545	28,090
	FRB Ser. 3326, Class WF, zero %, 2035				1,907	1,630
	Federal National Mortgage Association
	IFB Ser. 06-62, Class PS, 38.912s, 2036				192,777	358,934
	IFB Ser. 07-53, Class SP, 23.596s, 2037				138,899	202,427
	IFB Ser. 08-24, Class SP, 22.68s, 2038				140,486	205,810
	IFB Ser. 05-75, Class GS, 19.756s, 2035				129,957	172,003
	IFB Ser. 05-83, Class QP, 16.966s, 2034				180,993	233,510
	IFB Ser. 10-35, Class SG, IO, 6.235s, 2040				2,146,088	425,140
	IFB Ser. 12-132, Class SB, IO, 6.035s, 2042				6,269,970	1,036,489
	IFB Ser. 13-19, Class DS, IO, 6.035s, 2041				4,480,155	833,204
	IFB Ser. 13-41, Class SP, IO, 6.035s, 2040				1,747,888	288,402
	IFB Ser. 13-18, Class SB, IO, 5.985s, 2041				2,043,420	355,964
	IFB Ser. 12-105, Class S, IO, 5.885s, 2042				1,502,963	278,048
	IFB Ser. 13-128, Class CS, IO, 5.735s, 2043				3,552,637	768,222
	IFB Ser. 13-101, Class CS, IO, 5.735s, 2043				2,214,344	482,063
	IFB Ser. 10-46, Class WS, IO, 5.585s, 2040				1,985,019	266,608
	Ser. 374, Class 6, IO, 5 1/2s, 2036				354,122	64,029
	Ser. 12-132, Class PI, IO, 5s, 2042				4,001,251	844,384
	Ser. 398, Class C5, IO, 5s, 2039				222,313	35,570
	Ser. 10-13, Class EI, IO, 5s, 2038				107,048	3,827
	Ser. 378, Class 19, IO, 5s, 2035				942,284	162,544
	Ser. 12-30, Class HI, IO, 4 1/2s, 2040				8,825,952	1,749,304
	Ser. 409, Class 81, IO, 4 1/2s, 2040				4,271,162	869,610
	Ser. 409, Class 82, IO, 4 1/2s, 2040				4,460,504	914,571
	Ser. 366, Class 22, IO, 4 1/2s, 2035				419,885	33,272
	Ser. 12-75, Class AI, IO, 4 1/2s, 2027				1,821,095	218,459
	Ser. 418, Class C24, IO, 4s, 2043				3,175,465	765,337
	Ser. 13-44, Class PI, IO, 4s, 2043				2,777,067	471,234
	Ser. 13-60, Class IP, IO, 4s, 2042				2,005,862	372,265
	Ser. 12-96, Class PI, IO, 4s, 2041				2,153,732	388,426
	Ser. 406, Class 2, IO, 4s, 2041				1,968,504	399,606
	Ser. 406, Class 1, IO, 4s, 2041				1,346,844	276,238
	Ser. 409, Class C16, IO, 4s, 2040				2,885,799	610,772
	Ser. 418, Class C15, IO, 3 1/2s, 2043				6,508,551	1,510,696
	Ser. 12-145, Class TI, IO, 3s, 2042				4,246,242	502,755
	Ser. 13-35, Class IP, IO, 3s, 2042				3,535,139	424,907
	Ser. 13-53, Class JI, IO, 3s, 2041				2,800,546	399,078
	Ser. 13-23, Class PI, IO, 3s, 2041				3,390,450	376,035
	Ser. 03-W10, Class 1, IO, 1.128s, 2043				495,937	15,789
	Ser. 99-51, Class N, PO, zero %, 2029				21,346	20,353
	Government National Mortgage Association
	IFB Ser. 10-151, Class SL, IO, 6.533s, 2039				1,622,384	283,739
	IFB Ser. 10-163, Class SI, IO, 6.463s, 2037				3,076,419	461,466
	Ser. 10-9, Class XD, IO, 6.433s, 2040				10,270,728	1,844,315
	IFB Ser. 10-35, Class CS, IO, 6.303s, 2040				3,959,879	752,373
	IFB Ser. 11-56, Class MI, IO, 6.283s, 2041				2,486,668	563,305
	IFB Ser. 10-67, Class SE, IO, 6.283s, 2040				1,150,788	203,080
	IFB Ser. 13-91, Class SP, IO, 6.133s, 2042				3,704,297	687,480
	IFB Ser. 12-149, Class LS, IO, 6.083s, 2042				4,002,174	663,801
	IFB Ser. 10-20, Class SE, IO, 6.083s, 2040				2,702,021	464,207
	IFB Ser. 10-26, Class QS, IO, 6.083s, 2040				2,630,084	486,565
	IFB Ser. 13-87, Class SA, IO, 6.033s, 2043				2,871,265	477,142
	IFB Ser. 10-120, Class SB, IO, 6.033s, 2035				423,558	39,666
	IFB Ser. 13-129, Class SN, IO, 5.983s, 2043				1,957,626	304,058
	IFB Ser. 13-165, Class LS, IO, 5.983s, 2043				1,840,338	335,310
	IFB Ser. 13-99, Class SL, IO, 5.983s, 2043				3,293,077	574,379
	IFB Ser. 10-20, Class SC, IO, 5.983s, 2040				4,289,478	744,696
	IFB Ser. 13-184, Class SP, IO, 5.981s, 2043				4,502,000	852,904
	Ser. 13-149, Class MS, IO, 5.933s, 2039				3,430,994	546,798
	IFB Ser. 12-77, Class MS, IO, 5.933s, 2042				1,825,560	420,025
	IFB Ser. 13-99, Class AS, IO, 5.883s, 2043				1,593,107	357,716
	IFB Ser. 11-128, Class TS, IO, 5.883s, 2041				1,539,387	314,805
	IFB Ser. 11-17, Class S, IO, 5.883s, 2041				3,285,329	522,597
	IFB Ser. 10-158, Class SA, IO, 5.883s, 2040				1,136,479	197,861
	IFB Ser. 10-151, Class SA, IO, 5.883s, 2040				1,128,370	196,517
	IFB Ser. 13-184, Class SK, IO, 5.881s, 2043				2,643,000	473,150
	IFB Ser. 10-89, Class SD, IO, 5.763s, 2040				1,583,369	267,197
	IFB Ser. 11-70, Class SM, IO, 5.723s, 2041				2,415,000	585,203
	IFB Ser. 11-70, Class SH, IO, 5.723s, 2041				2,481,000	601,767
	IFB Ser. 10-43, Class KS, IO, 5.583s, 2040				2,495,974	378,889
	IFB Ser. 10-31, Class SA, IO, 5.583s, 2040				3,884,445	639,765
	IFB Ser. 10-50, Class GS, IO, 5.563s, 2040				5,109,254	817,481
	IFB Ser. 10-37, Class SG, IO, 5.533s, 2040				2,146,779	339,878
	IFB Ser. 10-115, Class BS, IO, 5.233s, 2040				3,487,969	517,091
	Ser. 13-22, Class IE, IO, 5s, 2043				3,116,998	699,977
	Ser. 13-22, Class OI, IO, 5s, 2043				2,884,385	651,612
	Ser. 13-3, Class IT, IO, 5s, 2043				2,578,009	583,018
	Ser. 13-6, Class IC, IO, 5s, 2043				2,329,002	488,112
	Ser. 12-146, Class IO, IO, 5s, 2042				2,327,154	490,820
	Ser. 13-6, Class CI, IO, 5s, 2042				1,743,947	355,347
	Ser. 13-130, Class IB, IO, 5s, 2040				2,306,739	330,879
	Ser. 13-16, Class IB, IO, 5s, 2040				3,575,607	438,723
	Ser. 11-41, Class BI, IO, 5s, 2040				2,054,491	276,061
	Ser. 10-35, Class UI, IO, 5s, 2040				1,341,301	302,083
	Ser. 10-20, Class UI, IO, 5s, 2040				2,475,154	525,772
	Ser. 10-9, Class UI, IO, 5s, 2040				14,149,801	3,141,549
	Ser. 09-121, Class UI, IO, 5s, 2039				5,307,969	1,156,341
	Ser. 13-34, Class IH, IO, 4 1/2s, 2043				4,723,528	1,027,150
	Ser. 13-24, Class IC, IO, 4 1/2s, 2043				1,632,313	351,127
	Ser. 11-140, Class BI, IO, 4 1/2s, 2040				1,173,045	160,648
	Ser. 11-18, Class PI, IO, 4 1/2s, 2040				325,493	60,639
	Ser. 10-35, Class AI, IO, 4 1/2s, 2040				2,374,222	485,232
	Ser. 10-35, Class QI, IO, 4 1/2s, 2040				10,912,751	2,344,873
	Ser. 10-9, Class QI, IO, 4 1/2s, 2040				8,394,770	1,845,583
	Ser. 10-168, Class PI, IO, 4 1/2s, 2039				1,125,357	207,853
	Ser. 10-158, Class IP, IO, 4 1/2s, 2039				3,753,718	654,799
	Ser. 10-98, Class PI, IO, 4 1/2s, 2037				1,559,307	183,219
	Ser. 13-165, Class IL, IO, 4s, 2043				1,699,153	303,469
	Ser. 12-56, Class IB, IO, 4s, 2042				1,828,300	421,052
	Ser. 12-47, Class CI, IO, 4s, 2042				4,543,653	1,045,975
	Ser. 13-76, Class IO, IO, 3 1/2s, 2043				8,271,742	1,517,203
	Ser. 13-28, Class IO, IO, 3 1/2s, 2043				2,779,931	443,920
	Ser. 13-54, Class JI, IO, 3 1/2s, 2043				3,563,394	624,449
	Ser. 13-37, Class JI, IO, 3 1/2s, 2043				5,155,589	840,567
	Ser. 13-14, Class IO, IO, 3 1/2s, 2042				7,321,478	1,104,299
	Ser. 13-27, Class PI, IO, 3 1/2s, 2042				3,792,397	667,462
	Ser. 12-140, Class IC, IO, 3 1/2s, 2042				3,833,482	900,891
	Ser. 06-36, Class OD, PO, zero %, 2036				5,646	4,893
	Structured Asset Securities Corp. 144A IFB Ser. 07-4, Class 1A3, IO, 6.007s, 2045				3,310,504	579,338
						73,868,209
	Commercial mortgage-backed securities (16.3%)
	Banc of America Commercial Mortgage Trust FRB Ser. 05-5, Class D, 5.223s, 2045				600,000	595,440
	Banc of America Commercial Mortgage Trust 144A
	Ser. 01-1, Class K, 6 1/8s, 2036				322,527	155,458
	Ser. 07-5, Class XW, IO, 0.364s, 2051				94,697,590	878,510
	Bear Stearns Commercial Mortgage Securities Trust
	FRB Ser. 07-PW17, Class AJ, 5.887s, 2050				422,000	410,395
	Ser. 05-PWR7, Class D, 5.304s, 2041				441,000	408,851
	Ser. 05-PWR7, Class B, 5.214s, 2041				697,000	704,938
	Ser. 05-PWR9, Class C, 5.055s, 2042				401,000	379,065
	Bear Stearns Commercial Mortgage Securities Trust 144A Ser. 06-PW14, Class XW, IO, 0.639s, 2038				18,181,627	350,905
	Citigroup Commercial Mortgage Trust
	Ser. 06-C5, Class AJ, 5.482s, 2049				610,000	597,131
	FRB Ser. 05-C3, Class B, 5.029s, 2043				1,720,000	1,596,332
	Citigroup Commercial Mortgage Trust 144A
	FRB Ser. 04-C1, Class G, 5.382s, 2040				3,000,000	2,970,600
	FRB Ser. 12-GC8, Class D, 4.878s, 2045				401,000	363,627
	Citigroup/Deutsche Bank Commercial Mortgage Trust 144A
	FRB Ser. 07-CD5, Class E, 6.118s, 2044				507,000	491,790
	Ser. 07-CD5, Class XS, IO, 0.043s, 2044				29,477,713	130,052
	COMM Mortgage Trust FRB Ser. 07-C9, Class F, 5.8s, 2049				962,000	927,128
	COMM Mortgage Trust 144A
	FRB Ser. 13-LC6, Class D, 4.29s, 2046				798,000	672,444
	FRB Ser. 13-CR6, Class D, 4.176s, 2046				1,034,000	858,035
	FRB Ser. 13-CR8, Class D, 3.971s, 2046				769,000	622,360
	FRB Ser. 07-C9, Class AJFL, 0.86s, 2049				1,041,000	916,080
	Commercial Mortgage Trust 144A FRB Ser. 12-LC4, Class D, 5.648s, 2044				1,145,000	1,123,016
	Cornerstone Titan PLC 144A
	FRB Ser. 05-CT1A, Class D, 1.565s, 2014 (Ireland)			GBP	7,645	12,533
	FRB Ser. 05-CT2A, Class E, 1.567s, 2014 (Ireland)			GBP	133,174	197,374
	Credit Suisse First Boston Commercial Mortgage Trust Ser. 05-C5, Class C, 5.1s, 2038				$416,000	425,937
	Credit Suisse First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035				166,673	10,417
	Credit Suisse Mortgage Capital Certificates Ser. 06-C5, Class AX, IO, 0.211s, 2039				22,060,647	127,952
	Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)				568,695	23,317
	DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.418s, 2044				1,499,000	1,477,583
	FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.032s, 2020				2,301,405	42,507
	GE Capital Commercial Mortgage Corp.
	FRB Ser. 05-C4, Class AJ, 5.31s, 2045				568,000	551,301
	FRB Ser. 05-C1, Class D, 4.949s, 2048				2,843,000	2,769,366
	GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041				452,000	398,610
	GMAC Commercial Mortgage Securities, Inc. Trust 144A Ser. 04-C3, Class X1, IO, 0.697, 2041				39,415,113	294,790
	Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042				803,000	801,070
	GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039				846,000	853,795
	GS Mortgage Securities Trust 144A
	FRB Ser. 12-GC6, Class D, 5.638s, 2045				1,213,000	1,178,915
	FRB Ser. 11-GC3, Class D, 5.543s, 2044				682,000	686,712
	FRB Ser. GC10, Class D, 4.415s, 2046				398,000	343,991
	Ser. 05-GG4, Class XC, IO, 0.742s, 2039				53,276,917	399,577
	Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.165s, 2030 (Cayman Islands)				379,000	254,120
	JPMorgan Chase Commercial Mortgage Securities Trust
	FRB Ser. 07-CB20, Class AJ, 6.071s, 2051				1,054,500	1,078,859
	FRB Ser. 06-LDP7, Class AJ, 5.863s, 2045				498,000	499,467
	Ser. 06-LDP6, Class AJ, 5.565s, 2043				1,068,000	1,090,748
	FRB Ser. 04-CBX, Class B, 5.021s, 2037				247,000	250,677
	FRB Ser. 05-LDP2, Class E, 4.981s, 2042				847,000	780,455
	FRB Ser. 13-C10, Class D, 4.161s, 2047				512,000	430,871
	JPMorgan Chase Commercial Mortgage Securities Trust 144A
	FRB Ser. 07-CB20, Class B, 6.171s, 2051				568,000	554,983
	FRB Ser. 07-CB20, Class C, 6.171s, 2051				410,000	381,940
	FRB Ser. 13-C13, Class D, 4.056s, 2046				722,000	598,561
	Ser. 07-CB20, Class X1, IO, 0.154s, 2051				58,046,162	550,974
	LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031				857,101	891,202
	LB-UBS Commercial Mortgage Trust
	Ser. 06-C3, Class AJ, 5.72s, 2039				739,000	746,612
	FRB Ser. 06-C3, Class C, 5.704s, 2039				1,250,000	1,098,438
	Ser. 06-C6, Class E, 5.541s, 2039				750,000	695,775
	LB-UBS Commercial Mortgage Trust 144A Ser. 06-C6, Class XCL, IO, 0.672s, 2039				17,940,003	317,843
	Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.38s, 2028				68,289	8
	Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.263s, 2051				395,000	422,255
	Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049				572,000	543,400
	Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049				388,000	373,217
	Mezz Cap Commercial Mortgage Trust 144A
	Ser. 04-C1, Class X, IO, 8.59s, 2037				157,076	6,676
	Ser. 07-C5, Class X, IO, 5.488s, 2049				1,502,044	107,697
	Morgan Stanley Bank of America Merrill Lynch Trust 144A Ser. 13-C10, Class D, 4.083s, 2046				439,000	363,303
	Morgan Stanley Capital I Trust
	Ser. 06-HQ9, Class C, 5.842s, 2044				1,100,000	1,118,060
	FRB Ser. 07-T27, Class AJ, 5.648s, 2042				392,000	419,832
	Ser. 07-HQ11, Class C, 5.558s, 2044				482,000	421,846
	FRB Ser. 06-HQ8, Class B, 5.497s, 2044				1,800,000	1,755,540
	FRB Ser. 06-HQ8, Class D, 5.497s, 2044				598,000	524,745
	Ser. 06-HQ10, Class AJ, 5.389s, 2041				577,000	580,635
	Ser. 04-IQ8, Class C, 5.3s, 2040				1,400,000	1,427,580
	Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039				1,183,849	1,126,136
	Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043				1,176,882	1,179,236
	STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)				193,000	144,750
	TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038				536,044	134,011
	UBS-Barclays Commercial Mortgage Trust 144A
	FRB Ser. 12-C3, Class D, 4.958s, 2049				546,000	485,544
	Ser. 13-C6, Class D, 4.354s, 2046				934,000	792,779
	Wachovia Bank Commercial Mortgage Trust
	FRB Ser. 06-C26, Class AJ, 5.997s, 2045				1,649,000	1,655,926
	FRB Ser. 06-C25, Class AJ, 5.724s, 2043				617,000	636,189
	FRB Ser. 05-C20, Class B, 5.241s, 2042				1,423,000	1,462,787
	Ser. 07-C34, IO, 0.337s, 2046				15,638,175	189,222
	Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.304s, 2046				803,000	664,726
	WF-RBS Commercial Mortgage Trust 144A
	FRB Ser. 12-C6, Class D, 5.563s, 2045				405,000	391,458
	FRB Ser. 13-C17, Class D, 5.127s, 2046				1,287,000	1,169,561
	FRB Ser. 13-UBS1, Class D, 4.634s, 2046				1,398,000	1,191,040
	FRB Ser. 12-C10, Class D, 4.46s, 2045				813,000	709,982
	WF-RBS Commercial Mortgage Trust 144A FRB Ser. 13-C15, Class D, 4.486s, 2046				557,000	485,895
						56,453,465
	Residential mortgage-backed securities (non-agency) (10.7%)
	Banc of America Funding Corp.
	Ser. 06-2, Class 2A2, 6 1/4s, 2036				394,968	393,803
	Ser. 06-2, Class 2A13, 6s, 2036				807,142	809,159
	FRB Ser. 07-C, Class 07-C, 2.673s, 2036				1,730,251	1,600,482
	FRB Ser. 06-G, Class 2A5, 0.447s, 2036				429,132	369,054
	Barclays Capital, LLC Trust
	Ser. 12-RR10, Class 8A3, 15 3/4s, 2036				184,015	100,490
	Ser. 13-RR1, Class 3A3, 13.057s, 2037				366,898	308,011
	Ser. 13-RR1, Class 9A4, 10.132s, 2036				250,000	250,875
	Ser. 13-RR1, Class 2A4, 9.588s, 2036				670,000	611,710
	Ser. 13-RR1, Class 3A2, 4s, 2037				322,846	321,038
	Ser. 13-RR1, Class 4A2, 4s, 2037				361,799	358,109
	Ser. 12-RR10, Class 8A2, 4s, 2036				369,386	365,618
	FRB Ser. 12-RR10, Class 9A2, 2.66s, 2035				980,000	857,010
	Ser. 13-RR1, Class 1A2, 2.434s, 2035				660,000	534,930
	Barclays Capital, LLC Trust 144A
	Ser. 12-RR11, Class 3A3, 13.114s, 2036				515,452	358,347
	FRB Ser. 12-RR12, Class 2A3, 12 5/8s, 2035				400,703	368,646
	FRB Ser. 12-RR11, Class 5A3, 11.012s, 2037				190,074	114,254
	FRB Ser. 13-RR2, Class 3A2, 7.67s, 2036				350,000	323,750
	FRB Ser. 10-RR12, Class 6A1, 5.995s, 2037				875,343	893,113
	Ser. 12-RR12, Class 2A2, 4s, 2035				300,040	296,980
	FRB Ser. 12-RR1, Class 1A4, 2.758s, 2037				483,378	341,265
	FRB Ser. 09-RR11, Class 2A2, 2.43s, 2035				850,000	722,500
	Ser. 09-RR7, Class 1A7, IO, 1.685s, 2046				25,519,479	797,484
	Ser. 09-RR7, Class 2A7, IO, 1.508s, 2047				28,977,624	907,000
	FRB Ser. 12-RR1, Class 6A5, 0.358s, 2046				500,000	436,250
	Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.04s, 2034				44,609	3,108
	Citigroup Mortgage Loan Trust, Inc. Ser. 2005-WF2, Class AF4, 4.964s, 2035				559,876	558,476
	Citigroup Mortgage Loan Trust, Inc. 144A
	FRB Ser. 11-2, Class 3A2, 8.329s, 2037				400,000	383,168
	FRB Ser. 11-12, Class 2A2, 0.535s, 2035				900,000	729,000
	Countrywide Alternative Loan Trust
	Ser. 07-16CB, Class 4A7, 6s, 2037				464,055	404,238
	FRB Ser. 05-81, Class A1, 0.445s, 2037				553,339	407,036
	Credit Suisse Commercial Mortgage Trust 144A
	FRB Ser. 08-4R, Class 3A4, 2.702s, 2038				650,000	585,000
	FRB Ser. 08-4R, Class 1A4, 0.565s, 2037				500,000	379,000
	DSLA Mortgage Loan Trust Ser. 04-AR2, Class X2, IO, 2.253s, 2044				4,877,699	250,363
	Granite Mortgages PLC
	FRB Ser. 03-2, Class 3C, 3.067s, 2043 (United Kingdom)			GBP	384,009	630,367
	FRB Ser. 03-2, Class 2C1, 2.77s, 2043 (United Kingdom)			EUR	1,028,000	1,401,915
	GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036				$390,119	374,749
	GSR Mortgage Loan Trust FRB Ser. 05-AR4, Class 3A5, 2.651s, 2035				725,000	673,344
	JPMorgan Mortgage Trust FRB Ser. 07-A1, Class 3A4, 2.813s, 2035				429,671	365,220
	MLCC Mortgage Investors, Inc. Ser. 04-A, Class XA2, IO, 1.154s, 2029				6,376,723	247,417
	Mortgage IT Trust FRB Ser. 05-3, Class A2, 0.515s, 2035				478,854	407,505
	Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.555s, 2035				403,906	357,456
	WAMU Mortgage Pass-Through Certificates
	FRB Ser. 06-AR1, Class 2A1B, 1.213s, 2046				2,251,888	1,970,402
	FRB Ser. 06-AR3, Class A1B, 1.143s, 2046				990,404	800,246
	FRB Ser. 05-AR11, Class A1C3, 0.675s, 2045				1,758,811	1,494,989
	FRB Ser. 05-AR19, Class A1C3, 0.665s, 2045				1,939,344	1,629,049
	FRB Ser. 05-AR13, Class A1C3, 0.655s, 2045				4,048,825	3,457,697
	FRB Ser. 05-AR8, Class 2AC2, 0 5/8s, 2045				1,156,972	1,007,144
	FRB Ser. 05-AR11, Class A1C4, 0.605s, 2045				895,005	756,280
	FRB Ser. 05-AR13, Class A1B2, 0.595s, 2045				834,304	742,531
	FRB Ser. 05-AR17, Class A1B2, 0.575s, 2045				782,975	667,486
	FRB Ser. 05-AR15, Class A1B2, 0.575s, 2045				1,277,068	1,061,550
	FRB Ser. 05-AR19, Class A1C4, 0.565s, 2045				658,228	539,747
	FRB Ser. 05-AR11, Class A1B3, 0.565s, 2045				1,345,873	1,177,639
	FRB Ser. 05-AR8, Class 2AC3, 0.555s, 2045				407,690	354,894
	FRB Ser. 05-AR6, Class 2AB3, 0.435s, 2045				394,691	355,222
	Wells Fargo Mortgage Backed Securities Trust Ser. 07-12, Class A7, 5 1/2s, 2037				279,796	282,874
						36,894,990
	Total mortgage-backed securities (cost $155,934,014)					$167,216,664
	CORPORATE BONDS AND NOTES (30.6%)(a)
					Principal amount	Value
	Basic materials (2.2%)
	ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France)				$281,000	$355,858
	Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022				290,000	276,225
	Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018				227,000	244,025
	Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020				167,000	175,768
	Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany)				110,000	105,050
	Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)				185,000	197,025
	Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico)				200,000	206,600
	CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021				45,000	47,025
	Ferro Corp. sr. unsec. notes 7 7/8s, 2018				283,000	298,565
	FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia)				105,000	117,863
	FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia)				44,000	45,650
	FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)				145,000	152,801
	FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia)				70,000	76,300
	Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021				175,000	173,250
	Grohe Holding GmbH 144A company guaranty sr. FRN notes 4.277s, 2017 (Germany)			EUR	213,000	293,021
	HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020				$193,000	207,958
	HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020				241,000	287,694
	Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020				215,000	220,375
	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018				216,000	224,370
	Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021				287,000	324,310
	Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020				215,000	211,775
	Huntsman International, LLC 144A company guaranty sr. unsec. notes 5 1/8s, 2021			EUR	100,000	138,086
	IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)				$43,000	36,980
	Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom)				70,000	76,738
	INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg)				200,000	201,250
	INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg)			EUR	86,228	119,451
	JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019				$265,000	304,088
	Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020				229,000	254,763
	Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020				35,000	36,663
	Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020				80,000	84,200
	New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada)				87,000	83,955
	Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020				155,000	172,438
	Nufarm Australia, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2019 (Australia)				47,000	48,880
	Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden)				200,000	215,000
	PQ Corp. 144A sr. notes 8 3/4s, 2018				135,000	147,150
	Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020				130,000	145,600
	Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017				137,000	145,220
	Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023				110,000	107,113
	Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022				30,000	32,400
	Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019				40,000	43,300
	Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023				20,000	19,950
	Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium)				235,000	266,725
	TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020				145,000	154,063
	Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020				152,000	155,040
	USG Corp. sr. unsec. notes 9 3/4s, 2018				179,000	211,668
	USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021				125,000	130,313
	Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023				55,000	53,075
						7,625,617
	Capital goods (1.8%)
	ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020				440,000	477,400
	American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019				419,000	479,755
	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 144A sr. unsec. notes 7s, 2020 (Ireland)				225,000	226,125
	B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020				188,000	205,860
	B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022				140,000	141,750
	Berry Plastics Corp. company guaranty notes 9 1/2s, 2018				86,000	92,235
	Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021				24,000	27,780
	BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK)				105,000	111,563
	Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada)				106,000	105,205
	Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada)				119,000	124,355
	Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020				230,000	252,713
	Consolidated Container Co., LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020				26,000	27,593
	Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023				157,000	146,795
	Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023				87,000	89,610
	Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON)				58,000	41,470
	GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020				193,000	197,825
	KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg)			EUR	100,000	150,065
	Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017				$202,000	217,908
	Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022				198,000	199,980
	MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023				195,000	184,275
	Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018				100,000	105,250
	Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017				115,000	121,613
	Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France)				200,000	209,000
	Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019				200,000	221,500
	Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020				105,000	107,100
	Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019				100,000	110,875
	Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019				100,000	107,250
	Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand)				295,000	314,913
	Schaeffler Holding Finance BV 144A sr. notes 6 7/8s, 2018 (Netherlands)(PIK)			EUR	100,000	147,028
	Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018				$150,000	160,500
	Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020				140,000	152,950
	Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020				45,000	48,150
	Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021				282,000	291,165
	Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017				214,000	228,980
	TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021				45,000	48,375
	TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018				226,000	242,385
	Triumph Group, Inc. company guaranty sr. unsec. notes 4 7/8s, 2021				150,000	145,500
	WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021				35,000	35,000
						6,297,796
	Communication services (4.1%)
	Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017				265,000	308,725
	Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020				150,000	167,625
	CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021				131,000	134,930
	CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022				573,000	534,323
	CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023				354,000	328,335
	CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019				53,000	55,783
	CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023				170,000	172,125
	CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020				40,000	40,700
	Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019				70,000	75,425
	Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023				266,000	260,680
	CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021				165,000	178,200
	CyrusOne LP/CyrusOne Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022				41,000	42,435
	Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)				346,000	359,840
	DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021				109,000	115,540
	DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018				337,000	343,740
	Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018				156,000	178,620
	Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024				50,000	50,000
	Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019				214,000	231,655
	Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021				260,000	289,900
	Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom)				365,000	379,600
	Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda)				80,000	82,400
	Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)				140,000	154,350
	Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg)				352,000	377,520
	Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg)				418,000	448,305
	Intelsat Luxembourg SA 144A sr. unsec. notes 6 3/4s, 2018 (Luxembourg)				260,000	276,250
	Kabel Deutschland GmbH 144A sr. bonds 6 1/2s, 2018 (Germany)			EUR	105,000	152,903
	Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019				$124,000	138,725
	Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020				143,000	160,160
	Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019				40,000	43,800
	Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020				17,000	18,020
	Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021				65,000	65,650
	Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019				59,000	63,794
	MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023				369,000	380,993
	MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021				206,000	213,725
	NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)				160,000	120,800
	PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018				156,000	174,330
	Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom)			GBP	180,000	315,747
	Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada)				$180,000	174,150
	Qwest Corp. sr. unsec. notes 7 1/2s, 2014				75,000	78,723
	SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019				68,000	72,930
	SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020				55,000	57,200
	Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017				585,000	677,138
	Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020				105,000	113,925
	Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018				418,000	502,645
	Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023				225,000	241,875
	Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021				290,000	311,388
	T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018				75,000	78,938
	Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg)			EUR	295,000	431,151
	Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg)			EUR	100,000	146,286
	Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany)			EUR	293,000	445,262
	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany)			EUR	130,000	194,312
	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany)			EUR	235,000	321,537
	UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands)			EUR	361,000	546,489
	Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada)				$349,000	341,148
	Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom)			GBP	50,000	89,962
	Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom)			GBP	235,000	398,877
	WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019				$445,000	493,950
	Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg)			EUR	325,000	472,846
	Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017				$247,000	282,198
	Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021				109,000	115,540
	Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023				90,000	84,150
						14,108,273
	Consumer cyclicals (4.9%)
	Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019				25,000	27,563
	AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020				150,000	171,563
	Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018				255,000	295,163
	Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020				55,000	59,125
	Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016				60,000	66,900
	Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023				124,000	124,000
	Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017				105,000	105,000
	Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021				58,000	58,435
	Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada)				210,000	217,875
	Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada)				95,000	95,580
	Building Materials Corp. of America 144A company guaranty sr. unsec. notes 7 1/2s, 2020				100,000	108,000
	Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021				180,000	194,850
	Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019				140,000	157,675
	Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020				323,000	314,118
	Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018				30,000	32,550
	Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021				100,000	98,750
	Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK)				23,000	23,173
	Ceridian Corp. sr. unsec. notes 11 1/4s, 2015				283,000	285,123
	Ceridian Corp. 144A sr. notes 8 7/8s, 2019				39,000	44,850
	Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021				382,000	440,255
	Chinos Intermediate Holdings A, Inc. 144A sr. unsec. notes 7 3/4s, 2019(PIK)				75,000	76,313
	Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021				105,000	119,438
	Churchill Downs, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021				75,000	76,313
	Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023				25,000	23,500
	Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021				40,000	44,200
	Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021				135,000	136,350
	Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019				262,000	267,240
	Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020				211,000	221,814
	Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022				260,000	265,525
	CST Brands, Inc. company guaranty sr. unsec. notes 5s, 2023				213,000	205,545
	Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019				176,000	185,680
	D.R. Horton, Inc. company guaranty sr. unsec. notes 5 3/4s, 2023				40,000	40,700
	DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg)				200,000	212,500
	FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R)				179,000	190,635
	FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R)				50,000	48,750
	Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020				105,000	106,313
	General Motors Financial Co., Inc. 144A company guaranty sr. unsec. notes 4 1/4s, 2023				41,000	39,001
	Gibson Brands, Inc. 144A company guaranty sr. notes 8 7/8s, 2018				145,000	152,613
	GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020				175,000	175,000
	GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018				65,000	66,463
	Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020				266,000	282,625
	Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)			CAD	260,000	255,584
	Griffey Intermediate, Inc./Griffey Finance Sub LLC 144A sr. unsec. notes 7s, 2020				$168,000	132,720
	Grupo Televisa, S.A.B. sr. unsec. notes 6s, 2018 (Mexico)				122,000	135,886
	Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK)				75,000	76,406
	Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018				178,000	195,133
	Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021				105,000	103,163
	Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020				130,000	138,775
	Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019				356,000	385,370
	ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark)			EUR	176,724	247,130
	Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK)				$75,000	78,469
	K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020				115,000	122,475
	L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021				300,000	328,500
	L Brands, Inc. sr. unsec. notes 5 5/8s, 2022				85,000	86,913
	Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022				55,000	56,375
	Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023				215,000	222,525
	Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022				70,000	64,925
	M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018				110,000	119,075
	Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada)				123,000	135,300
	Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada)				145,000	143,550
	MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017				335,000	381,063
	MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016				65,000	71,500
	MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020				120,000	128,400
	MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022				110,000	122,375
	MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021				40,000	42,150
	Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A sr. unsec. notes 7 1/2s, 2018(PIK)				155,000	160,425
	MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019				525,213	583,643
	Navistar International Corp. sr. notes 8 1/4s, 2021				240,000	247,800
	Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019				290,000	303,413
	Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK)				130,000	136,175
	Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021				95,000	99,275
	Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020				85,000	90,950
	Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg)				54,000	55,080
	Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020				76,000	73,910
	Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018				290,000	320,088
	Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021				143,000	158,373
	Owens Corning company guaranty sr. unsec. notes 9s, 2019				92,000	113,160
	Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021				190,000	187,625
	Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022				160,000	163,600
	PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018				100,000	107,250
	Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK)				70,000	71,400
	Quiksilver, Inc./QS Wholesale, Inc. company guaranty sr. unsec. notes 10s, 2020				20,000	22,600
	Quiksilver, Inc./QS Wholesale, Inc. 144A company guaranty sr. notes 7 7/8s, 2018				20,000	21,700
	Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023				168,000	165,060
	Rent-A-Center, Inc./TX company guaranty sr. unsec. notes 4 3/4s, 2021				75,000	70,313
	Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019				51,000	55,526
	ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018				240,000	246,600
	Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016				152,000	169,480
	Sabre, Inc. 144A sr. notes 8 1/2s, 2019				477,000	527,085
	Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Netherlands)			EUR	310,000	484,040
	Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021				$70,000	68,950
	Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022				70,000	70,700
	Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021				98,000	101,185
	Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020				158,000	161,555
	Sirius XM Holdings, Inc. 144A sr. unsec. notes 5 1/4s, 2022				20,000	20,250
	Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021				216,000	211,140
	Spectrum Brands Escrow Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022				10,000	10,625
	Spectrum Brands Escrow Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2020				10,000	10,675
	Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020				110,000	118,388
	Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021				75,000	78,188
	SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021				35,000	33,775
	Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021				220,000	213,950
	Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom)			GBP	217,000	390,783
	Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016				$247,000	250,705
	Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK)				154,182	163,433
	TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017				350,000	401,625
	TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021				50,000	50,625
	Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021				99,000	108,900
	Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019				200,000	213,750
						16,944,601
	Consumer staples (1.6%)
	Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018				302,000	271,800
	Affinion Investments, LLC 144A company guaranty sr. unsec. sub. notes 13 1/2s, 2018				92,820	92,356
	Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022				135,000	143,944
	Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023				75,000	72,656
	B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021				100,000	95,750
	Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018				184,000	204,240
	Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019				109,000	112,270
	Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020				50,000	47,875
	Claire's Stores, Inc. 144A sr. notes 9s, 2019				230,000	249,550
	Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023				50,000	46,500
	Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021				255,000	239,700
	Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016				111,000	125,985
	Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022				90,000	96,075
	Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R)				50,000	47,125
	Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R)				123,000	120,540
	Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016				118,000	130,390
	DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018				115,000	127,650
	Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021				165,000	179,850
	Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom)			GBP	152,000	260,723
	ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil)				$200,000	178,477
	Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020				275,000	266,063
	Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018				65,000	70,119
	Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022				30,000	30,975
	Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020				75,000	77,719
	JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil)				67,000	72,695
	JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil)				350,000	365,750
	Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018				105,000	111,431
	Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020				50,000	54,500
	Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020				179,000	193,320
	Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022				90,000	96,300
	Post Holdings, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022				20,000	21,400
	Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021				140,000	141,050
	Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021				235,000	231,769
	Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020				235,000	269,663
	Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020				55,000	61,875
	Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022				145,000	153,338
	Sun Merger Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2021				40,000	41,000
	Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018				137,000	143,165
	United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022				144,000	160,020
	Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020				46,000	46,690
						5,452,298
	Energy (6.8%)
	Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021				135,000	143,775
	Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022				145,000	155,150
	Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023				277,000	267,305
	Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021				155,000	132,525
	Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021				137,000	138,370
	Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021				207,000	217,350
	Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020				50,000	53,375
	Aurora USA Oil & Gas Inc. 144A company guaranty sr. unsec. notes 9 7/8s, 2017				155,000	166,625
	Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018				296,000	320,420
	Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020				140,000	158,200
	Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017			EUR	50,000	74,762
	Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015				$340,000	368,475
	Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023				50,000	51,500
	Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022				225,000	243,000
	Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023				110,000	113,025
	Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022				88,000	90,860
	Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada)			CAD	225,000	145,623
	Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)				$90,000	61,875
	CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020				125,000	135,313
	CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017				483,000	508,961
	Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022				345,000	358,369
	Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 7 1/8s, 2021				81,000	91,834
	Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018				295,000	310,119
	Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020				73,000	80,483
	Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021				31,000	32,938
	EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018				312,000	297,960
	Forbes Energy Services, Ltd. company guaranty sr. unsec. notes 9s, 2019				150,000	147,000
	Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia)				2,055,000	2,536,569
	Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia)				176,000	207,295
	Gazprom OAO Via White Nights Finance BV notes 10 1/2s, 2014 (Russia)				230,000	234,851
	Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019				195,000	202,800
	Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020				310,000	330,150
	Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020				170,000	177,225
	Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021				433,000	437,330
	Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017				15,000	15,956
	Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021				75,000	83,156
	Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020				150,000	160,875
	Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021				121,000	124,025
	Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019				55,000	61,050
	Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022				212,000	210,940
	Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019				188,000	210,090
	Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7s, 2019				265,000	267,650
	Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) (In default)(NON)				80,000	24,000
	MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)				242,000	254,705
	MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada)				108,000	108,810
	Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON)				225,000	168,750
	National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine)				275,000	273,325
	Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020				103,000	107,893
	Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023				110,000	116,875
	Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022				115,000	121,900
	Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands)				200,000	217,030
	Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands)				150,000	153,000
	Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016				234,000	263,250
	Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia)				925,000	848,688
	PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada)				317,000	320,170
	Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil)				390,000	443,489
	Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil)				625,000	620,243
	Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela)				1,300,000	967,109
	Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)				1,370,000	1,260,153
	Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela)				1,120,000	929,914
	Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela)				1,490,000	1,240,425
	Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela)				80,000	73,000
	Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico)				1,535,000	1,857,350
	Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021				140,000	153,516
	Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020				150,000	162,375
	Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022				75,000	73,688
	Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018				124,000	132,680
	Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021				110,000	109,725
	Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022				100,000	99,250
	Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020				75,000	77,813
	Samson Investment Co. 144A sr. unsec. notes 10 1/2s, 2020				415,000	452,350
	SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021				124,000	129,890
	Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada)				65,000	70,200
	Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018				165,000	178,200
	SM Energy Co. sr. unsec. notes 6 5/8s, 2019				85,000	90,313
	SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023				105,000	110,250
	Tervita Corp. 144A sr. notes 8s, 2018 (Canada)				55,000	56,788
	Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada)			CAD	55,000	53,059
	Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada)				$45,000	45,477
	Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021				170,000	179,350
	Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021				315,000	329,175
	WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017				480,000	512,400
						23,511,732
	Financials (3.7%)
	Allegion US Holding Co., Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2021				194,000	201,760
	Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017				140,000	156,100
	Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020				565,000	658,225
	Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil)				150,000	140,250
	Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil)				790,000	757,636
	Boparan Finance PLC 144A company guaranty sr. unsec. unsub. notes 9 7/8s, 2018 (United Kingdom)			GBP	150,000	272,437
	CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020				$56,000	59,920
	CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023				82,000	78,823
	CIT Group, Inc. sr. unsec. notes 5s, 2023				110,000	105,875
	CIT Group, Inc. sr. unsec. notes 5s, 2022				130,000	126,750
	CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020				135,000	143,438
	CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018				205,000	230,369
	CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019				165,000	176,963
	Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019				170,000	142,375
	E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019				304,000	326,420
	Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021				205,000	210,638
	Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018				240,000	249,600
	Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2020				168,000	173,040
	International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019				36,000	38,970
	International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022				15,000	15,000
	International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021				50,000	47,875
	International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018				180,000	180,900
	iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R)				115,000	127,363
	MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R)				75,000	80,250
	MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R)				215,000	222,525
	National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada)				140,000	142,100
	Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 9 5/8s, 2019				90,000	101,250
	Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020				80,000	83,000
	Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021				213,000	202,883
	Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2018				115,000	116,869
	Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020				330,000	330,825
	Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017				190,000	190,000
	Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021				264,000	269,610
	PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019				230,000	245,525
	PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021				50,000	50,125
	Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021				201,000	199,493
	Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom)				100,000	100,712
	Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 5.298s, 2017 (Russia)				2,750,000	2,838,975
	Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia)				325,000	342,593
	Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia)				500,000	530,000
	SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018				229,000	266,785
	Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020				85,000	85,000
	State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India)				155,000	159,624
	Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom)				200,000	189,706
	VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia)				979,000	1,068,285
	VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia)				113,000	119,780
	Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021				135,000	136,688
						12,693,330
	Health care (2.2%)
	Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021				195,000	199,875
	AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020				134,000	139,360
	Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019				139,000	149,425
	Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020				220,000	231,000
	Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017				195,000	207,675
	Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019			EUR	220,000	337,456
	Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK)				$50,000	50,938
	CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018				302,000	312,570
	CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019				80,000	86,800
	ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK)				200,000	204,750
	ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg)			EUR	100,000	145,545
	Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom)			GBP	341,000	594,759
	Endo Finance Co. 144A company guaranty sr. unsec. notes 5 3/4s, 2022				$75,000	75,656
	Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019				78,000	84,533
	Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019				165,000	178,200
	HCA, Inc. sr. notes 6 1/2s, 2020				825,000	906,469
	HCA, Inc. sr. unsec. notes 7 1/2s, 2022				55,000	60,500
	Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017				325,000	350,188
	Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018(PIK)				85,000	88,188
	IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019				166,000	175,960
	IMS Health, Inc. 144A sr. unsec. notes 6s, 2020				88,000	93,500
	Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK)				180,000	190,350
	Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019				145,000	163,125
	Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018				393,000	451,950
	Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019				128,000	144,320
	MPH Intermediate Holding Co. 2 144A sr. unsec. notes 8 3/8s, 2018(PIK)				105,000	109,069
	Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018				116,000	127,600
	Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R)				85,000	92,331
	Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020				235,000	242,931
	Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021				60,000	61,500
	Service Corp. International/US sr. notes 7s, 2019				80,000	85,600
	Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022				75,000	75,938
	Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019				125,000	132,500
	Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019				160,000	168,000
	Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021				50,000	47,375
	Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021				155,000	145,700
	Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018				200,000	222,000
	Tenet Healthcare Corp. 144A sr. notes 6s, 2020				95,000	99,156
	Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020				30,000	32,325
	Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018				75,000	80,250
	Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020				30,000	31,613
	Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017				30,000	31,950
	Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018				220,000	241,725
	WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020				135,000	138,038
						7,788,693
	Technology (1.2%)
	ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020				80,000	83,600
	Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021				107,000	102,185
	Avaya, Inc. 144A company guaranty sr. notes 7s, 2019				381,000	373,380
	Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019				80,000	86,800
	First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021				412,000	483,585
	First Data Corp. 144A company guaranty notes 8 1/4s, 2021				560,000	595,700
	First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019				96,000	102,480
	First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021				135,000	149,006
	First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021				215,000	226,825
	First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021(FWC)				45,000	47,475
	Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020				201,000	228,135
	Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022				110,000	111,238
	Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019				55,000	61,875
	Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023				185,000	189,625
	SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan)				200,000	195,000
	SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019				115,000	120,750
	SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020				149,000	162,410
	Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019				188,000	205,390
	Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany)			EUR	200,000	308,501
	Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany)			EUR	165,000	239,618
						4,073,578
	Transportation (0.4%)
	Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg)			CHF	528,000	627,409
	Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018				$178,000	192,685
	Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018				385,000	428,313
	United Continental Holdings, Inc. company guaranty sr. unsec. notes 6s, 2020				110,000	109,863
	Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023				145,000	143,550
						1,501,820
	Utilities and power (1.7%)
	AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017				475,000	558,125
	AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021				135,000	152,213
	AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023				70,000	65,625
	Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020				452,000	494,940
	Calpine Corp. 144A company guaranty sr. notes 6s, 2022				45,000	46,013
	Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024				35,000	34,300
	Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019				401,000	501
	El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022				247,000	310,189
	Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020				381,000	404,813
	Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022				95,000	111,625
	Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020				595,000	630,700
	Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020				150,000	168,375
	EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019				92,000	99,015
	EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022				50,000	56,000
	EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020				279,000	321,896
	EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK)				114,363	118,938
	FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023				65,000	60,590
	GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020				190,000	210,900
	GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018				45,000	50,963
	Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021				186,000	182,280
	Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia)				785,000	856,537
	NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021				595,000	658,963
	Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023				120,000	117,000
	Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023				100,000	91,000
	Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020				90,000	66,150
						5,867,651
	Total corporate bonds and notes (cost $102,275,025)					$105,865,389
	U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (13.5%)(a)
					Principal amount	Value
	U.S. Government Guaranteed Mortgage Obligations (0.1%)
	Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038				$453,628	$508,789
						508,789
	U.S. Government Agency Mortgage Obligations (13.4%)
	Federal Home Loan Mortgage Corporation Pass-Through Certificates
	4s, with due dates from August 1, 2042 to June 1, 2043				2,006,601	2,042,031
	Federal National Mortgage Association Pass-Through Certificates
	5 1/2s, TBA, January 1, 2044				3,000,000	3,300,703
	4s, TBA, January 1, 2044				34,000,000	35,035,939
	3s, TBA, January 1, 2044				6,000,000	5,701,875
						46,080,548
	Total U.S. government and agency mortgage obligations (cost $47,067,568)					$46,589,337
	FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.9%)(a)
					Principal amount	Value
	Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina)				$1,520,000	$1,371,800
	Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina)				5,149,000	5,130,979
	Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil)				770,000	810,048
	Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil)			BRL	1,500	601,364
	Chile (Republic of) notes 5 1/2s, 2020 (Chile)			CLP	170,000,000	332,258
	Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia)				$200,000	199,100
	Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia)				225,000	239,513
	Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia)				265,000	277,323
	Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine)				175,000	159,688
	Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon)				400,000	401,500
	Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana)				203,000	216,824
	Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana)				729,694	702,476
	Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP)			EUR	5,500,000	4,871,517
	Hungary (Government of) sr. unsec. unsub. notes 4 1/8s, 2018 (Hungary)				$390,000	390,916
	Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia)				760,000	642,595
	International Bank for Reconstruction & Development sr. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation)			RUB	9,750,000	294,160
	Ireland (Republic of) unsec. bonds 5 1/2s, 2017 (Ireland)			EUR	1,523,000	2,380,241
	Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland)				$365,000	390,094
	Portugal (Republic of) sr. unsec. unsub. bonds 4.35s, 2017 (Portugal)			EUR	443,000	605,736
	Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia)				$200,000	202,500
	Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia)				1,744,600	2,030,714
	Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia)				2,600,000	2,709,174
	Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia)				100,000	94,506
	Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia)				71,748	70,863
	Spain (Kingdom of) sr. unsec. bonds 5 1/2s, 2017 (Spain)			EUR	443,000	676,497
	Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka)				$200,000	207,518
	Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey)				1,205,000	1,380,617
	Ukraine (Government of) 144A sr. unsec. bonds 7.95s, 2014 (Ukraine)				300,000	300,776
	Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine)				1,725,000	1,715,166
	Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018 (Venezuela)				1,285,000	1,261,035
	Total foreign government and agency bonds and notes (cost $29,085,620)					$30,667,498
	SENIOR LOANS (1.6%)(a)(c)
					Principal amount	Value
	Air Medical Group Holdings, Inc. bank term loan FRN 8 3/8s, 2018(PIK)				$205,000	$199,875
	Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018				138,600	138,831
	Asurion Corp. bank term loan FRN 11s, 2019				170,000	175,313
	Asurion, LLC/CA bank term loan FRN Ser. B1, 4 1/2s, 2019				149,246	149,018
	Avaya, Inc. bank term loan FRN Ser. B3, 4.762s, 2017				149,128	145,307
	Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017				23,969	24,218
	Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.488s, 2018				900,450	858,242
	CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017				209,841	211,677
	Chesapeake Energy Corp. bank term loan FRN Ser. B, 5 3/4s, 2017				230,000	234,641
	Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.918s, 2019				423,000	403,613
	Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018				148,317	148,581
	Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016				194,909	195,518
	Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021				294,263	297,387
	Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019				99,497	92,761
	H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020				149,250	150,267
	Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 4s, 2020				236,842	238,454
	iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R)				98,529	98,991
	J.C. Penney Corp., Inc. bank term loan FRN 6s, 2018				83,580	81,525
	Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017				51,606	52,331
	Neiman Marcus Group, Ltd., Inc. bank term loan FRN 5s, 2020				255,000	258,005
	Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017				87,525	87,525
	Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019				130,000	130,406
	Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.73s, 2017				640,516	440,035
	Travelport, LLC bank term loan FRN 9 1/2s, 2016				264,360	273,172
	Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK)				51,544	52,446
	Tronox, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2020				134,325	135,911
	Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 4 1/2s, 2020				133,988	134,657
	Total senior loans (cost $5,515,729)					$5,408,707
	PREFERRED STOCKS (0.1%)(a)
					Shares	Value
	Ally Financial, Inc. 144A 7.00% cum. pfd.				353	$337,148
	M/I Homes, Inc. $2.438 pfd.				4,100	103,730
	Total preferred stocks (cost $302,913)					$440,878
	COMMON STOCKS (0.1%)(a)
					Shares	Value
	Tribune Co.(NON)				3,337	$258,284
	Tribune Co. Class 1C(F)				291,353	72,838
	Trump Entertainment Resorts, Inc.(NON)				94	188
	Total common stocks (cost $162,984)					$331,310
	CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
					Shares	Value
	United Technologies Corp. $3.75 cv. pfd.				2,100	$137,487
	Total convertible preferred stocks (cost $105,000)					$137,487
	CONVERTIBLE BONDS AND NOTES (0.0%)(a)
					Principal amount	Value
	iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R)				$100,000	$136,500
	Total convertible bonds and notes (cost $108,212)					$136,500
	PURCHASED SWAP OPTIONS OUTSTANDING (0.0%)(a)
	Counterparty
	Fixed right % to receive or (pay)/		Expiration		Contract
	Floating rate index/Maturity date		date/strike		amount	Value
	Credit Suisse International
	2.79625/3 month USD-LIBOR-BBA/May-24		May-14/2.79625		$20,944,000	$73,513
	Total purchased swap options outstanding (cost $237,714)					$73,513
	WARRANTS (0.0%)(a)(NON)
			Expiration date	Strike Price	Warrants	Value
	Charter Communications, Inc. Class A		11/30/14	$46.86	20	$1,835
	Total warrants (cost $60)					$1,835
	SHORT-TERM INVESTMENTS (9.3%)(a)
					Principal amount/shares	Value
	Putnam Short Term Investment Fund 0.08%(AFF)				12,042,617	$12,042,617
	SSgA Prime Money Market Fund 0.05%(P)				300,000	300,000
	U.S. Treasury Bills with an effective yield of 0.11%, August 21, 2014(SEGSF)(SEGCCS)(SEG)				$1,777,000	1,776,202
	U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 24, 2014(SEGSF)(SEGCCS)(SEG)				4,362,000	4,360,094
	U.S. Treasury Bills with effective yields ranging from 0.09% to 0.13%, May 29, 2014(SEGSF)(SEGCCS)(SEG)				9,192,000	9,189,840
	U.S. Treasury Bills with effective yields ranging from 0.09% to 0.11%, April 3, 2014				2,500,000	2,499,558
	U.S. Treasury Bills with effective yields ranging from 0.14% to 0.15%, February 6, 2014				1,662,000	1,661,749
	U.S. Treasury Bills with an effective yield of 0.13%, January 9, 2014				282,000	281,992
	Total short-term investments (cost $32,108,795)					$32,112,052
	TOTAL INVESTMENTS
	Total investments (cost $372,903,634)(b)					$388,981,170

---

	FORWARD CURRENCY CONTRACTS at 12/31/13 (aggregate face value $121,761,100) (Unaudited)
							Unrealized
			Contract	Delivery		Aggregate	appreciation/
	Counterparty	Currency	type	date	Value	face value	(depreciation)
	Bank of America N.A.
		Brazilian Real	Buy	1/3/14	$1,036,728	$1,102,100	$(65,372)
		Brazilian Real	Sell	1/3/14	1,036,728	1,044,186	7,458
		Chilean Peso	Sell	1/16/14	364,834	299,488	(65,346)
		Singapore Dollar	Sell	2/19/14	375,454	383,351	7,897
		Swiss Franc	Sell	3/19/14	929,533	915,246	(14,287)
	Barclays Bank PLC
		Australian Dollar	Sell	1/16/14	853,510	820,702	(32,808)
		Brazilian Real	Buy	1/3/14	3,316,011	3,460,944	(144,933)
		Brazilian Real	Sell	1/3/14	3,316,011	3,393,100	77,089
		Brazilian Real	Sell	4/2/14	816,875	811,164	(5,711)
		British Pound	Buy	3/19/14	997,675	982,659	15,016
		Canadian Dollar	Sell	1/16/14	3,677,004	3,740,506	63,502
		Euro	Sell	3/19/14	792,248	785,862	(6,386)
		Japanese Yen	Sell	2/19/14	1,327,848	1,391,921	64,073
		Mexican Peso	Buy	1/16/14	19,510	(169)	19,679
		Norwegian Krone	Buy	3/19/14	39,787	39,545	242
		Polish Zloty	Buy	3/19/14	479,446	466,645	12,801
		Singapore Dollar	Sell	2/19/14	54,519	64,385	9,866
		Swiss Franc	Sell	3/19/14	517,878	509,845	(8,033)
		Turkish Lira	Buy	3/19/14	474,681	494,871	(20,190)
	Citibank, N.A.
		Australian Dollar	Buy	1/16/14	457,668	481,386	(23,718)
		Brazilian Real	Buy	1/3/14	2,549,793	2,685,864	(136,071)
		Brazilian Real	Sell	1/3/14	2,549,793	2,571,907	22,114
		Brazilian Real	Sell	4/2/14	78,613	78,102	(511)
		Canadian Dollar	Buy	1/16/14	850,081	860,019	(9,938)
		Canadian Dollar	Sell	1/16/14	850,081	863,113	13,032
		Euro	Sell	3/19/14	60,392	45,995	(14,397)
		Japanese Yen	Sell	2/19/14	843,742	867,724	23,982
		New Taiwan Dollar	Buy	2/19/14	1,603,155	1,623,303	(20,148)
		New Taiwan Dollar	Sell	2/19/14	1,603,155	1,628,091	24,936
		New Zealand Dollar	Buy	1/16/14	854,365	843,140	11,225
		New Zealand Dollar	Sell	1/16/14	854,365	843,012	(11,353)
		Swiss Franc	Sell	3/19/14	1,710,781	1,684,355	(26,426)
	Credit Suisse International
		British Pound	Buy	3/19/14	214,497	222,392	(7,895)
		Canadian Dollar	Sell	1/16/14	195,181	215,911	20,730
		Euro	Sell	3/19/14	1,163,128	1,152,042	(11,086)
		Indian Rupee	Buy	2/19/14	513,447	512,847	600
		Japanese Yen	Buy	2/19/14	401,446	394,367	7,079
		Mexican Peso	Buy	1/16/14	1,082,062	1,054,030	28,032
		New Zealand Dollar	Buy	1/16/14	1,423,394	1,441,767	(18,373)
		New Zealand Dollar	Sell	1/16/14	1,423,394	1,411,780	(11,614)
		Norwegian Krone	Sell	3/19/14	10,571	1,810	(8,761)
		Singapore Dollar	Sell	2/19/14	437,978	452,812	14,834
		South Korean Won	Buy	2/19/14	286,952	286,183	769
		Swedish Krona	Sell	3/19/14	971,264	948,195	(23,069)
		Swiss Franc	Sell	3/19/14	1,858,057	1,829,152	(28,905)
	Deutsche Bank AG
		Australian Dollar	Buy	1/16/14	28,102	95,702	(67,600)
		British Pound	Sell	3/19/14	243,461	240,413	(3,048)
		Canadian Dollar	Sell	1/16/14	864,009	849,044	(14,965)
		Euro	Sell	3/19/14	401,558	395,847	(5,711)
		Japanese Yen	Sell	2/19/14	421,518	400,662	(20,856)
		Polish Zloty	Buy	3/19/14	448,575	436,574	12,001
		Swiss Franc	Sell	3/19/14	2,735,994	2,707,056	(28,938)
	Goldman Sachs International
		Australian Dollar	Buy	1/16/14	153,537	160,969	(7,432)
		British Pound	Buy	3/19/14	101,953	103,454	(1,501)
		Canadian Dollar	Sell	1/16/14	863,821	849,083	(14,738)
		Chilean Peso	Sell	1/16/14	75,050	744	(74,306)
		Euro	Sell	3/19/14	1,152,398	1,135,084	(17,314)
		Japanese Yen	Sell	2/19/14	838,870	868,312	29,442
	HSBC Bank USA, National Association
		Canadian Dollar	Sell	1/16/14	864,009	853,619	(10,390)
		Euro	Sell	3/19/14	152,561	146,407	(6,154)
		New Taiwan Dollar	Buy	2/19/14	1,603,155	1,622,935	(19,780)
		New Taiwan Dollar	Sell	2/19/14	1,603,155	1,627,414	24,259
	JPMorgan Chase Bank N.A.
		Australian Dollar	Sell	1/16/14	833,883	841,010	7,127
		Brazilian Real	Buy	1/3/14	2,492,826	2,630,246	(137,420)
		Brazilian Real	Sell	1/3/14	2,492,826	2,522,888	30,062
		British Pound	Buy	3/19/14	365,273	369,931	(4,658)
		Canadian Dollar	Sell	1/16/14	861,280	867,311	6,031
		Euro	Buy	3/19/14	610,384	600,584	9,800
		Japanese Yen	Sell	2/19/14	631,060	675,530	44,470
		Mexican Peso	Buy	1/16/14	447,161	433,901	13,260
		New Taiwan Dollar	Buy	2/19/14	2,798,938	2,827,836	(28,898)
		New Taiwan Dollar	Sell	2/19/14	2,798,938	2,845,698	46,760
		New Zealand Dollar	Buy	1/16/14	842,613	868,839	(26,226)
		New Zealand Dollar	Sell	1/16/14	842,613	838,295	(4,318)
		Russian Ruble	Sell	3/19/14	83,319	82,155	(1,164)
		Singapore Dollar	Sell	2/19/14	1,074,063	1,095,365	21,302
		South Korean Won	Buy	2/19/14	1,218,203	1,211,740	6,463
		Swiss Franc	Sell	3/19/14	886,349	885,840	(509)
	Royal Bank of Scotland PLC (The)
		Australian Dollar	Buy	1/16/14	21,679	2,966	18,713
		Brazilian Real	Buy	1/3/14	1,955,452	2,078,686	(123,234)
		Brazilian Real	Sell	1/3/14	1,955,452	1,979,814	24,362
		British Pound	Sell	3/19/14	847,395	836,941	(10,454)
		Canadian Dollar	Sell	1/16/14	866,832	880,308	13,476
		Euro	Sell	3/19/14	1,260,664	1,229,505	(31,159)
		Japanese Yen	Sell	2/19/14	1,666,882	1,732,867	65,985
		Mexican Peso	Buy	1/16/14	520,297	507,112	13,185
	State Street Bank and Trust Co.
		Australian Dollar	Buy	1/16/14	834,954	873,167	(38,213)
		Brazilian Real	Buy	1/3/14	2,154,880	2,293,594	(138,714)
		Brazilian Real	Sell	1/3/14	2,154,880	2,192,837	37,957
		British Pound	Buy	3/19/14	869,904	860,343	9,561
		Canadian Dollar	Sell	1/16/14	863,445	854,315	(9,130)
		Chilean Peso	Buy	1/16/14	289,785	297,726	(7,941)
		Chilean Peso	Sell	1/16/14	289,785	298,893	9,108
		Euro	Sell	3/19/14	1,346,505	1,344,267	(2,238)
		Japanese Yen	Sell	2/19/14	1,051,910	1,126,540	74,630
		Mexican Peso	Buy	1/16/14	654,403	642,721	11,682
		New Taiwan Dollar	Buy	2/19/14	2,798,938	2,829,457	(30,519)
		New Taiwan Dollar	Sell	2/19/14	2,798,938	2,842,009	43,071
		New Zealand Dollar	Buy	1/16/14	842,613	862,534	(19,921)
		New Zealand Dollar	Sell	1/16/14	842,613	837,894	(4,719)
		Norwegian Krone	Buy	3/19/14	437,611	434,684	2,927
		Polish Zloty	Buy	3/19/14	799,099	777,571	21,528
		Singapore Dollar	Sell	2/19/14	633,233	648,054	14,821
		South Korean Won	Buy	2/19/14	1,334,739	1,329,819	4,920
		Swedish Krona	Sell	3/19/14	9,969	9,817	(152)
		Swiss Franc	Sell	3/19/14	256,303	252,333	(3,970)
	UBS AG
		Australian Dollar	Sell	1/16/14	850,120	857,873	7,753
		British Pound	Sell	3/19/14	5,296	(5,659)	(10,955)
		Canadian Dollar	Sell	1/16/14	874,926	876,004	1,078
		Euro	Sell	3/19/14	763,359	749,739	(13,620)
		Japanese Yen	Sell	2/19/14	505,821	521,302	15,481
		Mexican Peso	Buy	1/16/14	627,387	595,783	31,604
		New Zealand Dollar	Buy	1/16/14	842,695	862,656	(19,961)
		New Zealand Dollar	Sell	1/16/14	842,695	831,095	(11,600)
		Norwegian Krone	Buy	3/19/14	195,566	194,282	1,284
		Russian Ruble	Sell	3/19/14	221,049	217,841	(3,208)
		Singapore Dollar	Sell	2/19/14	711,921	729,623	17,702
		Swedish Krona	Sell	3/19/14	818,271	806,180	(12,091)
		Swiss Franc	Sell	3/19/14	2,529,157	2,489,511	(39,646)
	WestPac Banking Corp.
		Australian Dollar	Buy	1/16/14	809,885	872,646	(62,761)
		Australian Dollar	Sell	1/16/14	809,885	855,520	45,635
		Canadian Dollar	Sell	1/16/14	863,068	861,507	(1,561)
		Euro	Buy	3/19/14	266,604	269,481	(2,877)
		Japanese Yen	Sell	2/19/14	503,681	522,804	19,123
	Total						$(608,382)

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	FUTURES CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
					Unrealized
		Number of		Expiration	appreciation/
		contracts	Value	date	(depreciation)
	Australian Government Treasury Bond 10 yr (Long)	3	$307,149	Mar-14	$2,454
	Japanese Government Bond 10 yr (Short)	10	13,609,344	Mar-14	78,772
	Japanese Government Bond 10 yr Mini (Long)	4	544,184	Mar-14	(3,168)
	U.K. Gilt 10 yr (Short)	5	882,290	Mar-14	4,706
	U.S. Treasury Bond 30 yr (Long)	14	1,796,375	Mar-14	(29,995)
	U.S. Treasury Note 5 yr (Short)	66	7,874,625	Mar-14	100,937
	U.S. Treasury Note 10 yr (Long)	152	$18,703,125	Mar-14	(318,257)
	Total				$(164,551)

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	FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
	Counterparty				Unrealized
	Fixed right or obligation % to receive or (pay)/	Expiration		Contract	appreciation/
	Floating rate index/Maturity date	date/strike		amount	(depreciation)
	Goldman Sachs International
	(1.18)/3 month USD-LIBOR-BBA/May-17 (Purchased)	May-14/1.18		$42,775,000	$98,383
	(1.1925)/3 month USD-LIBOR-BBA/May-17 (Purchased)	May-14/1.1925		42,775,000	96,672
	1.035/6 month EUR-EURIBOR_Reuters/May-17 (Written)	May-14/1.035	EUR	34,197,000	(31,050)
	1.029/6 month EUR-EURIBOR_Reuters/May-17 (Written)	May-14/1.029	EUR	34,197,000	(43,281)
	JPMorgan Chase Bank N.A.
	(1.155)/3 month USD-LIBOR-BBA/May-17 (Purchased)	May-14/1.155		34,220,000	76,653
	2.777/3 month USD-LIBOR-BBA/May-24 (Purchased)	May-14/2.777		20,944,000	(168,391)
	(1.60)/3 month USD-LIBOR-BBA/May-19 (Written)	May-14/1.60		41,888,000	173,416
	1.004/6 month EUR-EURIBOR_Reuters/May-17 (Written)	May-14/1.004	EUR	25,648,000	(34,225)
	Total				$168,177

---

	WRITTEN SWAP OPTIONS OUTSTANDING at 12/31/13 (premiums $230,384) (Unaudited)
	Counterparty
	Fixed Obligation % to receive or (pay)/	Expiration		Contract
	Floating rate index/Maturity date	date/strike		amount	Value
	Credit Suisse International
	(1.5775)/3 month USD-LIBOR-BBA/May-19	May-14/1.5775		$41,888,000	$56,549
	Total				$56,549

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	OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
				Upfront			Payments	Payments	Unrealized
	Swap counterparty/			premium	Termination		made by	received by	appreciation/
	Notional amount			received (paid)	date		fund per annum	fund per annum	(depreciation)
	Bank of America N.A.
	CAD	5,341,000		$—	11/18/23		3 month CAD-BA-CDOR	2.9675%	$(83,416)
	CAD	6,873,000		—	12/27/23		3.20%	3 month CAD-BA-CDOR	(6,354)
	CAD	6,312,000		—	10/31/23		2.9075%	3 month CAD-BA-CDOR	120,881
	CAD	1,610,000		—	11/1/23		2.9275%	3 month CAD-BA-CDOR	28,316
	CAD	4,320,000		—	12/5/18		3 month CAD-BA-CDOR	2.1125%	(28,321)
	CAD	2,065,000		—	12/9/23		3 month CAD-BA-CDOR	3.06%	(19,513)
	CAD	4,835,000		—	12/11/23		3.0207%	3 month CAD-BA-CDOR	62,025
	CAD	3,560,000		—	12/19/23		3 month CAD-BA-CDOR	3.135%	(13,806)
	CAD	1,962,000		—	12/20/23		3.10%	3 month CAD-BA-CDOR	13,523
	CAD	1,722,000		—	12/24/23		3.12875%	3 month CAD-BA-CDOR	8,421
	Barclays Bank PLC
	AUD	1,451,000		—	11/27/23		6 month AUD-BBR-BBSW	4.57%	2,156
	AUD	2,197,000		—	12/19/23		4.56%	6 month AUD-BBR-BBSW	1,866
	AUD	1,823,000		—	12/16/23		4.6275%	6 month AUD-BBR-BBSW	(8,002)
	AUD	2,092,000		—	12/19/23		4.555%	6 month AUD-BBR-BBSW	2,546
	AUD	1,739,000		—	12/23/23		4.6165%	6 month AUD-BBR-BBSW	(5,181)
	AUD	870,000		—	12/23/23		4.618%	6 month AUD-BBR-BBSW	(2,685)
	AUD	1,719,000		—	12/31/23		4.65425%	6 month AUD-BBR-BBSW	(9,190)
	AUD	1,719,000	(E)	—	1/6/24		4.6275%	6 month AUD-BBR-BBSW	(4,850)
	AUD	2,578,000	(E)	—	1/6/24		4.61%	6 month AUD-BBR-BBSW	(3,931)
	CHF	1,739,000		—	11/18/23		1.492%	6 month CHF-LIBOR-BBA	19,376
	CHF	3,447,000		—	12/5/23		1.489%	6 month CHF-LIBOR-BBA	43,852
	EUR	41,668,000	(E)	—	8/3/17		1 month EUR-EONIA-OIS-COMPOUND	1.41727%	154,771
	GBP	2,735,000		—	8/15/31		3.6%	6 month GBP-LIBOR-BBA	(187,289)
	Credit Suisse International
	AUD	8,521,000		—	11/18/23		6 month AUD-BBR-BBSW	4.545%	1,656
	AUD	2,143,000		—	12/16/23		4.63%	6 month AUD-BBR-BBSW	(9,811)
	CHF	1,900,000		—	10/22/23		6 month CHF-LIBOR-BBA	1.51875%	(11,667)
	CHF	2,645,000		—	11/19/23		1.4775%	6 month CHF-LIBOR-BBA	33,667
	CHF	3,266,000		—	11/20/23		1.47%	6 month CHF-LIBOR-BBA	44,269
	CHF	1,525,000		—	12/4/23		1.4675%	6 month CHF-LIBOR-BBA	22,728
	CHF	2,876,000		—	7/18/23		1.4925%	6 month CHF-LIBOR-BBA	22,380
	CHF	3,209,000		—	12/19/23		1.5825%	6 month CHF-LIBOR-BBA	12,848
	CHF	2,099,000		—	12/19/23		6 month CHF-LIBOR-BBA	1.5825%	(8,404)
	EUR	13,940,000		—	6/28/14		0.85%	6 month EUR-EURIBOR-REUTERS	(123,168)
	SEK	8,790,000		—	11/28/23		3 month SEK-STIBOR-SIDE	2.635%	(26,040)
	SEK	10,320,000		—	12/19/23		3 month SEK-STIBOR-SIDE	2.69%	(24,372)
	SEK	15,110,000		—	12/23/23		3 month SEK-STIBOR-SIDE	2.81%	(11,475)
	Goldman Sachs International
	AUD	5,963,000		—	11/18/23		6 month AUD-BBR-BBSW	4.545%	1,159
	AUD	3,223,000		—	11/20/23		6 month AUD-BBR-BBSW	4.535%	(2,097)
	CAD	2,722,000		—	5/30/23		2.534%	3 month CAD-BA-CDOR	122,964
	CHF	6,400,000		—	7/2/23		6 month CHF-LIBOR-BBA	1.515%	14,141
	CHF	6,400,000		—	7/3/23		6 month CHF-LIBOR-BBA	1.5275%	22,481
	CHF	764,000		—	9/3/23		6 month CHF-LIBOR-BBA	1.585%	3,617
	CHF	5,700,000		—	10/21/23		6 month CHF-LIBOR-BBA	1.55%	(15,915)
	CHF	2,900,000		—	11/7/23		1.475%	6 month CHF-LIBOR-BBA	34,836
	CHF	5,183,000		—	11/8/23		6 month CHF-LIBOR-BBA	1.465%	(68,085)
	EUR	180,124,000	(E)	—	8/6/17		1 month EUR-EONIA-OIS-COMPOUND	1.102%	(126,376)
	EUR	43,654,000		—	8/30/14		1 year EUR-EONIA-OIS-COMPOUND	0.11%	(12,780)
	EUR	43,654,000		—	8/30/14		0.309%	3 month EUR-EURIBOR-REUTERS	(68,337)
	EUR	43,654,000		—	8/31/14		1 year EUR-EONIA-OIS-COMPOUND	0.11%	(12,634)
	EUR	43,654,000		—	8/31/14		0.314%	3 month EUR-EURIBOR-REUTERS	(71,758)
	EUR	43,654,000		—	9/3/14		1 year EUR-EONIA-OIS-COMPOUND	0.086%	(27,191)
	EUR	43,654,000		—	9/3/14		0.283%	3 month EUR-EURIBOR-REUTERS	(52,340)
	GBP	2,735,000		—	9/23/31		6 month GBP-LIBOR-BBA	3.1175%	(139,705)
	KRW	5,160,000,000		—	7/12/18		3.07%	3 month KRW-CD-KSDA-BLOOMBERG	4,096
	KRW	12,250,000,000		—	7/12/15		3 month KRW-CD-KSDA-BLOOMBERG	2.771%	3,356
	SEK	7,782,000		—	10/14/23		2.84%	3 month SEK-STIBOR-SIDE	(2,421)
	SEK	12,570,000		—	11/29/23		3 month SEK-STIBOR-SIDE	2.60%	(43,394)
	SEK	13,940,000		—	12/6/23		3 month SEK-STIBOR-SIDE	2.72125%	(25,775)
	JPMorgan Chase Bank N.A.
	AUD	2,229,000		—	11/19/23		6 month AUD-BBR-BBSW	4.505%	(6,259)
	AUD	1,322,000		—	12/13/23		4.6375%	6 month AUD-BBR-BBSW	(7,012)
	AUD	1,759,000		—	12/18/23		4.5925%	6 month AUD-BBR-BBSW	(2,934)
	CAD	10,253,000		—	2/26/18		3 month CAD-BA-CDOR	1.65%	(142,485)
	CAD	1,829,000		—	8/6/23		3 month CAD-BA-CDOR	3.01625%	(6,303)
	CAD	3,980,000		—	9/17/23		3 month CAD-BA-CDOR	3.23%	45,303
	CAD	1,745,000		—	11/6/23		3 month CAD-BA-CDOR	3.003%	(20,319)
	CAD	1,368,000		—	11/26/23		3 month CAD-BA-CDOR	2.955%	(23,590)
	CAD	2,290,000		—	12/5/23		3 month CAD-BA-CDOR	3.065%	(19,856)
	CAD	2,079,000		—	12/13/23		3 month CAD-BA-CDOR	3.076%	(17,348)
	CAD	2,079,000		—	12/13/23		3 month CAD-BA-CDOR	3.063%	(19,612)
	CAD	1,719,000		—	12/17/23		3 month CAD-BA-CDOR	3.072%	(15,525)
	JPY	2,402,400,000		—	2/19/15		6 month JPY-LIBOR-BBA	0.705%	171,557
	JPY	511,900,000		—	2/19/20		6 month JPY-LIBOR-BBA	1.3975%	284,321
	SEK	13,439,000		—	11/12/23		2.745%	3 month SEK-STIBOR-SIDE	17,716
	SEK	13,730,000		—	12/23/23		3 month SEK-STIBOR-SIDE	2.80%	(12,310)
	ZAR	110,727,000		—	7/10/15		5.90%	3 month ZAR-JIBAR-SAFEX	(22,586)
	ZAR	49,881,000		—	7/10/18		3 month ZAR-JIBAR-SAFEX	7.11%	1,094
	Total			$—	$(250,500)
(E)	Extended effective date.

---

	CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
				Upfront			Payments	Payments	Unrealized
				premium	Termination		made by	received by	appreciation/
	Notional amount			received (paid)	date		fund per annum	fund per annum	(depreciation)
	EUR	3,122,000		$(56)	12/9/23		2.044%	6 month EUR-EURIBOR-REUTERS	$34,334
	EUR	22,694,000	(E)	(121)	9/3/17		1.53%	1 month EUR-EONIA-OIS-COMPOUND	(102,211)
	EUR	4,215,000		(40)	7/17/23		1.918%	6 month EUR-EURIBOR-REUTERS	47,678
	EUR	3,225,000		(30)	7/17/23		1.906%	6 month EUR-EURIBOR-REUTERS	41,509
	EUR	749,000		(7)	9/3/23		6 month EUR-EURIBOR-REUTERS	2.1825%	13,109
	EUR	5,708,000		(55)	10/21/23		6 month EUR-EURIBOR-REUTERS	2.168%	58,912
	EUR	6,278,000		(61)	12/5/23		1.9825%	6 month EUR-EURIBOR-REUTERS	115,247
	EUR	28,000		—	12/20/23		6 month EUR-EURIBOR-REUTERS	2.052%	(324)
	EUR	43,000,000	(E)	(132)	12/4/16		6 month EUR-EURIBOR-REUTERS	0.926%	(117,259)
	EUR	5,441,000		(53)	12/5/23		1.9885%	6 month EUR-EURIBOR-REUTERS	95,733
	EUR	1,386,000		(14)	12/9/23		2.095%	6 month EUR-EURIBOR-REUTERS	6,176
	EUR	6,841,000	(E)	(68)	7/18/23		6 month EUR-EURIBOR-REUTERS	2.932%	(44,112)
	EUR	4,680,000		(46)	12/18/23		2.05%	6 month EUR-EURIBOR-REUTERS	53,923
	GBP	1,180,000		(14)	12/19/23		2.90%	6 month GBP-LIBOR-BBA	13,455
	JPY	709,218,000		(128)	7/12/43		2.024375%	6 month JPY-LIBOR-BBA	(274,576)
	JPY	221,937,000		(41)	10/3/43		6 month JPY-LIBOR-BBA	1.8425%	(20,166)
	JPY	3,413,000,000		(138)	7/12/18		6 month JPY-LIBOR-BBA	0.5175%	287,863
	JPY	354,609,000		(64)	7/18/43		1.9825%	6 month JPY-LIBOR-BBA	(100,634)
	JPY	1,706,500,000		(70)	7/18/18		6 month JPY-LIBOR-BBA	0.4825%	113,801
	JPY	2,559,750,000		(105)	8/28/18		0.4475%	6 month JPY-LIBOR-BBA	(113,205)
	JPY	534,030,000		(22)	10/3/18		0.403%	6 month JPY-LIBOR-BBA	(9,448)
	JPY	266,330,000		(49)	10/15/43		6 month JPY-LIBOR-BBA	1.73%	(96,888)
	EUR	43,000,000	(E)	(218)	11/25/16		6 month EUR-EURIBOR-REUTERS	0.915%	(113,795)
	EUR	43,000,000	(E)	(217)	11/25/16		6 month EUR-EURIBOR-REUTERS	0.925%	(107,879)
	EUR	43,000,000	(E)	(190)	12/5/16		6 month EUR-EURIBOR-REUTERS	0.918%	(122,049)
	EUR	2,685,000	(E)	(41)	7/19/23		6 month EUR-EURIBOR-REUTERS	2.92%	(19,434)
	EUR	5,313,000		(97)	1/2/24		6 month EUR-EURIBOR-REUTERS	2.1675%	9,844
	JPY	534,030,000		(44)	10/3/18		0.403%	6 month JPY-LIBOR-BBA	(9,469)
	JPY	221,937,000		(77)	10/3/43		6 month JPY-LIBOR-BBA	1.843%	(19,946)
	EUR	13,900,000	(E)	(202)	7/2/23		2.895%	6 month EUR-EURIBOR-Telerate	111,854
	EUR	13,900,000	(E)	(203)	7/3/23		2.89%	6 month EUR-EURIBOR-REUTERS	116,443
	EUR	27,676,000		(477)	7/15/23		1.945%	6 month EUR-EURIBOR-REUTERS	212,900
	EUR	1,585,000	(E)	(23)	9/3/23		3.0925%	6 month EUR-EURIBOR-REUTERS	(2,269)
	EUR	2,624,000		(48)	1/2/24		6 month EUR-EURIBOR-REUTERS	2.171%	6,017
	EUR	43,000,000	(E)	(218)	11/27/16		6 month EUR-EURIBOR-REUTERS	0.942%	(100,781)
	EUR	3,308,000		(59)	12/6/23		2.028%	6 month EUR-EURIBOR-REUTERS	41,791
	EUR	1,743,000		(31)	12/9/23		2.092%	6 month EUR-EURIBOR-REUTERS	8,428
	EUR	2,802,000		(51)	12/11/23		2.09%	6 month EUR-EURIBOR-REUTERS	15,011
	EUR	3,156,000		(57)	12/12/23		2.081%	6 month EUR-EURIBOR-REUTERS	21,192
	EUR	1,673,000		(30)	12/16/23		2.068%	6 month EUR-EURIBOR-REUTERS	15,015
	EUR	2,204,000	(E)	(17)	9/20/17		1 month EUR-EONIA-OIS-COMPOUND	1.015%	(6,354)
	EUR	3,519,000		(64)	12/20/23		6 month EUR-EURIBOR-REUTERS	2.037%	(47,462)
	EUR	2,658,000		(48)	1/2/24		6 month EUR-EURIBOR-REUTERS	2.166%	4,413
		$22,340,300	(E)	(250)	11/21/23		3 month USD-LIBOR-BBA	4.22125%	(333,791)
		31,723,200	(E)	(176)	11/21/18		2.1525%	3 month USD-LIBOR-BBA	381,454
		35,704,000	(E)	173,185	3/19/19		3 month USD-LIBOR-BBA	1.90%	234,240
		915,000		(58)	9/25/23		3 month USD-LIBOR-BBA	2.92%	(2,160)
		31,723,200	(E)	(255)	11/20/18		2.14%	3 month USD-LIBOR-BBA	388,671
		22,340,300	(E)	(250)	11/20/23		3 month USD-LIBOR-BBA	4.255%	(302,068)
		109,718,300	(E)	1,315,317	3/19/19		3 month USD-LIBOR-BBA	2.00%	969,704
		153,922,000	(E)	749,342	3/19/16		3 month USD-LIBOR-BBA	0.75%	249,094
		12,371,200	(E)	183,742	3/19/44		3 month USD-LIBOR-BBA	3.75%	(312,096)
		89,826,800	(E)	1,354,100	3/19/24		3 month USD-LIBOR-BBA	3.25%	759,447
		289,500,000	(E)	(941)	12/5/16		3 month USD-LIBOR-BBA	1.237%	922,564
		3,979,000	(E)	18,624	3/19/24		3 month USD-LIBOR-BBA	3.15%	27,894
	GBP	10,918,000	(E)	139,381	3/19/24		6 month GBP-LIBOR-BBA	3.00%	250,752
	EUR	2,854,000		(51)	10/22/23		6 month EUR-EURIBOR-REUTERS	2.125%	13,452
	Total			$3,927,984	$3,263,544
(E)	Extended effective date.

---

	OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
				Upfront		Payments	Total return	Unrealized
	Swap counterparty/			premium	Termination	received (paid) by	received by	appreciation/
	Notional amount			received (paid)	date	fund per annum	or paid by fund	(depreciation)
	Bank of America N.A.
		$6,160,962		$—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	$(52,037)
		1,674,747		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	14,145
		743,853		—	1/12/40	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(3,065)
	Barclays Bank PLC
		352,555		—	1/12/40	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	674
		558,703		—	1/12/42	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	1,690
		639,241		—	1/12/40	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	1,222
		568,453		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	1,086
		7,743,061		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	28,266
		2,012,508		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(4,804)
		233,624		—	1/12/40	4.00% (1 month USD-LIBOR)	Synthetic MBX Index 4.00% 30 year Fannie Mae pools	(734)
		490,468		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	937
		2,942,811		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	5,624
		583,309		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	2,129
		756,584		—	1/12/39	6.00% (1 month USD-LIBOR)	Synthetic TRS Index 6.00% 30 year Fannie Mae pools	6,047
		1,757,619		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(4,196)
		1,870,647		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	3,575
		555,637		—	1/12/40	4.00% (1 month USD-LIBOR)	Synthetic MBX Index 4.00% 30 year Fannie Mae pools	(1,746)
		81,253		—	1/12/38	6.50% (1 month USD-LIBOR)	Synthetic TRS Index 6.50% 30 year Fannie Mae pools	531
		252,591		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	483
		2,313,952		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	8,447
		321,510		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools	615
		1,471,405		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	2,812
		1,466,667		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(3,501)
		1,386,493		—	1/12/40	4.00% (1 month USD-LIBOR)	Synthetic MBX Index 4.00% 30 year Fannie Mae pools	(4,357)
		273,034		—	1/12/40	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	522
		2,086,613		—	1/12/40	4.50% (1 month USD-LIBOR)	Synthetic MBX Index 4.50% 30 year Fannie Mae pools	(4,382)
		8,062,811		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	15,408
		1,760,291		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	3,364
		308,870		—	1/12/40	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	590
		1,001,353		—	1/12/40	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	1,914
		725,929		—	1/12/40	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	1,387
		1,330,233		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(11,236)
		4,447,530		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(10,617)
		848,732		—	1/12/39	(6.00%) 1 month USD-LIBOR	Synthetic MBX Index 6.00% 30 year Fannie Mae pools	(4,986)
		3,800,729		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(32,102)
		674,735		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(3,892)
		337,423		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(1,946)
		337,423		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(1,946)
		677,090		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(3,906)
		1,758,549		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(10,144)
		677,090		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(3,906)
		2,669,722		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	9,746
		923,466		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools	4,293
		556,226		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools	2,586
		555,210		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools	1,061
		705,082		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools	3,277
		1,413,018		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(3,373)
		1,217,455		—	1/12/38	6.50% (1 month USD-LIBOR)	Synthetic TRS Index 6.50% 30 year Fannie Mae pools	7,958
		174,638		—	1/12/38	6.50% (1 month USD-LIBOR)	Synthetic TRS Index 6.50% 30 year Fannie Mae pools	1,141
		1,351,824		—	1/12/39	(5.50%) 1 month USD-LIBOR	Synthetic MBX Index 5.50% 30 year Fannie Mae pools	(7,798)
		184,210		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(440)
		5,032,207		—	1/12/41	(5.00%) 1 month USD-LIBOR	Synthetic TRS Index 5.00% 30 year Fannie Mae pools	(54,058)
	Citibank, N.A.
		1,144,263		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	2,187
		2,452,342		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	4,686
		2,140,895		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	4,091
		1,186,382		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	4,331
		1,824,864		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(15,413)
		2,937,273		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(10,723)
		1,212,414		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(4,426)
		1,941,791		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(7,089)
		2,367,319		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(19,995)
		1,436,753		—	1/12/40	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(5,920)
	Credit Suisse International
		980,937		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic MBX Index 5.00% 30 year Fannie Mae pools	1,875
		890,441		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(2,126)
		1,579,272		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(5,765)
		3,099,731		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(11,316)
		2,589,216		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(9,452)
		2,514,012		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(9,177)
		3,436,701		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(12,546)
		2,538,116		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(9,265)
		2,083,028		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(17,594)
		2,424,347		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(8,850)
		2,262,852		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(8,261)
		1,998,006		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(16,876)
		3,497,840		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(29,544)
		1,662,348		—	1/12/41	(4.50%) 1 month USD-LIBOR	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	(14,041)
		1,553,887		—	1/12/41	5.00% (1 month USD-LIBOR)	Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools	7,223
		1,554,785		—	1/12/41	(5.00%) 1 month USD-LIBOR	Synthetic TRS Index 5.00% 30 year Fannie Mae pools	(16,702)
		1,891,869		—	1/12/40	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(7,796)
		1,723,506		—	1/12/41	(5.00%) 1 month USD-LIBOR	Synthetic TRS Index 5.00% 30 year Fannie Mae pools	(18,515)
		2,362,641		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	8,625
	Deutsche Bank AG
		890,441		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(2,126)
	Goldman Sachs International
		1,044,345		—	1/12/39	6.00% (1 month USD-LIBOR)	Synthetic TRS Index 6.00% 30 year Fannie Mae pools	8,347
		401,700		—	1/12/38	6.50% (1 month USD-LIBOR)	Synthetic TRS Index 6.50% 30 year Fannie Mae pools	2,626
		1,386,899		—	1/12/42	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	4,195
		1,386,899		—	1/12/42	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	4,195
		1,055,258		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	3,852
		4,177,569		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	35,285
		3,830,841		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	32,356
		611,844		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(1,461)
		229,845		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(549)
		7,132,511		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	60,243
		1,796,523		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	15,174
		56,351		—	1/12/39	6.00% (1 month USD-LIBOR)	Synthetic TRS Index 6.00% 30 year Fannie Mae pools	450
		480,371		—	1/12/39	6.00% (1 month USD-LIBOR)	Synthetic TRS Index 6.00% 30 year Fannie Mae pools	3,840
		5,054,112		—	1/12/40	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	20,827
		504,967		—	1/12/39	6.00% (1 month USD-LIBOR)	Synthetic TRS Index 6.00% 30 year Fannie Mae pools	4,036
		1,009,934		—	1/12/39	6.00% (1 month USD-LIBOR)	Synthetic TRS Index 6.00% 30 year Fannie Mae pools	8,072
		30,164		—	1/12/38	6.50% (1 month USD-LIBOR)	Synthetic TRS Index 6.50% 30 year Fannie Mae pools	197
		7,006,935		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	25,580
		2,333,717		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	8,519
		431,864		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(1,031)
		2,608,981		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	9,524
		2,439,773		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	8,906
		838,128		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(2,001)
		518,125		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(1,237)
		39,847		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(95)
		106,185		—	1/12/38	(6.50%) 1 month USD-LIBOR	Synthetic MBX Index 6.50% 30 year Fannie Mae pools	(253)
		3,355,712		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	12,250
		3,235,698		—	1/12/42	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	9,787
		2,557,289		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	21,600
		2,818,613		—	1/12/42	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	8,525
		939,665		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	7,937
		2,833,145		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	10,342
		12,609,000		—	8/9/18	2.2575%	USA Non Revised Consumer Price Index- Urban (CPI-U)	141,977
		12,609,000		—	8/15/18	2.225%	USA Non Revised Consumer Price Index- Urban (CPI-U)	121,803
	JPMorgan Chase Bank N.A.
		4,335,285		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	15,826
		2,789,327		—	1/12/41	4.50% (1 month USD-LIBOR)	Synthetic TRS Index 4.50% 30 year Fannie Mae pools	23,559
		2,479,303		—	1/12/41	4.00% (1 month USD-LIBOR)	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	9,051
		312,866		—	1/12/41	(4.00%) 1 month USD-LIBOR	Synthetic TRS Index 4.00% 30 year Fannie Mae pools	(1,142)
	Total			$—	$302,970

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	OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
			Upfront					Payments
			premium				Termi-	received	Unrealized
	Swap counterparty/		received		Notional		nation	(paid) by fund	appreciation/
	Referenced debt*	Rating***	(paid)**		amount		date	per annum	(depreciation)
	Bank of America N.A.
	CMBX NA BBB Index	BBB-/P	$4,375		$64,000		5/11/63	300 bp	$3,356
	CMBX NA BBB Index	BBB-/P	8,497		141,000		5/11/63	300 bp	6,253
	CMBX NA BBB Index	BBB-/P	17,409		282,000		5/11/63	300 bp	12,921
	CMBX NA BBB Index	BBB-/P	16,587		291,000		5/11/63	300 bp	11,955
	Barclays Bank PLC
	CMBX NA BBB Index	BBB-/P	33,591		303,000		5/11/63	300 bp	28,768
	Irish Gov't, 4.50%, 4/18/2020	—	(35,493)		443,000		9/20/17	(100 bp)	(37,347)
	Obrigacoes Do Tesouro, 5.45%, 9/23/13	—	(72,281)		443,000		9/20/17	(100 bp)	(42,300)
	Credit Suisse International
	CMBX NA BBB Index	BBB-/P	2,851		149,000		5/11/63	300 bp	479
	CMBX NA BBB Index	BBB-/P	20,934		263,000		5/11/63	300 bp	16,748
	CMBX NA BBB Index	BBB-/P	3,135		270,000		5/11/63	300 bp	(1,163)
	CMBX NA BBB Index	BBB-/P	20,979		288,000		5/11/63	300 bp	16,395
	CMBX NA BBB Index	BBB-/P	4,963		323,000		5/11/63	300 bp	(178)
	CMBX NA BBB Index	BBB-/P	37,060		328,000		5/11/63	300 bp	31,839
	CMBX NA BBB Index	BBB-/P	27,130		340,000		5/11/63	300 bp	21,718
	CMBX NA BBB Index	BBB-/P	26,325		340,000		5/11/63	300 bp	20,913
	CMBX NA BBB Index	BBB-/P	22,366		340,000		5/11/63	300 bp	16,955
	CMBX NA BBB Index	BBB-/P	6,043		343,000		5/11/63	300 bp	584
	CMBX NA BBB Index	BBB-/P	10,467		344,000		5/11/63	300 bp	4,992
	CMBX NA BBB Index	BBB-/P	31,880		416,000		5/11/63	300 bp	25,259
	CMBX NA BBB Index	BBB-/P	28,890		704,000		5/11/63	300 bp	17,685
	CMBX NA BBB- Index	BBB-/P	10,720		224,000		5/11/63	300 bp	7,155
	CMBX NA BBB- Index	BBB-/P	12,140		281,000		5/11/63	300 bp	7,667
	Spain Gov't, 5.50%, 7/30/2017	—	(52,226)		443,000		9/20/17	(100 bp)	(48,433)
	Deutsche Bank AG
	Republic of Argentina, 8.28%, 12/31/33	B3	82,442		705,000		3/20/17	500 bp	(140,370)
	Total		$268,784	$(18,149)
*	Payments related to the referenced debt are made upon a credit default event.
**	Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
***	Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”

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	CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/13 (Unaudited)
			Upfront					Payments
			premium				Termi-	received	Unrealized
			received		Notional		nation	(paid) by fund	appreciation/
	Referenced debt*	Rating***	(paid)**		amount		date	per annum	(depreciation)
	NA HY Series 21 Index	B+/P	$(179,193)		$2,582,000		12/20/18	500 bp	$44,554
	Total		$(179,193)	$44,554
*	Payments related to the referenced debt are made upon a credit default event.
**	Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
***	Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”

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	Key to holding's currency abbreviations
	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	CHF	Swiss Franc
	CLP	Chilean Peso
	EUR	Euro
	GBP	British Pound
	JPY	Japanese Yen
	KRW	South Korean Won
	RUB	Russian Ruble
	SEK	Swedish Krona
	ZAR	South African Rand
	Key to holding's abbreviations
	EMTN	Euro Medium Term Notes
	FRB	Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
	FRN	Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
	IFB	Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
	IO	Interest Only
	JSC	Joint Stock Company
	MTN	Medium Term Notes
	OAO	Open Joint Stock Company
	OJSC	Open Joint Stock Company
	PO	Principal Only
	TBA	To Be Announced Commitments

	Notes to the fund's portfolio
	Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2013 through December 31, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a)	Percentages indicated are based on net assets of $345,425,365.
(b)	The aggregate identified cost on a tax basis is $379,088,770, resulting in gross unrealized appreciation and depreciation of $15,675,217 and $5,782,817, respectively, or net unrealized appreciation of $9,892,400.
(NON)	Non-income-producing security.
(STP)	The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK)	Income may be received in cash or additional securities at the discretion of the issuer.
(AFF)	Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
	Name of affiliate	Fair value at the beginning of the reporting period	Purchase cost	Sale proceeds	Investment income	Fair value at the end of the reporting period
	Putnam Short Term Investment Fund *	$8,442,892	$40,449,565	$36,849,840	$2,305	$12,042,617
	* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG)	This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF)	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS)	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC)	Forward commitment, in part or in entirety.
(c)	Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
	Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F)	Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(P)	Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R)	Real Estate Investment Trust.
	At the close of the reporting period, the fund maintained liquid assets totaling $100,475,867 to cover certain derivatives contracts and delayed delivery securities.
	Debt obligations are considered secured unless otherwise indicated.
	144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
	The dates shown on debt obligations are the original maturity dates.
	DIVERSIFICATION BY COUNTRY
	Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
	United States	82.1%
	Russia	3.3
	Argentina	1.7
	Venezuela	1.5
	United Kingdom	1.3
	Greece	1.2
	Luxembourg	1.0
	Brazil	1.0
	Canada	0.8
	Ireland	0.7
	Ukraine	0.6
	Indonesia	0.6
	Germany	0.6
	Mexico	0.5
	Other	3.1
	Total	100.0%
	Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
	Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
	Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
	Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
	To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
	Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
	Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
	Options contracts: The fund used options contracts to isolate prepayment risk.
	The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
	Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
	For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
	Futures contracts: The fund used futures contracts to manage exposure to market risk and to gain exposure to interest rates.
	The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
	Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
	For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
	Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
	The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
	For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
	Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates.
	An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
	The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
	For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
	Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors or industries and to hedge inflation in specific regions or countries.
	To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
	For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
	Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
	In OTC and centrally cleared credit default contracts, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the close of the contract. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties are settled through a central clearing agent through variation margin payments. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
	In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
	For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
	Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $23,826 at the close of the reporting period.
	Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
	Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
	At the close of the reporting period, the fund had a net liability position of $1,109,185 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $903,606.
	TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
	TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at 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 fair value is recorded by the fund as an unrealized gain or loss.
	Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

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	ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
	Level 1: Valuations based on quoted prices for identical securities in active markets.
	Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
	Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
	The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
			Valuation inputs
	Investments in securities:	Level 1	Level 2	Level 3
	Common stocks *:
	Consumer cyclicals	$258,284	$188	$72,838
	Total common stocks	258,284	188	72,838
	Convertible bonds and notes	$—	$136,500	$—
	Convertible preferred stocks	137,487	—	—
	Corporate bonds and notes	—	105,865,389	—
	Foreign government and agency bonds and notes	—	30,667,498	—
	Mortgage-backed securities	—	167,216,664	—
	Preferred stocks	—	440,878	—
	Purchased swap options outstanding	—	73,513	—
	Senior loans	—	5,408,707	—
	U.S. government and agency mortgage obligations	—	46,589,337	—
	Warrants	—	1,835	—
	Short-term investments	12,342,617	19,769,435	—
	Totals by level	$12,738,388	$376,169,944	$72,838
			Valuation inputs
	Other financial instruments:	Level 1	Level 2	Level 3
	Forward currency contracts	$—	$(608,382)	$—
	Futures contracts	(164,551)	—	—
	Written swap options outstanding	—	(56,549)	—
	Forward premium swap option contracts	—	168,177	—
	Interest rate swap contracts	—	(914,940)	—
	Total return swap contracts	—	302,970	—
	Credit default contracts	—	(63,186)	—
	Totals by level	$(164,551)	$(1,171,910)	$—
	* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
	At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
	Fair Value of Derivative Instruments as of the close of the reporting period
		Asset derivatives	Liability derivatives
	Derivatives not accounted for as hedging instruments under ASC 815	Fair value	Fair value
	Credit contracts	$257,521	$320,707
	Foreign exchange contracts	1,201,519	1,809,901
	Equity contracts	1,835	—
	Interest rate contracts	6,166,652	6,758,032
	Total	$7,627,527	$8,888,640
	The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
	Purchased TBA commitment option contracts (contract amount)	—*
	Purchased swap option contracts (contract amount)	$145,200,000
	Written swap option contracts (contract amount)	$176,800,000
	Futures contracts (number of contracts)	500
	Forward currency contracts (contract amount)	$257,300,000
	OTC interest rate swap contracts (notional)	$919,400,000
	Centrally cleared interest rate swap contracts (notional)	$1,415,500,000
	OTC total return swap contracts (notional)	$277,800,000
	OTC credit default swap contracts (notional)	$9,500,000
	Centrally cleared credit defult rate swap contracts (notional)	$1,900,000
	Warrants (number of warrants)	20
	For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com

	Item 2. Controls and Procedures:

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

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

	Item 3. Exhibits:

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

	SIGNATURES

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

	Putnam Master Intermediate Income Trust

	By (Signature and Title):

	/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer Date: February 27, 2014

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

	By (Signature and Title):

	/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer Date: February 27, 2014

	By (Signature and Title):

	/s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer Date: February 27, 2014